UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number		811-04347
GMO Trust
(Exact name of registrant as specified in charter)
40 Rowes Wharf, Boston, MA			02110
(Address of principal executive offices)			(Zip code)
J.B. Kittredge, Chief Executive Officer, 40 Rowes Wharf, Boston, MA  02110
(Name and address of agent for service)
Registrant’s telephone number, including area code:		617-346-7646
Date of fiscal year end:	02/28/10
Date of reporting period:	11/30/09

Item 1. Schedule of Investments.

The Schedules of Investments for each series of the registrant for the periods ended November 30, 2009 are filed herewith.

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2009 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 94.4%
		United States — 94.4%
		Affiliated Issuers
17,234,577		GMO International Growth Equity Fund, Class IV	355,721,663
16,735,697		GMO International Intrinsic Value Fund, Class IV	348,604,576
2,253,588		GMO International Small Companies Fund, Class III	15,594,829
24,928,758		GMO Quality Fund, Class VI	479,878,594
24,844,536		GMO U.S. Core Equity Fund, Class VI	263,352,084
2,600,043		GMO U.S. Treasury Fund	65,053,065
		Total United States	1,528,204,811
		TOTAL MUTUAL FUNDS (COST $1,339,375,168)	1,528,204,811
Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.8%
USD	74,974	Bank of Ireland Time Deposit, 0.03%, due 12/01/09	74,974
USD	46,100,000	HSBC Bank Time Deposit, 0.13%, due 12/01/09	46,100,000
		TOTAL SHORT-TERM INVESTMENTS (COST $46,174,974)	46,174,974
		TOTAL INVESTMENTS — 97.2% (Cost $1,385,550,142)	1,574,379,785
		Other Assets and Liabilities (net) — 2.8%	45,155,370
		TOTAL NET ASSETS — 100.0%	$	1,619,535,155

As of November 30, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,764,901,209	$	—	$	(190,521,424	)	$	(190,521,424	)

Investments in Affiliated Issuers

The Fund makes investments in other GMO Trust funds (“underlying funds”).  The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2009 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO International Growth Equity Fund, Class IV	$	368,331,113	$	177,502,449	$	257,993,768	$	5,544,450	$	—	$	355,721,663
GMO International Intrinsic Value Fund, Class IV	354,875,492		194,563,563		269,779,770		2,888,564		—		348,604,576
GMO International Small Companies Fund, Class III	—		20,385,839		6,464,000		62,299		—		15,594,829
GMO Quality Fund, Class VI	467,659,107		243,584,385		312,602,995		4,757,385		—		479,878,594
GMO U.S. Core Equity Fund, Class VI	255,428,005		129,785,149		170,158,000		2,585,149		—		263,352,084
GMO U.S. Treasury Fund	—		240,047,054		175,000,000		47,054		—		65,053,065
Totals	$	1,446,293,717	$	1,005,868,439	$	1,191,998,533	$	15,884,901	$	—	$	1,528,204,811

A summary of outstanding financial instruments at November 30, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency	Value		Net Unrealized Appreciation (Depreciation)
Buys †
12/18/09	CHF	1,009,185	$	1,004,841	$	12,548
12/18/09	DKK	45,724,506	9,223,191		46,392
12/18/09	EUR	6,017,000	9,034,372		32,747
12/18/09	EUR	5,419,308	8,136,952		64,080
12/18/09	GBP	1,194,000	1,964,045		(34,947		)
12/18/09	GBP	1,476,731	2,429,118		14,029
12/18/09	JPY	625,695,000	7,239,079		236,533
12/18/09	NOK	44,484,244	7,833,071		(148,276		)
12/18/09	SEK	11,702,824	1,678,758		(4,860		)
12/18/09	SEK	146,805,586	21,059,104		(134,443		)
			$	69,602,531	$	83,803

Sales #
12/18/09	AUD	1,982,239	$	1,812,527	$	(63,003	)
12/18/09	AUD	33,363,254	30,506,810		233,680
12/18/09	AUD	2,595,038	2,372,860		(33,244		)
12/18/09	AUD	27,486,662	25,133,351		264,325
12/18/09	CHF	13,526,293	13,468,070		(59,558		)
12/18/09	CHF	13,526,293	13,468,071		(89,874		)
12/18/09	CHF	7,978,089	7,943,748		(138,846		)
12/18/09	CHF	5,128,216	5,106,142		(108,056		)
12/18/09	DKK	5,014,836	1,011,554		(21,199		)
12/18/09	EUR	7,611,450	11,428,398		(260,939		)
12/18/09	EUR	13,182,700	19,793,487		(302,039		)
12/18/09	EUR	19,003,893	28,533,860		(328,852		)
12/18/09	GBP	13,926,874	22,908,718		18,078
12/18/09	GBP	14,348,900	23,602,921		(27,965		)
12/18/09	GBP	5,533,133	9,101,611		33,371
12/18/09	GBP	17,152,133	28,214,040		(187,360		)
12/18/09	GBP	9,350,422	15,380,780		137,489
12/18/09	HKD	105,534,200	13,619,063		2,818
12/18/09	HKD	27,487,606	3,547,243		490
12/18/09	JPY	2,347,140,241	27,155,617		(1,212,770		)
12/18/09	JPY	2,365,223,133	27,364,830		(1,147,438		)
12/18/09	JPY	2,347,140,241	27,155,617		(1,164,363		)
12/18/09	JPY	636,681,767	7,366,192		(361,345		)
12/18/09	JPY	2,347,140,241	27,155,617		(1,206,029		)
12/18/09	JPY	3,674,378,491	42,511,314		(1,709,146		)
12/18/09	NOK	12,849,495	2,262,621		(12,034		)
12/18/09	NZD	940,577	672,927		33,973
12/18/09	SEK	13,326,172	1,911,625		(14,589		)
12/18/09	SEK	12,729,280	1,826,002		(7,427		)
12/18/09	SGD	13,101,998	9,464,532		(50,058		)
12/18/09	SGD	675,098	487,673		(6,148		)
			$	452,287,821	$	(7,788,058	)

†Fund buys foreign currency; sells USD.

#Fund sells foreign currency; buys USD.

Futures Contracts

Number of  Contracts	Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
110	Amsterdam Exchanges	December 2009	$	10,103,654	$	(460,651	)
65	DAX	December 2009	13,766,575		(124,958		)
40	IBEX 35	December 2009	7,029,785		(155,412		)
1,567	OMXS 30	December 2009	21,193,083		(199,466		)
			$	52,093,097	$	(940,487	)
Sales
574	CAC 40	December 2009	$	31,743,548	$	1,385,335
965	FTSE 100	December 2009	82,804,829		(3,079,593		)
115	FTSE/MIB	December 2009	19,013,360		803,421
113	Hang Seng	December 2009	15,842,826		687,874
199	MSCI Singapore	December 2009	9,469,701		227,236
175	RUSSELL 2000	December 2009	10,136,000		(130,867		)
9,366	S&P 500 E-Mini Index	December 2009	512,671,425		(22,430,081		)
208	S&P MID 400 E-Mini Index	December 2009	14,227,200		(214,935		)
517	SPI 200	December 2009	55,477,287		(998,779		)
1,394	TOPIX	December 2009	134,841,381		14,733,675
			$	886,227,557	$	(9,016,714	)

Swap Agreements

Total Return Swaps

Notional Amount		Expiration Date	Counterparty	Fund Pays	Fund Receives	Market Value
96,053,920	USD	1/11/2010	Morgan Stanley	Custom Low Quality Equity Basket	Daily Federal Funds Rate -0.52%	$	(68,552,567	)
57,363,369	USD	2/3/2010	Goldman Sachs	Custom Low Quality Equity Basket	Daily Federal Funds Rate -0.80%	(46,283,967		)
53,294,967	USD	8/9/2010	JP Morgan Chase Bank	Custom Low Quality Equity Basket	3 month LIBOR -1.35%	332,115
166,923,453	USD	8/9/2010	Citigroup	Custom Low Quality Equity Basket	3 month LIBOR -0.90%	354,068
						$	(114,150,351	)
					Premiums to (Pay) Receive	$	—

As of November 30, 2009, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

LIBOR - London Interbank Offered Rate

Currency Abbreviations:

AUD - Australian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

Investments held by the underlying funds are valued as follows.  Securities listed on a securities exchange for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price on each business day or, (iii) if there is no such reported sale or official closing price, at the most recent quoted bid price or broker bid (if the Manager deems the private market to be more relevant in determining market value than an exchange). Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted bid price.  Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost.  Shares of investment funds are generally valued at their net asset value.  Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees.  Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale.  Because many foreign equity securities markets and exchanges close prior to the close of the New York Stock Exchange (“NYSE”), closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close but before the close of the NYSE.  As a result, the Fund generally values foreign equity securities as of the NYSE close using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor using that vendor’s proprietary models. As of November 30, 2009, 43.74% of the net assets of the Fund, through investments in the underlying funds, were valued using fair value prices based on models used by that third party vendor. Those underlying funds classify such securities (as defined below) as Level 2.

In accordance with the authoritative guidance on fair value measurements and disclosures under Generally Accepted Accounting Principles (“GAAP”), the Fund discloses the fair value of its investments in a three-level hierarchy.  The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows:

Level 1 — Valuations based on quoted prices for identical securities in active markets.

Level 2 — Valuations determined using other significant direct or indirect observable inputs.

Level 3 — Valuations based on inputs that are unobservable and significant.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments:

ASSET VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Mutual Funds
United States	$	1,528,204,811		$	—		$	—	$	1,528,204,811
TOTAL MUTUAL FUNDS	1,528,204,811			—			—		1,528,204,811
Short-Term Investments	46,174,974			—			—		46,174,974
Total Investments	1,574,379,785			—			—		1,574,379,785
Derivatives
Futures Contracts	—			17,837,541			—		17,837,541
Forward Currency Contracts	—			1,130,553			—		1,130,553
Swap Agreements	—			686,183			—		686,183
Total	$	1,574,379,785		$	19,654,277		$	—	$	1,594,034,062
LIABILITY VALUATION INPUTS
Description	Quoted Prices in Active Markets for Identical Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Derivatives
Futures Contracts	$	(22,775,883	)	$	(5,018,859	)	$	—	$	(27,794,742	)
Forward Currency Contracts	—			(8,834,808		)	—		(8,834,808		)
Swap Agreements	—			(114,836,534		)	—		(114,836,534		)
Total	$	(22,775,883	)	$	(128,690,201	)	$	—	$	(151,466,084	)

Underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s indirect investments in securities using Level 3 inputs were less than 0.01% of total net assets.

The Fund held no direct investments or other financial instruments at either February 28, 2009 or November 30, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are accrued or incurred. The Fund does not isolate realized and unrealized gains and losses that result from changes in exchange rates from realized and unrealized gains and losses that result from changes in the market value of investments. Both of those changes are included in net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent gains and losses on disposition of currencies and forward currency contracts, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund’s accounting records and the U.S. dollar equivalent amounts actually received or paid.

Forward currency contracts

The Fund may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by the Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized.  Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price during a specified future time period. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Because many foreign exchanges close prior to the close of the New York Stock Exchange (“NYSE”), closing prices for foreign futures contracts on those exchanges do not reflect events that occur after that close but before the close of the NYSE. As a result, the Fund generally values foreign futures contracts using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor’s proprietary models.  Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund may purchase put and call options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid.  The Fund had no purchased option contracts outstanding at the end of the period.

The Fund may write (i.e., sell) call and put options. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the

Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g. index options), settlement will be in cash. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. Over-the- counter options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments purchased.  The Fund had no open written option contracts during the period.

The Fund values exchange traded options at the last sale price or, if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values over-the-counter options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest, e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal.

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

Swap agreements generally are not traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the party with whom the Fund contracts defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that the collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a stated price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in Options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options.  However, because warrants and rights are considered to be over-the-counter instruments, they often do not have standardized terms, may have longer maturities and may be less liquid than exchange-traded options.  In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish.The Fund held no rights or warrants at the end of the period.

Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value and an investor may lose money by investing in the Fund. Following is a brief summary of the principal risks of an investment in the Fund, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. This summary is not intended to include every potential risk of investing in the Fund. The Fund could be subject to additional risks because the types of investments it makes may change over time.

· Market Risk — Equity Securities — Equity securities held by the Fund or underlying funds may decline in value due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. The Manager attempts to offset the movement of the equity markets by establishing hedging positions, but there is no guarantee that the hedging positions will produce the desired results.

· Derivatives Risk — The use of derivatives by the Fund or underlying funds involves risks different from, and potentially greater than, risks associated with direct investments in securities and other assets. Derivatives may increase other Fund risks, including market risk, liquidity risk, and credit and counterparty risk, and their value may or may not correlate with the value of the relevant underlying asset. This risk is particularly pronounced because the Fund uses various types of exchange-traded and over-the counter derivatives to attempt to implement its investment strategy.

· Foreign Investment Risk — The market prices of foreign securities may fluctuate more rapidly and to a greater extent than those of U.S. securities. Foreign markets often are less stable, smaller, less liquid, and less regulated, and the cost of trading in those markets often is higher, than in U.S. .markets. The Fund or an underlying fund may need to maintain a license to invest in some foreign markets. Changes in investment, capital, or exchange control regulations could adversely affect the value of the Fund’s foreign investments. These and other risks (e.g., nationalization, expropriation, or other confiscation) are greater for the Fund’s investments in emerging countries, the economies and markets of which tend to be more volatile than the economies of developed countries.

· Liquidity Risk — Low trading volume, lack of a market maker, or legal restrictions may limit or prevent the Fund or an underlying fund from selling securities or closing derivative positions at desirable prices.

· Fund of Funds Risk — The Fund is indirectly exposed to all of the risks of an investment in the underlying funds, including the risk that the underlying funds in which it invests will not perform as expected.

· Market Risk — Fixed Income Securities — Typically, the value of an underlying fund’s fixed income securities will decline during periods of rising interest rates and widening credit spreads on asset-backed securities. Recent market events caused credit spreads for asset-backed and other fixed income securities to widen dramatically and contributed to substantial declines in their value. There can be no assurance these conditions will not continue or that they will not deteriorate further.

· Leveraging Risk — The use of reverse repurchase agreements and other derivatives may cause the Fund’s portfolio to be economically leveraged. Because the Fund and some underlying funds are not limited in the extent to which they may use derivatives or in the absolute face value of their derivative positions, the Fund may be leveraged in relation to its assets. Leverage can increase negative performance.

Other principal risks of an investment in the Fund include Currency Risk (risk that fluctuations in exchange rates may adversely affect the value of the Fund’s or an underlying fund’s investments denominated in foreign currencies, or that the U.S. dollar will decline in value

relative to the foreign currency being hedged by the Fund or an underlying fund), Credit and Counterparty Risk (risk of default of an issuer of a portfolio security or derivatives counterparty of the Fund or of an underlying fund or a borrower of the Fund’s or an underlying fund’s securities or a counterparty of an underlying fund’s repurchase agreement), Real Estate Risk (risk to an underlying fund that concentrates its assets in real estate-related investments that factors affecting the real estate industry may cause the value of the underlying fund’s investments to fluctuate more than if it invested in securities of companies in a broader range of industries), Smaller Company Risk (greater price fluctuations and liquidity risk resulting from investment by the Fund or an underlying fund in companies with smaller market capitalizations), and Short Sales Risk (risk that the Fund’s loss on a short sale of securities that the Fund does not own is unlimited), Management Risk (risk that the Manager’s strategies and techniques will fail to produce the desired results), Market Disruption and Geopolitical Risk (risk that geopolitical events may increase market volatility and have adverse long-term effects on U.S. and world economies and markets generally), and Large Shareholder Risk (risk that shareholders of the Fund, such as institutional investors or other series of the Trust, will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis). The Fund and some of the underlying funds are non-diversified investment companies under the 1940 Act, and therefore a decline in the market value of a particular security held by the Fund or an underlying fund may affect the Fund’s or the underlying fund’s performance more than if the Fund or the underlying fund were diversified. Certain of the above referenced risks are more pronounced for the Fund as a result of its investment in ECDF.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Agreements”) with select counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Agreements typically include representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other provisions. Termination events include the decline in the net assets of the Fund below a certain level over a specified period of time and entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on the Fund’s operations. Due to declines in the net assets of the Fund prior to November 30, 2009, one or more counterparties are entitled to terminate early but none has taken such action.

Disclosures about Derivative Instruments and Hedging Activities — In accordance with GAAP authoritative guidance, effective March 1, 2009, the Fund included expanded disclosures regarding its derivative instrument and hedging activities.

The Fund uses derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include swaps, reverse repurchase agreements and other over-the-counter (“OTC”) contracts.

The Manager seeks to hedge some or all of the broad market exposure of the underlying GMO Trust Funds and other assets in which the Fund invests by using futures, swap contracts, and currency forwards and by making short sales of securities (e.g., shares of an exchange-traded fund).

The use of derivatives involves risks different from, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. In particular, the use of OTC derivatives contracts exposes the Fund to the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivative contracts typically can be closed out only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but there can be no assurance that the Fund will be able to enforce its contractual rights. For example, because the contract for each OTC derivative is individually negotiated with a specific counterparty, a Fund is subject to the risk that a counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund. If that occurs, the cost and unpredictability of the legal proceedings required for the Fund to enforce its contractual rights may lead it to decide not to pursue its claims against the counterparty. The Fund, therefore, assumes the risk that it may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts or that those payments may be delayed or made only after the Fund has incurred the costs of litigation.

Sometimes, the Fund may post or receive collateral related to changes in the market value of a derivative. A further risk of using OTC derivatives arises when the counterparty’s obligations are not secured by collateral, the Fund’s security interest in any collateral is not perfected, the Fund is required to make a significant upfront deposit, or when the collateral is not regularly marked-to-market. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives the collateral. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. Due to the nature of the Fund’s investments, the Fund may invest in derivatives with a limited number of counterparties and events that affect the creditworthiness of any one of those counterparties may have a pronounced effect on the Fund.

Derivatives risk is particularly acute in economic environments in which the Fund’s counterparties and other financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Derivatives also

are subject to a number of risks described in the “Investment Risks” note, including market risk, liquidity risk, currency risk, and credit and counterparty risk. The terms of many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. There can be no assurance that the pricing models employed by the Fund’s third-party valuation services and/or the Manager will produce valuations that are reflective of levels at which the OTC derivatives purchased by the Fund may actually be closed out or sold. This valuation risk is more pronounced in cases where the Fund enters OTC derivatives with specialized terms because the value of those derivatives in some cases can be determined only by reference to similar derivatives with more standardized terms. Improper valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

There can be no assurance that a Fund’s use of derivatives will be effective or will have the desired results. Moreover, suitable derivatives are not always available in all circumstances. For example, the economic costs of taking some derivatives positions may be prohibitive and, if a counterparty or its affiliate is deemed to be an affiliate of a Fund, none of the Funds is permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures.

Derivatives also involve the risk that changes in their value may not correlate perfectly with the assets, rates or indices they are designed to hedge or closely track. The use of derivatives also may increase the taxes payable by shareholders.

The Fund’s use of derivatives may cause its portfolio to be implicitly leveraged. Leverage increases a Fund’s portfolio losses when the value of its investment positions declines. Since many derivatives have a leverage component, adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the initial value of the derivative.

At November 30, 2009, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:

	Interest rate		Foreign exchange			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Assets:
Investments, at value (rights and warrants)	$	—	$	—		$	—	$	—		$	—	$	—
Unrealized appreciation on futures contracts*	—		—			—		17,837,541			—		17,837,541
Unrealized appreciation on forward currency contracts	—		1,130,553			—		—			—		1,130,553
Unrealized appreciation on swap agreements	—		—			—		686,183			—		686,183
Total	$	—	$	1,130,553		$	—	$	18,523,724		$	—	$	19,654,277
Liabilities:
Written options outstanding	$	—	$	—		$	—	$	—		$	—	$	—
Unrealized depreciation on futures contracts*	—		—			—		(27,794,742		)	—		(27,794,742		)
Unrealized depreciation on forward currency contracts	—		(8,834,808		)	—		—			—		(8,834,808		)
Unrealized depreciation on swap agreements	—		—			—		(114,836,534		)	—		(114,836,534		)
Total	$	—	$	(8,834,808	)	$	—	$	(142,631,276	)	$	—	$	(151,466,084	)

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

For additional information regarding the Fund’s Schedule of Investments, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2009 (Unaudited)

Par Value ($)	Description	Value ($)
	DEBT OBLIGATIONS — 36.1%
	U.S. Government — 36.1%
8,435,852	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10(a)(b)(c)	8,460,898
	TOTAL DEBT OBLIGATIONS (COST $8,399,559)	8,460,898
Shares	Description	Value ($)
	MUTUAL FUNDS — 54.8%
	Affiliated Issuers — 54.8%
810,320	GMO Short-Duration Collateral Fund	12,867,876
672	GMO U.S. Treasury Fund	16,801
	TOTAL MUTUAL FUNDS (COST $14,969,497)	12,884,677
Shares/Par Value ($)	Description	Value ($)
	SHORT-TERM INVESTMENTS — 9.2%
	Money Market Funds — 1.5%
336,630	SSgA USD Liquidity Fund-Class I Stable NAV Shares(a)(d)	336,630
14,273	State Street Institutional Treasury Plus Money Market Fund - Institutional Class	14,273
	Total Money Market Funds	350,903
	Other Short-Term Investments — 7.7%
1,800,000	U.S. Treasury Bill, 0.21%, due 10/21/10(a)(e)	1,796,679
	TOTAL SHORT-TERM INVESTMENTS (COST $2,145,503)	2,147,582
	TOTAL INVESTMENTS — 100.1% (Cost $25,514,559)	23,493,157
	Other Assets and Liabilities (net) — (0.1%)	(30,802)
	TOTAL NET ASSETS — 100.0%	$	23,462,355

As of November 30, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	29,624,586	$	892,396	$	(7,023,825	)	$	(6,131,429	)

Investments in Affiliated Issuers

The Fund makes investments in other GMO Trust funds (“underlying funds”).  The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2009 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Short-Duration Collateral Fund	$	16,010,119	$	—	$	2,000,000	$	189,270	$	—	$	12,867,876	à
GMO U.S. Treasury Fund	—		3,936,365		3,920,000		1,365		—		16,801
Totals	$	16,010,119	$	3,936,365	$	5,920,000	$	190,635	$	—	$	12,884,677

àThrough the period ending November 30, 2009, the Fund received estimated return of capital distributions in the amount of $3,898,627. Please note that in early 2010, the tax characterization of distributions paid by other fund(s) of the GMO Trust in calendar year 2009 will be finalized.

A summary of outstanding financial instruments at November 30, 2009 is as follows:

Futures Contracts(a)

Number of Contracts	Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
12	Cocoa	March 2010	$	391,080	$	(4,357	)
4	Coffee “C”	March 2010	213,000		3,806
4	Copper	March 2010	317,700		17,733
7	Cotton No. 2	March 2010	261,380		7,002
4	Gasoline RBOB	January 2010	337,932		10,854
4	Gold 100 OZ	February 2010	472,920		6,423
4	Silver	March 2010	370,500		(2,497		)
11	Soybean	January 2010	583,275		71,003
16	Soybean Meal	January 2010	504,320		7,932
7	Soybean Oil	January 2010	170,436		8,280
10	Sugar 11	February 2010	253,568		(10,789		)
			$	3,876,111	$	115,390
Sales
7	Corn	March 2010	$	146,125	$	(4,230	)
35	Lean Hogs	February 2010	936,250		(62,986		)
32	Live Cattle	February 2010	1,097,280		(7,492		)
8	Natural Gas	January 2010	387,840		(4,402		)
13	Wheat	March 2010	382,687		(18,905		)
			$	2,950,182	$	(98,015	)

Swap Agreements(a)

Total Return Swaps

Notional Amount		Expiration Date	Counterparty	Fund Pays	Fund Receives	Market Value
10,303,997	USD	1/14/2010	Barclays	3 month T-Bill+ 0.23%	Return on DJ-UBS Commodity Index(c)	$	30,074
						$	30,074
					Premiums to (Pay) Receive	$	—

As of November 30, 2009, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Consolidated Schedule of Investments:

(a)	All or a portion of this security is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Asset Opportunity Fund.
(b)	All or a portion of this security has been segregated to cover margin requirements on open financial futures contracts.
(c)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.
(d)	Fund is domiciled in Ireland.
(e)	Rate shown represents yield-to-maturity.

Currency Abbreviations:

USD - United States Dollar

Basis of presentation and principles of consolidation

The accompanying consolidated schedule of investments include the accounts of the GMO Alternative Asset Opportunity Fund and its wholly owned investment in GMO Alternative Asset SPC Ltd.  The consolidated schedule of investments include 100% of the assets and liabilities of GMO Alternative Asset SPC Ltd.

Portfolio valuation

Securities listed on a securities exchange for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price on each business day or, (iii) if there is no such reported sale or official closing price, at the most recent quoted bid price or broker bid (if the Manager deems the private market to be more relevant in determining market value than an exchange). Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted bid price. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost. Shares of investment funds are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. During the period ended November 30, 2009, the Fund did not reduce the values of any OTC derivatives on account of the credit worthiness of a counterparty.

Typically the Fund and the underlying funds value debt instruments based on the most recent bid supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund. As of November 30, 2009, the total value of securities held directly and indirectly that were fair valued or for which no alternative pricing source was available represented 5.81% of the net assets of the Fund.

In accordance with the authoritative guidance on fair value measurements and disclosures under Generally Accepted Accounting Principles (“GAAP”), the Fund discloses the fair value of its investments in a three-level hierarchy.  The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves and similar data.

Level 3 – Valuations based on inputs that are unobservable and significant.

The following is a consolidated summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments:

ASSET VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Debt Obligations
U.S. Government	$	—	$	8,460,898	$	—	$	8,460,898
TOTAL DEBT OBLIGATIONS	—		8,460,898		—		8,460,898
Mutual Funds	12,884,677		—		—		12,884,677
Short-Term Investments	1,796,679		350,903		—		2,147,582
Total Investments	14,681,356		8,811,801		—		23,493,157
Derivatives
Swap Agreements	—		30,074		—		30,074
Futures Contracts	133,033		—		—		133,033
Total	$	14,814,389	$	8,841,875	$	—	$	23,656,264

LIABILITY VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Derivatives
Futures Contracts	$	(115,658	)	$	—	$	—	$	(115,658	)
Total	$	(115,658	)	$	—	$	—	$	(115,658	)

Underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and other financial instruments using Level 3 inputs were 35.56% and (0.06)% of total net assets, respectively.

The Fund held no investments or other financial instruments at either February 28, 2009 or November 30, 2009, whose fair value was determined using Level 3 inputs.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price during a specified future time period. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest, e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal.

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

Swap agreements generally are not traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the party with whom the Fund contracts defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that the collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at a later date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a stated price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options.  However, because warrants and rights are considered to be over-the-counter instruments, they often do not have standardized terms, may have longer maturities and may be less liquid than exchange-traded options.  In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value and an investor may lose money by investing in the Fund. Following is a brief summary of the principal risks of an investment in the Fund. Many of these risks are more pronounced as a result of current global economic conditions that began to unfold in 2008. This summary is not intended to include every potential risk of investing in the Fund. The Fund could be subject to additional risks because the types of investments it makes may change over time.

· Commodities Risk – Because of the Fund’s indirect exposure to the global commodity markets, the value of its shares is affected by factors particular to the commodity markets and may fluctuate more than the value of shares of a fund with a broader range of investments.

· Liquidity Risk – Low trading volume, lack of a market maker, or legal restrictions may limit or prevent the Fund from selling securities or closing derivative positions at desirable prices.

· Credit and Counterparty Risk – This is the risk that the issuer or guarantor of a fixed income security, the counterparty to an OTC derivatives contract, a borrower of the Fund’s securities, a counterparty to a reverse repurchase agreement or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to make timely principal, interest, or settlement payments or otherwise honor its obligations. Credit risk is particularly pronounced for below investment grade securities. Additionally, to the extent that the Fund uses OTC derivatives, including swap contracts with longer-term maturities, and/or has significant exposure to a single counterparty, this risk will be particularly pronounced for the Fund.  This risk is particularly acute in environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

· Leveraging Risk – Because the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, the Fund may be economically leveraged in relation to its assets. Leverage can increase negative performance.

· Derivatives Risk – The use of derivatives by the Fund involves risks different from, and potentially greater than, risks associated with direct investments in securities and other assets. Derivatives may increase other Fund risks, including market risk, liquidity risk, and credit and counterparty risk, and their value may or may not correlate with the value of the relevant underlying asset. Derivatives risk is particularly pronounced for the Fund because a basic component of the Fund’s principal investment strategies involves using derivatives, in

particular commodity swap contracts, commodity futures, and other exchange-traded and OTC commodity-related derivatives, to gain indirect exposure to the investment returns of commodities that trade in the commodity markets.

· Management Risk – This is the risk that the Manager’s strategies and techniques will fail to produce the desired results.

· Market Disruption and Geopolitical Risk – This is the risk that geopolitical events may increase market volatility and have adverse long-term effects on U.S. and world economies and markets generally.

· Market Risk—Fixed Income Securities – Typically, the value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads on asset-backed and other fixed income securities. Recent changes in credit markets increased credit spreads and there can be no assurance that those spreads will tighten or not increase further.

Other principal risks of an investment in the Fund include Focused Investment Risk (increased risk from the Fund’s focus on investments in industries with high positive correlations to one another), Large Shareholder Risk (risk that shareholders of the Fund, such as institutional investors or other series of the Trust, will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis), and Fund of Funds Risk (risk that the underlying funds in which the Fund invests will not perform as expected).  The Fund is a non-diversified investment company under the 1940 Act, and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified.

Disclosures about Derivative Instruments and Hedging Activities — In accordance with GAAP authoritative guidance, effective March 1, 2009, the Fund included expanded disclosures regarding its derivative instrument and hedging activities.

The Fund uses derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include swaps, reverse repurchase agreements and other over-the-counter (“OTC”) contracts.

The Fund uses derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under

a credit default swap). The Fund also may use currency derivatives (including currency forwards, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Fund may buy credit default protection using derivatives in an attempt to hedge or reduce its investment exposures. For example, the Fund may use credit default swaps to take an active short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to hedge or reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager may attempt to alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed vs. variable and shorter duration vs. longer duration. The Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The use of derivatives involves risks different from, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. In particular, the use of OTC derivatives contracts exposes the Fund to the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivative contracts typically can be closed out only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but there can be no assurance that the Fund will be able to enforce its contractual rights. For example, because the contract for each OTC derivative is individually negotiated with a specific counterparty, a Fund is subject to the risk that a counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund. If that occurs, the cost and unpredictability of the legal proceedings required for the Fund to enforce its contractual rights may lead it to decide not to pursue its claims against the counterparty. The Fund, therefore, assumes the risk that it may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts or that those payments may be delayed or made only after the Fund has incurred the costs of litigation.

Sometimes, the Fund may post or receive collateral related to changes in the market value of a derivative. A further risk of using OTC derivatives arises when the counterparty’s obligations are not secured by collateral, the Fund’s security interest in any collateral is not perfected, the Fund is required to make a significant upfront deposit, or when the collateral is not regularly marked-to-market. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives the collateral. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having

limited recourse if the counterparty defaults. Due to the nature of the Fund’s investments, the Fund may invest in derivatives with a limited number of counterparties and events that affect the creditworthiness of any one of those counterparties may have a pronounced effect on the Fund.

Derivatives risk is particularly acute in economic environments in which the Fund’s counterparties and other financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Derivatives also are subject to a number of risks described in the “Investment Risks” note, including market risk, liquidity risk, currency risk, and credit and counterparty risk. The terms of many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. There can be no assurance that the pricing models employed by the Fund’s third-party valuation services and/or the Manager will produce valuations that are reflective of levels at which the OTC derivatives purchased by the Fund may actually be closed out or sold. This valuation risk is more pronounced in cases where the Fund enters OTC derivatives with specialized terms because the value of those derivatives in some cases can be determined only by reference to similar derivatives with more standardized terms. Improper valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

There can be no assurance that a Fund’s use of derivatives will be effective or will have the desired results. Moreover, suitable derivatives are not always available in all circumstances. For example, the economic costs of taking some derivatives positions may be prohibitive and, if a counterparty or its affiliate is deemed to be an affiliate of a Fund, none of the Funds is permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures.

Derivatives also involve the risk that changes in their value may not correlate perfectly with the assets, rates or indices they are designed to hedge or closely track. The use of derivatives also may increase the taxes payable by shareholders.

The Fund’s use of derivatives may cause its portfolio to be implicitly leveraged. Leverage increases a Fund’s portfolio losses when the value of its investment positions declines. Since many derivatives have a leverage component, adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the initial value of the derivative.

At November 30, 2009, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:

	Interest rate		Foreign exchange	Credit	Equity	Other
	contracts		contracts	contracts	contracts	contracts		Total
Assets:
Investments, at value (purchased options)	$	—	—	—	—	—		$	—
Unrealized appreciation on futures contracts*	—		—	—	—	133,033		133,033
Unrealized appreciation on forward currency contracts	—		—	—	—	—		—
Unrealized appreciation on swap agreements	—		—	—	—	30,074		30,074
Total	$	—	—	—	—	163,107		$	163,107
Liabilities:
Written options outstanding	$	—	—	—	—	—		$	—
Unrealized depreciation on futures contracts*	—		—	—	—	(115,658	)	(115,658		)
Unrealized depreciation on forward currency contracts	—		—	—	—	—		—
Unrealized depreciation on swap agreements	—		—	—	—	—		—
Total	$	—	—	—	—	(115,658	)	$	(115,658	)

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

Subsequent event

On November 30, 2009, shareholders of the Fund voted to approve a new management contract for the Fund with an increased management fee of 0.70%. When the increased management fee goes into effect, there will be a corresponding change to the Fund’s investment program and principal strategies.  The Fund’s new investment objective will be to seek total return in excess of that of the Consumer Price Index, (All Urban Consumers).

For additional information regarding the Fund’s Schedule of Investments, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2009 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 104.5%
		U.S. Government — 104.5%
125,739,794		U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10(a)(b)	126,113,115
5,057,300		U.S. Treasury Inflation Indexed Bond, 1.88%, due 07/15/19(a)	5,418,027
54,318,060		U.S. Treasury Inflation Indexed Bond, 2.13%, due 01/15/19(a)	59,257,636
214,717,455		U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/17(a)	236,843,445
314,426,340		U.S. Treasury Inflation Indexed Note, 1.63%, due 01/15/15(a)	332,161,872
11,688,000		U.S. Treasury Inflation Indexed Note, 2.00%, due 01/15/14(a)	12,507,072
2,176,220		U.S. Treasury Inflation Indexed Note, 2.00%, due 01/15/16(a)	2,344,707
60,000,000		U.S. Treasury Principal Strip Bond, due 11/15/21(c)	37,783,080
50,000,000		U.S. Treasury Strip Coupon, due 08/15/22(c)	30,120,450
		Total U.S. Government	842,549,404
		TOTAL DEBT OBLIGATIONS (COST $809,368,800)	842,549,404
Shares		Description	Value ($)
		MUTUAL FUNDS — 2.9%
		Affiliated Issuers — 2.9%
939,979		GMO U.S. Treasury Fund	23,518,286
		TOTAL MUTUAL FUNDS (COST $23,514,775)	23,518,286
Contracts/Principal Amount		Description	Value ($)
		OPTIONS PURCHASED — 0.1%
		Options on Futures — 0.0%
	3,000	Euro Dollar Future Option Put, Expires 12/14/09, Strike 98.00	18,750
	3,000	Euro Dollar Future Option Put, Expires 12/14/09, Strike 99.00	18,750
		Total Options on Futures	37,500
		Options on Interest Rate Swaps — 0.1%
USD	15,000,000	USD Swaption Put, Expires 12/21/09, Strike 3.48%	246,075
USD	15,000,000	USD Swaption Call, Expires 12/21/09, Strike 3.48%	52,755
		Total Options on Interest Rate Swaps	298,830
		TOTAL OPTIONS PURCHASED (COST $1,378,500)	336,330
Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
919,039		State Street Institutional U.S. Government Money Market Fund-Institutional Class	919,039
		TOTAL SHORT-TERM INVESTMENTS (COST $919,039)	919,039
		TOTAL INVESTMENTS — 107.6% (Cost $835,181,114)	867,323,059
		Other Assets and Liabilities (net) — (7.6%)	(61,198,076		)
		TOTAL NET ASSETS — 100.0%	$	806,124,983

As of November 30, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	836,002,847	$	32,450,206	$	(1,129,994	)	$	31,320,212

Investments in Affiliated Issuers

The Fund makes investments in other GMO Trust funds (“underlying funds”).  The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2009 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO U.S. Treasury Fund	$	—	$	240,103,870	$	216,580,000	$	18,870	$	—	$	23,518,286
Totals	$	—	$	240,103,870	$	216,580,000	$	18,870	$	—	$	23,518,286

A summary of outstanding financial instruments at November 30, 2009 is as follows:

Reverse Repurchase Agreements

Face Value		Description	Market Value
USD	23,900,000	Barclays Bank PLC, 0.46%, dated 11/17/09, to be repurchased on demand at face value plus accrued interest.	$	(23,900,305	)
USD	11,950,000	Goldman Sachs, 0.14%, dated 11/16/09, to be repurchased on demand at face value plus accrued interest.	(11,950,697		)
USD	28,562,500	Barclays Bank PLC, 0.46%, dated 11/17/09, to be repurchased on demand at face value plus accrued interest.	(28,562,865		)
			$	(64,413,867	)

Average balance outstanding	$	(55,095,039	)
Average interest rate	0.39		%
Maximum balance outstanding	$	(68,305,000	)
Average shares outstanding	23,334,642
Average balance per share outstanding	$	(2.36	)
Days outstanding	223

Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund has entered into reverse repurchase agreements.

Futures Contracts

Number of Contracts	Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
500	Euro Dollar 90 Day	December 2010	$	123,631,250	$	348,500

Swap Agreements

Interest Rate Swaps

Notional Amount		Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate		Variable Rate	Market Value
36,400,000	USD	5/29/2014	Citigroup	(Pay)	2.80	%	3 month LIBOR	$	(1,022,627	)
20,000,000	USD	5/29/2019	Citigroup	Receive	3.74	%	3 month LIBOR	841,326
40,000,000	USD	11/15/2021	JP Morgan Chase Bank	(Pay)	0.00	%	3 month LIBOR	518,837
20,000,000	USD	11/15/2021	JP Morgan Chase Bank	(Pay)	0.00	%	3 month LIBOR	(62,448		)
50,000,000	USD	8/15/2022	Barclays Bank PLC	(Pay)	0.00	%	3 month LIBOR	(701,609		)
								$	(426,521	)
			Accretion since inception for zero coupon interest rate swaps					$	1,227,310

#	Receive - Fund receives fixed rate and pays variable rate.
	(Pay) - Fund pays fixed rate and receives variable rate.

Written Options

A summary of open written option contracts for the Fund at November 30, 2009 is as follows:

Contracts		Expiration Date	Description		Premiums			Market Value
Put	6,000	12/14/2009	USD	Euro Dollar Future Option Put, Strike 98.50	$	(813,000	)	$	(37,500	)

As of November 30, 2009, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

LIBOR - London Interbank Offered Rate

(a)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.
(b)	All or a portion of this security has been pledged to cover margin requirements on open financial futures contracts and/or collateral on open swap contracts.

(c) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements.

Currency Abbreviations:

USD - United States Dollar

Portfolio valuation

Securities listed on a securities exchange for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price on each business day or, (iii) if there is no such reported sale or official closing price, at the most recent quoted bid price or broker bid (if the Manager deems the private market to be more relevant in determining market value than an exchange). Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted bid price. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost. Shares of investment funds are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. During the period ended November 30, 2009, the Fund did not reduce the values of any OTC derivatives on account of the credit worthiness of a counterparty.

In accordance with the authoritative guidance on fair value measurements and disclosures under Generally Accepted Accounting Principles (“GAAP”), the Fund discloses the fair value of its investments in a three-level hierarchy.  The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves and similar data.

Level 3 – Valuations based on inputs that are unobservable and significant.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments:

ASSET VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Debt Obligations
U.S. Government	$	—	$	842,549,404	$	—	$	842,549,404
TOTAL DEBT OBLIGATIONS	—		842,549,404		—		842,549,404
Mutual Funds	23,518,286		—		—		23,518,286
Options Purchased	37,500		298,830		—		336,330
Short-Term Investments	—		919,039		—		919,039
Total Investments	23,555,786		843,767,273		—		867,323,059
Derivatives
Swap Agreements	—		1,360,163		—		1,360,163
Futures Contracts	348,500		—		—		348,500
Total	$	23,904,286	$	845,127,436	$	—	$	869,031,722

LIABILITY VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Derivatives
Written Options	$	(37,500	)	$	—		$	—	$	(37,500	)
Swap Agreements	—			(1,786,684		)	—		(1,786,684		)
Total	$	(37,500	)	$	(1,786,684	)	$	—	$	(1,824,184	)

Underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the portfolio valuation notes in their financial statements.

The Fund held no investments or other financial instruments at either March 18, 2009 (commencement of operations) or November 30, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are accrued or incurred. The Fund does not isolate realized and unrealized gains and losses that result from changes in exchange rates from realized and unrealized gains and losses that result from changes in the market value of investments. Both of those changes are included in net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent gains and losses on disposition of currencies and forward currency contracts, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund’s accounting records and the U.S. dollar equivalent amounts actually received or paid.

Forward currency contracts

The Fund may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by the Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized.  The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price during a specified future time period. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund may purchase put and call options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid.  Options contracts purchased by the Fund and outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

The Fund may write (i.e., sell) call and put options. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g. index options), settlement will be in cash. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it

bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. Over-the- counter options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments purchased.  Written options outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

For the period ended November 30, 2009, investment activity in options contracts written by the Fund was as follows:

	Puts								Calls
	Principal Amount of Contracts			Number of Contracts		Premiums			Principal Amount of Contracts			Number of Contracts		Premiums
Outstanding, beginning of period	$	—		—		$	—		$	—		—		$	—
Options written	(25,000,000		)	(12,600	)	(2,742,688		)	(400,000,000		)	(10,900	)	(7,034,509		)
Options bought back	—			2,600		766,688			310,000,000			6,480		3,447,982
Options expired	25,000,000			4,000		1,163,000			90,000,000			4,420		3,586,527
Outstanding, end of period	$	—		(6,000	)	$	(813,000	)	$	—		—		$	—

The Fund values exchange traded options at the last sale price or, if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values over-the-counter options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest, e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal.

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

Swap agreements generally are not traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the party with whom the Fund contracts defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that the collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at a later date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. As of  November 30, 2009, the Fund had entered into reverse repurchase agreements, plus accrued interest, amounting to $64,413,867, involving securities with a market value, plus accrued interest, of $67,903,530.Reverse Repurchase agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a stated price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in Options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options.  However, because warrants and rights are considered to be over-the-counter instruments, they often do not have standardized terms, may have longer maturities and may be less liquid than exchange-traded options.  In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish.The Fund held no rights or warrants at the end of the period.

Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value and an investor may lose money by investing in the Fund. Following is a brief summary of the principal risks of an investment in the Fund. Many of these risks are more pronounced as a result of current global economic conditions that began to unfold in 2008. This summary is not intended to include every potential risk of investing in the Fund.  The Fund could be subject to additional risks because the types of investments it makes may change over time.

· Market Risk — Fixed Income Securities — Typically, the value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads. Recent changes in credit markets increased credit spreads and there can be no assurance that those spreads will tighten or not increase further.

· Credit and Counterparty Risk — This is the risk that the issuer or guarantor of a fixed income security, the counterparty to an OTC derivatives contract, a borrower of the Fund’s securities, a counterparty to a reverse repurchase agreement or the obligor of an obligation underlying an asset-backed security, will be unable or unwilling to make timely principal, interest, or settlement payments, or otherwise honor its obligations. This risk may be particularly pronounced for the Fund because it may invest up to 100% of its assets in below investment grade bonds (“junk bonds”). Junk bonds have speculative characteristics, and changes in economic conditions or other

circumstances are more likely to lead to an issuer’s weakened capacity to make principal and interest payments than is the case with investment grade bonds. Additionally, to the extent that the Fund uses OTC derivatives, including swap contracts with longer-term maturities, and/or has significant exposure to a single counterparty, this risk will be particularly pronounced for the Fund. The risk of counterparty default is particularly acute in economic environments where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

· Derivatives Risk — The use of derivatives involves risks different from, and potentially greater than, risks associated with direct investments in securities and other assets. Derivatives may increase other Fund risks, including market risk, liquidity risk, and credit and counterparty risk, and their value may or may not correlate with the value of the relevant underlying asset.

Other principal risks of an investment in the Fund include Foreign Investment Risk (risk that the market prices of foreign securities may fluctuate more rapidly and to a greater extent than those of U.S. securities, which may adversely affect the value of the Fund’s foreign investments, with the Fund’s investments in emerging countries subject to this risk to a greater extent), Currency Risk (risk that fluctuations in exchange rates may adversely affect the value of the Fund’s foreign currency holdings and investments denominated in foreign currencies), Liquidity Risk (difficulty in selling Fund investments), Leveraging Risk (increased risks from use of reverse repurchase agreements and other derivatives and securities lending), Focused Investment Risk (increased risk from the Fund’s focus on investments in countries, regions, or sectors with high  positive correlations to one another), Management Risk (risk that the Manager’s strategies and techniques will fail to produce the desired results), Market Disruption and Geopolitical Risk (risk that geopolitical events may increase market volatility and have adverse long-term effects on U.S. and world economies and markets generally), Large Shareholder Risk (risk that shareholders of the Fund, such as institutional investors or other series of the Trust, will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis), and Fund of Funds Risk (risk that the underlying funds in which the Fund invests will not perform as expected). The Fund is a non-diversified investment company under the 1940 Act, and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. For more information about reverse repurchase agreement and other derivatives, please refer to the descriptions of financial instruments (e.g. reverse repurchase agreements, swaps, futures, and other types of derivative contracts) above as well as the discussion of the Fund’s use of derivatives below.

Disclosures about Derivative Instruments and Hedging Activities — In accordance with GAAP authoritative guidance, effective March 1, 2009, the Fund included expanded disclosures regarding its derivative instrument and hedging activities.

The Fund uses derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include swaps, reverse repurchase agreements and other over-the-counter (“OTC”) contracts.

The Fund uses derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., selling protection under a credit default swap). The Fund also may use currency derivatives (including currency forwards, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Fund may buy credit default protection using derivatives in an attempt to hedge or reduce its investment exposures. For example, the Fund may use credit default swaps to take an active short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to hedge or reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager may attempt to alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed vs. variable and shorter duration vs. longer duration. The Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The use of derivatives involves risks different from, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. In particular, the use of OTC derivatives contracts exposes the Fund to the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivative contracts typically can be closed out only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but there can be no assurance that the Fund will be able to enforce its contractual rights. For example, because the contract for each OTC derivative is individually negotiated with a specific counterparty, a Fund is subject to the risk that a counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund. If that occurs, the cost and unpredictability of the legal proceedings required for the Fund to enforce its contractual rights may lead it to decide not to pursue its claims against the counterparty. The Fund, therefore, assumes

the risk that it may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts or that those payments may be delayed or made only after the Fund has incurred the costs of litigation.

Sometimes, the Fund may post or receive collateral related to changes in the market value of a derivative. A further risk of using OTC derivatives arises when the counterparty’s obligations are not secured by collateral, the Fund’s security interest in any collateral is not perfected, the Fund is required to make a significant upfront deposit, or when the collateral is not regularly marked-to-market. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives the collateral. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. Due to the nature of the Fund’s investments, the Fund may invest in derivatives with a limited number of counterparties and events that affect the creditworthiness of any one of those counterparties may have a pronounced effect on the Fund.

Derivatives risk is particularly acute in economic environments in which the Fund’s counterparties and other financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Derivatives also are subject to a number of risks described in the “Investment Risks” note, including market risk, liquidity risk, currency risk, and credit and counterparty risk. The terms of many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. There can be no assurance that the pricing models employed by the Fund’s third-party valuation services and/or the Manager will produce valuations that are reflective of levels at which the OTC derivatives purchased by the Fund may actually be closed out or sold. This valuation risk is more pronounced in cases where the Fund enters OTC derivatives with specialized terms because the value of those derivatives in some cases can be determined only by reference to similar derivatives with more standardized terms. Improper valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

There can be no assurance that a Fund’s use of derivatives will be effective or will have the desired results. Moreover, suitable derivatives are not always available in all circumstances. For example, the economic costs of taking some derivatives positions may be prohibitive and, if a counterparty or its affiliate is deemed to be an affiliate of a Fund, none of the Funds is permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures.

Derivatives also involve the risk that changes in their value may not correlate perfectly with the assets, rates or indices they are designed to hedge or closely track. The use of derivatives also may increase the taxes payable by shareholders.

The Fund’s use of derivatives may cause its portfolio to be implicitly leveraged. Leverage increases a Fund’s portfolio losses when the value of its investment positions declines. Since many derivatives have a leverage component, adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the initial value of the derivative.

At November 30, 2009, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:

	Interest rate			Foreign exchange		Credit		Equity		Other
	contracts			contracts		contracts		contracts		contracts		Total
Assets:
Investments, at value (purchased options)	$	336,330		$	—	$	—	$	—	$	—	$	336,330
Unrealized appreciation on futures contracts*	348,500			—		—		—		—		348,500
Unrealized appreciation on forward currency contracts	—			—		—		—		—		—
Unrealized appreciation on swap agreements	1,360,163			—		—		—		—		1,360,163
Total	$	2,044,993		$	—	$	—	$	—	$	—	$	2,044,993
Liabilities:
Written options outstanding	$	(37,500	)	$	—	$	—	$	—	$	—	$	(37,500	)
Unrealized depreciation on futures contracts*	—			—		—		—		—		—
Unrealized depreciation on forward currency contracts	—			—		—		—		—		—
Unrealized depreciation on swap agreements	(1,786,684		)	—		—		—		—		(1,786,684		)
Total	$	(1,824,184	)	$	—	$	—	$	—	$	—	$	(1,824,184	)

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

For additional information regarding the Fund’s Schedule of Investments, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2009 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 96.8%
	Affiliated Issuers — 96.8%
70,092,240	GMO Alpha Only Fund, Class IV	351,863,042
743,346	GMO Alternative Asset Opportunity Fund	20,308,209
2,051,699	GMO Asset Allocation Bond Fund, Class VI	55,601,050
3,840,269	GMO Emerging Country Debt Fund, Class IV	33,256,733
8,648,174	GMO Emerging Markets Fund, Class VI	102,653,825
2,702,145	GMO Flexible Equities Fund, Class VI	50,557,139
17,490,275	GMO International Small Companies Fund, Class III	121,032,707
36,254,100	GMO Quality Fund, Class VI	697,891,420
1,947,475	GMO Special Situations Fund, Class VI	53,107,633
15,930,547	GMO Strategic Fixed Income Fund, Class VI	258,074,861
932,004	GMO World Opportunity Overlay Fund	19,469,566
	TOTAL MUTUAL FUNDS (COST $1,788,213,628)	1,763,816,185

Par Value ($)	Description	Value ($)
	DEBT OBLIGATIONS — 3.2%
	Asset-Backed Securities — 3.2%
	Auto Financing — 0.5%
79,326	Capital Auto Receivable Asset Trust, Series 07-SN1, Class A4, 1 mo. LIBOR + .10%, 0.34%, due 02/15/11	79,284
700,000	Capital Auto Receivable Asset Trust, Series 08-1, Class A4B, 1 mo. LIBOR + 1.35%, 1.59%, due 07/15/14	705,250
500,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 1.85%, 2.09%, due 11/10/14	513,150
300,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4A, 5.32%, due 11/10/14	320,540
1,400,000	Ford Credit Auto Owner Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 2.00%, 2.24%, due 03/15/13	1,432,606
1,300,000	Ford Credit Floorplan Master Owner Trust, Series 06-4, Class A, 1 mo. LIBOR + .25%, 0.49%, due 06/15/13	1,248,000
600,000	Nissan Auto Lease Trust, Series 08-A, Class A3B, 1 mo. LIBOR + 2.20%, 2.44%, due 07/15/11	607,680
600,000	Nissan Auto Receivables Owner Trust, Series 07-A, Class A4, 1 mo. LIBOR, 0.24%, due 06/17/13	597,821
600,000	Nissan Master Owner Trust Receivables, Series 07-A, Class A, 1 mo. LIBOR, 0.24%, due 05/15/12	588,750
1,100,000	Swift Master Auto Receivables Trust, Series 07-1, Class A, 1 mo. LIBOR + .10%, 0.34%, due 06/15/12	1,078,000
1,200,000	Truck Retail Installment Paper Corp., Series 05-1A, Class A, 144A, 1 mo. LIBOR + .27%, 0.51%, due 12/15/16	1,185,702
	Total Auto Financing	8,356,783
	Bank Loan Collateralized Debt Obligations — 0.1%
1,840,000	Omega Capital Europe Plc, Series GLOB-5A, Class A1, 144A, 3 mo. LIBOR + .25%, 0.53%, due 07/05/11	1,656,000
	Business Loans — 0.2%
509,847	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.61%, due 01/25/35	356,893
463,437	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.53%, due 05/15/32	382,335
1,600,000	GE Dealer Floorplan Master Trust, Series 07-2, Class A, 1 mo. LIBOR + .01%, 0.25%, due 07/20/12	1,587,280
1,274,889	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.49%, due 09/25/30	803,180
700,000	Navistar Financial Dealer Note Master Trust, Series 05-1, Class A, 1 mo. LIBOR + .11%, 0.35%, due 02/25/13	699,475
	Total Business Loans	3,829,163
	CMBS — 0.2%
700,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.37%, due 12/15/20	419,335
800,000	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45	804,080
149,844	Greenwich Capital Commercial Funding Corp., Series 06-FL4A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.33%, due 11/05/21	131,488
822,268	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .09%, 0.33%, due 03/06/20	781,155
1,100,000	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-LDP7, Class A2, 5.86%, due 04/15/45	1,120,537
500,000	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.61%, due 05/12/39	505,850
92,996	Morgan Stanley Dean Witter Capital I, Series 03-TOP9, Class A1, 3.98%, due 11/13/36	93,798
531,174	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.33%, due 09/15/21	451,498
	Total CMBS	4,307,741
	CMBS Collateralized Debt Obligations — 0.1%
1,599,399	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.07%, due 11/23/52	159,940

1,611,732	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.63%, due 06/28/19	1,289,386
	Total CMBS Collateralized Debt Obligations	1,449,326
	Credit Cards — 0.6%
1,400,000	American Express Credit Account Master Trust, Series 05-5, Class A, 1 mo. LIBOR + .04%, 0.28%, due 02/15/13	1,395,954
1,900,000	Capital One Multi-Asset Execution Trust, Series 04-A7, Class A7, 3 mo. LIBOR + .15%, 0.42%, due 06/16/14	1,877,295
700,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.49%, due 09/15/17	651,021
800,000	Citibank OMNI Master Trust, Series 07-A9A, Class A9, 144A, 1 mo. LIBOR + 1.10%, 1.34%, due 12/23/13	799,760
1,600,000	Discover Card Master Trust I, Series 96-4, Class A, 1 mo. LIBOR + .38%, 0.61%, due 10/16/13	1,586,240
1,200,000	GE Capital Credit Card Master Note Trust, Series 05-1, Class A, 1 mo. LIBOR + .04%, 0.28%, due 03/15/13	1,196,574
1,100,000	Household Credit Card Master Note Trust I, Series 07-1, Class A, 1 mo. LIBOR + .05%, 0.29%, due 04/15/13	1,093,469
200,000	MBNA Credit Card Master Note Trust, Series 04-A8, Class A8, 1 mo. LIBOR + .15%, 0.39%, due 01/15/14	196,430
800,000	National City Credit Card Master Trust, Series 08-3, Class A, 1 mo. LIBOR + 1.80%, 2.04%, due 05/15/13	792,000
1,300,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.37%, due 02/15/17	1,199,692
	Total Credit Cards	10,788,435
	Equipment Leases — 0.1%
800,000	CNH Equipment Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.95%, 2.19%, due 08/15/14	815,920
555,399	GE Equipment Midticket LLC, Series 07-1, Class A3B, 1 mo. LIBOR + .25%, 0.49%, due 06/14/11	554,355
	Total Equipment Leases	1,370,275
	Insurance Premiums — 0.1%
800,000	AICCO Premium Finance Master Trust, Series 07-AA, Class A, 144A, 1 mo. LIBOR + .05%, 0.29%, due 12/15/11	760,000
	Insured Auto Financing — 0.3%
1,347,077	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, 1 mo. LIBOR + .04%, 0.28%, due 10/06/13	1,259,113
74,816	AmeriCredit Automobile Receivables Trust, Series 05-BM, Class A4, MBIA, 1 mo. LIBOR + .08%, 0.32%, due 05/06/12	74,258
800,000	AmeriCredit Prime Automobile Receivable Trust, Series 07-2M, Class A4B, MBIA, 1 mo. LIBOR + .50%, 0.74%, due 03/08/16	770,155
646,838	Capital One Auto Finance Trust, Series 06-B, Class A4, MBIA, 1 mo. LIBOR + .02%, 0.25%, due 07/15/13	638,694
549,829	Capital One Auto Finance Trust, Series 07-C, Class A3B, FGIC, 1 mo. LIBOR + .51%, 0.75%, due 04/16/12	548,191
1,100,000	Santander Drive Auto Receivables Trust, Series 07-3, Class A4B, FGIC, 1 mo. LIBOR + .65%, 0.89%, due 10/15/14	1,045,000
1,100,000	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.44%, due 07/14/14	1,087,515
	Total Insured Auto Financing	5,422,926
	Insured Other — 0.1%
1,000,000	Dominos Pizza Master Issuer LLC, Series 07-1, Class A2, 144A, MBIA, 5.26%, due 04/25/37	800,000
787,277	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.44%, due 12/15/41	614,572
2,500,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37	246,575
	Total Insured Other	1,661,147

	Insured Residential Asset-Backed Securities (United States) — 0.0%
380,558	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.46%, due 11/25/35	255,883
	Insured Residential Mortgage-Backed Securities (United States) — 0.0%
211,348	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.57%, due 01/25/35	109,901
94,605	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.80%, due 08/15/30	46,005
326,581	Wachovia Asset Securitization, Inc., Series 04-HE1, Class A, MBIA, 1 mo. LIBOR + .22%, 0.46%, due 06/25/34	180,299
	Total Insured Residential Mortgage-Backed Securities (United States)	336,205
	Insured Time Share — 0.0%
22,692	Cendant Timeshare Receivables Funding LLC, Series 04-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .18%, 0.42%, due 05/20/16	20,338
147,887	Cendant Timeshare Receivables Funding LLC, Series 05-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .18%, 0.42%, due 05/20/17	136,056
	Total Insured Time Share	156,394
	Investment Grade Corporate Collateralized Debt Obligations — 0.2%
1,600,000	Morgan Stanley ACES SPC, Series 04-15, Class II, 144A, 3 mo. LIBOR + .65%, 0.94%, due 12/20/09	1,525,600
1,000,000	Morgan Stanley ACES SPC, Series 05-10, Class A1, 144A, 3 mo. LIBOR + .52%, 0.81%, due 03/20/10	940,000
1,400,000	Salisbury International Investments Ltd., 3 mo. LIBOR + .42%, 0.71%, due 06/22/10	1,209,740
	Total Investment Grade Corporate Collateralized Debt Obligations	3,675,340
	Residential Asset-Backed Securities (United States) — 0.4%
841,680	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.31%, due 11/25/36	399,798
26,309	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.38%, due 02/25/36	3,749
594,421	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.39%, due 07/25/36	132,259
38,103	Asset Backed Funding Certificates, Series 06-OPT3, Class A3A, 1 mo. LIBOR + .06%, 0.30%, due 11/25/36	37,036
1,200,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.39%, due 10/25/36	540,000
883,819	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.23%, due 05/28/39	380,042
562,430	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.53%, due 05/28/39	196,851
409,048	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A1, 1 mo. LIBOR + .12%, 0.36%, due 02/25/37	355,781
1,200,000	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.40%, due 06/25/36	939,552
522,141	Countrywide Asset-Backed Certificates, Series 06-BC5, Class 2A1, 1 mo. LIBOR + .08%, 0.32%, due 03/25/37	498,332
117,977	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.54%, due 04/25/34	50,730
800,000	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.40%, due 04/25/36	400,000
290,223	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.34%, due 08/25/36	188,645
825,014	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.53%, due 01/20/35	636,292
600,000	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.39%, due 03/25/36	254,628
2,400,000	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.39%, due 08/25/36	769,512
803,647	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.40%, due 03/25/36	41,693
273,123	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.36%, due 02/25/37	152,949

845,640	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.34%, due 04/25/37	676,512
838,995	Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.49%, due 01/25/36	792,851
	Total Residential Asset-Backed Securities (United States)	7,447,212
	Residential Mortgage-Backed Securities (Australian) — 0.1%
514,362	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.78%, due 09/27/35	440,849
263,024	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.44%, due 12/08/36	238,545
681,806	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.35%, due 06/14/37	641,714
305,536	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.35%, due 01/12/37	263,751
	Total Residential Mortgage-Backed Securities (Australian)	1,584,859
	Residential Mortgage-Backed Securities (European) — 0.1%
602,778	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.40%, due 09/20/66	331,528
700,000	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.38%, due 01/13/39	645,400
238,548	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .04%, 0.28%, due 12/20/54	202,766
41,291	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .21%, 0.48%, due 05/15/34	31,097
536,046	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .10%, 0.40%, due 09/15/39	303,134
800,000	Pendeford Master Issuer Plc, Series 07-1A, Class 3A, 144A, 3 mo. LIBOR + .10%, 0.37%, due 02/12/16	752,000
	Total Residential Mortgage-Backed Securities (European)	2,265,925
	Residential Mortgage-Backed Securities (United States) — 0.0%
116,046	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.54%, due 08/25/35	60,344
	Student Loans — 0.1%
1,425,000	College Loan Corp. Trust, Series 06-1, Class A2, 3 mo. LIBOR + .02%, 0.30%, due 04/25/22	1,422,720
	Time Share — 0.0%
209,610	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.27%, due 02/20/20	209,414
	Total Asset-Backed Securities	57,016,092
	U.S. Government Agency — 0.0%
50,200	Agency for International Development Floater (Support of C.A.B.E.I), 6 mo. U.S. Treasury Bill + .40%, 0.54%, due 10/01/12(a)	48,858
135,049	Agency for International Development Floater (Support of Honduras), 3 mo. U.S. Treasury Bill x 117%, 0.20%, due 10/01/11(a)	131,830
166,667	Agency for International Development Floater (Support of Zimbabwe), 3 mo. U.S. Treasury Bill x 115%, 0.19%, due 01/01/12(a)	162,733
	Total U.S. Government Agency	343,421
	TOTAL DEBT OBLIGATIONS (COST $54,104,360)	57,359,513

Shares	Description	Value ($)
	SHORT-TERM INVESTMENTS — 0.0%
	Money Market Funds — 0.0%
30,105	State Street Institutional U.S. Government Money Market Fund-Institutional Class	30,105
	TOTAL SHORT-TERM INVESTMENTS (COST $30,105)	30,105
	TOTAL INVESTMENTS — 100.0% (Cost $1,842,348,093)	1,821,205,803
	Other Assets and Liabilities (net) — 0.00%	6,786
	TOTAL NET ASSETS — 100.0%	$	1,821,212,589

As of November 30, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,879,046,299	$	123,117,906	$	(180,958,402	)	$	(57,840,496	)

Investments in Affiliated Issuers

The Fund makes investments in other GMO Trust funds (“underlying funds”).  The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2009 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Alpha Only Fund, Class IV	$	434,803,314	$	115,182,258	$	152,754,320	$	21,277,263	$	—	$	351,863,042
GMO Alternative Asset Opportunity Fund	16,373,298		—		65,257		—		—		20,308,209
GMO Asset Allocation Bond Fund, Class VI	—		80,486,058		29,260,132		—		—		55,601,050
GMO Emerging Country Debt Fund, Class IV	21,081,143		1,932,794		—		432,794		—		33,256,733
GMO Emerging Markets Fund, Class VI	64,789,027		29,215,474		62,071,700		328,308		—		102,653,825
GMO Flexible Equities Fund, Class VI	46,651,926		83,441		6,538,395		—		—		50,557,139
GMO International Small Companies Fund, Class III	42,720,670		42,339,390		9,521,750		976,013		—		121,032,707
GMO Quality Fund, Class VI	401,725,164		133,249,313		19,690,339		9,277,333		—		697,891,420
GMO Special Situations Fund, Class VI	45,145,613		13,418,025		8,600,000		—		—		53,107,633
GMO Strategic Fixed Income Fund, Class VI	275,849,692		1,500,000		1,117,492		3,125,343		—		258,074,861		¨
GMO World Opportunity Overlay Fund	17,169,667		—		67,906		—		—		19,469,566		o
Totals	$	1,366,309,514	$	417,406,753	$	289,687,291	$	35,417,054	$	—	$	1,763,816,185

¨Through the period ending November 30, 2009, the Fund received estimated return of capital distributions in the amount of $72,973,999. Please note that in early 2010, the tax characterization of distributions paid by other fund(s) of the GMO Trust in calendar year 2009 will be finalized.

o The Fund received estimated return of capital distributions in the amount of $1,562,842.

Notes to Schedule of Investments:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.

C.A.B.E.I. - Central American Bank for Economic Integration

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.

XL — Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at November 30, 2009, which are subject to change based on the terms of the security.

(a)Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

Investments held by the underlying funds are valued as follows.  Securities listed on a securities exchange for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price on each business day or, (iii) if there is no such reported sale or official closing price, at the most recent quoted bid price or broker bid (if the Manager deems the private market to be more relevant in determining market value than an exchange). Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted bid price.  Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost.  Shares of investment funds are generally valued at their net asset value.  Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees.  Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale.  Because many foreign equity securities markets and exchanges close prior to the close of the New York Stock Exchange (“NYSE”), closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close but before the close of the NYSE.  As a result, the Fund generally values foreign equity securities as of the NYSE close using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor using that vendor’s proprietary models. As of November 30, 2009, 24.78% of the net assets of the Fund, through investments in the underlying funds, were valued using fair value prices based on models used by that third party vendor. Those underlying funds classify such securities (as defined below) as Level 2.

Typically the Fund and the underlying funds value debt instruments based on the most recent bid supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund. As of November 30, 2009, the total value of securities held directly and indirectly that were fair valued or for which no alternative pricing source was available represented 2.59% of the net assets of the Fund.

In accordance with the authoritative guidance on fair value measurements and disclosures under Generally Accepted Accounting Principles (“GAAP”), the Fund discloses the fair value of its investments in a three-level hierarchy.  The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows:

Level 1 — Valuations based on quoted prices for identical securities in active markets.

Level 2 — Valuations determined using other significant direct or indirect observable inputs. These inputs may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves and similar data.

Level 3 — Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund valued certain debt securities using indicative bids received from primary pricing sources. The Fund valued certain debt securities using a specified spread above the LIBOR Rate.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments:

ASSET VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Debt Obligations
Asset-Backed Securities	$	—	$	17,063,170	$	39,952,922	$	57,016,092
U.S. Government Agency	—		—		343,421		343,421
TOTAL DEBT OBLIGATIONS	—		17,063,170		40,296,343		57,359,513
Mutual Funds	1,670,930,777		92,885,408		—		1,763,816,185
Short-Term Investments	—		30,105		—		30,105
Total Investments	1,670,930,777		109,978,683		40,296,343		1,821,205,803
Total	$	1,670,930,777	$	109,978,683	$	40,296,343	$	1,821,205,803

Underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and other financial instruments using Level 3 inputs were 13.20% and (0.02)% of total net assets, respectively.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2009		Net Purchases/ (Sales)			Accrued Discounts/ Premiums		Total Realized Gain/(Loss)		Change in Unrealized Appreciation (Depreciation)		Net transfers in to/out of Level 3			Balances as of November 30, 2009
Debt Obligations
Asset-BackedSecurities	$	55,256,761	$	(8,990,189	)	$	1,746,722	$	1,172,963	$	7,829,835	$	(17,063,170	)	$	39,952,922
U.S. Government Agency	451,344		(116,518		)	3,927		3,820		848		—			343,421
Total	$	55,708,105	$	(9,106,707	)	$	1,750,649	$	1,176,783	$	7,830,683	$	(17,063,170	)	$	40,296,343

Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value and an investor may lose money by investing in the Fund. Following is a brief summary of the principal risks of an investment in the Fund, including those risks to which the Fund is exposed as a result of its investments in underlying funds. This summary is not intended to include every potential risk of investing in the Fund. This summary is not intended to include every potential risk of investing in the Fund. The Fund could be subject to additional risks because the types of investments it makes may change over time. In addition, while each GMO Fund is exposed to some level of management risk, this risk may be particularly pronounced for this Fund because it does not seek to control risk relative to, or to outperform, a particular securities market index or benchmark.

· Market Risk — Equity Securities — The Fund may allocate part or all of its assets to equity investments (including investments in emerging country equities). Equity securities may decline in value due to factors affecting issuing companies, their industries, or the economy and equity markets generally. Declines in stock market prices generally are likely to result in declines in the value of the Fund’s equity investments.

· Foreign Investment Risk — The market prices of foreign securities may fluctuate more rapidly and to a greater extent than those of U.S. securities. Foreign markets often are less stable, smaller, less liquid, and less regulated, and the cost of trading in those markets often is higher, than in U.S. markets. A license may need to be maintained to invest in some foreign markets. Changes in investment, capital, or exchange control regulations could adversely affect the value of the Fund’s foreign investments. These and other risks (e.g., nationalization, expropriation, or other confiscation) are greater for the Fund’s investments in emerging countries, the economies and markets of which tend to be more volatile than the economies of developed countries.

· Market Risk — Fixed Income Securities — The Fund may allocate part or all of its assets to fixed income securities, which may include emerging country debt and other below investment grade securities (also known as “junk bonds”). Typically, the value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads on asset-backed and other fixed income securities. Recent changes in credit markets increased credit spreads and there can be no assurance that those spreads will tighten or not increase further.

· Smaller Company Risk — The Fund may allocate part or all of its assets to investments in companies with smaller market capitalizations. The securities of companies with smaller market capitalizations typically are less widely held, trade less frequently and in lesser quantities, and have market prices that may fluctuate more than those of securities of larger capitalization companies.

· Liquidity Risk — Low trading volume, lack of a market maker, or legal restrictions may limit or prevent the Fund or an underlying fund from selling securities or closing derivative positions at desirable prices.

· Derivatives Risk — The use of derivatives by the Fund or underlying funds involves risks different from, and potentially greater than, risks associated with direct investments in securities and other assets. Derivatives may increase other Fund risks, including market risk, liquidity risk, and credit and counterparty risk, and their value may or may not correlate with the value of the relevant underlying asset.

· Currency Risk — Fluctuations in exchange rates may adversely affect the value of foreign currency holdings and investments denominated in foreign currencies.

· Fund of Funds Risk — The Fund is indirectly exposed to all of the risks of an investment in the underlying funds, including the risk that the underlying funds in which it invests will not perform as expected. Because the Fund bears the fees and expenses of the underlying funds in which it invests, investments in underlying funds with higher fees or expenses than other underlying funds in which the Fund could be invested will increase the Fund’s total expenses. The fees and expenses associated with an investment in the Fund are less predictable and may potentially be higher than fees and expenses associated with an investment in funds that charge a fixed management fee.

Other principal risks of an investment in the Fund include Credit and Counterparty Risk (risk of default of an issuer of a portfolio security or a derivatives counterparty of an underlying fund or a borrower of an underlying fund’s securities or a counterparty of an underlying fund’s repurchase agreement), Commodities Risk (value of an underlying fund’s shares may be affected by factors particular to the commodities markets and may fluctuate more than the share value of a fund with a broader range of investments), Leveraging Risk (increased risk from use of reverse repurchase agreements and other derivatives and securities lending by an underlying fund), Short Sales Risk (risk that an underlying fund’s loss on the short sale of securities that it does not own is unlimited), Management Risk (risk that the Manager’s strategies and techniques will fail to produce the desired results), Market Disruption and Geopolitical Risk (risk that geopolitical events may increase market volatility and have adverse long-term effects on U.S. and world economies and markets generally), and Large Shareholder Risk (risk that shareholders of the Fund, such as institutional investors or other series of the Trust, will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis). Some of the underlying funds are non-diversified investment companies under the 1940 Act, and therefore a decline in the market value of a particular security held by those funds may affect their performance more than if they were diversified.

The Fund invests (including through investment in underlying funds) in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit-card receivables, which expose the Fund to additional types of market risk. Asset-backed securities also may be collateralized by the fees earned by service providers. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations”). Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flows generated by the underlying assets backing the securities. The amount of market risk associated with asset-backed securities depends on many factors, including the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support, if any, provided for the securities, and the credit quality of the credit-support provider, if any. Asset-backed securities involve risk of loss of principal if too many obligors of the underlying obligations default in payment of the obligations. The obligations of issuers (and obligors of underlying assets) also are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

With the deterioration of worldwide economic and liquidity conditions that became acute in 2008, the markets for asset-backed securities became fractured and uncertainty about the creditworthiness of those securities (and underlying collateral) caused credit spreads (the difference between yields on the asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities generally. These events reduced liquidity for securitized credits and contributed to substantial declines in the value of asset-backed and other fixed income securities. There can be no assurance these conditions will not continue or that they will not deteriorate further. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse credit, valuation and liquidity effects on asset-backed securities. There can be no assurance that in the future the market for asset-backed securities will become more liquid.

The value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying collateral. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. In addition, asset-backed securities representing diverse sectors (e.g., auto loans, student loans, sub-prime mortgages, and credit-card receivables) have become more highly correlated since the deterioration of worldwide economic and liquidity conditions referred to above.

Disclosures about Derivative Instruments and Hedging Activities — In accordance with GAAP authoritative guidance, effective March 1, 2009, the Fund included expanded disclosures regarding its derivative instrument and hedging activities. As of November 30, 2009, the Fund held no derivative contracts.

Subsequent event

Effective December 14, 2009, the fee on cash redemptions was 0.09% of the amount redeemed.

For additional information regarding the Fund’s Schedule of Investments, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2009 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 27.8%
		Albania — 1.6%
		Foreign Government Obligations
USD	14,281,227	Republic of Albania Par Bond, Zero Coupon, due 08/31/25(a)	5,480,421
		Australia — 0.2%
		Asset-Backed Securities
USD	274,595	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.34%, due 04/19/38	251,457
USD	367,054	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.35%, due 05/10/36	352,680
		Total Australia	604,137
		United Kingdom — 0.5%
		Asset-Backed Securities
USD	300,000	Aire Valley Mortgages, Series 07-1A, Class 1A2, 144A, 3 mo. LIBOR + .09%, 0.38%, due 03/20/30	219,000
USD	700,000	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.38%, due 01/13/39	645,400
USD	47,710	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .04%, 0.28%, due 12/20/54	40,553
USD	400,000	Pendeford Master Issuer Plc, Series 07-1A, Class 3A, 144A, 3 mo. LIBOR + .10%, 0.37%, due 02/12/16	376,000
USD	300,000	Permanent Master Issuer Plc, Series 07-1, Class 4A, 3 mo. LIBOR + .08%, 0.36%, due 10/15/33	290,052
		Total United Kingdom	1,571,005
		United States — 25.5%
		Asset-Backed Securities — 9.1%
USD	304,232	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.44%, due 05/25/37	31,944
USD	384,879	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, 1 mo. LIBOR + .04%, 0.28%, due 10/06/13	359,747
USD	1,188,842	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.39%, due 07/25/36	264,517
USD	987,589	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.39%, due 06/25/36	278,222
USD	128,836	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.35%, due 09/25/36	77,302
USD	172,499	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.63%, due 01/25/36	106,087
USD	300,000	Capital Auto Receivable Asset Trust, Series 07-2, Class A4B, 1 mo. LIBOR + .40%, 0.64%, due 02/18/14	300,000
USD	500,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.49%, due 09/15/17	465,015
USD	250,000	Citibank OMNI Master Trust, Series 07-A9A, Class A9, 144A, 1 mo. LIBOR + 1.10%, 1.34%, due 12/23/13	249,925
USD	300,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.53%, due 01/25/24	299,910
USD	844,241	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.63%, due 06/28/19	675,393
USD	300,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 1.85%, 2.09%, due 11/10/14	307,890
USD	15,000,000	Federal National Mortgage Association, 30 Yr. TBA, Pool #6331, 4.50%, due 04/01/38	15,393,750
USD	800,000	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.40%, due 04/25/36	400,000
USD	490,806	Ford Credit Auto Owner Trust, Series 06-C, Class A4B, 1 mo. LIBOR + .04%, 0.28%, due 02/15/12	489,206
USD	500,000	Ford Credit Floorplan Master Owner Trust, Series 06-4, Class A, 1 mo. LIBOR + .25%, 0.49%, due 06/15/13	480,000
USD	100,000	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.40%, due 08/25/36	32,000
USD	462,914	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.43%, due 05/25/36	314,781
USD	905,566	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.48%, due 11/15/33	688,230
USD	400,000	GE Capital Credit Card Master Note Trust, Series 07-3, Class A1, 1 mo. LIBOR + .01%, 0.25%, due 06/15/13	397,280

USD	12,658	GreenPoint Mortgage Funding Trust, Series 05-HE4, Class 2A3C, 1 mo. LIBOR + .25%, 0.49%, due 07/25/30	11,768
USD	800,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .13%, 0.37%, due 03/06/20	740,000
USD	600,000	Household Credit Card Master Note Trust I, Series 07-2, Class A, 1 mo. LIBOR + .55%, 0.79%, due 07/15/13	592,313
USD	369,955	Lehman Brothers Floating Rate Commercial, Series 06-LLFA, Class A1, 144A, 1 mo. LIBOR + .08%, 0.32%, due 09/15/21	314,462
USD	171,702	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A1, 144A, 1 mo. LIBOR + .65%, 0.89%, due 10/25/37	154,532
USD	200,000	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.39%, due 03/25/36	84,876
USD	700,000	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.39%, due 06/25/36	216,125
USD	1,000,000	Morgan Stanley ACES SPC, Series 05-2A, Class A, 144A, 3 mo. LIBOR + .45%, 0.74%, due 03/20/10	950,500
USD	500,000	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.47%, due 02/25/37	162,500
USD	300,000	National City Credit Card Master Trust, Series 08-3, Class A, 1 mo. LIBOR + 1.80%, 2.04%, due 05/15/13	297,000
USD	287,465	National Collegiate Student Loan Trust, Series 06-1, Class A2, 1 mo. LIBOR + .14%, 0.38%, due 08/25/23	278,171
USD	300,000	Nissan Auto Lease Trust, Series 08-A, Class A3B, 1 mo. LIBOR + 2.20%, 2.44%, due 07/15/11	303,840
USD	200,000	Nissan Master Owner Trust Receivables, Series 07-A, Class A, 1 mo. LIBOR, 0.24%, due 05/15/12	196,250
USD	208,068	Residential Asset Securities Corp., Series 07-KS3, Class AI1, 1 mo. LIBOR + .11%, 0.35%, due 04/25/37	191,286
USD	96,971	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.53%, due 12/25/32	42,667
USD	341,548	Santander Drive Auto Receivables Trust, Series 07-1, Class A4, FGIC, 1 mo. LIBOR + .05%, 0.29%, due 09/15/14	329,747
USD	151,208	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.43%, due 11/25/35	81,117
USD	515,121	Sierra Receivables Funding Co., Series 06-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .15%, 0.39%, due 05/20/18	438,739
USD	492,941	SLM Student Loan Trust, Series 07-A, Class A1, 3 mo. LIBOR + .03%, 0.33%, due 09/15/22	455,970
USD	81,520	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.53%, due 11/25/35	16,304
USD	400,000	Swift Master Auto Receivables Trust, Series 07-1, Class A, 1 mo. LIBOR + .10%, 0.34%, due 06/15/12	392,000
USD	400,000	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.44%, due 07/14/14	395,460
USD	500,000	Truck Retail Installment Paper Corp., Series 05-1A, Class A, 144A, 1 mo. LIBOR + .27%, 0.51%, due 12/15/16	494,043
USD	800,000	Wachovia Auto Owner Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.15%, 1.39%, due 03/20/14	803,624
USD	400,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.37%, due 02/15/17	369,136
			29,923,629
		Corporate Debt — 0.4%
USD	2,000,000	CIT Group, Inc., due 11/03/10(b)	1,362,500
		U.S. Government — 16.0%
USD	23,027,596	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10(c)(d)	23,095,965
USD	10,100,000	U.S. Treasury Receipts, 0.00%, due 02/15/12*(e)	9,726,908
USD	10,100,000	U.S. Treasury Receipts, 0.00%, due 02/15/10*(e)	10,077,311
USD	10,100,000	U.S. Treasury Receipts, 0.00%, due 08/15/12*(e)	9,580,404
			52,480,588
		Total United States	83,766,717
		TOTAL DEBT OBLIGATIONS (COST $89,228,856)	91,422,280

Shares	Description	Value ($)
	PREFERRED STOCKS — 0.3%
	United States — 0.3%
10,000	Home Ownership Funding 2 Preferred 144A, 1.00%(e)	900,000
	TOTAL PREFERRED STOCKS (COST $2,138,851)	900,000
	MUTUAL FUNDS — 77.4%
	United States — 77.4%
	Affiliated Issuers
1,554,673	GMO Emerging Country Debt Fund, Class III	13,479,018
7,417,054	GMO Short-Duration Collateral Fund	117,782,819
93,858	GMO Special Purpose Holding Fund(b)	55,376
2,283,283	GMO U.S. Treasury Fund	57,127,723
3,160,555	GMO World Opportunity Overlay Fund	66,023,989
	Total United States	254,468,925
	TOTAL MUTUAL FUNDS (COST $279,205,365)	254,468,925
	SHORT-TERM INVESTMENTS — 0.1%
	Money Market Funds — 0.1%
415,515	State Street Institutional Treasury Plus Money Market Fund-Institutional Class	415,515
	TOTAL SHORT-TERM INVESTMENTS (COST $415,515)	415,515
	TOTAL INVESTMENTS — 105.6% (Cost $370,988,587)	347,206,720
	Other Assets and Liabilities (net) — (5.6%)	(18,553,426		)
	TOTAL NET ASSETS — 100.0%	$	328,653,294

As of November 30, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	373,677,823	$	3,934,604	$	(30,405,707	)	$	(26,471,103	)

Investments in Affiliated Issuers

The Fund makes investments in other GMO Trust funds (“underlying funds”).  The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2009 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Emerging Country Debt Fund, Class III	$	9,619,580	$	183,854	$	717,356	$	183,854	$	—	$	13,479,018
GMO Short-Duration Collateral Fund	136,464,740		—		9,109,208		1,528,269		—		117,782,819		à
GMO Special Purpose Holding Fund	68,517		—		—		—		—		55,376
GMO U.S. Treasury Fund	—		73,987,985		16,900,000		87,985		—		57,127,723
GMO World Opportunity Overlay Fund	52,729,622		10,000,000		3,756,694		—		—		66,023,989		1
Totals	$	198,882,459	$	84,171,839	$	30,483,258	$	1,800,108	$	—	$	254,468,925

à Through the period ending November 30, 2009, the Fund received estimated return of capital distributions in the amount of $31,408,576. Please note that in early 2010, the tax characterization of distributions paid by other fund(s) of the GMO Trust in calendar year 2009 will be finalized.

1 The Fund received estimated return of capital distributions in the amount of $4,478,401.

A summary of outstanding financial instruments at November 30, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency	Value		Net Unrealized Appreciation (Depreciation)
Buys †
1/05/10	JPY	200,000,000	$	2,314,157	$	60,892
1/12/10	AUD	800,000	729,786		(3,654		)
1/19/10	CAD	1,200,000	1,136,999		7,486
2/16/10	CHF	8,000,000	7,968,881		110,335
2/23/10	EUR	2,000,000	3,002,087		7,337
12/01/09	EUR	2,500,000	3,753,878		112,350
1/12/10	AUD	3,800,000	3,466,482		8,482
			$	22,372,270	$	303,228
Sales #
12/01/09	EUR	2,000,000	$	3,003,102	$	(6,602	)
12/08/09	NZD	2,000,000	1,432,006		(12,546		)
1/26/10	GBP	1,500,000	2,466,790		2,210
1/12/10	AUD	1,800,000	1,642,018		(14,746		)
1/19/10	CAD	6,500,000	6,158,744		31,732
12/01/09	EUR	500,000	750,775		(1,675		)
			$	15,453,435	$	(1,627	)

†          Fund buys foreign currency; sells USD.

#          Fund sells foreign currency; buys USD.

Forward Cross Currency Contracts

Settlement Date	Deliver/Units of Currency		Receive/In Exchange For		Net Unrealized Appreciation (Depreciation)
2/02/10	EUR	6,100,000	NOK	51,667,000	$	(76,380	)
2/09/10	SEK	1,020,000	EUR	100,000	3,768
					$	(72,612	)

Futures Contracts

Number of Contracts	Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
30	Australian Government Bond 10 Yr.	December 2009	$	2,909,738	$	41,699
57	Australian Government Bond 3 Yr.	December 2009	5,408,486		31,708
76	Canadian Government Bond 10 Yr.	March 2010	8,739,928		84,856
9	Euro BOBL	December 2009	1,577,890		2,133
21	Euro Bund	December 2009	3,898,372		4,399
39	U.S. Treasury Bond (CBT)	March 2010	4,786,031		12,070
18	U.S. Treasury Note 2 Yr. (CBT)	March 2010	3,922,031		508
92	U.S. Treasury Note 5 Yr. (CBT)	March 2010	10,788,438		15,133
			$	42,030,914	$	192,506
Sales
33	Japanese Government Bond 10Yr. (TSE)	December 2009	$	53,348,219	$	(495,885	)
10	U.S. Treasury Note 10 Yr. (CBT)	March 2010	1,199,375		(499		)
8	UK Gilt Long Bond	March 2010	1,559,291		271
			$	56,106,885	$	(496,113	)

Swap Agreements

Credit Default Swaps

Notional Amount		Expiration Date	Counterparty	Receive (Pay)^	Annual Premium		Implied Credit Spread (1)		Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Market Value
2,000,000	USD	6/20/2011	Barclays Bank PLC	Receive	0.30	%	2.23	%	Prologis	2,000,000	USD	$	(57,957	)
2,000,000	USD	6/20/2011	UBS AG	Receive	0.26	%	1.3	%	ERP Operating LP	2,000,000	USD	(31,079		)
2,000,000	USD	12/20/2013	Barclays Bank PLC	Receive	0.25	%	6.94	%	SLM Corp.	2,000,000	USD	(431,251		)
												$	(520,287	)
									Premiums to (Pay) Receive			$	—

^	Receive - Fund receives premium and sells credit protection.
	(Pay) - Fund pays premium and buys credit protection.
(1)	Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of November 30, 2009, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Notional Amount		Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate		Variable Rate	Market Value
15,680,000	USD	8/31/2025	JP Morgan Chase Bank	(Pay)	0.00	%	3 month LIBOR	$	(3,906,193	)
								$	(3,906,193	)
			Accretion since inception for zero coupon interest rate swaps					$	2,162,623

#	Receive - Fund receives fixed rate and pays variable rate.
	(Pay) - Fund pays fixed rate and receives variable rate.

Total Return Swaps

Notional Amount		Expiration Date	Counterparty	Fund Pays	Fund Receives	Market Value
250,000,000	USD	8/19/2011	Morgan Stanley	3 month LIBOR - 0.01%	Barclays Capital Aggregate Total Return Index	$	1,638,392
						$	1,638,392
					Premiums to (Pay) Receive	$	—

As of November 30, 2009, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

BOBL - Bundesobligationen

CBT - Chicago Board of Trade

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

MBIA - Insured as to the payment of principal and interest by MBIA Insurance Corp.

TBA - To Be Announced - Delayed Delivery Security

TSE - Tokyo Stock Exchange

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at November 30, 2009, which are subject to change based on the terms of the security.

*	Non-income producing security.
(a)	Security is backed by the U.S. Government.
(b)	Underlying investment represents interests in defaulted claims.
(c)	All or a portion of this security has been segregated to cover margin requirements on open financial futures contracts and/or collateral on open swap contracts.
(d)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.
(e)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

Portfolio valuation

Securities listed on a securities exchange for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price on each business day or, (iii) if there is no such reported sale or official closing price, at the most recent quoted bid price or broker bid (if the Manager deems the private market to be more relevant in determining market value than an exchange). Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted bid price. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost. Shares of investment funds are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. During the period ended November 30, 2009, the Fund did not reduce the values of any OTC derivatives on account of the credit worthiness of a counterparty.

Typically the Fund and the underlying funds value debt instruments based on the most recent bid supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund. As of November 30, 2009, the total value of securities held directly and indirectly that were fair valued or for which no alternative pricing source was available represented 18.93% of the net assets of the Fund.

In accordance with the authoritative guidance on fair value measurements and disclosures under Generally Accepted Accounting Principles (“GAAP”), the Fund discloses the fair value of its investments in a three-level hierarchy.  The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves and similar data.

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund valued certain debt securities using indicative bids received from primary pricing sources. The Fund also utilized third party valuation services (which use industry models and inputs from pricing vendors) to value credit default swaps. The Fund valued certain debt securities and preferred stocks using a specified spread above the LIBOR Rate or U.S. Treasury yield.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments:

ASSET VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Debt Obligations
U.S. Government	$	—	$	23,095,965	$	29,384,623	$	52,480,588
Foreign Government Obligations	—		5,480,421		—		5,480,421
Asset-Backed Securities	15,393,750		3,026,033		13,678,988		32,098,771
Corporate Debt	—		1,362,500		—		1,362,500
TOTAL DEBT OBLIGATIONS	15,393,750		32,964,919		43,063,611		91,422,280
Mutual Funds	188,389,560		66,079,365		—		254,468,925
Preferred Stocks	—		—		900,000		900,000
Short-Term Investments	—		415,515		—		415,515
Total Investments	203,783,310		99,459,799		43,963,611		347,206,720
Derivatives
Swap Agreements	—		1,638,392		—		1,638,392
Futures Contracts	192,777		—		—		192,777
Forward Currency Contracts	—		340,824		—		340,824
Forward Cross Currency Contracts	—		3,768		—		3,768
Total	$	203,976,087	$	101,442,783	$	43,963,611	$	349,382,481

LIABILITY VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total
Derivatives
Swap Agreements	$	—		$	(3,906,193	)	$	(520,287	)	$	(4,426,480	)
Futures Contracts	(496,384		)	—			—			(496,384		)
Forward Currency Contracts	—			(39,223		)	—			(39,223		)
Forward Cross Currency Contracts	—			(76,380		)	—			(76,380		)
Total	$	(496,384	)	$	(4,021,796	)	$	(520,287	)	$	(5,038,467	)

Underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and other financial instruments using Level 3 inputs were 49.87% and (0.16)% of total net assets, respectively.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2009			Net Purchases/(Sales)			Accrued Discounts/ Premiums		Total Realized Gain/(Loss)			Change in Unrealized Appreciation (Depreciation)			Net transfers in to/out of Level 3			Balances as of November 30, 2009
Debt Obligations
Asset-Backed Securities	$	18,048,446		$	(5,192,081	)	$	454,102	$	842,691		$	2,551,863		$	(3,026,033	)	$	13,678,988
Foreign Government Obligations	7,114,707			(593,320		)	248,615		94,910			(1,384,491		)	(5,480,421		)	—
U.S. Government	28,721,524			(194,112		)	1,326,367		238			(469,394		)	—			29,384,623
Total Debt Obligations	53,884,677			(5,979,513		)	2,029,084		937,839			697,978			(8,506,454		)	43,063,611
Prefered Stocks	900,000			—			—		—			—			—			900,000
Swap Agreements	(2,225,744		)	630,899			—		(630,899		)	1,705,457			—			(520,287		)
Mutual Funds	68,517			—			—		—			(13,141		)	(55,376		)	—
Total	$	52,627,450		$	(5,348,614	)	$	2,029,084	$	306,940		$	2,390,294		$	(8,561,830	)	$	43,443,324

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are accrued or incurred. The Fund does not isolate realized and unrealized gains and losses that result from changes in exchange rates from realized and unrealized gains and losses that result from changes in the market value of investments. Both of those changes are included in net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent gains and losses on disposition of currencies and forward currency contracts, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund’s accounting records and the U.S. dollar equivalent amounts actually received or paid.

Forward currency contracts

The Fund may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by the Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price during a specified future time period. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund may purchase put and call options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying

asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund may write (i.e., sell) call and put options. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g. index options), settlement will be in cash. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. Over-the- counter options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments purchased. The Fund had no open written option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price or, if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values over-the-counter options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest, e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal.

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance

of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

Swap agreements generally are not traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the party with whom the Fund contracts defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that the collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at a later date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a stated price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in Options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options.  However, because warrants and rights are considered to be over-the-counter instruments, they often do not have standardized terms, may have longer maturities and may be less liquid than exchange-traded options.  In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and an investor may lose money by investing in the Fund. Following is a brief summary of the principal risks of an investment in the Fund. Many of these risks are more pronounced as a result of current global economic conditions that began to unfold in 2008. This summary is not intended to include every potential risk of investing in the Fund. The Fund could be subject to additional risks because the types of investments it makes may change over time.

· Market Risk — Fixed Income Securities — Typically, the value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads on asset-backed and other fixed income securities. Recent changes in credit markets increased credit spreads and there can be no assurance that those spreads will tighten or not increase further.

· Credit and Counterparty Risk — This is the risk that the issuer or guarantor of a fixed income security, the counterparty to an OTC derivatives contract, a borrower of the Fund’s securities, a counterparty to a reverse repurchase agreement or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to make timely principal, interest, or settlement payments or otherwise honor its obligations. This risk is particularly pronounced for the Fund because it typically uses OTC derivatives, including swap contracts with longer-term maturities, and may have significant exposure to a single counterparty. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

· Liquidity Risk — Low trading volume, lack of a market maker, or legal restrictions may limit or prevent the Fund from selling securities or closing derivative positions at desirable prices. The Fund may be required to sell certain less liquid securities at distressed prices or meet redemption requests in-kind. Recent changes in credit markets have reduced the liquidity of all types of fixed income securities.

· Fund of Funds Risk — The Fund is indirectly exposed to all of the risks of an investment in underlying funds, including the risk that the underlying funds in which it invests will not perform as expected.

Other principal risks of an investment in the Fund include Foreign Investment Risk (risk that the market prices of foreign securities may fluctuate more rapidly and to a greater extent than those of U.S. securities), Derivatives Risk (use of derivatives by the Fund involves risks different from, and potentially greater than, risks associated with direct investments in securities and other investments by the Fund), Leveraging Risk (increased risks from use of reverse repurchase agreements and other derivatives and securities lending), Currency Risk (risk that fluctuations in exchange rates may adversely affect the value of the Fund’s foreign currency holdings and investments denominated in foreign currencies), Focused Investment Risk (increased risk from the Fund’s focus on investments in countries, regions, or sectors with high positive correlations to one another), Management Risk (risk that the Manager’s strategies and techniques will fail to produce the desired results), Market Disruption and Geopolitical Risk (risk that geopolitical events may increase market volatility and have adverse long-term effects on U.S. and world economies and markets generally), and Large Shareholder Risk (risk that shareholders of the Fund, such as institutional investors or other series of the Trust, will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis). The Fund is a non-diversified investment company under the 1940 Act, and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. Certain of the above-referenced risks will be more pronounced for the Fund as a result of its investment in ECDF. For more information about reverse repurchase agreements and other derivatives, please refer to the descriptions of financial instruments (e.g. reverse repurchase agreements, swaps, futures and other types of derivative contracts) above as well as the discussion of the Fund’s use of derivatives below.

The Fund’s investments in many countries and credit default swaps it has written expose the Fund to a significant risk of loss. The Fund’s financial position could be adversely affected (depending on whether the Fund sold or bought the credit protection) in the event of a default by any of these countries on obligations held by the Fund, obligations referenced in those credit default swaps or obligations issued by them generally.

The Fund invests (including through investment in underlying funds) in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit-card receivables, which expose the Fund to additional types of market risk. Asset-backed securities also may be collateralized by the fees earned by service providers. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations”). Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flows generated by the underlying assets backing the securities. The amount of market risk associated with asset-backed securities depends on many factors, including the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support, if any, provided for the securities, and the credit quality of the credit-support provider, if any. Asset-backed securities involve risk of loss of principal if too many obligors of the underlying obligations default in payment of the obligations. The obligations of issuers (and obligors of underlying assets) also are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

With the deterioration of worldwide economic and liquidity conditions that became acute in 2008, the markets for asset-backed securities became fractured and uncertainty about the creditworthiness of those securities (and underlying collateral) caused credit spreads (the difference between yields on the asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities generally. These events reduced liquidity for securitized credits and contributed to substantial declines in the value of asset-backed and other fixed income securities. There can be no assurance these conditions will not continue or that they will not deteriorate further. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse credit, valuation and liquidity effects on asset-backed securities. There can be no assurance that in the future the market for asset-backed securities will become more liquid.

The value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying collateral. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. In addition, asset-backed securities representing diverse sectors (e.g., auto loans, student loans, sub-prime mortgages, and credit-card receivables) have become more highly correlated since the deterioration of worldwide economic and liquidity conditions referred to above.

The Fund uses its cash balance to meet its collateral obligations and for other purposes. There is no assurance that the Fund’s cash balance will be sufficient to meet those obligations. If it is not, the Fund would be required to liquidate portfolio positions. To manage the Fund’s cash collateral needs, the Manager reserves the right to reduce or eliminate the Fund’s derivative exposures. A reduction in those exposures may cause the performance of the Fund to track its benchmark less closely and make the Fund’s performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Agreements”) with select counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Agreements typically include representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other provisions. Termination events include the decline in the net assets of the Fund below a certain level over a specified period of time and entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on the Fund’s operations. Due to declines in the net assets of the Fund prior to November 30, 2009, one or more counterparties are entitled to terminate early but none has taken such action.

Disclosures about Derivative Instruments and Hedging Activities — In accordance with GAAP authoritative guidance, effective March 1, 2009, the Fund included expanded disclosures regarding its derivative instrument and hedging activities.

The Fund uses derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include swaps, reverse repurchase agreements and other over-the-counter (“OTC”) contracts.

The Fund uses derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under

a credit default swap). The Fund also may use currency derivatives (including currency forwards, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Fund may buy credit default protection using derivatives in an attempt to hedge or reduce its investment exposures. For example, the Fund may use credit default swaps to take an active short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to hedge or reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager may attempt to alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed vs. variable and shorter duration vs. longer duration. The Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The use of derivatives involves risks different from, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. In particular, the use of OTC derivatives contracts exposes the Fund to the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivative contracts typically can be closed out only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but there can be no assurance that the Fund will be able to enforce its contractual rights. For example, because the contract for each OTC derivative is individually negotiated with a specific counterparty, a Fund is subject to the risk that a counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund. If that occurs, the cost and unpredictability of the legal proceedings required for the Fund to enforce its contractual rights may lead it to decide not to pursue its claims against the counterparty. The Fund, therefore, assumes the risk that it may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts or that those payments may be delayed or made only after the Fund has incurred the costs of litigation.

Sometimes, the Fund may post or receive collateral related to changes in the market value of a derivative. A further risk of using OTC derivatives arises when the counterparty’s obligations are not secured by collateral, the Fund’s security interest in any collateral is not perfected, the Fund is required to make a significant upfront deposit, or when the collateral is not regularly marked-to-market. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives the collateral. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. Due to the nature of the Fund’s investments, the Fund may invest in derivatives with a limited number of counterparties and events that affect the creditworthiness of any one of those counterparties may have a pronounced effect on the Fund.

Derivatives risk is particularly acute in economic environments in which the Fund’s counterparties and other financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Derivatives also are subject to a number of risks described in the “Investment Risks” note, including market risk, liquidity risk, currency risk, and credit and counterparty risk. The terms of many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. There can be no assurance that the pricing models employed

by the Fund’s third-party valuation services and/or the Manager will produce valuations that are reflective of levels at which the OTC derivatives purchased by the Fund may actually be closed out or sold. This valuation risk is more pronounced in cases where the Fund enters OTC derivatives with specialized terms because the value of those derivatives in some cases can be determined only by reference to similar derivatives with more standardized terms. Improper valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

There can be no assurance that a Fund’s use of derivatives will be effective or will have the desired results. Moreover, suitable derivatives are not always available in all circumstances. For example, the economic costs of taking some derivatives positions may be prohibitive and, if a counterparty or its affiliate is deemed to be an affiliate of a Fund, none of the Funds is permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures.

Derivatives also involve the risk that changes in their value may not correlate perfectly with the assets, rates or indices they are designed to hedge or closely track. The use of derivatives also may increase the taxes payable by shareholders.

The Fund’s use of derivatives may cause its portfolio to be implicitly leveraged. Leverage increases a Fund’s portfolio losses when the value of its investment positions declines. Since many derivatives have a leverage component, adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the initial value of the derivative.

At November 30, 2009, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:

	Interest rate			Foreign exchange			Credit			Equity		Other
	contracts			contracts			contracts			contracts		contracts		Total
Assets:
Investments, at value (purchased options)	$	—		$	—		$	—		$	—	$	—	$	—
Unrealized appreciation on futures contracts*	192,777			—			—			—		—		192,777
Unrealized appreciation on forward currency contracts	—			344,592			—			—		—		344,592
Unrealized appreciation on swap agreements	1,638,392			—			—			—		—		1,638,392
Total	$	1,831,169		$	344,592		$	—		$	—	$	—	$	2,175,761
Liabilities:
Written options outstanding	$	—		$	—		$	—		$	—	$	—	$	—
Unrealized depreciation on futures contracts*	(496,384		)	—			—			—		—		(496,384		)
Unrealized depreciation on forward currency contracts	—			(115,603		)	—			—		—		(115,603		)
Unrealized depreciation on swap agreements	(3,906,193		)	—			(520,287		)	—		—		(4,426,480		)
Total	$	(4,402,577	)	$	(115,603	)	$	(520,287	)	$	—	$	—	$	(5,038,467	)

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

Other matters

GMO Special Purpose Holding Fund (“SPHF”), an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF.  The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF.  For the period ended November 30, 2009 through January 27, 2010, the Fund received no distributions from SPHF in connection with settlement agreements related to litigation.

For additional information regarding the Fund’s Schedule of Investments, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2009 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 14.7%
		France — 5.5%
		Foreign Government Obligations
EUR	5,000,000	Government of France, 4.00%, due 10/25/38	7,446,192
		Germany — 6.2%
		Foreign Government Obligations
EUR	5,000,000	Republic of Deutschland, 4.75%, due 07/04/34(a)	8,397,425
		United States — 3.0%
		U.S. Government
USD	3,989,930	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10(a)(b)	4,001,776
		TOTAL DEBT OBLIGATIONS (COST $17,825,001)	19,845,393
Shares		Description	Value ($)
		MUTUAL FUNDS — 83.8%
		United States — 83.8%
		Affiliated Issuers
	547,014	GMO Emerging Country Debt Fund, Class III	4,742,609
	4,332,356	GMO Short-Duration Collateral Fund	68,797,811
	5,496	GMO Special Purpose Holding Fund(c)	3,242
	503,296	GMO U.S. Treasury Fund	12,592,465
	1,298,762	GMO World Opportunity Overlay Fund	27,131,147
		Total United States	113,267,274
		TOTAL MUTUAL FUNDS (COST $128,595,403)	113,267,274
Principal Amount		Description	Value ($)
		OPTIONS PURCHASED — 0.2%
		Options on Interest Rates — 0.2%
EUR	30,000,000	EUR Interest Rate Call, Expires 05/18/10, Strike 2.31	264,378
		TOTAL OPTIONS PURCHASED (COST $260,208)	264,378
Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.7%
	911,107	State Street Institutional Treasury Plus Money Market Fund-Institutional Class	911,107
		Other Short-Term Investments — 0.1%
	200,000	U.S. Treasury Bill, 0.21%, due 10/21/10 (a)(d)	199,631
		TOTAL SHORT-TERM INVESTMENTS (COST $1,110,477)	1,110,738
		TOTAL INVESTMENTS — 99.5% (Cost $147,791,089)	134,487,783
		Other Assets and Liabilities (net) — 0.5%	696,321
		TOTAL NET ASSETS — 100.0%	$	135,184,104

As of November 30, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	145,650,957	$	2,061,638	$	(13,224,812	)	$	(11,163,174	)

Investments in Affiliated Issuers

The Fund makes investments in other GMO Trust funds (“underlying funds”).  The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2009 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Emerging Country Debt Fund, Class III	$	3,145,736	$	64,689	$	—	$	64,689	$	—	$	4,742,609
GMO Short-Duration Collateral Fund	74,083,286		—		—		877,695		—		68,797,811		¨
GMO Special Purpose Holding Fund	4,012		—		—		—		—		3,242
GMO U.S. Treasury Fund	—		35,376,039		22,800,000		26,039		—		12,592,465
GMO World Opportunity Overlay Fund	20,324,202		3,900,000		—		—		—		27,131,147		*
Totals	$	97,557,236	$	39,340,728	$	22,800,000	$	968,423	$	—	$	113,267,274

¨ Through the period ending November 30, 2009, the Fund received estimated return of capital distributions in the amount of $18,038,144. Please note that in early 2010, the tax characterization of distributions paid by other fund(s) of the GMO Trust in calendar year 2009 will be finalized.

* The Fund received estimated return of capital distributions in the amount of $1,857,269.

Forward Currency Contracts

A summary of outstanding financial instruments at November 30, 2009 is as follows:

Settlement Date	Deliver/Receive	Units of Currency	Value		Net Unrealized Appreciation (Depreciation)
Buys †
1/12/10	AUD	300,000	$	273,670	$	(1,370	)
1/12/10	AUD	1,600,000	1,459,571		3,571
1/19/10	CAD	500,000	473,750		2,781
2/16/10	CHF	3,300,000	3,287,164		45,513
12/01/09	EUR	400,000	600,620		8,548
12/01/09	EUR	9,500,000	14,264,735		31,361
1/05/10	JPY	80,000,000	925,664		25,276
			$	21,285,174	$	115,680
Sales#
1/12/10	AUD	800,000	$	729,786	$	(6,554	)
1/19/10	CAD	2,700,000	2,558,247		13,181
12/01/09	EUR	9,900,000	14,865,356		(470,756		)
2/23/10	EUR	9,500,000	14,259,914		(34,852		)
1/26/10	GBP	600,000	986,716		884
12/08/09	NZD	800,000	572,802		(5,018		)
			$	33,972,821	$	(503,115	)

†        Fund buys foreign currency; sells USD.

#        Fund sells foreign currency; buys USD.

Forward Cross Currency Contracts

Settlement Date	Deliver/Units of Currency		Receive/In Exchange For		Net Unrealized Appreciation (Depreciation)
2/02/10	EUR	2,500,000	NOK	21,175,000	$	(31,303	)

Futures Contracts

Number of Contracts	Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
100	Federal Funds 30 day	December 2009	$	41,615,829	$	(2,802	)
226	Euro Bund	December 2009	41,953,908		715,815
18	Australian Government Bond 10 Yr.	December 2009	1,745,843		24,927
35	Australian Government Bond 3 Yr.	December 2009	3,321,000		16,991
77	Canadian Government Bond 10 Yr.	March 2010	8,854,927		101,162
107	UK Gilt Long Bond	March 2010	20,855,518		213,888
			$	118,347,025	$	1,069,981
Sales
13	Japanese Government Bond 10Yr. (TSE)	December 2009	$	21,015,965	$	(191,402	)
7	U.S. Treasury Bond (CBT)	March 2010	859,031		(2,147		)
17	U.S. Treasury Note 2 Yr. (CBT)	March 2010	3,704,141		(2,270		)
8	U.S. Treasury Note 5 Yr. (CBT)	March 2010	938,125		(859		)
42	U.S. Treasury Note 10 Yr. (CBT)	March 2010	5,037,375		(5,997		)
			$	31,554,637	$	(202,675	)

Swap Agreements

Credit Default Swaps

Notional Amount		Expiration Date	Counterparty	Receive (Pay)^	Annual Premium		Implied Credit Spread (1)		Deliverable on Default		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Market Value
28,000,000	USD	3/20/2014	Deutsche Bank AG	(Pay)	1.70	%	0.84	%	Republic of Italy		NA		$	(1,075,388	)
20,000,000	USD	3/20/2019	Deutsche Bank AG	Receive	1.66	%	1.03	%	Republic of Italy		20,000,000	USD	1,036,162
													$	(39,226	)
										Premiums to (Pay) Receive			$	—

^	Receive - Fund receives premium and sells credit protection.
	(Pay) - Fund pays premium and buys credit protection.
(1)	Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of November 30, 2009, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Notional Amount		Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate		Variable Rate	Market Value
40,000,000	EUR	1/23/2012	Deutsche Bank AG	Receive	2.71	%	6 month EUR LIBOR	$	964,538
								$	964,538
					Premiums to (Pay) Receive			$	—

#Receive - Fund receives fixed rate and pays variable rate.

(Pay) - Fund pays fixed rate and receives variable rate.

As of November 30, 2009, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

CBT - Chicago Board of Trade
EUR LIBOR - London Interbank Offered Rate denominated in Euros.
TSE - Tokyo Stock Exchange
(a)	All or a portion of this security has been pledged to cover margin requirements on open financial futures contracts and/or collateral on open swap contracts.
(b)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.
(c)	Underlying investment represents interests in defaulted claims.
(d)	Rate shown represents yield-to-maturity.
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
USD - United States Dollar

Portfolio valuation

Securities listed on a securities exchange for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price on each business day or, (iii) if there is no such reported sale or official closing price, at the most recent quoted bid price or broker bid (if the Manager deems the private market to be more relevant in determining market value than an exchange). Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted bid price. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost. Shares of investment funds are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. During the period ended November 30, 2009, the Fund did not reduce the values of any OTC derivatives on account of the credit worthiness of a counterparty.

Typically the Fund and the underlying funds value debt instruments based on the most recent bid supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund. As of November 30, 2009, the total value of securities held directly and indirectly that were fair valued or for which no alternative pricing source was available represented 15.01% of the net assets of the Fund.

In accordance with the authoritative guidance on fair value measurements and disclosures under Generally Accepted Accounting Principles (“GAAP”), the Fund discloses the fair value of its investments in a three-level hierarchy.  The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows:

Level 1 — Valuations based on quoted prices for identical securities in active markets.

Level 2 — Valuations determined using other significant direct or indirect observable inputs. These inputs may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves and similar data.

Level 3 — Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund utilized third party valuation services (which use industry models and inputs from pricing vendors) to value credit default swaps.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments:

ASSET VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Debt Obligations
U.S. Government	$	—	$	4,001,776	$	—	$	4,001,776
Foreign Government Obligations	—		15,843,617		—		15,843,617
TOTAL DEBT OBLIGATIONS	—		19,845,393		—		19,845,393
Mutual Funds	17,335,074		95,932,200		—		113,267,274
Options Purchased	—		264,378		—		264,378
Short-Term Investments	199,631		911,107		—		1,110,738
Total Investments	17,534,705		116,953,078		—		134,487,783
Derivatives
Swap Agreements	—		964,538		1,036,162		2,000,700
Futures Contracts	1,072,783		—		—		1,072,783
Forward Currency Contracts	—		131,115		—		131,115
Total	$	18,607,488	$	118,048,731	$	1,036,162	$	137,692,381

LIABILITY VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total
Derivatives
Swap Agreements	$	—		$	—		$	(1,075,388	)	$	(1,075,388	)
Futures Contracts	(205,477		)	—			—			(205,477		)
Forward Currency Contracts	—			(549,853		)	—			(549,853		)
Total	$	(205,477	)	$	(549,853	)	$	(1,075,388	)	$	(1,830,718	)

Underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and other financial instruments using Level 3 inputs were 45.79% and (0.08)% of total net assets, respectively.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2009			Net Purchases/ (Sales)		Accrued Discounts/ Premiums		Total Realized Gain/(Loss)			Change in Unrealized Appreciation (Depreciation)			Net transfers in to/out of Level 3			Balances as of November 30, 2009
Mutual Funds	$	4,012		$	—	$	—	$	—		$	(770	)	$	(3,242	)	$	—
Swaps	(50,843		)	69,509		—		(69,509		)	11,617			—			(39,226		)
Total	$	(46,831	)	$	69,509	$	—	$	(69,509	)	$	10,847		$	(3,242	)	$	(39,226	)

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are accrued or incurred. The Fund does not isolate realized and unrealized gains and losses that result from changes in exchange rates from realized and unrealized gains and losses that result from changes in the market value of investments. Both of those changes are included in net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent gains and losses on disposition of currencies and forward currency contracts, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund’s accounting records and the U.S. dollar equivalent amounts actually received or paid.

Forward currency contracts

The Fund may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by the Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price during a specified future time period. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund may purchase put and call options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule

of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Options contracts purchased by the Fund and outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

The Fund may write (i.e., sell) call and put options. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g. index options), settlement will be in cash. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. Over-the- counter options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments purchased. Written options outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

The Fund values exchange traded options at the last sale price or, if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values over-the-counter options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest, e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal.

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance

of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

Swap agreements generally are not traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the party with whom the Fund contracts defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that the collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at a later date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a stated price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in Options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options.  However, because warrants and rights are considered to be over-the-counter instruments, they often do not have standardized terms, may have longer maturities and may be less liquid than exchange-traded options.  In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and an investor may lose money by investing in the Fund. Following is a brief summary of the principal risks of an investment in the Fund. Many of these risks are more pronounced as a result of current global economic conditions that began to unfold in 2008.This summary is not intended to include every potential risk of investing in the Fund. The Fund could be subject to additional risks because the types of investments it makes may change over time.

· Market Risk — Fixed Income Securities — Typically, the value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads on asset-backed and other fixed income securities. Recent changes in credit markets increased credit spreads and there can be no assurance that those spreads will tighten or not increase further.

· Credit and Counterparty Risk — This is the risk that the issuer or guarantor of a fixed income security, the counterparty to an OTC derivatives contract, a borrower of the Fund’s securities, a counterparty to a reverse repurchase agreement or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to make timely principal, interest, or settlement payments or otherwise honor its obligations. This risk is particularly pronounced for the Fund because it typically uses OTC derivatives, including swap contracts with longer-term maturities, and may have significant exposure to a single counterparty. The risk of counterparty default is particularly acute in economic environments where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions.

· Liquidity Risk — Low trading volume, lack of a market maker, or legal restrictions may limit or prevent the Fund from selling securities or closing derivative positions at desirable prices. The Fund may be required to sell certain less liquid securities at distressed prices or meet redemption requests in-kind. Recent changes in credit markets have reduced the liquidity of all types of fixed income securities, including in particular the asset-backed securities held by the Fund through SDCF and Overlay Fund.

· Fund of Funds Risk — The Fund is indirectly exposed to all of the risks of an investment in underlying funds, including the risk that the underlying funds in which it invests will not perform as expected.

Other principal risks of an investment in the Fund include Foreign Investment Risk (risk that the market prices of foreign securities may fluctuate more rapidly and to a greater extent than those of U.S. securities), Derivatives Risk (use of derivatives by the Fund involves risks different from, and potentially greater than, risks associated with direct investments in securities and other investments by the Fund), Leveraging Risk (increased risks from use of reverse repurchase agreements and other derivatives and securities lending), Currency Risk (risk that fluctuations in exchange rates may adversely affect the value of the Fund’s foreign currency holdings and investments denominated in foreign currencies), Focused Investment Risk (increased risk from the Fund’s focus on investments in countries, regions, or sectors with high positive correlations to one another), and Management Risk (risk that the Manager’s strategies and techniques will fail to produce the desired results), Market Disruption and Geopolitical Risk (risk that geopolitical events may increase market volatility and have adverse long-term effects on U.S. and world economies and markets generally), and Large Shareholder Risk (risk that shareholders of the Fund, such as institutional investors or other series of the Trust, will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis). The Fund is a non-diversified investment company under the 1940 Act, and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. Certain of the above-referenced risks will be more pronounced for the Fund as a result of its investment in ECDF. For more information about reverse repurchase agreements and other derivatives, please refer to the descriptions of financial instruments (e.g. reverse repurchase agreements, swaps, futures and other types of derivative contracts) above as well as the discussion of the Fund’s use of derivatives below.

The Fund invests (including through investment in underlying funds) in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit-card receivables, which expose the Fund to additional types of market risk. Asset-backed securities also may be collateralized by the fees earned by service providers. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations”). Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flows generated by the underlying assets backing the securities. The amount of market risk associated with asset-backed securities depends on many factors, including the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support, if any, provided for the securities, and the credit quality of the credit-support provider, if any. Asset-backed securities involve risk of loss of principal if too many obligors of the underlying obligations default in payment of the obligations. The obligations of issuers (and obligors of underlying assets) also are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

With the deterioration of worldwide economic and liquidity conditions that became acute in 2008, the markets for asset-backed securities became fractured and uncertainty about the creditworthiness of those securities (and underlying collateral) caused credit spreads (the difference between yields on the asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities generally. These events reduced liquidity for securitized credits and contributed to substantial declines in the value of asset-backed and other fixed income securities. There can be no assurance these conditions will not continue or that they will not deteriorate further. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse credit, valuation and liquidity effects on asset-backed securities. There can be no assurance that in the future the market for asset-backed securities will become more liquid.

The value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying collateral. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. In addition, asset-backed securities representing diverse sectors (e.g., auto loans, student loans, sub-prime mortgages, and credit-card receivables) have become more highly correlated since the deterioration of worldwide economic and liquidity conditions referred to above.

The Fund uses its cash balance to meet its collateral obligations and for other purposes. There is no assurance that the Fund’s cash balance will be sufficient to meet those obligations. If it is not, the Fund would be required to liquidate portfolio positions. To manage the Fund’s cash collateral needs, the Manager reserves the right to reduce or eliminate the Fund’s derivative exposures. A reduction in those exposures may cause the performance of the Fund to track its benchmark less closely and make the Fund’s performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

Disclosures about Derivative Instruments and Hedging Activities — In accordance with GAAP authoritative guidance, effective March 1, 2009, the Fund included expanded disclosures regarding its derivative instrument and hedging activities.

The Fund uses derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include swaps, reverse repurchase agreements and other over-the-counter (“OTC”) contracts.

The Fund uses derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including currency forwards, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Fund may buy credit default protection using derivatives in an attempt to hedge or reduce its investment exposures. For example, the Fund may use credit default swaps to take an active short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to hedge or reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager may attempt to alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed vs. variable and shorter duration vs. longer duration. The Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The use of derivatives involves risks different from, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. In particular, the use of OTC derivatives contracts exposes the Fund to the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivative contracts typically can be closed out only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but there can be no assurance that the Fund will be able to enforce its contractual rights. For example, because the contract for each OTC derivative is individually negotiated with a specific counterparty, a Fund is subject to the risk that a counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund. If that occurs, the cost and unpredictability of the legal proceedings required for the Fund to enforce its contractual rights may lead it to decide not to pursue its claims against the counterparty. The Fund, therefore, assumes the risk that it may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts or that those payments may be delayed or made only after the Fund has incurred the costs of litigation.

Sometimes, the Fund may post or receive collateral related to changes in the market value of a derivative. A further risk of using OTC derivatives arises when the counterparty’s obligations are not secured by collateral, the Fund’s security interest in any collateral is not perfected, the Fund is required to make a significant upfront deposit, or when the collateral is not regularly marked-to-market. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives the collateral. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. Due to the nature of the Fund’s investments, the Fund may invest in derivatives with a limited number of counterparties and events that affect the creditworthiness of any one of those counterparties may have a pronounced effect on the Fund.

Derivatives risk is particularly acute in economic environments in which the Fund’s counterparties and other financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Derivatives also are subject to a number of risks described in the “Investment Risks” note, including market risk, liquidity risk, currency risk, and credit and counterparty risk. The terms of many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. There can be no assurance that the pricing models employed by the Fund’s third-party valuation services and/or the Manager will produce valuations that are reflective of levels at which the OTC derivatives purchased by the Fund may actually be closed out or sold. This valuation risk is more pronounced in cases where the Fund enters OTC derivatives with specialized terms because the value of those derivatives in some cases can be determined only by reference to similar derivatives with more standardized terms. Improper valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

There can be no assurance that a Fund’s use of derivatives will be effective or will have the desired results. Moreover, suitable derivatives are not always available in all circumstances. For example, the economic costs of taking some derivatives positions may be prohibitive and, if a counterparty or its affiliate is deemed to be an affiliate of a Fund, none of the Funds is permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures.

Derivatives also involve the risk that changes in their value may not correlate perfectly with the assets, rates or indices they are designed to hedge or closely track. The use of derivatives also may increase the taxes payable by shareholders.

The Fund’s use of derivatives may cause its portfolio to be implicitly leveraged. Leverage increases a Fund’s portfolio losses when the value of its investment positions declines. Since many derivatives have a leverage component, adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the initial value of the derivative.

At November 30, 2009, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:

	Interest rate			Foreign exchange			Credit			Equity		Other
	contracts			contracts			contracts			contracts		contracts		Total
Assets:
Investments, at value (purchased options)	$	264,378		$	—		$	—		$	—	$	—	$	264,378
Unrealized appreciation on futures contracts*	1,072,783			—			—			—		—		1,072,783
Unrealized appreciation on forward currency contracts	—			131,115			—			—		—		131,115
Unrealized appreciation on swap agreements	964,538			—			1,036,162			—		—		2,000,700
Total	$	2,301,699		$	131,115		$	1,036,162		$	—	$	—	$	3,468,976
Liabilities:
Written options outstanding	$	—		$	—		$	—		$	—	$	—	$	—
Unrealized depreciation on futures contracts*	(205,477		)	—			—			—		—		(205,477		)
Unrealized depreciation on forward currency contracts	—			(549,853		)	—			—		—		(549,853		)
Unrealized depreciation on swap agreements	—			—			(1,075,388		)	—		—		(1,075,388		)
Total	$	(205,477	)	$	(549,853	)	$	(1,075,388	)	$	—	$	—	$	(1,830,718	)

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

Other matters

GMO Special Purpose Holding Fund (“SPHF”), an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF.  The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF.  For the period ended November 30, 2009 through January 27, 2010, the Fund received no distributions from SPHF in connection with settlement agreements related to litigation.

For additional information regarding the Fund’s Schedule of Investments, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2009 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.3%
		United States — 99.3%
		Affiliated Issuers
607,780		GMO International Growth Equity Fund, Class IV	12,544,575
586,427		GMO International Intrinsic Value Fund, Class IV	12,215,281
		Total United States	24,759,856
		TOTAL MUTUAL FUNDS (COST $23,196,152)	24,759,856
Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.9%
USD	68,988	Bank of Ireland Time Deposit, 0.03%, due 12/01/09	68,988
CAD	26	Brown Brothers Harriman Time Deposit, 0.06%, due 12/01/09	14
USD	400,000	Commerzbank Time Deposit, 0.15%, due 12/01/09	400,000
		TOTAL SHORT-TERM INVESTMENTS(COST $469,002)	469,002
		TOTAL INVESTMENTS — 101.2% (Cost $23,665,154)	25,228,858
		Other Assets and Liabilities (net) — (1.2%)	(296,027		)
		TOTAL NET ASSETS — 100.0%	$	24,932,831

As of November 30, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	27,366,391	$	—	$	(2,137,533	)	$	(2,137,533	)

Investments in Affiliated Issuers

The Fund makes investments in other GMO Trust funds (“underlying funds”).  The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2009 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO International Growth Equity Fund, Class IV	$	12,499,409	$	1,163,645	$	6,195,500	$	373,645	$	—	$	12,544,575
GMO International Intrinsic Value Fund, Class IV	12,473,977		499,117		6,482,500		191,117		—		12,215,281
Totals	$	24,973,386	$	1,662,762	$	12,678,000	$	564,762	$	—	$	24,759,856

A summary of outstanding financial instruments at November 30, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency	Value		Net Unrealized Appreciation (Depreciation)
Buys †
12/18/09	AUD	40,000	$	36,575	$	24
12/18/09	AUD	75,000	68,579		170
12/18/09	CAD	481,000	455,751		(4,087		)
12/18/09	DKK	229,000	46,192		636
12/18/09	EUR	105,000	157,655		160
12/18/09	EUR	125,000	187,684		2,136
12/18/09	EUR	64,000	96,094		1,304
12/18/09	GBP	62,000	101,986		(673		)
12/18/09	GBP	62,000	101,986		240
12/18/09	JPY	23,009,000	266,206		9,335
12/18/09	JPY	22,493,000	260,236		6,130
			$	1,778,944	$	15,375
Sales #
12/18/09	AUD	494,029	$	451,732	$	4,751
12/18/09	AUD	494,029	451,732		2,755
12/18/09	AUD	494,029	451,732		3,733
12/18/09	AUD	494,029	451,732		4,405
12/18/09	AUD	494,029	451,732		4,686

12/18/09	CHF	593,659	591,104		(2,943		)
12/18/09	CHF	611,649	609,016		(2,809		)
12/18/09	CHF	593,659	591,104		(3,218		)
12/18/09	DKK	3,638,078	733,845		(2,799		)
12/18/09	DKK	3,638,078	733,845		(2,709		)
12/18/09	EUR	801,466	1,203,381		(6,912		)
12/18/09	EUR	748,035	1,123,155		(5,644		)
12/18/09	EUR	748,035	1,123,155		(7,439		)
12/18/09	EUR	748,035	1,123,155		(3,639		)
12/18/09	EUR	979,035	1,469,996		(4,340		)
12/18/09	EUR	801,466	1,203,381		(5,301		)
12/18/09	EUR	748,035	1,123,155		(3,252		)
12/18/09	GBP	349,532	574,955		346
12/18/09	GBP	374,499	616,024		146
12/18/09	GBP	415,532	683,521		(1,105		)
12/18/09	GBP	619,532	1,019,086		3,673
12/18/09	GBP	374,499	616,024		486
12/18/09	GBP	349,532	574,955		(218		)
12/18/09	GBP	349,532	574,955		(524		)
12/18/09	HKD	3,442,380	444,235		92
12/18/09	JPY	68,515,553	792,702		(35,205		)
12/18/09	JPY	68,515,553	792,702		(33,787		)
12/18/09	JPY	63,947,850	739,855		(32,142		)
12/18/09	JPY	63,947,850	739,855		(31,723		)
12/18/09	JPY	63,947,850	739,855		(31,749		)
12/18/09	JPY	63,947,850	739,855		(33,042		)
12/18/09	JPY	63,947,850	739,855		(31,102		)
12/18/09	NOK	3,176,524	559,343		10,939
12/18/09	NZD	100,000	71,544		3,612
12/18/09	SEK	2,451,504	351,666		1,488
12/18/09	SEK	2,451,504	351,666		1,692
12/18/09	SGD	578,286	417,738		(3,365		)
12/18/09	SGD	418,286	302,159		(1,179		)
			$	26,329,502	$	(243,342	)

†       Fund buys foreign currency; sells USD.

#       Fund sells foreign currency; buys USD.

Notes to Schedule of Investments:

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

Investments held by the underlying funds are valued as follows.  Securities listed on a securities exchange for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price on each business day or, (iii) if there is no such reported sale or official closing price, at the most recent quoted bid price or broker bid (if the Manager deems the private market to be more relevant in determining market value than an exchange). Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted bid price.  Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost.  Shares of investment funds are generally valued at their net asset value.  Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees.  Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale.  Because many foreign equity securities markets and exchanges close prior to the close of the New York Stock Exchange (“NYSE”), closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close but before the close of the NYSE.  As a result, the Fund generally values foreign equity securities as of the NYSE close using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor using that vendor’s proprietary models. As of November 30, 2009, 91.70% of the net assets of the Fund, through investments in the underlying funds, were valued using fair value prices based on models used by that third party vendor. Those underlying funds classify such securities (as defined below) as Level 2.

In accordance with the authoritative guidance on fair value measurements and disclosures under Generally Accepted Accounting Principles (“GAAP”), the Fund discloses the fair value of its investments in a three-level hierarchy.  The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows:

Level 1 — Valuations based on quoted prices for identical securities in active markets.

Level 2 — Valuations determined using other significant direct or indirect observable inputs.

Level 3 — Valuations based on inputs that are unobservable and significant.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments:

ASSET VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Mutual Funds
United States	$	24,759,856	$	—	$	—	$	24,759,856
TOTAL MUTUAL FUNDS	24,759,856		—		—		24,759,856
Short-Term Investments	469,002		—		—		469,002
Total Investments	25,228,858		—		—		25,228,858
Forward Currency Contracts	—		62,939		—		62,939
Total	$	25,228,858	$	62,939	$	—	$	25,291,797

LIABILITY VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Forward Currency Contracts	$	—	$	(290,906	)	$	—	$	(290,906	)
Total	$	—	$	(290,906	)	$	—	$	(290,906	)

Underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the portfolio valuation notes in their financial statements.

The Fund held no investments or other financial instruments at either February 28, 2009 or November 30, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are accrued or incurred. The Fund does not isolate realized and unrealized gains and losses that result from changes in exchange rates from realized and unrealized gains and losses that result from changes in the market value of investments. Both of those changes are included in net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent gains and losses on disposition of currencies and forward currency contracts, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund’s accounting records and the U.S. dollar equivalent amounts actually received or paid.

Forward currency contracts

The Fund may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by the Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized.  Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price during a specified future time period. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Because many foreign exchanges close prior to the close of the New York Stock Exchange (“NYSE”), closing prices for foreign futures contracts on those exchanges do not reflect events that occur after that close but before the close of the NYSE. As a result, the Fund generally values foreign futures contracts using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor’s proprietary models.  The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may purchase put and call options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid.  The Fund had no purchased option contracts outstanding at the end of the period.

The Fund may write (i.e., sell) call and put options. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g. index options), settlement will be in cash. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call)

or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. Over-the- counter options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments purchased.  The Fund had no open written option contracts during the period.

The Fund values exchange traded options at the last sale price or, if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values over-the-counter options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest, e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal.

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

Swap agreements generally are not traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the

possibility that the party with whom the Fund contracts defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that the collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a stated price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in Options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options.  However, because warrants and rights are considered to be over-the-counter instruments, they often do not have standardized terms, may have longer maturities and may be less liquid than exchange-traded options.  In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish.The Fund held no rights or warrants at the end of the period.

Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value and an investor may lose money by investing in the Fund. Following is a brief summary of the principal risks of an investment in the Fund, including those risks to which the Fund is exposed as a result of its investments in underlying funds.  This summary is not intended to include every potential risk of investing in the Fund. The Fund could be subject to additional risks because the types of investments it makes may change over time.

· Market Risk — Equity Securities — Equity securities held by underlying funds may decline in value due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. Because the Fund and its underlying funds generally seek to be fully invested and normally do not take temporary defensive positions, declines in stock market prices generally are likely to result in declines in the value of the Fund’s and the underlying funds’ investments.

· Derivatives Risk — The use of derivatives by the Fund or underlying funds involves risks different from, and potentially greater than, risks associated with direct investments in securities and other assets. Derivatives may increase other Fund risks, including market risk, liquidity risk, and credit and counterparty risk, and their value may or may not correlate with the value of the relevant underlying asset. The risk to the Fund of using derivatives is particularly pronounced because the Fund typically makes frequent use of currency forwards and other derivatives for hedging purposes.

· Foreign Investment Risk — The market prices of foreign securities may fluctuate more rapidly and to a greater extent than those of U.S. securities. Foreign markets often are less stable, smaller, less liquid, and less regulated, and the cost of trading in those markets often is higher, than in U.S. markets. The Fund or an underlying fund may need to maintain a license to invest in some foreign markets. Changes in investment, capital, or exchange control regulations could adversely affect the value of the Fund’s foreign investments.

· Liquidity Risk — Low trading volume, lack of a market maker, or legal restrictions may limit or prevent an underlying fund from selling securities or closing derivative positions at desirable prices.

· Fund of Funds Risk — The Fund is indirectly exposed to all of the risks of an investment in the underlying funds, including the risk that the underlying funds in which it invests will not perform as expected.

Other principal risks of an investment in the Fund include Smaller Company Risk (greater price fluctuations and liquidity risk resulting from investments by an underlying fund in companies with smaller market capitalizations), Currency Risk (risk that fluctuations in exchange rates may adversely affect the value of an underlying fund’s investments denominated in foreign currencies, or that the U.S. dollar will decline in value relative to the foreign currency being hedged by the Fund or an underlying fund), Credit and Counterparty Risk (risk of default of a derivatives counterparty of the Fund or an underlying fund or a borrower of an underlying fund’s securities), Management Risk (risk that the Manager’s strategies and techniques will fail to produce the desired results), Market Disruption and Geopolitical Risk (risk that geopolitical events may increase market volatility and have adverse long-term effects on U.S. and world economies and markets generally), and Large Shareholder Risk (risk that shareholders of the Fund, such as institutional investors or other series of the Trust, will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis). The Fund is a non-diversified investment company under the 1940 Act, and therefore a decline in the market value of a particular security held by an underlying fund may affect the Fund’s performance more than if the Fund were diversified.

Disclosures about Derivative Instruments and Hedging Activities — In accordance with GAAP authoritative guidance, effective March 1, 2009, the Fund included expanded disclosures regarding its derivative instrument and hedging activities.

The Fund uses derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include swaps, reverse repurchase agreements and other over-the-counter (“OTC”) contracts.

The Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark. The Manager looks at the holdings of the GMO Trust Funds in which the Fund invests (the “underlying Funds”) to measure base currency exposure and then attempts to hedge at least 70% of the foreign currency exposure in the underlying Funds’ investments relative to the U.S. dollar through the use of currency forwards and other derivatives.

The use of derivatives involves risks different from, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. In particular, the use of OTC derivatives contracts exposes the Fund to the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivative contracts typically can be closed out only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but there can be no assurance that the Fund will be able to enforce its contractual rights. For example, because the contract for each OTC derivative is individually negotiated with a specific counterparty, a Fund is subject to the risk that a counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund. If that occurs, the cost and unpredictability of the legal proceedings required for the Fund to enforce its contractual rights may lead it to decide not to pursue its claims against the counterparty. The Fund, therefore, assumes the risk that it may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts or that those payments may be delayed or made only after the Fund has incurred the costs of litigation.

Sometimes, the Fund may post or receive collateral related to changes in the market value of a derivative. A further risk of using OTC derivatives arises when the counterparty’s obligations are not secured by collateral, the Fund’s security interest in any collateral is not perfected, the Fund is required to make a significant upfront deposit, or when the collateral is not regularly marked-to-market. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives the collateral. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. Due to the nature of the Fund’s investments, the Fund may invest in derivatives with a limited number of counterparties and events that affect the creditworthiness of any one of those counterparties may have a pronounced effect on the Fund.

Derivatives risk is particularly acute in economic environments in which the Fund’s counterparties and other financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Derivatives also are subject to a number of risks described in the “Investment Risks” note, including market risk, liquidity risk, currency risk, and credit and counterparty risk. The terms of many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. There can be no assurance that the pricing models employed by the Fund’s third-party valuation services and/or the Manager will produce valuations that are reflective of levels at which the OTC derivatives purchased by the Fund may actually be closed out or sold. This valuation risk is more pronounced in cases where the Fund enters OTC derivatives with specialized terms because the value of those derivatives in some cases can be determined only by reference to similar derivatives with more standardized terms. Improper valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

There can be no assurance that a Fund’s use of derivatives will be effective or will have the desired results. Moreover, suitable derivatives are not always available in all circumstances. For example, the economic costs of taking some derivatives positions may be prohibitive and, if a counterparty or its affiliate is deemed to be an affiliate of a Fund, none of the Funds is permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures.

Derivatives also involve the risk that changes in their value may not correlate perfectly with the assets, rates or indices they are designed to hedge or closely track. The use of derivatives also may increase the taxes payable by shareholders.

The Fund’s use of derivatives may cause its portfolio to be implicitly leveraged. Leverage increases a Fund’s portfolio losses when the value of its investment positions declines. Since many derivatives have a leverage component, adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the initial value of the derivative.

At November 30, 2009, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:

	Interest rate		Foreign exchange			Credit		Equity		Other
	contracts		contracts			contracts		contracts		contracts		Total
Assets:
Investments, at value (rights and warrants)	$	—	$	—		$	—	$	—	$	—	$	—
Unrealized appreciation on futures contracts*	—		—			—		—		—		—
Unrealized appreciation on forward currency contracts	—		62,939			—		—		—		62,939
Unrealized appreciation on swap agreements	—		—			—		—		—		—
Total	$	—	$	62,939		$	—	$	—	$	—	$	62,939
Liabilities:
Written options outstanding	$	—	$	—		$	—	$	—	$	—	$	—
Unrealized depreciation on futures contracts*	—		—			—		—		—		—
Unrealized depreciation on forward currency contracts	—		(290,906		)	—		—		—		(290,906		)
Unrealized depreciation on swap agreements	—		—			—		—		—		—
Total	$	—	$	(290,906	)	$	—	$	—	$	—	$	(290,906	)

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

For additional information regarding the Fund’s Schedule of Investments, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2009 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 96.0%
	Australia — 0.7%
28,605	BHP Billiton Ltd	1,078,372
10,939	Commonwealth Bank of Australia	527,691
22,897	Woodside Petroleum Ltd	1,021,106
	Total Australia	2,627,169
	Belgium — 0.8%
40,608	Anheuser-Busch InBev NV	2,027,517
108,031	Dexia SA *	820,873
	Total Belgium	2,848,390
	Canada — 0.9%
15,500	Bank of Nova Scotia	712,289
7,600	Canadian National Railway Co	398,219
22,300	Canadian Pacific Railway Ltd	1,076,967
20,700	Husky Energy Inc	543,292
12,100	Royal Bank of Canada	651,318
	Total Canada	3,382,085
	France — 7.3%
36,098	ArcelorMittal	1,415,718
50,571	AXA	1,215,651
77,083	BNP Paribas	6,398,852
11,518	Bouygues SA	573,230
10,303	Casino Guichard-Perrachon SA	884,540
7,469	CNP Assurances	800,396
25,935	Compagnie de Saint-Gobain	1,410,965
18,678	France Telecom SA	485,723
11,406	GDF Suez	476,780
7,198	Lafarge SA	593,478
27,418	Peugeot SA *	973,524
4,816	PPR	583,621
29,584	Renault SA *	1,436,180
49,206	Sanofi-Aventis	3,721,749
29,597	Societe Generale	2,093,203
70,244	Total SA	4,356,560
2,520	Vallourec SA	422,687
	Total France	27,842,857
	Germany — 2.2%
12,152	BASF AG	734,543
25,883	Bayerische Motoren Werke AG	1,219,918
10,657	Deutsche Bank AG (Registered)	772,562
31,590	Deutsche Post AG (Registered)	591,456
20,644	Hannover Rueckversicherung AG (Registered) *	986,343
5,225	MAN SE	427,897
7,956	Metro AG	499,910
8,554	RWE AG	785,342
7,062	Salzgitter AG	674,511
34,295	Suedzucker AG	750,187
28,524	ThyssenKrupp AG	1,041,016
	Total Germany	8,483,685
	Greece — 0.3%
34,717	National Bank of Greece SA *	1,029,004

	Hong Kong — 0.7%
164,500	BOC Hong Kong Holdings Ltd	377,422
39,500	CLP Holdings Ltd	267,566
50,100	Esprit Holdings Ltd	337,013
91,000	Hong Kong Electric Holdings Ltd	494,331
25,500	Hong Kong Exchanges & Clearing Ltd	453,874
49,000	Sun Hung Kai Properties Ltd	723,362
	Total Hong Kong	2,653,568
	Ireland — 0.1%
21,846	CRH Plc	554,961
	Italy — 4.1%
333,684	Enel SPA	2,002,947
233,721	ENI SPA	5,798,012
84,971	Mediaset SPA	646,578
125,258	Parmalat SPA	364,943
18,431	Saipem SPA	594,784
112,802	Snam Rete Gas SPA	566,240
542,023	Telecom Italia SPA	869,261
608,935	Telecom Italia SPA-Di RISP	689,202
18,074	Tenaris SA	358,085
77,840	Terna SPA	323,685
945,972	UniCredit SPA *	3,251,323
	Total Italy	15,465,060
	Japan — 12.0%
40,000	Asahi Glass Co Ltd	347,760
12,900	Astellas Pharma Inc	473,827
20,000	Chubu Electric Power Co Inc	510,881
14,700	Chugai Pharmaceutical Co Ltd	278,734
152,000	Cosmo Oil Co Ltd	325,947
97,000	Daiwa Securities Group Inc	518,924
20,700	Denso Corp	576,208
7,300	Eisai Co Ltd	266,911
10,700	Fast Retailing Co Ltd	1,940,930
10,300	FujiFilm Holdings Corp	279,320
69,000	Fujitsu Ltd	406,575
138,000	Fuji Heavy Industries Ltd *	545,096
102,000	Hitachi Ltd *	276,783
96,600	Honda Motor Co Ltd	2,992,668
13,000	Ibiden Co Ltd	436,582
48	INPEX Corp	373,114
150,000	Itochu Corp	1,023,697
21,900	JFE Holdings Inc	716,171
14,300	Kansai Electric Power Co Inc (The)	355,029
90,000	Kawasaki Kisen Kaisha Ltd *	260,211
173	KDDI Corp	933,970
2,130	Keyence Corp	426,279
29,700	Komatsu Ltd	581,198
33,000	Kubota Corp	289,537
6,900	Kyocera Corp	546,972
161,000	Marubeni Corp	845,784
270,000	Mazda Motor Corp *	574,421
33,300	Mitsubishi Corp	746,877
73,000	Mitsui OSK Lines Ltd	405,787
273,700	Mizuho Financial Group Inc	507,719
10,800	Murata Manufacturing Co Ltd	511,090
16,000	NGK Insulators Ltd	349,681

4,600	Nintendo Co Ltd	1,125,084
182,000	Nippon Mining Holdings Inc	708,822
201,000	Nippon Oil Corp	852,679
71,000	Nippon Steel Corp	262,890
36,400	Nippon Telegraph & Telephone Corp	1,566,519
124,000	Nippon Yusen KK	384,329
371,900	Nissan Motor Co Ltd *	2,679,064
89,200	Nomura Holdings Inc	640,955
714	NTT Docomo Inc	1,079,463
15,230	ORIX Corp	1,049,910
113,000	Osaka Gas Co Ltd	410,716
706	Rakuten Inc	569,604
77,000	Ricoh Company  Ltd	1,017,755
3,500	Rohm Co Ltd	229,976
13,600	Sankyo Co Ltd	762,404
36,800	Seven & I Holdings Co Ltd	819,505
35,000	Sharp Corp	398,518
18,700	Shin-Etsu Chemical Co Ltd	1,013,324
59,100	Showa Shell Sekiyu KK	499,103
423,200	Sojitz Corp	737,090
37,300	SUMCO Corp	634,337
144,000	Sumitomo Corp	1,410,671
234,000	Sumitomo Metal Industries Ltd	590,985
37,000	Sumitomo Metal Mining Co Ltd	603,574
216,000	Taisei Corp	377,210
26,000	Taisho Pharmaceutical Co Ltd	474,705
32,800	Takeda Pharmaceutical Co Ltd	1,362,001
6,100	TDK Corp	317,174
5,800	Tokyo Electric Power Co Inc (The)	156,180
8,600	Tokyo Electron Ltd	467,540
112,000	Tokyo Gas Co Ltd	459,858
70,000	TonenGeneral Sekiyu KK	609,203
24,800	Toyota Motor Corp	975,896
58,200	Toyota Tsusho Corp	774,429
	Total Japan	45,646,156
	Netherlands — 1.0%
178,145	Aegon NV *	1,290,723
213,425	ING Groep NV *	1,988,186
12,630	Koninklijke DSM NV	622,829
	Total Netherlands	3,901,738
	Singapore — 2.4%
327,000	Capitaland Ltd	954,189
109,000	DBS Group Holdings Ltd	1,129,456
3,332,000	Golden Agri-Resources Ltd *	1,109,469
131,000	Oversea-Chinese Banking Corp Ltd	794,402
196,000	Sembcorp Industries Ltd	525,122
107,200	Singapore Airlines Ltd	1,031,277
118,000	Singapore Exchange Ltd	670,801
509,600	Singapore Telecommunications	1,080,478
38,000	United Overseas Bank Ltd	517,958
250,000	Wilmar International Ltd	1,140,216
	Total Singapore	8,953,368
	Spain — 1.5%
57,946	Banco Bilbao Vizcaya Argentaria SA	1,096,217
145,776	Banco Santander SA	2,509,456
19,889	Gas Natural SDG SA	413,603

44,607	Repsol YPF SA	1,227,775
18,530	Telefonica SA	532,687
	Total Spain	5,779,738
	Sweden — 2.0%
23,261	Assa Abloy AB Class B	428,588
25,193	Atlas Copco AB Class A	358,322
51,805	Boliden AB	655,557
42,430	Electrolux AB Series B *	1,041,872
69,039	Ericsson LM B Shares	670,415
15,577	Hennes & Mauritz AB Class B	923,196
41,303	Nordea Bank AB	430,671
24,494	Sandvik AB	289,614
86,631	Skandinaviska Enskilda Banken AB Class A *	565,853
13,907	SKF AB Class B	231,202
66,246	Svenska Cellulosa AB Class B	914,538
107,246	Swedbank AB Class A *	1,033,136
	Total Sweden	7,542,964
	Switzerland — 1.4%
23,222	Credit Suisse Group AG (Registered)	1,210,740
39,648	Novartis AG (Registered)	2,202,833
1,816	Swisscom AG (Registered)	706,465
3,293	Synthes Inc	433,607
39,457	UBS AG (Registered) *	616,663
	Total Switzerland	5,170,308
	United Kingdom — 12.8%
88,535	3i Group Plc	395,229
20,021	Anglo American Plc *	862,190
51,511	Antofagasta Plc	766,397
81,396	AstraZeneca Plc	3,649,183
15,553	Autonomy Corp Plc *	365,659
314,159	Aviva Plc	1,927,718
873,432	Barclays Plc	4,268,461
32,426	BG Group Plc	589,492
15,670	BHP Billiton Plc	482,134
160,508	BP Plc	1,524,049
29,760	British American Tobacco Plc	906,174
28,304	British Sky Broadcasting Group Plc	247,413
591,887	BT Group Plc	1,368,424
104,104	Cable & Wireless Plc	243,643
11,556	Carnival Plc *	388,628
69,902	Compass Group Plc	496,385
63,976	Experian Plc	604,778
232,006	GlaxoSmithKline Plc	4,803,475
77,904	Home Retail Group Plc	378,555
66,842	HSBC Holdings Plc	782,957
73,014	J Sainsbury Plc	387,302
371,236	Kingfisher Plc	1,453,177
551,787	Legal & General Group Plc	707,582
2,055,458	Lloyds Banking Group Plc	1,879,225
88,644	Marks & Spencer Group Plc	563,703
25,402	Next Plc	828,443
720,083	Old Mutual Plc	1,349,254
36,187	Pearson Plc	495,258
14,470	Reckitt Benckiser Group Plc	738,552
23,080	Rio Tinto Plc	1,175,501
2,183,124	Royal Bank of Scotland Group Plc	1,203,124

46,372	Royal Dutch Shell Plc B Shares (London)	1,330,710
24,702	Royal Dutch Shell Plc A Shares (Amsterdam)	736,790
163,441	Royal Dutch Shell Plc A Shares (London)	4,851,349
13,709	SABMiller Plc	399,733
31,422	Standard Chartered Plc	770,227
162,070	Tomkins Plc	460,662
22,210	Tullow Oil Plc	452,375
16,110	Vedanta Resources Plc	613,367
158,072	Vodafone Group Plc	356,599
64,293	Wolseley Plc *	1,231,406
232,511	Wolseley Plc (Deferred) *	—
96,348	Xstrata Plc *	1,708,084
	Total United Kingdom	48,743,367
	United States — 45.8%
41,100	3M Co.	3,182,784
85,200	Abbott Laboratories	4,642,548
14,900	Accenture Ltd.-Class A	611,496
5,000	ACE Ltd. *	243,550
11,800	Alcon Inc.	1,744,984
35,000	Allstate Corp. (The)	994,350
12,200	Altera Corp.	256,566
69,700	Altria Group, Inc.	1,311,057
12,100	Amazon.com, Inc. *	1,644,511
16,000	AMDOCS Ltd *	422,880
30,300	Annaly Capital Management, Inc. REIT	557,823
32,300	Apple, Inc. *	6,457,093
7,600	Assurant, Inc.	232,332
35,100	AT&T, Inc.	945,594
52,400	Automatic Data Processing, Inc.	2,276,780
34,400	AutoNation, Inc. *	607,160
56,391	Bank of America Corp.	893,797
28,700	Baxter International, Inc.	1,565,585
19,800	BB&T Corp.	493,020
16,300	Becton, Dickinson and Co.	1,219,240
12,300	Best Buy Co., Inc.	526,809
1,500	BlackRock, Inc.	340,620
26,200	Bristol—Myers Squibb Co.	663,122
16,600	Broadcom Corp.-Class A *	484,720
11,300	Cameron International Corp. *	427,140
40,800	CenterPoint Energy, Inc.	541,416
17,900	CH Robinson Worldwide, Inc.	997,746
53,100	Cisco Systems, Inc. *	1,242,540
36,100	Coach, Inc.	1,254,475
135,400	Coca—Cola Co. (The)	7,744,880
17,200	Cognizant Technology Solutions Corp.-Class A *	755,596
9,000	Colgate—Palmolive Co.	757,710
23,400	Computer Sciences Corp. *	1,294,254
54,353	ConocoPhillips	2,813,855
11,100	Consolidated Edison, Inc.	476,301
27,900	Convergys Corp. *	311,922
50,900	Corning, Inc.	849,012
8,200	CR Bard, Inc.	674,122
17,600	Denbury Resources, Inc. *	233,552
22,100	DirectTV Group (The), Inc. -Class A *	699,023
26,600	Dow Chemical Co. (The)	738,948
22,500	DTE Energy Co.	902,475
49,700	Duke Energy Corp.	828,996
17,500	eBay, Inc. *	428,225

27,100	Ecolab, Inc.	1,217,061
72,400	Eli Lilly & Co.	2,659,252
17,700	Emerson Electric Co.	732,957
23,800	Expeditors International of Washington, Inc.	759,934
6,200	Fastenal Co.	229,896
11,500	First American Corp.	364,780
7,700	Fiserv, Inc. *	356,048
10,200	FLIR Systems, Inc. *	292,740
81,300	Ford Motor Co. *	722,757
19,800	Forest Laboratories, Inc. *	607,068
6,200	Franklin Resources, Inc.	669,786
14,000	Freeport—McMoRan Copper & Gold, Inc. *	1,159,200
35,300	Gannett Co., Inc.	349,117
31,600	General Dynamics Corp.	2,082,440
9,800	General Mills, Inc.	666,400
11,200	Genuine Parts Co.	401,296
43,600	Genworth Financial, Inc.-Class A *	469,572
14,600	Goldman Sachs Group (The), Inc.	2,477,036
11,400	Google, Inc.-Class A *	6,646,200
43,600	Hartford Financial Services Group (The), Inc.	1,066,456
23,300	Home Depot, Inc.	637,488
21,300	Hospitality Properties Trust REIT	413,433
19,700	Illinois Tool Works, Inc.	958,208
27,800	Intel Corp.	533,760
3,100	IntercontinentalExchange, Inc. *	331,049
12,600	International Business Machines Corp.	1,592,010
214,900	Johnson & Johnson	13,504,316
28,300	JPMorgan Chase & Co.	1,202,467
43,200	Kimberly—Clark Corp.	2,849,904
9,500	Kohl’s Corp. *	504,830
13,300	Lexmark International, Inc. *	334,761
22,900	Lincoln National Corp.	524,639
45,300	Macy’s, Inc.	738,843
30,200	Marathon Oil Corp.	985,124
26,400	Marvell Technology Group Ltd *	407,088
8,500	McAfee, Inc. *	324,275
11,500	McDonald’s Corp.	727,375
11,300	Medco Health Solutions, Inc. *	713,708
52,400	Medtronic, Inc.	2,223,856
133,000	Merck & Co., Inc.	4,815,930
44,600	Microsoft Corp.	1,311,686
26,300	Morgan Stanley	830,554
55,500	Motorola, Inc.	444,555
6,300	Murphy Oil Corp.	355,257
8,000	Newfield Exploration Co. *	338,240
14,200	Newmont Mining Corp.	761,688
31,500	Nike, Inc.-Class B	2,044,035
41,900	NiSource, Inc.	597,075
5,400	Noble Energy, Inc.	352,350
17,600	NVIDIA Corp. *	229,856
9,000	Occidental Petroleum Corp.	727,110
23,625	Old Republic International Corp.	251,370
41,900	Oracle Corp.	925,152
51,000	Paychex, Inc.	1,598,850
14,700	Pepco Holdings, Inc.	239,610
91,400	PepsiCo, Inc.	5,686,908
13,200	PetroHawk Energy Corp. *	294,888
303,773	Pfizer, Inc.	5,519,555
10,900	PG&E Corp.	461,506
22,200	Philip Morris International, Inc.	1,067,598

10,200	Pinnacle West Capital Corp.	357,918
14,300	Praxair, Inc.	1,173,029
11,000	Prudential Financial, Inc.	548,350
28,100	Qualcomm, Inc.	1,264,500
6,000	Range Resources Corp.	282,780
13,900	Rockwell Collins, Inc.	743,094
12,800	RR Donnelley & Sons Co.	263,424
9,100	Ryder System, Inc.	368,914
15,600	SanDisk Corp. *	307,632
11,900	Sigma—Aldrich Corp.	634,746
23,000	Southern Co.	738,070
23,000	Southern Copper Corp.	801,320
12,500	Southwestern Energy Co. *	549,500
27,800	Starbucks Corp. *	608,820
13,100	State Street Corp.	541,030
26,900	Stryker Corp.	1,355,760
9,400	St Jude Medical, Inc. *	345,074
9,200	Sunoco, Inc.	231,840
23,742	Supervalu, Inc.	328,352
47,300	Sysco Corp.	1,278,992
15,800	TD Ameritrade Holding Corp. *	310,312
38,900	Texas Instruments, Inc.	983,781
25,400	TJX Cos. (The), Inc.	974,852
9,300	Torchmark Corp.	404,364
18,100	Travelers Cos. (The), Inc.	948,259
24,500	Tyco Electronics Ltd.	568,645
37,515	UnitedHealth Group, Inc.	1,075,555
44,400	United Technologies Corp.	2,985,456
62,000	Valero Energy Corp.	985,180
32,900	Verizon Communications, Inc.	1,035,034
9,500	VF Corp.	690,840
138,700	Wal—Mart Stores, Inc.	7,566,085
16,000	WellPoint, Inc. *	864,480
13,300	Western Digital Corp. *	489,972
5,100	Whirlpool Corp.	378,216
7,200	WW Grainger, Inc.	703,440
32,000	Xcel Energy, Inc.	650,240
18,900	Xilinx, Inc.	427,896
21,900	XL Capital Ltd.-Class A	400,989
9,100	Yum! Brands, Inc.	320,957
	Total United States	174,069,210
	TOTAL COMMON STOCKS (COST $386,883,410)	364,693,628
	RIGHTS AND WARRANTS — 0.4%
	Netherlands — 0.2%
213,425	ING Groep NV Rights, Expires 12/15/09*	528,772
	United Kingdom — 0.2%
2,754,313	Lloyds Banking Group Plc Rights, Expires 12/11/09*	804,274
	TOTAL RIGHTS AND WARRANTS (COST $4,499,402)	1,333,046

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.8%
USD	2,500,000	Allied Irish Bank Time Deposit, 0.03%, due 12/01/09	2,500,000
USD	2,500,000	Banco Santander Time Deposit, 0.03%, due 12/01/09	2,500,000
EUR	115,502	Bank of Ireland Time Deposit, 0.10%, due 12/01/09	173,432

GBP	70,351	Bank of Ireland Time Deposit, 0.09%, due 12/01/09	115,735
USD	2,211,118	Bank of Ireland Time Deposit, 0.03%, due 12/01/09	2,211,118
JPY	15,446,760	Barclays Time Deposit, 0.01%, due 12/01/09	178,699
CHF	10,153	Brown Brothers Harriman Time Deposit, 0.01%, due 12/01/09	10,108
HKD	77,503	Brown Brothers Harriman Time Deposit, 0.01%, due 12/01/09	10,000
SEK	68,460	Brown Brothers Harriman Time Deposit, 0.01%, due 12/01/09	9,820
NOK	58,005	Brown Brothers Harriman Time Deposit, 0.57%, due 12/01/09	10,221
CAD	10,618	Brown Brothers Harriman Time Deposit, 0.06%, due 12/01/09	10,061
SGD	18,315	Brown Brothers Harriman Time Deposit, 0.01%, due 12/01/09	13,233
DKK	68,936	Brown Brothers Harriman Time Deposit, 0.25%, due 12/01/09	13,909
AUD	10,803	Brown Brothers Harriman Time Deposit, 2.80%, due 12/01/09	9,894
USD	2,500,000	Commerzbank Time Deposit, 0.03%, due 12/01/09	2,500,000
USD	420,400	Societe Generale Time Deposit, 0.03%, due 12/01/09	420,400
		TOTAL SHORT-TERM INVESTMENTS (COST $10,686,630)	10,686,630
		TOTAL INVESTMENTS — 99.2%(Cost $402,069,442)	376,713,304
		Other Assets and Liabilities (net) — 0.8%	3,168,416
		TOTAL NET ASSETS — 100.0%	$	379,881,720

As of November 30, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	410,018,020	$	26,687,853	$	(59,992,569	)	$	(33,304,716	)

A summary of outstanding financial instruments at November 30, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency	Value		Net Unrealized Appreciation (Depreciation)
Buys †
12/18/09	CAD	6,293,907	$	5,963,516	$	(99,382	)
12/18/09	CAD	6,293,907	5,963,516		(44,614		)
12/18/09	CHF	5,759,048	5,734,259		38,265
12/18/09	CHF	5,759,048	5,734,259		25,358
12/18/09	DKK	2,226,349	449,082		2,259
12/18/09	EUR	888,542	1,334,123		15,442
12/18/09	GBP	611,520	1,005,907		(6,715		)
12/18/09	JPY	173,350,229	2,005,603		94,098
12/18/09	JPY	580,095,551	6,711,509		291,576
12/18/09	SEK	33,211,405	4,764,141		(29,567		)
12/18/09	SEK	33,211,405	4,764,141		(10,838		)
			$	44,430,056	$	275,882
Sales #
12/18/09	AUD	1,018,638	$	931,426	$	(32,376	)
12/18/09	AUD	818,827	748,722		7,767
12/18/09	CAD	827,288	783,860		(5,308		)
12/18/09	CHF	900,315	896,440		(10,913		)
12/18/09	EUR	5,627,057	8,448,882		(37,220		)
12/18/09	EUR	5,461,555	8,200,385		(47,103		)
12/18/09	EUR	6,243,520	9,374,486		(50,552		)
12/18/09	GBP	2,701,738	4,444,167		1,057
12/18/09	GBP	1,117,954	1,838,955		(57,708		)
12/18/09	GBP	2,701,738	4,444,167		2,678
12/18/09	HKD	6,951,868	897,130		186
12/18/09	SEK	9,662,516	1,386,077		(15,955		)
12/18/09	SGD	1,826,128	1,319,146		(16,630		)
12/18/09	SGD	7,790,701	5,627,794		(28,274		)
			$	49,341,637	$	(290,351	)

†	Fund buys foreign currency; sells USD.
#	Fund sells foreign currency; buys USD.

Futures Contracts

Number of Contracts	Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
19	DAX	December 2009	$	4,024,076	$	21,896
45	FTSE/MIB	December 2009	7,440,010		(266,193		)
41	MSCI Singapore	December 2009	1,951,044		(46,255		)
41	TOPIX	December 2009	3,965,923		(211,078		)
			$	17,381,053	$	(501,630	)
Sales
76	S&P 500 E-Mini Index	December 2009	$	4,160,050	$	(161,000	)
21	S&P Toronto 60	December 2009	2,704,093		(41,472		)
19	SPI 200	December 2009	2,038,817		(47,253		)
			$	8,902,960	$	(249,725	)

As of November 30, 2009, for the futures contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*         Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

Portfolio valuation

Securities listed on a securities exchange for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price on each business day or, (iii) if there is no such reported sale or official closing price, at the most recent quoted bid price or broker bid (if the Manager deems the private market to be more relevant in determining market value than an exchange). Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted bid price. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost. Shares of investment funds are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. Because many foreign equity securities markets and exchanges close prior to the close of the New York Stock Exchange (“NYSE”), closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close but before the close of the NYSE. As a result, the Fund generally values foreign equity securities as of the NYSE close using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor using that vendor’s proprietary models. As of November 30, 2009, 48.77% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor and are classified as using Level 2 inputs in the table below.

In accordance with the authoritative guidance on fair value measurements and disclosures under Generally Accepted Accounting Principles (“GAAP”), the Fund discloses the fair value of its investments in a three-level hierarchy.  The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include fair value adjustments applied to closing prices of foreign securities due to market events that have occurred since the local market close but before the Fund’s daily NAV calculation or quoted prices for similar securities.

Level 3 – Valuations based on inputs that are unobservable and significant.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments:

ASSET VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Common Stocks
Australia	$	—	$	2,627,169	$	—	$	2,627,169
Belgium	—		2,848,390		—		2,848,390
Canada	3,382,085		—		—		3,382,085
France	—		27,842,857		—		27,842,857
Germany	—		8,483,685		—		8,483,685
Greece	—		1,029,004		—		1,029,004
Hong Kong	—		2,653,568		—		2,653,568
Ireland	—		554,961		—		554,961
Italy	—		15,465,060		—		15,465,060
Japan	—		45,646,156		—		45,646,156
Netherlands	1,988,186		1,913,552		—		3,901,738
Singapore	—		8,953,368		—		8,953,368
Spain	—		5,779,738		—		5,779,738
Sweden	—		7,542,964		—		7,542,964
Switzerland	—		5,170,308		—		5,170,308
United Kingdom	—		48,743,367		—		48,743,367
United States	174,069,210		—		—		174,069,210
TOTAL COMMON STOCKS	179,439,481		185,254,147		—		364,693,628
Rights and Warrants
Netherlands	—		528,772		—		528,772
United Kingdom	—		804,274		—		804,274
TOTAL RIGHTS AND WARRANTS	—		1,333,046		—		1,333,046
Short-Term Investments	10,686,630		—		—		10,686,630
Total Investments	190,126,111		186,587,193		—		376,713,304
Forward Currency Contracts	—		478,686		—		478,686
Futures Contracts	—		21,896		—		21,896
Total	$	190,126,111	$	187,087,775	$	—	$	377,213,886

LIABILITY VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Forward Currency Contracts	$	—		$	(493,155	)	$	—	$	(493,155	)
Futures Contracts	(202,472		)	(570,779		)	—		(773,251		)
Total	$	(202,472	)	$	(1,063,934	)	$	—	$	(1,266,406	)

The Fund held no direct investments or other financial instruments at either February 28, 2009 or November 30, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are accrued or incurred. The Fund does not isolate realized and unrealized gains and losses that result from changes in exchange rates from realized and unrealized gains and losses that result from changes in the market value of investments. Both of those changes are included in net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent gains and losses on disposition of currencies and forward currency contracts, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund’s accounting records and the U.S. dollar equivalent amounts actually received or paid.

Forward currency contracts

The Fund may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by the Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized.  Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price during a specified future time period. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Because many foreign exchanges close prior to the close of the New York Stock Exchange (“NYSE”), closing prices for foreign futures contracts on those exchanges do not reflect events that occur after that close but before the close of the NYSE. As a result, the Fund generally values foreign futures contracts using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor’s proprietary models.  Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund may purchase put and call options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid.  The Fund had no purchased option contracts outstanding at the end of the period.

The Fund may write (i.e., sell) call and put options. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g. index options), settlement will be in cash. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it

bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. Over-the- counter options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments purchased.  The Fund had no open written option contracts during the period.

The Fund values exchange traded options at the last sale price or, if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values over-the-counter options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest, e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal.

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

Swap agreements generally are not traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the party with whom the Fund contracts defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that the collateral the other party posts is

insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a stated price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in Options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options.  However, because warrants and rights are considered to be over-the-counter instruments, they often do not have standardized terms, may have longer maturities and may be less liquid than exchange-traded options.  In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish.Rights and warrants held by the Fund at the end of the period are listed in the Fund’s Schedule of Investments.

Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value and an investor may lose money by investing in the Fund. Following is a brief summary of the principal risks of an investment in the Fund. This summary is not intended to include every potential risk of investing in the Fund. The Fund could be subject to additional risks because the types of investments it makes may change over time.

· Market Risk — Equity Securities — Equity securities may decline in value due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. Because the Fund generally seeks to be fully invested and normally does not take temporary defensive positions, declines in stock market prices generally are likely to result in declines in the value of the Fund’s investments.

· Foreign Investment Risk — The market prices of foreign securities may fluctuate more rapidly and to a greater extent than those of U.S. securities. Foreign markets often are less stable, smaller, less liquid, and less regulated, and the cost of trading in those markets often is higher, than in U.S. markets. The Fund may need to maintain a license to invest in some foreign markets. Changes in investment, capital, or exchange control regulations could adversely affect the value of the Fund’s foreign investments.

· Currency Risk — Fluctuations in exchange rates may adversely affect the value of the Fund’s foreign currency holdings and investments denominated in foreign currencies.

Other principal risks of an investment in the Fund include Market Risk — Value Securities (risk that the price of the Fund’s securities may not increase to what the Manager believes to be their fundamental value or that the Manager may have overestimated their fundamental value), Derivatives Risk (use of derivatives by the Fund involves risks different from, and potentially greater than, risks associated with direct investments in securities and other investments by the Fund), Credit and Counterparty Risk (risk of default of a derivatives counterparty or borrower of the Fund’s securities), Management Risk (risk that the Manager’s strategies and techniques will fail to produce the desired results), Market Disruption and Geopolitical Risk (risk that geopolitical events may increase market volatility and have adverse long-term effects on U.S. and world economies and markets generally), Large Shareholder Risk (risk that shareholders of the Fund, such as institutional investors or other series of the Trust, will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis), and Fund of Funds Risk (risk that the GMO Funds or other underlying funds in which the Fund invests will not perform as expected). The Fund is a non-diversified investment company under the 1940 Act, and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified.

Disclosures about Derivative Instruments and Hedging Activities — In accordance with GAAP authoritative guidance, effective March 1, 2009, the Fund included expanded disclosures regarding its derivative instrument and hedging activities.

The Fund may use derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include swaps, reverse repurchase agreements and other over-the-counter (“OTC”) contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including currency forwards, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to hedge or reduce its investment exposures. The Fund also may use currency derivatives in an attempt to hedge or reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). The Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The use of derivatives involves risks different from, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. In particular, the use of OTC derivatives contracts exposes the Fund to the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivative contracts typically can be closed out only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but there can be no assurance that the Fund will be able to enforce its contractual rights. For example, because the contract for each OTC derivative is individually negotiated with a specific counterparty, a Fund is subject to the risk that a counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund. If that occurs, the cost and unpredictability of the legal proceedings required for the Fund to enforce its contractual rights may lead it to decide not to pursue its claims against the counterparty. The Fund, therefore, assumes the risk that it may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts or that those payments may be delayed or made only after the Fund has incurred the costs of litigation.

Sometimes, the Fund may post or receive collateral related to changes in the market value of a derivative. A further risk of using OTC derivatives arises when the counterparty’s obligations are not secured by collateral, the Fund’s security interest in any collateral is not perfected, the Fund is required to make a significant upfront deposit, or when the collateral is not regularly marked-to-market. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives the collateral. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. Due to the nature of the Fund’s investments, the Fund may invest in derivatives with a limited number of counterparties and events that affect the creditworthiness of any one of those counterparties may have a pronounced effect on the Fund.

Derivatives risk is particularly acute in economic environments in which the Fund’s counterparties and other financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Derivatives also are subject to a number of risks described in the “Investment Risks” note, including market risk, liquidity risk, currency risk, and credit and counterparty risk. The terms of many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. There can be no assurance that the pricing models employed by the Fund’s third-party valuation services and/or the Manager will produce valuations that are reflective of levels at which the OTC derivatives purchased by the Fund may actually be closed out or sold. This valuation risk is more pronounced in cases where the Fund enters OTC derivatives with specialized terms because the value of those derivatives in some cases can be determined only by reference to similar derivatives with more standardized terms. Improper valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

There can be no assurance that a Fund’s use of derivatives will be effective or will have the desired results. Moreover, suitable derivatives are not always available in all circumstances. For example, the economic costs of taking some derivatives positions may be prohibitive and, if a counterparty or its affiliate is deemed to be an affiliate of a Fund, none of the Funds is permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures.

Derivatives also involve the risk that changes in their value may not correlate perfectly with the assets, rates or indices they are designed to hedge or closely track. The use of derivatives also may increase the taxes payable by shareholders.

The Fund’s use of derivatives may cause its portfolio to be implicitly leveraged. Leverage increases a Fund’s portfolio losses when the value of its investment positions declines. Since many derivatives have a leverage component, adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the initial value of the derivative.

At November 30, 2009, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:

	Interest rate		Foreign exchange			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Assets:
Investments, at value (rights and warrants)	$	—	$	—		$	—	$	1,333,046		$	—	$	1,333,046
Unrealized appreciation on futures contracts*	—		—			—		21,896			—		21,896
Unrealized appreciation on forward currency contracts	—		478,686			—		—			—		478,686
Unrealized appreciation on swap agreements	—		—			—		—			—		—
Total	$	—	$	478,686		$	—	$	1,354,942		$	—	$	1,833,628
Liabilities:
Written options outstanding	$	—	$	—		$	—	$	—		$	—	$	—
Unrealized depreciation on futures contracts*	—		—			—		(773,251		)	—		(773,251		)
Unrealized depreciation on forward currency contracts	—		(493,155		)	—		—			—		(493,155		)
Unrealized depreciation on swap agreements	—		—			—		—			—		—
Total	$	—	$	(493,155	)	$	—	$	(773,251	)	$	—	$	(1,266,406	)

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

For additional information regarding the Fund’s Schedule of Investments, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Domestic Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2009 (Unaudited)

Par Value ($)	Description	Value ($)
	DEBT OBLIGATIONS — 5.5%
	Corporate Debt — 1.1%
9,312,000	Health Care Property Investors, Inc., Series G, MTN, 5.63%, due 02/28/13	9,471,422
	U.S. Government — 4.2%
34,484,395	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10(a)	34,586,779
	U.S. Government Agency — 0.2%
597,423	Agency for International Development Floater (Support of Jamaica), 6 mo. U.S. Treasury Bill + 0.75%, 0.89%, due 03/30/19(b)	560,294
1,166,669	Agency for International Development Floater (Support of Zimbabwe), 3 mo. U.S. Treasury Bill x 115%, 0.19%, due 01/01/12(b)	1,139,133
	Total U.S. Government Agency	1,699,427
	TOTAL DEBT OBLIGATIONS (COST $46,119,609)	45,757,628

Shares	Description	Value ($)
	PREFERRED STOCKS — 0.1%
	Banking — 0.1%
8,000	Home Ownership Funding 2 Preferred 144A, 1.00% (b)	720,000
	TOTAL PREFERRED STOCKS (COST $2,060,969)	720,000
	MUTUAL FUNDS — 94.4%
	Affiliated Issuers — 94.4%
47,223,590	GMO Short-Duration Collateral Fund	749,910,605
1,483	GMO Special Purpose Holding Fund(c)	874
1,461,135	GMO U.S. Treasury Fund	36,557,605
	TOTAL MUTUAL FUNDS (COST $864,616,531)	786,469,084
	SHORT-TERM INVESTMENTS — 0.0%
	Money Market Funds — 0.0%
121,677	State Street Institutional Treasury Plus Money Market Fund - Institutional Class	121,677
	TOTAL SHORT-TERM INVESTMENTS (COST $121,677)	121,677
	TOTAL INVESTMENTS — 100.0% (Cost $912,918,786)	833,068,389
	Other Assets and Liabilities (net) — 0.00%	391,281
	TOTAL NET ASSETS — 100.0%	$	833,459,670

As of November 30, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	912,998,391	$	408,405	$	(80,338,407	)	$	(79,930,002	)

Investments in Affiliated Issuers

The Fund makes investments in other GMO Trust funds (“underlying funds”).  The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2009 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income			Distributions of Realized Gains		Value, end of period
GMO Short-Duration Collateral Fund	$	807,523,384	$	—	$	—	$	9,567,060	¨	$	—	$	749,910,605
GMO Special Purpose Holding Fund	1,082		—		—		—			—		874
GMO U.S. Treasury Fund	—		154,584,873		118,100,000		84,873			—		36,557,605
Totals	$	807,524,466	$	154,584,873	$	118,100,000	$	9,651,933		$	—	$	786,469,084

¨Through the period ending November 30, 2009, the Fund received estimated return of capital distributions in the amount of $196,619,564. Please note that in early 2010, the tax characterization of distributions paid by other fund(s) of the GMO Trust in calendar year 2009 will be finalized.

A summary of outstanding financial instruments at November 30, 2009 is as follows:

Swap Agreements

Credit Default Swaps

Notional Amount		Expiration Date	Counterparty	Receive (Pay)^	Annual Premium		Implied Credit Spread (1)		Deliverable on Default		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Market Value
11,500,000	USD	3/20/2013	Barclays Bank PLC	(Pay)	0.61	%	1.69	%	Health Care Properties		N/A	$	377,670
												$	377,670
										Premiums to (Pay) Receive		$	—

^	Receive - Fund receives premium and sells credit protection.
	(Pay) - Fund pays premium and buys credit protection.
(1)	Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of November 30, 2009, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

As of November 30, 2009, for the swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

MTN - Medium Term Note

The rates shown on variable rate notes are the current interest rates at November 30, 2009, which are subject to change based on the terms of the security.

(a)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.
(b)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.
(c)	Underlying investment represents interests in defaulted claims.

Currency Abbreviations:

USD - United States Dollar

Portfolio valuation

Securities listed on a securities exchange for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price on each business day or, (iii) if there is no such reported sale or official closing price, at the most recent quoted bid price or broker bid (if the Manager deems the private market to be more relevant in determining market value than an exchange). Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted bid price. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost. Shares of investment funds are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. During the period ended November 30, 2009, the Fund did not reduce the values of any OTC derivatives on account of the credit worthiness of a counterparty.

Typically the Fund and the underlying funds value debt instruments based on the most recent bid supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund. As of November 30, 2009, the total value of securities held directly and indirectly that were fair valued or for which no alternative pricing source was available represented 9.83% of the net assets of the Fund.

In accordance with the authoritative guidance on fair value measurements and disclosures under Generally Accepted Accounting Principles (“GAAP”), the Fund discloses the fair value of its investments in a three-level hierarchy.  The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves and similar data.

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund valued certain debt securities and preferred stocks using a specified spread above the LIBOR Rate. The Fund also utilized third party valuation services (which use industry models and inputs from pricing vendors) to value credit default swaps.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments:

ASSET VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Debt Obligations
Corporate Debt	$	—	$	9,471,422	$	—	$	9,471,422
U.S. Government	—		34,586,779		—		34,586,779
U.S. Government Agency	—		—		1,699,427		1,699,427
TOTAL DEBT OBLIGATIONS	—		44,058,201		1,699,427		45,757,628
Money Market Funds	—		121,677		—		121,677
Preferred Stocks	—		—		720,000		720,000
Mutual Funds	36,557,605		749,911,479		—		786,469,084
Total Investments	36,557,605		794,091,357		2,419,427		833,068,389
Derivatives
Swap Agreements	—		—		377,670		377,670
Total	$	36,557,605	$	794,091,357	$	2,797,097	$	833,446,059

Underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and other financial instruments using Level 3 inputs were 59.26% and (0.06)% of total net assets, respectively.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2009		Net Purchases/ (Sales)			Accrued Discounts/ Premiums			Total Realized Gain/(Loss)			Change in Unrealized Appreciation (Depreciation)			Net transfers in to/out of Level 3			Balances as of November 30, 2009
Debt Obligations
U.S. Government Agency	$	15,008,442	$	(12,969,652	)	$	(27,453	)	$	(1,470,986	)	$	1,159,076		$	—		$	1,699,427
Preferred Stocks	720,000		—			—			—			—			—			720,000
Mutual Funds	1,082		—			—			—			(208		)	(874		)	—
Swaps	3,621,898		622,928			—			(622,928		)	(3,244,228		)	—			377,670
Total	$	19,351,422	$	(12,346,724	)	$	(27,453	)	$	(2,093,914	)	$	(2,085,360	)	$	(874	)	$	2,797,097

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price during a specified future time period. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may purchase put and call options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund may write (i.e., sell) call and put options. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g. index options), settlement will be in cash. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. Over-the- counter options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments purchased. The Fund had no open written option contracts outstanding at the end of the period.

For the period ended November 30, 2009, investment activity in options contracts written by the Fund was as follows:

	Puts					Calls
	Principal Amount of Contracts		Number of Contracts	Premiums		Principal Amount of Contracts		Number of Contracts		Premiums
Outstanding, beginning of period	$	—	—	$	—	$	—	—		$	—
Options written	—		—	—		—		(3,000	)	(3,040,875		)
Options exercised	—		—	—		—		3,000		3,040,875
Options expired	—		—	—		—		—		—
Options Sold	—		—	—		—		—		—
Outstanding, end of period	$	—	—	$	—	$	—	—		$	—

The Fund values exchange traded options at the last sale price or, if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values over-the-counter options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest, e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal.

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance

of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

Swap agreements generally are not traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the party with whom the Fund contracts defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that the collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at a later date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a stated price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in Options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options.  However, because warrants and rights are considered to be over-the-counter instruments, they often do not have standardized terms, may have longer maturities and may be less liquid than exchange-traded options.  In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value and an investor may lose money by investing in the Fund. Following is a brief summary of the principal risks of an investment in the Fund. Many of these risks are more pronounced as a result of current global economic conditions that began to unfold in 2008. This summary is not intended to include every potential risk of investing in the Fund. The Fund could be subject to additional risks because the types of investments it makes may change over time.

· Market Risk — Fixed Income Securities — Typically, the value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads on asset-backed and other fixed income securities. Recent changes in credit markets increased credit spreads and there can be no assurance that those spreads will tighten or not increase further.

· Derivatives Risk — The use of derivatives involves risks different from, and potentially greater than, risks associated with direct investments in securities and other assets. Derivatives may increase other Fund risks, including market risk, liquidity risk, and credit and counterparty risk, and their value may or may not correlate with the value of the relevant underlying asset.

· Liquidity Risk — Low trading volume, lack of a market maker, or legal restrictions may limit or prevent the Fund from selling securities or closing derivative positions at desirable prices. The Fund may be required to sell certain less liquid securities at distressed prices or to meet redemption requests in-kind. Recent changes in credit markets have reduced the liquidity of all types of fixed income securities.

· Focused Investment Risk — Focusing investments in countries, regions, or sectors with high positive correlations to one another creates additional risk. This risk may be particularly pronounced for the Fund because of its exposure to asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans, and home equity loans).

Other principal risks of an investment in the Fund include Fund of Funds Risk (risk that the GMO Funds or other underlying funds in which the Fund invests will not perform as expected), Credit and Counterparty Risk (risk of default of an issuer of a portfolio security or a

derivatives counterparty or a borrower of the Fund’s securities), Leveraging Risk (increased risks from use of reverse repurchase agreements and other derivatives and securities lending), Management Risk (risk that the Manager’s strategies and techniques will fail to produce the desired results), Market Disruption and Geopolitical Risk (risk that geopolitical events may increase market volatility and have adverse long-term effects on U.S. and world economies and markets generally), and Large Shareholder Risk (risk that shareholders of the Fund, such as institutional investors or other series of the Trust will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis). The Fund is a non-diversified investment company under the 1940 Act, and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. For more information about reverse repurchase agreements and other derivatives, please refer to the descriptions of financial instruments (e.g. reverse repurchase agreements, swaps, futures and other types of derivative contracts) above as well as the discussion of the Fund’s use of derivatives below.

The Fund invests (including through investment in underlying funds) in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit-card receivables, which expose the Fund to additional types of market risk. Asset-backed securities also may be collateralized by the fees earned by service providers. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations”). Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flows generated by the underlying assets backing the securities. The amount of market risk associated with asset-backed securities depends on many factors, including the deal structure (e.g., the amount of underlying assets or other support available to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support, if any, provided for the securities, and the credit quality of the credit-support provider, if any. Asset-backed securities involve risk of loss of principal if too many obligors of the underlying obligations default in payment of the obligations. The obligations of issuers (and obligors of underlying assets) also are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

With the deterioration of worldwide economic and liquidity conditions that became acute in 2008, the markets for asset-backed securities became fractured and uncertainty about the creditworthiness of those securities (and underlying collateral) caused credit spreads (the difference between yields on the asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities generally. These events reduced liquidity for securitized credits and contributed to substantial declines in the value of asset-backed and other fixed income securities. There can be no assurance these conditions will not continue or thatthey will not deteriorate further. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse credit, valuation and liquidity effects on asset-backed securities. There can be no assurance that in the future the market for asset-backed securities will become more liquid.

The value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying collateral. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. In addition, asset-backed securities representing diverse sectors (e.g., auto loans, student loans, sub-prime mortgages, and credit-card receivables) have become more highly correlated since the deterioration of worldwide economic and liquidity conditions referred to above.

The Fund uses its cash balance to meet its collateral obligations and for other purposes. There is no assurance that the Fund’s cash balance will be sufficient to meet those obligations. If it is not, the Fund would be required to liquidate portfolio positions. To manage the Fund’s cash collateral needs, the Manager reserves the right to reduce or eliminate the Fund’s derivative exposures. A reduction in those exposures may cause the performance of the Fund to track its benchmark less closely and make the Fund’s performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

Disclosures about Derivative Instruments and Hedging Activities — In accordance with GAAP authoritative guidance, effective March 1, 2009, the Fund included expanded disclosures regarding its derivative instrument and hedging activities.

The Fund uses derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include swaps, reverse repurchase agreements and other over-the-counter (“OTC”) contracts.

The Fund uses derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund

also may use currency derivatives (including currency forwards, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Fund may buy credit default protection using derivatives in an attempt to hedge or reduce its investment exposures. For example, the Fund may use credit default swaps to take an active short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to hedge or reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager may attempt to alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed vs. variable and shorter duration vs. longer duration. The Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The use of derivatives involves risks different from, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. In particular, the use of OTC derivatives contracts exposes the Fund to the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivative contracts typically can be closed out only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but there can be no assurance that the Fund will be able to enforce its contractual rights. For example, because the contract for each OTC derivative is individually negotiated with a specific counterparty, a Fund is subject to the risk that a counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund. If that occurs, the cost and unpredictability of the legal proceedings required for the Fund to enforce its contractual rights may lead it to decide not to pursue its claims against the counterparty. The Fund, therefore, assumes the risk that it may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts or that those payments may be delayed or made only after the Fund has incurred the costs of litigation.

Sometimes, the Fund may post or receive collateral related to changes in the market value of a derivative. A further risk of using OTC derivatives arises when the counterparty’s obligations are not secured by collateral, the Fund’s security interest in any collateral is not perfected, the Fund is required to make a significant upfront deposit, or when the collateral is not regularly marked-to-market. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives the collateral. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. Due to the nature of the Fund’s investments, the Fund may invest in derivatives with a limited number of counterparties and events that affect the creditworthiness of any one of those counterparties may have a pronounced effect on the Fund.

Derivatives risk is particularly acute in economic environments in which the Fund’s counterparties and other financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Derivatives also are subject to a number of risks described in the “Investment Risks” note, including market risk, liquidity risk, currency risk, and credit and counterparty risk. The terms of many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. There can be no assurance that the pricing models employed by the Fund’s third-party valuation services and/or the Manager will produce valuations that are reflective of levels at which the OTC derivatives purchased by the Fund may actually be closed out or sold. This valuation risk is more pronounced in cases where the Fund enters OTC derivatives with specialized terms because the value of those derivatives in some cases can be determined only by reference to similar derivatives with more standardized terms. Improper valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

There can be no assurance that a Fund’s use of derivatives will be effective or will have the desired results. Moreover, suitable derivatives are not always available in all circumstances. For example, the economic costs of taking some derivatives positions may be prohibitive and, if a counterparty or its affiliate is deemed to be an affiliate of a Fund, none of the Funds is permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures.

Derivatives also involve the risk that changes in their value may not correlate perfectly with the assets, rates or indices they are designed to hedge or closely track. The use of derivatives also may increase the taxes payable by shareholders.

The Fund’s use of derivatives may cause its portfolio to be implicitly leveraged. Leverage increases a Fund’s portfolio losses when the value of its investment positions declines. Since many derivatives have a leverage component, adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the initial value of the derivative.

At November 30, 2009, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:

	Interest rate		Foreign exchange		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Assets:
Investments, at value (purchased options)	$	—	$	—	$	—	$	—	$	—	$	—
Unrealized appreciation on futures contracts*	—		—		—		—		—		—
Unrealized appreciation on forward currency contracts	—		—		—		—		—		—
Unrealized appreciation on swap agreements	—		—		377,670		—		—		377,670
Total	$	—	$	—	$	377,670	$	—	$	—	$	377,670
Liabilities:
Written options outstanding	$	—	$	—	$	—	$	—	$	—	$	—
Unrealized depreciation on futures contracts*	—		—		—		—		—		—
Unrealized depreciation on forward currency contracts	—		—		—		—		—		—
Unrealized depreciation on swap agreements	—		—		—		—		—		—
Total	$	—	$	—	$	—	$	—	$	—	$	—

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

Other matters

GMO Special Purpose Holding Fund (“SPHF”), an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF.  The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF.  For the period ended November 30, 2009 through January 27, 2010, the Fund received no distributions from SPHF in connection with settlement agreements related to litigation.

For additional information regarding the Fund’s Schedule of Investments, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2009 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 84.3%
	Argentina — 0.1%
5,328	Cresud SA Sponsored ADR	74,645
7,424	Petrobras Energia SA ADR	124,427
	Total Argentina	199,072
	Brazil — 8.0%
65,320	Banco Bradesco Sponsored ADR	1,384,131
96,400	Banco do Brasil SA	1,696,816
29,480	Banco Santander Brasil SA ADR *	402,402
66,400	BM&F BOVESPA SA	446,323
16,500	BRF-Brasil Foods SA *	385,454
5,840	Centrais Eletricas Brasileiras SA Sponsored ADR	100,273
1,860	Cia de Saneamento Basico do Estado de Sao Paulo ADR	68,039
9,400	Cia de Saneamento de Minas Gerais-Copasa MG	161,173
750	Cia Paranaense de Energia Sponsored ADR	15,143
11,950	Cia Siderurgica Nacional SA Sponsored ADR	409,766
71,300	Companhia Brasileira de Meios de Pagamento	668,120
6,340	Companhia Energetica de Minas Gerais Sponsored ADR	113,993
20,809	Companhia Saneamento Basico Sao Paulo	374,574
79,374	Duratex SA *	699,468
11,900	Electrobras (Centro)	196,582
9,100	Empresa Brasileira de Aeronautica SA Sponsored ADR *	185,003
27,700	Gerdau SA	323,469
35,850	Gerdau SA Sponsored ADR	577,185
22,287	Investimentos Itau SA	150,442
17,480	Itau Unibanco Holding SA ADR	388,930
15,500	Lojas Renner SA	337,724
24,300	Natura Cosmeticos SA	464,406
7,240	Petroleo Brasileiro SA (Petrobras)	181,918
52,040	Petroleo Brasileiro SA (Petrobras) ADR	2,668,611
25,800	Redecard SA	393,871
6,623	Souza Cruz SA	228,249
6,400	Tele Norte Leste Participacoes SA	160,410
8,625	Usinas Siderurgicas de Minas Gerais SA	242,709
52,200	Vale SA	1,457,615
29,760	Vale SA Sponsored ADR	853,219
	Total Brazil	15,736,018
	Chile — 0.1%
790	Banco Santander Chile SA ADR	48,032
2,340	Compania Cervecerias Unidas ADR	84,357
1,170	Embotelladora Andina SA ADR A Shares	18,720
2,890	Embotelladora Andina SA ADR B Shares	54,303
2,060	Lan Airlines SA Sponsored ADR	31,765
	Total Chile	237,177
	China — 9.6%
960	Baidu, Inc. Sponsored ADR *	416,390
4,468,000	Bank of China Ltd Class H	2,511,713
346,000	Bank of Communications Co Ltd H Shares	411,135
278,000	China Coal Energy Co Class H	470,023
214,000	China Communication Services Corp Ltd Class H	109,553
1,586,000	China Construction Bank Class H	1,408,273
140,664	China Mobile Ltd	1,317,194
20,032	China Mobile Ltd Sponsored ADR	938,900
240,000	China Oilfield Services Ltd Class H	279,768

1,269,083	China Petroleum & Chemical Corp Class H	1,058,951
148,000	China Shenhua Energy Co Ltd Class H	722,363
230,000	China Shipping Development Co Ltd Class H	337,306
998,000	China Telecom Corp Ltd Class H	439,666
328,000	CNOOC Ltd	506,730
196,149	Cosco Pacific Ltd	271,518
636,000	Denway Motors Ltd	388,909
540,000	Dongfeng Motor Group Co Ltd	825,573
2,194,000	Industrial and Commercial Bank of China Ltd Class H	1,852,731
120,000	Jiangxi Copper Co Ltd Class H	305,571
100,000	Kingboard Chemical Holdings Ltd	401,654
72,000	Lee & Man Paper Manufacturing Ltd	183,421
777,553	PetroChina Co Ltd Class H	969,077
5,310	Shanda Interactive Entertainment Ltd Sponsored ADR *	264,650
30,400	Shanghai Industrial Holdings Ltd	152,280
160,000	Sino-Ocean Land Holdings Ltd	159,039
66,000	Tencent Holdings Ltd	1,219,838
42,000	Tingyi (Cayman Islands) Holding Corp	103,794
186,000	Yanzhou Coal Mining Co Ltd Class H	372,552
348,000	Zijin Mining Group Co Ltd Class H	364,612
	Total China	18,763,184
	Czech Republic — 0.4%
1,600	Central European Media Enterprises Ltd Class A *	40,765
5,560	CEZ AS	278,045
700	Komercni Banka AS	153,022
1,945	Pegas Nonwovens SA	47,894
156	Philip Morris CR AS	70,731
7,500	Telefonica 02 Czech Republic AS	180,762
6,020	Unipetrol AS *	46,187
	Total Czech Republic	817,406
	Egypt — 1.1%
40,300	Al Ezz Steel Rebars SAE	102,812
9,612	Alexandria Mineral Oils Co	66,260
96,300	Arab Cotton Ginning *	72,667
55,720	Commercial International Bank	513,236
43,400	EFG-Hermes Holding SAE	219,854
7,767	Egyptian Co for Mobile Services	267,191
440	El Ezz Aldekhela Steel Alexa Co	59,562
3,670	ElSwedy Cables Holding Co	39,585
18,000	Nile Cotton Ginning *	46,987
30,498	Orascom Telecom Holding SAE	141,929
10,200	Oriental Weavers Co	56,905
35,427	Sidi Kerir Petrochemicals Co	64,247
90,791	South Valley Cement *	111,886
47,200	Talaat Moustafa Group *	51,166
92,754	Telecom Egypt	271,000
	Total Egypt	2,085,287
	Hungary — 1.2%
990	Egis Gyogyszergyar Nyrt	102,392
34,820	Magyar Telekom Nyrt	138,887
6,710	MOL Hungarian Oil and Gas Nyrt *	585,155
35,390	OTP Bank Nyrt *	1,055,264
2,210	Richter Gedeon Nyrt	512,914
	Total Hungary	2,394,612

	India — 4.9%
4,800	Bajaj Auto Ltd	161,075
19,559	Bank of Baroda	221,048
36,000	Bank of India	299,439
10,200	Bharat Heavy Electricals Ltd	493,020
36,670	Canara Bank Ltd	312,765
5,400	Grasim Industries Ltd	276,696
27,900	Hindustan Petroleum Corp Ltd	211,935
8,500	Housing Development Finance Corp Ltd	506,384
253,000	IFCI Ltd	287,665
13,900	Infosys Technologies Ltd	712,786
4,680	Infosys Technologies Ltd Sponsored ADR	238,540
52,744	Jindal Steel & Power Ltd	781,463
22,400	Oil & Natural Gas Corp Ltd	577,707
19,600	Punjab National Bank Ltd	379,153
9,900	Reliance Energy Ltd	222,977
42,000	Sesa Goa Ltd	332,176
22,400	State Bank of India	1,077,500
81,130	Steel Authority of India Ltd	343,470
24,600	Sterlite Industries India Ltd	454,487
15,260	Sterlite Industries India Ltd ADR	280,174
42,300	Tata Consultancy Services Ltd	626,834
37,000	Tata Steel Ltd	460,937
26,700	Wipro Ltd	362,816
	Total India	9,621,047
	Indonesia — 1.6%
152,000	Astra International Tbk PT	521,170
1,984,500	Bakrie Sumatera Plantations Tbk PT	141,196
120,500	Bank Central Asia Tbk PT	61,240
610,000	Bank Negara Indonesia (Persero) Tbk PT	130,955
480,000	Bank Rakyat Tbk PT	376,486
2,713,000	Bumi Resources Tbk PT	676,955
991,000	Global Mediacom Tbk PT	23,115
85,000	Gudang Garam Tbk PT	155,253
906,000	Indah Kiat Pulp and Paper Corp Tbk PT *	167,120
281,500	International Nickel Indonesia Tbk PT *	102,991
685,000	Kalbe Farma Tbk PT	90,714
414,000	Perusahaan Gas Negara PT	160,174
360,000	Telekomunikasi Indonesia Tbk PT	343,164
74,000	United Tractors Tbk PT	117,344
	Total Indonesia	3,067,877
	Israel — 0.6%
4,600	Africa Israel Properties Ltd *	69,964
7,420	Alony Hetz Properties & Investments Ltd	27,024
63,060	Bank Hapoalim BM *	245,330
3,180	Check Point Software Technologies Ltd *	100,456
1,420	Delek Group Ltd	250,765
850	IDB Holding Corp Ltd	22,194
14,280	Israel Chemicals Ltd	184,141
21,620	Jerusalem Economy Ltd *	129,613
23,720	Phoenix Holdings Ltd (The) *	61,054
	Total Israel	1,090,541
	Malaysia — 0.8%
66,821	Berjaya Sports Toto Berhad	81,602
48,300	CIMB Group Holdings Berhad	180,007

22,700	Hong Leong Financial Group Berhad	46,283
32,500	IOI Corp Berhad	51,870
211,400	KNM Group Berhad	45,279
63,900	Kulim Malaysia Berhad	138,526
177,819	Lion Industries Corp Berhad	68,270
248,600	Mulpha International Berhad *	34,138
32,209	PPB Group Berhad	150,241
186,878	Resorts World Berhad	154,955
148,919	RHB Capital Berhad	233,169
231,600	Scomi Group Berhad	33,167
58,980	Sime Darby Berhad	156,032
23,099	Tanjong Plc	110,119
59,100	Zelan Berhad *	13,005
	Total Malaysia	1,496,663
	Mexico — 1.6%
27,300	Alfa SA de CV Class A	173,115
23,000	America Movil SAB de CV Class L ADR	1,112,740
105,900	Consorcio ARA SAB de CV *	76,080
72,700	Corporacion GEO SA de CV Series B *	198,683
38,900	Gruma SAB de CV Series B *	71,896
104,800	Grupo Financiero Banorte SAB de CV Class O	362,186
316,974	Grupo Mexico SA Class B	744,682
92,200	Sare Holding SA de CV Class B *	34,509
13,460	Telefonos de Mexico SAB de CV Class L Sponsored ADR	241,607
23,400	Urbi Desarrollos Urbanos SAB de CV *	47,755
	Total Mexico	3,063,253
	Morocco — 0.1%
1,300	Attijariwafa Bank	39,954
400	Credit Immobilier et Hotelier	17,689
940	Douja Promotion Groupe Addoha SA	12,448
3,179	Maroc Telecom	56,594
100	Societe Nationale De Siderurgie	26,427
	Total Morocco	153,112
	Peru — 0.1%
6,100	Minsur SA	13,127
1,078	Sociedad Minera Cerro Verde SA	26,217
370	Southern Copper Corp	12,891
104,396	Volcan Compania Minera SA Class B	127,913
	Total Peru	180,148
	Philippines — 0.2%
26,300	Bank of the Philippine Islands	26,544
1,998,300	Benpres Holdings Corp *	144,532
206,700	First Gen Corp *	72,584
7,000	Manila Electric Co	31,099
1,093,300	Megaworld Corp	33,131
537,500	Vista Land & Lifescapes Inc *	23,058
	Total Philippines	330,948
	Poland — 2.3%
10,940	Asseco Poland SA	226,789
5,580	Bank Handlowy W Warszawie SA *	138,328
1,880	Bank Pekao SA *	119,225
14,570	Cyfrowy Polsat SA	72,483
65,160	Getin Holding SA *	187,724

20,710	Globe Trade Centre SA *	177,177
16,890	Grupa Lotos SA *	194,619
51,350	KGHM Polska Miedz SA	1,992,099
44,320	Polski Koncern Naftowy Orlen SA *	496,265
39,730	Powszechna Kasa Oszczednosci Bank Polski SA	538,715
14,610	Przedsiebiorstwo Eksportu i Importu Kopex SA *	135,518
40,500	Telekomunikacja Polska SA	235,456
18,190	TVN SA	81,672
	Total Poland	4,596,070
	Russia — 14.8%
63,740	Aeroflot - Russian Airlines	95,295
26,970	Cherepovets MK Severstal GDR (Registered Shares) *	209,993
16,100	Evraz Group SA GDR (Registered Shares) *	400,272
15,585,760	Federal Grid Co Unified Energy System JSC Class S *	197,768
41,910	Gazprom Neft Class S	219,934
6,000	Gazprom Neft Sponsored ADR	159,408
333,244	Gazprom OAO Sponsored ADR	7,622,265
62,000	KamAZ *	143,177
80,180	Lukoil OAO ADR	4,688,018
25,200	Magnit OJSC Sponsored GDR (Registered Shares)	359,880
47,000	Magnitogorsk Iron & Steel Works Sponsored GDR (Registered Shares) *	486,484
31,090	Mechel Sponsored ADR	604,700
172,600	MMC Norilsk Nickel JSC ADR *	2,390,580
51,280	Mobile Telesystems Sponsored ADR	2,568,102
3,900	NovaTek OAO Sponsored GDR (Registered Shares)	254,757
20,900	Novolipetsk Steel GDR (Registered Shares) *	631,937
26,366	OAO Tatneft Sponsored GDR (Registered Shares)	804,031
282,100	Rosneft OJSC GDR	2,283,948
13,227,690	RusHydro Class S *	515,734
332,390	Sberbank Class S	787,037
6,600	Sistema JSFC Sponsored GDR *	118,154
214,800	Surgutneftegaz Sponsored ADR	1,923,485
28,250	Vimpelcom Sponsored ADR	539,293
34,700	X5 Retail Group NV GDR (Registered Shares) *	1,007,759
	Total Russia	29,012,011
	South Africa — 2.3%
11,552	Absa Group Ltd	199,165
7,300	ArcelorMittal South Africa Ltd	101,621
50,567	Aveng Ltd	253,116
29,300	Barloworld Ltd	184,462
8,100	Exxaro Resources Ltd	99,892
95,600	FirstRand Ltd	224,413
15,100	Foschini Ltd	115,972
20,100	Harmony Gold Mining Co Ltd	223,771
10,000	Highveld Steel and Vanadium Corp Ltd *	85,925
19,300	Impala Platinum Holdings Ltd	447,852
14,600	Imperial Holdings Ltd	159,509
5,500	Kumba Iron Ore Ltd	187,373
19,400	Naspers Ltd Class N	725,775
24,607	Remgro Ltd	287,176
12,700	Reunert Ltd	93,763
38,900	RMB Holdings Ltd	147,541
174,200	Steinhoff International Holdings Ltd *	424,978
62,100	Telkom South Africa Ltd	313,557
12,824	Tiger Brands Ltd	280,117
	Total South Africa	4,555,978

	South Korea — 14.4%
42,331	Busan Bank	463,266
30,686	Daegu Bank	434,894
9,496	Daelim Industrial Co Ltd	671,795
10,574	Dongbu Insurance Co Ltd	303,531
1	Dongkuk Steel Mill Co Ltd	21
6,390	GS Engineering & Construction Corp	598,208
6,731	GS Holdings Corp	183,190
33,133	Hana Financial Group Inc	954,100
27,694	Hanwha Chemical Corp	291,304
10,731	Hanwha Corp	391,625
5,000	Honam Petrochemical Corp	403,115
3,241	Hyundai Heavy Industries Co Ltd	418,935
4,330	Hyundai Mipo Dockyard	300,888
11,167	Hyundai Mobis	1,428,650
17,561	Hyundai Motor Co	1,494,438
9,380	Hyundai Steel Co	623,701
47,806	Industrial Bank of Korea *	551,638
9,718	INTOPS Co Ltd	144,167
20,012	Kangwon Land Inc	280,196
14,266	KB Financial Group Inc *	714,092
862	KB Financial Group Inc ADR *	43,410
25,790	Korea Exchange Bank	314,091
6,726	Korea Investment Holdings Co Ltd	176,620
2,969	Korea Zinc Co Ltd	544,021
5,158	KT Corp	170,700
18,930	KT Corp Sponsored ADR	314,427
18,711	KT&G Corp	1,083,660
2,973	LG Chem Ltd	534,075
14,246	LG Corp	776,980
20,495	LG Display Co Ltd	568,023
26,796	LG Telecom Ltd	188,789
2,608	Lotte Shopping Co Ltd	807,935
4,288	POSCO	2,049,947
2,110	POSCO ADR	251,512
47,580	Samho International Co Ltd *	152,581
2,899	Samsung Engineering Co Ltd	269,737
5,713	Samsung Techwin Co Ltd	462,460
8,896	Samsung Electronics Co Ltd	5,500,411
3,848	Seoul Semiconductor Co Ltd *	129,691
24,502	Shinhan Financial Group Co Ltd *	958,593
734	SK Telecom Co Ltd	107,395
40,520	SK Telecom Co Ltd ADR	671,416
11,045	SK Holdings Co Ltd	798,660
17,158	Sungwoo Hitech Co Ltd	164,933
19,614	Tong Yang Securities Inc	194,536
34,975	Woori Finance Holdings Co Ltd *	436,144
	Total South Korea	28,322,501
	Taiwan — 8.0%
727,000	Chi Mei Optoelectronics Corp *	467,152
1,377,014	China Steel Corp	1,296,469
826,048	Chinatrust Financial Holding Co Ltd	476,494
91,000	Chong Hong Construction Co Ltd	177,631
340,804	Chunghwa Telecom Co Ltd	607,122
415,299	Compal Electronics Inc	549,700
60,000	Epistar Corp	193,633
229,000	Far Eastone Telecommunications Co Ltd	262,834
224,500	Formosa Plastics Corp	445,274

1,139,000	HannStar Display Corp *	235,647
742,638	Hon Hai Precision Industry Co Ltd	3,128,797
65,887	HTC Corp	746,462
372,000	Hung Sheng Construction Co Ltd	172,607
312,009	Lite-On Technology Corp	418,014
73,375	MediaTek Inc	1,153,018
263,289	Nan Ya Plastics Corp	445,643
128,793	Novatek Microelectronics Corp Ltd	355,466
20,990	Phison Electronics Corp	148,368
244,550	Pou Chen Corp	177,628
2,372,000	ProMOS Technologies Inc *	141,528
394,715	Quanta Computer Inc	796,354
199,000	Siliconware Precision Industries Co	261,403
159,000	Synnex Technology International Corp	319,315
1,152,000	Taishin Financial Holding Co Ltd *	428,637
124,787	Taiwan Mobile Co Ltd	234,469
610,606	Taiwan Semiconductor Manufacturing Co Ltd	1,158,368
231,000	Unimicron Technology Corp	293,400
309,132	Wistron Corp	567,208
	Total Taiwan	15,658,641
	Thailand — 4.8%
225,690	Advanced Info Service Pcl (Foreign Registered) (a)	550,771
879,340	Asian Property Development Pcl (Foreign Registered) (a)	143,392
32,000	Bangkok Bank Pcl (a)	109,037
118,250	Bangkok Bank Pcl NVDR (a)	402,925
326,300	Bangkok Dusit Medical Service Pcl (Foreign Registered) (a)	234,803
36,000	Banpu Pcl (Foreign Registered) (a)	588,632
408,640	BEC World Pcl (Foreign Registered) (a)	266,932
115,000	Electricity Generating Pcl (Foreign Registered) (a)	271,611
6,867,000	G Steel Pcl (Foreign Reigstered) (a) *	84,888
2,060,950	IRPC Pcl (Foreign Registered) (a)	231,058
238,010	Kasikornbank Pcl (Foreign Registered) (a)	624,904
128,770	Kasikornbank Pcl NVDR (a)	334,204
1,374,000	Krung Thai Bank Pcl (Foreign Registered) (a)	376,980
600,000	LPN Development Pcl (Foreign Registered) (a)	122,202
224,000	LPN Development Pcl NVDR (a)	45,626
259,000	PTT Aromatics & Refining Pcl (Foreign Registered) (a)	171,132
101,000	PTT Chemical Pcl (Foreign Registered) (a)	213,402
175,000	PTT Exploration & Production Pcl (Foreign Registered) (a)	688,909
212,722	PTT Pcl (Foreign Registered) (a)	1,436,734
69,039	Siam Cement Pcl (Foreign Registered) (a)	474,475
56,000	Siam Cement Pcl NVDR (a)	381,488
239,000	Siam City Bank Pcl (Foreign Registered) (a)	207,416
314,150	Siam Commercial Bank Pcl (Foreign Registered) (a)	803,031
404,770	Thai Oil Pcl (Foreign Registered) (a)	482,495
206,000	Thoresen Thai Agencies Pcl (Foreign Registered) (a)	160,187
	Total Thailand	9,407,234
	Turkey — 7.3%
216,338	Akbank TAS	1,124,478
35,040	Anadolu Efes Biracilik ve Malt Sanayii AS	376,795
292,100	Asya Katilim Bankasi AS *	567,773
295,670	Dogan Sirketler Grubu Holdings AS	176,031
84,074	Enka Insaat ve Sanayi AS	316,986
141,566	Eregli Demir ve Celik Fabrikalari TAS *	363,004
31,600	Ford Otomotiv Sanayi AS	173,148
2,950	Gubre Fabrikalari TAS *	12,111
126,423	Haci Omer Sabanci Holding AS	435,552

346,800	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS Class A *	161,324
567,780	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS Class D *	192,259
374,470	KOC Holding AS *	910,201
71,000	Park Elektrik Madencilik Tekstil Sanayi ve Ticaret AS *	118,625
137,575	Sekerbank TAS *	204,196
40,984	Tupras-Turkiye Petrol Rafineriler AS	689,821
235,650	Turk Hava Yollari Anonim Ortakligi	745,935
160,304	Turk Sise ve Cam Fabrikalari AS *	157,652
133,480	Turk Telekomunikasyon AS	381,459
210,787	Turkcell Iletisim Hizmet AS	1,275,409
757,490	Turkiye Garanti Bankasi	2,526,125
250,687	Turkiye IS Bankasi Class C	842,726
213,870	Turkiye Sinai Kalkinma Bankasi AS *	200,093
360,270	Turkiye Vakiflar Bankasi TAO Class D *	719,140
160,660	Turkiye Halk Bankasi AS	926,268
141,900	Vestel Elektronik Sanayi AS *	199,753
292,900	Yapi ve Kredi Bankasi AS *	551,209
	Total Turkey	14,348,073
	TOTAL COMMON STOCKS (COST $137,356,531)	165,136,853
	PREFERRED STOCKS — 8.4%
	Brazil — 6.7%
54,800	Banco Bradesco SA 0.48%	1,139,391
17,700	Centrais Eletricas Brasileiras SA Class B 4.95%	254,787
25,441	Cia Energetica de Minas Gerais 2.53%	436,214
5,539	Companhia de Bebidas das Americas 5.83%	528,501
20,900	Companhia Paranaense de Energia Class B 0.38%	402,761
15,100	Eletropaulo Metropolitana SA 5.88%	292,452
4,700	Fertilizantes Fosfatados SA *	42,890
33,308	Gerdau SA 0.59%	514,182
8,967	Itau Unibanco Holding SA 0.38%	193,847
75,560	Itausa-Investimentos Itau SA 0.50%	482,499
97,924	Petroleo Brasileiro SA (Petrobras) 0.91%	2,164,313
49,030	Petroleo Brasileiro SA Sponsored ADR 0.84%	2,209,292
16,540	Tele Norte Leste Participacoes ADR 5.64%	359,910
8,400	Tele Norte Leste Participacoes SA 5.64%	176,565
4,900	Telecomunicacoes de Sao Paulo SA 5.40%	120,442
3,400	Telemar Norte Leste SA Class A 5.62%	124,341
29,600	Usinas Siderrurgicas de Minas Gerais SA Class A 0.97%	863,298
75,656	Vale SA Preference A 1.98%	1,826,001
43,070	Vale SA Sponsored ADR 1.96%	1,055,215
	Total Brazil	13,186,901
	Russia — 0.5%
697,390	Surgutneftegaz 8.80%	314,067
890	Transneft 1.04%	651,991
	Total Russia	966,058
	South Korea — 1.2%
6,746	Hyundai Motor Co 2.33%	235,035
4,977	Samsung Electronics Co Ltd (Non Voting) 1.17%	2,030,795
	Total South Korea	2,265,830
	TOTAL PREFERRED STOCKS (COST $11,782,957)	16,418,789

		INVESTMENT FUNDS — 5.5%
		United States — 5.5%
265,100		iShares MSCI Emerging Markets Index Fund (b)	10,741,852
		TOTAL INVESTMENT FUNDS (COST $9,518,693)	10,741,852
		RIGHTS AND WARRANTS — 0.0%
		Malaysia — 0.0%
2,166		IOI Corp Berhad Rights, Expires 12/14/09*	1,507
		TOTAL RIGHTS AND WARRANTS (COST $1,476)	1,507
Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.4%
USD	702,555	Allied Irish Bank Time Deposit, 0.03%, due 12/01/09	702,555
USD	2,100,010	Bank of Ireland Time Deposit, 0.03%, due 12/01/09	2,100,010
ZAR	126	Brown Brothers Harriman Time Deposit, 5.75%, due 12/01/09	17
HKD	319,461	Citibank Time Deposit, 0.01%, due 12/01/09	41,220
		TOTAL SHORT-TERM INVESTMENTS (COST $2,843,802)	2,843,802
		TOTAL INVESTMENTS — 99.6% (Cost $161,503,459)	195,142,803
		Other Assets and Liabilities (net) — 0.4%	825,319
		TOTAL NET ASSETS — 100.0%	$	195,968,122

As of November 30, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	170,703,499	$	28,624,924	$	(4,185,620	)	$	24,439,304

Notes to Schedule of Investments:

ADR - American Depositary Receipt

Foreign Registered - Shares issued to foreign investors in markets that have foreign ownership limits.

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

*	Non-income producing security.
(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.
(b)	Represents an investment to equitize cash in the iShares® MSCI Emerging Markets Index Fund, which is a separate investment portfolio of iShares, Inc., a registered investment company. The iShares® MSCI Emerging Markets Index Fund invests in global emerging markets and seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. iShares® is a registered trademark of Barclays Global Investors, N.A. (“BGI”). Neither BGI nor the iShares® Funds make any representations regarding the advisability of investing in the iShares® MSCI Emerging Markets Index Fund.

Currency Abbreviations:

HKD - Hong Kong Dollar

USD - United States Dollar

ZAR - South African Rand

Portfolio valuation

Securities listed on a securities exchange for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price on each business day or, (iii) if there is no such reported sale or official closing price, at the most recent quoted bid price or broker bid (if the Manager deems the private market to be more relevant in determining market value than an exchange). Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted bid price. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost. Shares of investment funds are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. Because many foreign equity securities markets and exchanges close prior to the close of the New York Stock Exchange (“NYSE”), closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close but before the close of the NYSE. As a result, the Fund generally values foreign equity securities as of the NYSE close using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor using that vendor’s proprietary models. As of November 30, 2009, 66.62% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor and are classified as using Level 2 inputs in the table below.

In accordance with the authoritative guidance on fair value measurements and disclosures under Generally Accepted Accounting Principles (“GAAP”), the Fund discloses the fair value of its investments in a three-level hierarchy.  The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include fair value adjustments applied to closing prices of foreign securities due to market events that have occurred since the local market close but before the Fund’s daily NAV calculation or quoted prices for similar securities.

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund’s securities in Thailand were valued at the local price and subject to a premium adjustment upon exceeding foreign ownership limitations.

The following is a summary of the inputs used as of November 30, 2009 in valuing the Fund’s investments:

ASSET VALUATION INPUTS

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Common Stocks
Argentina	$	199,072	$	—	$	—	$	199,072
Brazil	15,736,018		—		—		15,736,018
Chile	237,177		—		—		237,177
China	1,984,552		16,778,632		—		18,763,184
Czech Republic	—		817,406		—		817,406
Egypt	—		2,085,287		—		2,085,287
Hungary	—		2,394,612		—		2,394,612
India	518,714		9,102,333		—		9,621,047
Indonesia	—		3,067,877		—		3,067,877
Israel	100,456		990,085		—		1,090,541
Malaysia	—		1,496,663		—		1,496,663
Mexico	3,063,253		—		—		3,063,253
Morocco	—		153,112		—		153,112
Peru	180,148		—		—		180,148
Philippines	—		330,948		—		330,948
Poland	—		4,596,070		—		4,596,070
Russia	3,712,095		25,299,916		—		29,012,011
South Africa	—		4,555,978		—		4,555,978
South Korea	1,280,765		27,041,736		—		28,322,501
Taiwan	141,528		15,517,113		—		15,658,641
Thailand	—		—		9,407,234		9,407,234
Turkey	—		14,348,073		—		14,348,073
TOTAL COMMON STOCKS	27,153,778		128,575,841		9,407,234		165,136,853
Preferred Stocks
Brazil	13,186,901		—		—		13,186,901
Russia	—		966,058		—		966,058
South Korea	—		2,265,830		—		2,265,830
TOTAL PREFERRED STOCKS	13,186,901		3,231,888		—		16,418,789
Investment Funds
United States	10,741,852		—		—		10,741,852
TOTAL INVESTMENT FUNDS	10,741,852		—		—		10,741,852
Rights and Warrants
Malaysia	—		1,507		—		1,507
TOTAL RIGHTS AND WARRANTS	—		1,507		—		1,507
Short-Term Investments	2,843,802		—		—		2,843,802
Total Investments	53,926,333		131,809,236		9,407,234		195,142,803
Total	$	53,926,333	$	131,809,236	$	9,407,234	$	195,142,803

The aggregate net value of the Fund’s direct investments in securities using Level 3 inputs was 4.80% of total net assets.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2009		Net Purchases/(Sales)		Accrued Discounts/ Premiums		Total Realized Gain/(Loss)			Change in Unrealized Appreciation (Depreciation)		Net transfers in to/out of Level 3		Balances as of August 31, 2009
Common Stocks
Thailand	$	5,352,748	$	894,485	$	—	$	(1,561,064	)	$	4,721,065	$	—	$	9,407,234
Total	$	5,352,748	$	894,485	$	—	$	(1,561,064	)	$	4,721,065	$	—	$	9,407,234

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are accrued or incurred. The Fund does not isolate realized and unrealized gains and losses that result from changes in exchange rates from realized and unrealized gains and losses that result from changes in the market value of investments. Both of those changes are included in net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent gains and losses on disposition of currencies and forward currency contracts, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund’s accounting records and the U.S. dollar equivalent amounts actually received or paid.

Forward currency contracts

The Fund may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied by a quotation service and changes in value are recorded by the Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price during a specified future time period. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Because many foreign exchanges close prior to the close of the New York Stock Exchange (“NYSE”), closing prices for foreign futures contracts on those exchanges do not reflect events that occur after that close but before the close of the NYSE. As a result, the Fund generally values foreign futures contracts using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor’s proprietary models. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may purchase put and call options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund may write (i.e., sell) call and put options. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g. index options), settlement will be in cash. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. Over-the- counter options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments purchased. The Fund had no open written option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price or, if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values over-the-counter options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Interest rate swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive interest, e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal.

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

Swap agreements generally are not traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the party with whom the Fund contracts defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that the collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a stated price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in Options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options.  However, because warrants and rights are considered to be over-the-counter instruments, they often do not have standardized terms, may have longer maturities and may be less liquid than exchange-traded options.  In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and warrants held by the Fund at the end of the period are listed in the Fund’s Schedule of Investments.

Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value and an investor may lose money by investing in the Fund. Following is a brief summary of the principal risks of an investment in the Fund. This summary is not intended to include every potential risk of investing in the Fund. The Fund could be subject to additional risks because the types of investments it makes may change over time.

· Market Risk — Equity Securities — Equity securities may decline in value due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. Because the Fund generally seeks to be fully invested and normally does not take temporary defensive positions, declines in stock market prices generally are likely to result in declines in the value of the Fund’s investments.

· Foreign Investment Risk — The market prices of foreign securities may fluctuate more rapidly and to a greater extent than those of U.S. securities. Foreign markets often are less stable, smaller, less liquid, and less regulated, and the cost of trading in those markets often is higher, than in U.S. markets. The Fund needs to maintain a license to invest in some foreign markets (e.g., Brazil, India, Russia, South Korea, and Taiwan). Changes in investment, capital, or exchange control regulations could adversely affect the value of the Fund’s foreign investments. These and other risks (e.g., nationalization, expropriation, or other confiscation) are greater for the Fund’s investments in emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

· Currency Risk — Fluctuations in exchange rates may adversely affect the value of the Fund’s foreign currency holdings and investments denominated in foreign currencies.

· Liquidity Risk — Low trading volume, lack of a market maker, or legal restrictions may limit or prevent the Fund from selling securities or closing derivative positions at desirable prices. These risks are particularly pronounced for the Fund because it typically makes equity investments in companies in emerging countries and may make investments in companies with smaller market capitalizations. In addition, the Fund may buy securities that are less liquid than those in its benchmark.

· Smaller Company Risk — The securities of companies with smaller market capitalizations typically are less widely held, trade less frequently and in lesser quantities, and have market prices that may fluctuate more than those of securities of larger capitalization companies. The Fund may buy securities that have smaller market capitalizations than those in its benchmark.

Other principal risks of an investment in the Fund include Credit and Counterparty Risk (risk of default of a derivatives counterparty or borrower of the Fund’s securities), Focused Investment Risk (increased risk from the Fund’s focus on investments in a limited number of countries and geographic regions), Market Risk — Value Securities (risk that the price of the Fund’s securities may not increase to what the Manager believes to be their fundamental value or that the Manager may have overestimated their fundamental value), Derivatives Risk (use of derivatives by the Fund involves risks different from, and potentially greater than, risks associated with direct investments in securities and other investments by the Fund), Management Risk (risk that the Manager’s strategies and techniques will fail to produce the desired results), Market Disruption and Geopolitical Risk (risk that geopolitical events may increase market volatility and have adverse long-term effects on U.S. and world economies and markets generally), Large Shareholder Risk (risk that shareholders of the Fund, such as institutional investors or other series of the Trust, will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis), and Fund of Funds Risk (risk that the GMO Funds or other underlying funds (including ETFs) in which the Fund invests will not perform as expected). The Fund is a non-diversified investment company under the 1940 Act, and therefore

a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified.

Disclosures about Derivative Instruments and Hedging Activities — In accordance with GAAP authoritative guidance, effective March 1, 2009, the Fund included expanded disclosures regarding its derivative instrument and hedging activities.

The Fund may use derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include swaps, reverse repurchase agreements and other over-the-counter (“OTC”) contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including currency forwards, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to hedge or reduce its investment exposures. The Fund also may use currency derivatives in an attempt to hedge or reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). The Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The use of derivatives involves risks different from, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. In particular, the use of OTC derivatives contracts exposes the Fund to the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivative contracts typically can be closed out only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but there can be no assurance that the Fund will be able to enforce its contractual rights. For example, because the contract for each OTC derivative is individually negotiated with a specific counterparty, a Fund is subject to the risk that a counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund. If that occurs, the cost and unpredictability of the legal proceedings required for the Fund to enforce its contractual rights may lead it to decide not to pursue its claims against the counterparty. The Fund, therefore, assumes the risk that it may be unable to obtain payments the Manager believes are owed to it under OTC derivatives contracts or that those payments may be delayed or made only after the Fund has incurred the costs of litigation.

Sometimes, the Fund may post or receive collateral related to changes in the market value of a derivative. A further risk of using OTC derivatives arises when the counterparty’s obligations are not secured by collateral, the Fund’s security interest in any collateral is not perfected, the Fund is required to make a significant upfront deposit, or when the collateral is not regularly marked-to-market. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives the collateral. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. Due to the nature of the Fund’s investments, the Fund may invest in derivatives with a limited number of counterparties and events that affect the creditworthiness of any one of those counterparties may have a pronounced effect on the Fund.

Derivatives risk is particularly acute in economic environments in which the Fund’s counterparties and other financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Derivatives also are subject to a number of risks described in the “Investment Risks” note, including market risk, liquidity risk, currency risk, and credit and counterparty risk. The terms of many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. There can be no assurance that the pricing models employed by the Fund’s third-party valuation services and/or the Manager will produce valuations that are reflective of levels at which the OTC derivatives purchased by the Fund may actually be closed out or sold. This valuation risk is more pronounced in cases where the Fund enters OTC derivatives with specialized terms because the value of those derivatives in some cases can be determined only by reference to similar derivatives with more standardized terms. Improper valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value.

There can be no assurance that a Fund’s use of derivatives will be effective or will have the desired results. Moreover, suitable derivatives are not always available in all circumstances. For example, the economic costs of taking some derivatives positions may be prohibitive and, if a counterparty or its affiliate is deemed to be an affiliate of a Fund, none of the Funds is permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce a Fund’s risk exposures.

Derivatives also involve the risk that changes in their value may not correlate perfectly with the assets, rates or indices they are designed to hedge or closely track. The use of derivatives also may increase the taxes payable by shareholders.

The Fund’s use of derivatives may cause its portfolio to be implicitly leveraged. Leverage increases a Fund’s portfolio losses when the value of its investment positions declines. Since many derivatives have a leverage component, adverse changes in the value or level of the underlying asset, rate, or index may result in a loss substantially greater than the initial value of the derivative.

At November 30, 2009, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:

	Interest rate		Foreign exchange		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Assets:
Investments, at value (rights and warrants)	$	—	$	—	$	—	$	1,507	$	—	$	1,507
Unrealized appreciation on futures contracts*	—		—		—		—		—		—
Unrealized appreciation on forward currency contracts	—		—		—		—		—		—
Unrealized appreciation on swap agreements	—		—				—		—		—
Total	$	—	$	—	$	—	$	1,507	$	—	$	1,507
Liabilities:
Written options outstanding	$	—	$	—	$	—	$	—	$	—	$	—
Unrealized depreciation on futures contracts*	—		—		—		—		—		—
Unrealized depreciation on forward currency contracts	—		—		—		—		—		—
Unrealized depreciation on swap agreements	—		—		—		—		—		—
Total	$	—	$	—	$	—	$	—	$	—	$	—

* The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments.

For additional information regarding the Fund’s Schedule of Investments, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2009 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 93.3%
		Albania — 0.2%
		Foreign Government Obligations
USD	9,639,573	Republic of Albania Par Bond, Zero Coupon, due 08/31/25(a)	3,699,186
		Argentina — 13.3%
		Foreign Government Obligations — 11.0%
USD	9,000,000	Province of Buenos Aires, Reg S, Step Up, 4.00%, due 05/15/35	3,015,000
USD	85,000	Republic of Argentina, 11.75%, due 06/15/15(b)	36,550
USD	10,000,000	Republic of Argentina, 8.88%, due 03/01/29(b)	4,300,000
GBP	3,247,000	Republic of Argentina, MTN, Series LELI, 10.00%, due 06/25/07(b)	2,089,916
USD	1,000,000	Republic of Argentina, Series 2008, 15.50%, due 12/19/49(b)	430,000
USD	12,000,000	Republic of Argentina, Series BGL4, 11.00%, due 10/09/06(b)	5,160,000
USD	7,311,000	Republic of Argentina, Series BGLO, 8.38%, due 12/20/03(b)	3,143,730
USD	46,000,000	Republic of Argentina, Series F, 0.00%, due 10/15/04(b)(c)	9,660,000
USD	30,000,000	Republic of Argentina, Series SPAN, 0.00%, due 11/30/02(b)	11,400,000
USD	2,587,924	Republic of Argentina Capitalization Bond, Series 2031, 12.00%, due 06/19/31(b)	1,112,807
USD	23,836,581	Republic of Argentina Discount Bond, 8.28%, due 12/31/33	15,469,940
EUR	7,499,373	Republic of Argentina Discount Bond, 7.82%, due 12/31/33	6,671,960
DEM	3,830,000	Republic of Argentina Discount Bond, Series DM, 6 mo. DEM LIBOR + .81%, 1.82%, due 03/31/23(b)	1,617,225
EUR	214,900,000	Republic of Argentina GDP Linked, 2.84%, due 12/15/35(d)	15,811,483
ARS	28,000,000	Republic of Argentina GDP Linked, 3.72%, due 12/15/35(c)(d)	452,595
DEM	5,000,000	Republic of Argentina Global Bond, Step Down, 9.00%, due 11/19/08(b)(c)	1,497,075
USD	31,390,000	Republic of Argentina Global Bond, EMTN, Reg S, 3 mo. LIBOR + 5.75%, 6.03%, due 04/06/04(b)	8,161,400
USD	25,047,334	Republic of Argentina Global Bond, Series 2018, 12.25%, due 06/19/18(b)	10,770,354
EUR	3,500,000	Republic of Argentina Global Bond, Series FEB, Step Down, 8.00%, due 02/26/08(b)	2,082,464
ARS	28,000,000	Republic of Argentina Global Par Bond, Step Up, 0.63%, due 12/31/38(c)	2,185,595
USD	21,000,000	Republic of Argentina Par Bond, Step Up, 2.50%, due 12/31/38	6,552,000
EUR	284,000,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38	122,068,597
USD	1,815,200	Republic of Argentina Pro 4, 2.00%, due 12/28/10(b)	91,000
			233,779,691
		Judgments — 2.3%
USD	3,540,000	Republic of Argentina, 8.88%, due 03/01/29(b)(c)(e)	1,141,650
USD	43,132,075	Republic of Argentina Capitalization Bond, Series 2031, 12.00%, due 06/19/31(b)(c)(e)	13,910,094
USD	32,000,000	Republic of Argentina Discount Bond, Series L-GL, 6 mo. LIBOR + .81%, 1.44%, due 03/31/23(b)(c)(e)	13,200,000
USD	26,545,000	Republic of Argentina Global Bond, 12.13%, due 02/25/19(b)(c)(e)	8,560,763
USD	6,931,000	Republic of Argentina Global Bond, 12.00%, due 02/01/20(b)(c)(e)	2,235,248
USD	8,000,000	Republic of Argentina Global Bond, 9.75%, due 09/19/27(b)(c)(e)	2,580,000
USD	198,230	Republic of Argentina Global Bond, Series 2008, Step Up, 15.50%, due 12/29/49(b)(c)(e)	63,929
USD	3,235,359	Republic of Argentina Global Bond, Series 2018, 12.25%, due 06/19/18(b)(c)(e)	1,043,403
USD	15,000,000	Republic of Argentina Global Par Bond, Series L-GP, Step Up, 6.00%, due 03/31/23(b)(c)(e)	6,187,500
			48,922,587
		Total Argentina	282,702,278
		Aruba — 0.9%
		Foreign Government Obligations
USD	1,752,000	Government of Aruba, 6.80%, due 04/02/14(c)	1,802,841
USD	12,000,000	Government of Aruba, Reg S, 6.40%, due 09/06/15	12,000,000
USD	5,000,000	Government of Aruba, 6.19%, due 10/30/12	5,050,000
		Total Aruba	18,852,841

		Bahamas — 0.6%
		Foreign Government Obligations
USD	13,000,000	Commonwealth of Bahamas, 144A, 6.95%, due 11/20/29	12,967,500
		Belize — 0.3%
		Foreign Government Obligations
USD	11,425,000	Government of Belize, Reg S, Step Up, 4.25%, due 02/20/29	6,283,750
		Bosnia & Herzegovina — 0.6%
		Foreign Government Obligations
DEM	21,457,400	Bosnia & Herzegovina, Series A, 6 mo. DEM LIBOR + .81%, 2.29%, due 12/11/17	12,025,661
		Brazil — 4.3%
		Corporate Debt — 0.9%
USD	9,000,000	Petrobras International Finance Co., 6.88%, due 01/20/40	9,191,250
USD	9,000,000	Petrobras International Finance Co., 7.88%, due 03/15/19	10,395,000
			19,586,250
		Foreign Government Obligations — 3.4%
USD	6,733,334	Brazilian Government International Exit Bonds, 6.00%, due 09/15/13	6,901,667
USD	92,279	Brazilian Government International Exit Bonds, Odd Lot, 6.00%, due 09/15/13	89,972
USD	75,359	Brazilian Government International Exit Bonds, Odd Lot, 6.00%, due 09/15/13	73,475
USD	96,000	Brazilian Government International Exit Bonds, Odd Lot, 6.00%, due 09/15/13	93,600
USD	42,000,000	Republic of Brazil, 8.25%, due 01/20/34	54,600,000
USD	8,000,000	Republic of Brazil, 7.13%, due 01/20/37	9,460,000
			71,218,714
		Total Brazil	90,804,964
		Colombia — 1.1%
		Foreign Government Agency — 0.4%
USD	8,000,000	Ecopetrol SA, 7.63%, due 07/23/19	8,960,000
		Foreign Government Obligations — 0.7%
USD	8,000,000	Republic of Colombia, 8.70%, due 02/15/16	9,560,000
USD	3,800,000	Republic of Colombia, 11.85%, due 03/09/28	4,465,000
			14,025,000
		Total Colombia	22,985,000
		Congo Republic (Brazzaville) — 2.5%
		Foreign Government Obligations
USD	1,425,000	Republic of Congo, Series INTL, 3.00%, due 06/30/29	698,250
USD	109,865,600	Republic of Congo, Series US, 3.00%, due 06/30/29	53,284,816
		Total Congo Republic (Brazzaville)	53,983,066
		Costa Rica — 0.2%
		Foreign Government Obligations
USD	3,710,000	Republic of Costa Rica, Reg S, 10.00%, due 08/01/20	4,767,350
		Croatia — 0.8%
		Foreign Government Obligations
USD	16,000,000	Croatia Government International Bond, 144A, 6.75%, due 11/05/19	17,060,000

		Dominican Republic — 2.7%
		Asset-Backed Securities — 0.8%
USD	15,251,174	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24	10,904,589
USD	7,867,223	Autopistas Del Nordeste Ltd., 144A, 9.39%, due 01/15/26	5,625,065
			16,529,654
		Foreign Government Obligations — 1.9%
USD	9,000,000	Dominican Republic, Reg S, 8.63%, due 04/20/27	9,450,000
USD	42,557,000	Dominican Republic Discount Bond, 6 mo. LIBOR + .81%, 1.29%, due 08/30/24	31,917,750
			41,367,750
		Total Dominican Republic	57,897,404
		Ecuador — 0.2%
		Foreign Government Obligations
USD	13,587,000	Republic of Ecuador, Step Up, 10.00%, due 08/15/30(b)	4,755,450
USD	2,001,290	Republic of Ecuador PDI (Global Bearer Capitalization Bond), PIK, 6 mo. LIBOR + .81%, 1.63%, due 02/27/15(c)	532,343
		Total Ecuador	5,287,793
		Egypt — 0.1%
		Corporate Debt
USD	1,100,925	Petroleum Export, 144A, 5.27%, due 06/15/11	1,084,411
		El Salvador — 1.1%
		Foreign Government Obligations
USD	24,700,000	Republic of El Salvador, Reg S, 7.65%, due 06/15/35	24,453,000
		Gabon — 0.3%
		Foreign Government Obligations
USD	7,000,000	Gabonese Republic, Reg S, 8.20%, due 12/12/17	7,175,000
		Grenada — 0.1%
		Foreign Government Obligations
USD	6,000,000	Republic of Grenada, Reg S, Step Up, 2.50%, due 09/15/25	2,340,000
		Indonesia — 1.9%
		Foreign Government Agency
USD	10,600,000	Majapahit Holding BV, 144A, 7.75%, due 01/20/20	10,865,000
USD	31,000,000	Majapahit Holding BV, 144A, 7.88%, due 06/29/37	29,140,000
		Total Indonesia	40,005,000
		Iraq — 0.5%
		Foreign Government Obligations
USD	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28	11,175,000
		Israel — 0.7%
		Foreign Government Agency
USD	13,000,000	Israel Electric Corp. Ltd., 144A, 7.25%, due 01/15/19	14,348,750

		Ivory Coast — 3.1%
		Foreign Government Obligations
FRF	37,500,000	Ivory Coast Discount Bond, Series FRF, Step Up, 4.00%, due 03/31/28(b)	5,622,602
USD	46,850,000	Ivory Coast FLIRB, Series YR20, Step Up, 4.00%, due 03/31/18(b)	22,956,500
FRF	85,905,000	Ivory Coast FLIRB, Series FRF, Step Up, 4.00%, due 03/30/18(b)	9,438,966
FRF	256,889,500	Ivory Coast PDI, Series FRF, Step Up, 2.90%, due 03/31/18(b)	27,050,104
		Total Ivory Coast	65,068,172
		Jamaica — 0.3%
		Foreign Government Agency — 0.2%
USD	2,500,000	Air Jamaica Ltd., Reg S, 8.13%, due 06/14/27	1,700,000
USD	3,857,143	Air Jamaica Ltd., Reg S, 9.38%, due 07/08/15	3,278,571
			4,978,571
		Foreign Government Obligations — 0.1%
USD	2,500,000	Government of Jamaica, 8.00%, due 03/15/39	1,575,000
		Total Jamaica	6,553,571
		Malaysia — 0.6%
		Asset-Backed Securities
MYR	50,000,000	Transshipment Megahub Berhad, Series F, 6.70%, due 11/02/12	12,604,274
		Mexico — 7.1%
		Foreign Government Agency — 4.5%
GBP	7,689,000	Pemex Project Funding Master Trust, EMTN, 7.50%, due 12/18/13	13,550,423
EUR	26,500,000	Pemex Project Funding Master Trust, Reg S, 5.50%, due 02/24/25	35,115,650
EUR	30,000,000	Pemex Project Funding Master Trust, Reg S, 6.38%, due 08/05/16	47,073,627
			95,739,700
		Foreign Government Obligations — 2.6%
USD	8,000,000	United Mexican States, 6.05%, due 01/11/40	8,140,000
GBP	29,994,000	United Mexican States, GMTN, 6.75%, due 02/06/24	46,875,956
			55,015,956
		Total Mexico	150,755,656
		Nicaragua — 0.2%
		Foreign Government Obligations
USD	4,926,395	Republic of Nicaragua BPI, Series E, 5.00%, due 02/01/11	4,359,860