UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number  811-04347         

                GMO Trust                 

           (Exact name of the registrant as specified in charter)

           53 State Street, 33^rd Floor, Boston, MA       02109             

          (Address of principal executive offices)   (Zip Code)

        Tara Pari, Chief Executive Officer, 53 State Street, 33^rd Floor, Boston, MA 02109      

              (Name and address of agent for services)

Registrant’s telephone number, including area code:  617-346-7646

Date of fiscal year end:   02/29/24

Date of reporting period: 08/31/23

Item 1. Reports to Stockholders.

The semi-annual reports for each series of the registrant for the period ended August 31, 2023 are filed herewith.

GMO Trust

Semiannual Report

August 31, 2023

Climate Change Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

Emerging Markets Select Equity Fund

International Equity Fund

International Opportunistic Value Fund

(formerly Tax-Managed International Equities Fund)

Japan Value Creation Fund

Quality Cyclicals Fund

Quality Fund

Resource Transition Fund

Resources Fund

Small Cap Quality Fund

U.S. Equity Fund

U.S. Opportunistic Value Fund

U.S. Small Cap Value Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT, which is available on the Commission’s website at www.sec.gov. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Climate Change Fund
Investment Concentration Summary	2
Schedule of Investments	3
Emerging Markets ex-China Fund
Investment Concentration Summary	6
Schedule of Investments	7
Emerging Markets Fund
Investment Concentration Summary	12
Schedule of Investments	13
Emerging Markets Select Equity Fund
Investment Concentration Summary	19
Schedule of Investments	20
International Equity Fund
Investment Concentration Summary	23
Schedule of Investments	24
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Investment Concentration Summary	28
Schedule of Investments	29
Japan Value Creation Fund
Investment Concentration Summary	32
Schedule of Investments	33
Quality Cyclicals Fund
Investment Concentration Summary	34
Schedule of Investments	35
Quality Fund
Investment Concentration Summary	37
Schedule of Investments	38
Resource Transition Fund
Investment Concentration Summary	40
Schedule of Investments	41
Resources Fund
Investment Concentration Summary	43
Schedule of Investments	44
Small Cap Quality Fund
Investment Concentration Summary	48
Schedule of Investments	49
U.S. Equity Fund
Investment Concentration Summary	51
Schedule of Investments	52
U.S. Opportunistic Value Fund
Investment Concentration Summary	56
Schedule of Investments	57
U.S. Small Cap Value Fund
Investment Concentration Summary	60
Schedule of Investments	61
Portfolio, Counterparty and Currency Abbreviations	65
Fund Financial Statements:
Statements of Assets and Liabilities	66
Statements of Operations	72
Statements of Changes in Net Assets	75

Financial Highlights	83
Notes to Financial Statements	128
Board Review of Investment Management Agreements	168
Liquidity Risk Management Program	182
Fund Expenses	183

GMO Climate Change Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.1	%
Mutual Funds		3.2
Preferred Stocks		1.5
Short-Term Investments		0.1
Other		(2.9	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		46.8	%
Canada		9.7
France		8.7
South Korea		5.3
Japan		5.0
Other Developed		4.7	‡
Germany		3.6
Denmark		3.6
Brazil		2.7
Mexico		2.5
Spain		2.2
China		1.5
Chile		1.5
Argentina		1.1
Italy		1.0
Other Emerging		0.1	†
		100.0	%

Industry Group Summary	% of Equity Investments#
Clean Energy		47.6	%
Energy Efficiency		20.8
Agriculture		9.8
Copper		9.4
Electric Grid		6.6
Water		5.5
Cash/Other		0.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

2

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 98.1%
	Argentina — 1.1%
893,215	Adecoagro SA (a)		10,254,108
	Australia — 0.1%
320,055	Clean TeQ Water Ltd * (a)		76,540
1,399,037	Sunrise Energy Metals Ltd * (a)		862,462
	Total Australia		939,002
	Brazil — 2.8%
1,349,167	Sao Martinho SA		9,843,480
795,652	SLC Agricola SA		6,462,197
946,900	Suzano SA		9,589,369
	Total Brazil		25,895,046
	Canada — 10.0%
476,293	Anaergia Inc * (a)		132,186
597,735	Canadian Solar Inc * (a)		16,742,557
431,300	Capstone Copper Corp *		2,007,754
111,900	ERO Copper Corp *		2,314,687
655,464	First Quantum Minerals Ltd		17,609,046
1,925,700	Greenlane Renewables Inc * (a)		327,791
3,924,457	Ivanhoe Mines Ltd – Class A* (a)		34,911,170
1,008,392	Largo Inc * (a)		3,298,618
1,333,508	Li-Cycle Holdings Corp * (a)		5,920,776
237,900	Northland Power Inc		4,498,479
85,400	Nutrien Ltd		5,407,528
	Total Canada		93,170,592
	China — 1.6%
4,391,114	China High Speed Transmission Equipment Group Co Ltd *		1,426,351
761,152	Goldwind Science & Technology Co Ltd		399,263
225,792	Hollysys Automation Technologies Ltd *		4,253,921
1,526,045	Ming Yang Smart Energy Group Ltd – Class A		3,123,824
583,600	Tianjin Capital Environmental Protection Group Co Ltd – Class A		471,653
2,606,006	Tianneng Power International Ltd (a)		2,776,156
1,226,576	Yutong Bus Co Ltd – Class A		2,099,225
	Total China		14,550,393
	Denmark — 3.7%
11,113	Rockwool A/S – B Shares		2,836,258
1,374,362	Vestas Wind Systems A/S *		31,754,777
	Total Denmark		34,591,035
	Finland — 0.9%
333,129	Kemira Oyj		5,272,796
89,318	Neste Oyj		3,267,526
	Total Finland		8,540,322

Shares	Description	Value ($)
	France — 9.0%
29,268	Legrand SA		2,883,466
376,292	Nexans SA		30,952,296
271,457	STMicroelectronics NV		12,808,597
688,102	Valeo SE		13,375,522
652,332	Veolia Environnement SA		20,350,760
114,522	Waga Energy SA * (a)		3,477,826
	Total France		83,848,467
	Germany — 3.7%
363,210	E.ON SE		4,470,993
468,749	Infineon Technologies AG		16,751,064
138,506	Knorr-Bremse AG		9,460,032
28,682	Siemens AG (Registered)		4,308,919
	Total Germany		34,991,008
	Ireland — 0.3%
31,685	Kingspan Group Plc		2,677,207
	Isle of Man — 0.7%
460,000	Lifezone Holdings Ltd *		6,578,000
	Israel — 0.5%
823,464	ICL Group Ltd		4,920,861
	Italy — 1.1%
241,600	Prysmian SPA		9,870,925
	Japan — 5.1%
254,400	Ebara Corp		12,648,583
240,700	GS Yuasa Corp		4,561,051
140,600	Organo Corp		3,902,264
396,100	Panasonic Holdings Corp		4,559,131
942,500	Renesas Electronics Corp *		15,701,730
315,000	Yokogawa Electric Corp		6,237,296
	Total Japan		47,610,055
	Mexico — 2.6%
3,546,905	Grupo Mexico SAB de CV – Series B		16,953,917
3,308,000	Orbia Advance Corp SAB de CV		7,362,752
	Total Mexico		24,316,669
	Netherlands — 0.7%
149,373	Arcadis NV		6,991,548
	Norway — 0.7%
778,202	Austevoll Seafood ASA		5,630,030
77,880	Grieg Seafood ASA		549,936
	Total Norway		6,179,966
	Russia — 0.0%
72,215	MMC Norilsk Nickel PJSC * (b)		126,934
3	MMC Norilsk Nickel PJSC ADR * (b)		—
120,856	PhosAgro PJSC (b)		92,122

3 See accompanying notes to the financial statements.

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares		Description	Value ($)
		Russia — continued
	2,335	PhosAgro PJSC GDR * (b) (c)		592
	169,638	Ros Agro Plc GDR (Registered) * (b)		13,879
		Total Russia		233,527
		South Korea — 5.4%
	99,070	LG Chem Ltd		43,621,294
	15,892	Samsung SDI Co Ltd		7,370,729
		Total South Korea		50,992,023
		Spain — 2.3%
	23,995	Acciona SA		3,429,331
	217,225	Endesa SA		4,511,315
	387,363	Iberdrola SA		4,595,184
	226,200	Redeia Corp. SA		3,673,328
	341,100	Solaria Energia y Medio Ambiente SA * (a)		5,068,675
		Total Spain		21,277,833
		Sweden — 0.3%
	244,125	Munters Group AB		3,013,819
		Switzerland — 0.1%
	17,328	Landis+Gyr Group AG		1,280,531
		Ukraine — 0.1%
	219,994	Kernel Holding SA *		587,160
		United Kingdom — 0.4%
	235,969	National Grid Plc		2,945,458
	187,340	Renewi Plc *		1,139,987
		Total United Kingdom		4,085,445
		United States — 44.9%
	342,762	Aemetis, Inc. * (a)		1,717,238
	83,092	AGCO Corp.		10,762,907
	331,800	Alcoa Corp.		9,980,544
	909,754	Ameresco, Inc. – Class A*		39,565,201
	345,361	BorgWarner, Inc.		14,073,461
	3,789,473	Clean Energy Fuels Corp. *		16,143,155
	43,338	Constellation Energy Corp.		4,514,086
	125,824	Corteva, Inc.		6,355,370
	772,863	Darling Ingredients, Inc. *		47,732,019
	10,022	Deere & Co.		4,118,441
	59,567	Edison International		4,101,188
	52,691	EnerSys		5,531,501
	44,122	Enphase Energy, Inc. *		5,582,757
	69,739	Exelon Corp.		2,797,929
	29,695	First Solar, Inc. *		5,615,918
	336,622	Freeport-McMoRan, Inc.		13,434,584
	1,171,395	Gevo, Inc. * (a)		1,534,527
	6,330,708	GrafTech International Ltd.		22,410,706
	1,038,631	Green Plains, Inc. *		32,239,106
	47,200	Johnson Controls International Plc		2,787,632
	7,800	Lennox International, Inc.		2,939,118

Shares		Description	Value ($)
		United States — continued
	633,978	Livent Corp. * (a)		13,611,508
	303,318	Mosaic Co. (The)		11,783,904
	152,148	Mueller Water Products, Inc. – Class A		2,148,330
	29,587	MYR Group, Inc. *		4,203,425
	89,665	ON Semiconductor Corp. *		8,828,416
	22,909	Owens Corning		3,296,834
	91,872	Pentair Plc		6,454,927
	99,381	PotlatchDeltic Corp. (REIT)		4,696,746
	204,523	Sensata Technologies Holding Plc		7,694,155
	281,511	SolarEdge Technologies, Inc. *		45,765,243
	3,058,937	Sunrun, Inc. *		47,811,185
	72,253	TE Connectivity Ltd.		9,565,575
		Total United States		419,797,636
		TOTAL COMMON STOCKS (COST $999,923,702)		917,193,178
		PREFERRED STOCKS (d) — 1.5%
		Chile — 1.5%
	221,358	Sociedad Quimica y Minera de Chile SA Sponsored ADR		13,854,797
		TOTAL PREFERRED STOCKS (COST $12,485,769)		13,854,797
		MUTUAL FUNDS — 3.2%
		United States — 3.2%
		Affiliated Issuers — 3.2%
	6,027,585	GMO U.S. Treasury Fund (e)		30,137,927
		Total United States		30,137,927
		TOTAL MUTUAL FUNDS (COST $30,102,832)		30,137,927
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	570,591	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (f)		570,591
		TOTAL SHORT-TERM INVESTMENTS (COST $570,591)		570,591
		TOTAL INVESTMENTS — 102.9%
		(Cost $1,043,082,894)		961,756,493
		Other Assets and Liabilities (net) — (2.9)%		(26,833,875	)
		TOTAL NET ASSETS — 100.0%		$934,922,618

See accompanying notes to the financial statements. 4

GMO Climate Change Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

 

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost	Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2023
PhosAgro PJSC GDR		08/09/19	$36,037	0.0%			$	592

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(b) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(c) The security is restricted as to resale.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(f) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

5 See accompanying notes to the financial statements.

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		90.4	%
Preferred Stocks		7.5
Mutual Funds		2.5
Short-Term Investments		0.2
Rights/Warrants		0.0	^
Other		(0.6	)
		100.0	%

Country/Region Summary¤	% of Investments
Taiwan		27.8	%
South Korea		14.1
South Africa		11.8
India		10.8
Brazil		10.1
Mexico		7.7
Indonesia		3.1
Vietnam		2.9
United States		2.5	*
Hungary		2.3
Poland		2.2
Thailand		1.8
Turkey		1.0
Egypt		0.7
Chile		0.5
Czech Republic		0.2
Russia		0.2
Malaysia		0.2
Greece		0.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Technology Hardware & Equipment		18.9	%
Banks		17.6
Materials		11.9
Energy		11.5
Semiconductors & Semiconductor Equipment		9.1
Food, Beverage & Tobacco		8.2
Financial Services		5.9
Transportation		5.1
Insurance		2.1
Consumer Discretionary Distribution & Retail		1.8
Consumer Staples Distribution & Retail		1.6
Capital Goods		1.3
Utilities		0.8
Pharmaceuticals, Biotechnology & Life Sciences		0.7
Software & Services		0.7
Media & Entertainment		0.7
Telecommunication Services		0.5
Health Care Equipment & Services		0.5
Commercial & Professional Services		0.4
Consumer Durables & Apparel		0.3
Consumer Services		0.2
Real Estate Management & Development		0.2
Household & Personal Products		0.0	^
Automobiles & Components		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

* Includes companies that are economically tied to emerging markets.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

6

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 90.4%
	Brazil — 2.6%
181,700	Ambev SA		507,816
203,500	Banco do Brasil SA		1,935,532
16,400	Banco Santander Brasil SA		89,782
152,300	BB Seguridade Participacoes SA		934,335
73,400	CPFL Energia SA		506,176
185,227	Enauta Participacoes SA		586,870
32,700	Engie Brasil Energia SA		278,132
34,900	Transmissora Alianca de Energia Eletrica SA		241,027
312,800	Ultrapar Participacoes SA		1,147,090
13,700	Vale SA		180,046
	Total Brazil		6,406,806
	Chile — 0.5%
20,727	CAP SA		145,868
4,100	Cia Cervecerias Unidas SA Sponsored ADR		60,393
2,552,363	Colbun SA		400,443
90,328	Inversiones La Construccion SA		570,851
	Total Chile		1,177,555
	Czech Republic — 0.2%
705	Philip Morris CR AS		552,457
	Egypt — 0.7%
80,922	Abou Kir Fertilizers & Chemical Industries		138,351
502,311	Commercial International Bank Egypt SAE		926,562
963,133	Eastern Co SAE		633,416
	Total Egypt		1,698,329
	Greece — 0.1%
15,956	Terna Energy SA		287,211
	Hungary — 2.4%
91,091	MOL Hungarian Oil & Gas Plc		688,833
105,998	OTP Bank Nyrt		4,322,316
30,826	Richter Gedeon Nyrt		771,865
	Total Hungary		5,783,014
	India — 10.9%
37,242	ACC Ltd		902,301
8,339	AU Small Finance Bank Ltd		72,638
10,593	Aurobindo Pharma Ltd		106,292
34,200	Azure Power Global Ltd *		17,100
22,625	Bandhan Bank Ltd		62,733
67,371	Castrol India Ltd		118,611
26,584	Cochin Shipyard Ltd		290,556
4,054	Colgate-Palmolive India Ltd		94,764
13,043	Coromandel International Ltd		171,940
4	Deepak Fertilisers & Petrochemicals Corp Ltd		29
7,502	Dr Reddy’s Laboratories Ltd		508,574

Shares	Description	Value ($)
	India — continued
6,234	EID Parry India Ltd		35,965
77,011	Engineers India Ltd		143,535
11,472	Federal Bank Ltd		19,949
18,413	GHCL Ltd		138,937
18,413	GHCL Textiles Ltd * (a)		16,948
15,033	Godawari Power and Ispat Ltd		112,151
22,607	Great Eastern Shipping Co Ltd (The)		208,527
10,615	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		78,045
165,981	Gujarat State Fertilizers & Chemicals Ltd		352,258
30,495	HCL Technologies Ltd		432,451
253,586	HDFC Bank Ltd		4,818,855
22,739	HDFC Bank Ltd ADR		1,416,867
32	Hindalco Industries Ltd		178
449,188	Indiabulls Housing Finance Ltd *		1,073,419
22,546	Infosys Ltd		390,989
39,300	Infosys Ltd Sponsored ADR		682,641
99,673	IRCON International Ltd		137,217
839,971	ITC Ltd		4,456,839
41,366	Jio Financial Services Ltd *		119,921
3,573	Mahanagar Gas Ltd		44,037
12,400	MakeMyTrip Ltd *		491,784
205,141	Manappuram Finance Ltd		382,032
10,906	Muthoot Finance Ltd		165,899
560,927	National Aluminium Co Ltd		637,027
170,102	NBCC India Ltd		105,800
53,653	NCC Ltd		111,700
1,889,560	Oil & Natural Gas Corp Ltd		3,967,598
97,481	Oil India Ltd		320,723
4,349	Oracle Financial Services Software Ltd		215,516
274,477	Petronet LNG Ltd		713,351
3,357	Piramal Enterprises Ltd		42,739
25,352	Power Grid Corp of India Ltd		75,012
9,609	Redington Ltd		18,240
41,366	Reliance Industries Ltd		1,202,224
29,827	RITES Ltd		180,045
888	Shriram Finance Ltd		20,633
58,393	Sun TV Network Ltd		435,598
41,424	Vedanta Ltd		116,022
9,240	Welspun Corp Ltd		36,480
6,400	WNS Holdings Ltd ADR *		418,240
2,069	Zensar Technologies Ltd		13,219
	Total India		26,695,149
	Indonesia — 3.2%
2,196,900	AKR Corporindo Tbk PT		201,843
5,950,100	Bank Central Asia Tbk PT		3,581,992
2,992,200	Bank Mandiri Persero Tbk PT		1,183,229
1,576,200	Bank Negara Indonesia Persero Tbk PT		949,197
4,693,700	Bank Rakyat Indonesia Persero Tbk PT		1,709,897
1,674,500	Medco Energi Internasional Tbk PT		117,665
	Total Indonesia		7,743,823

7 See accompanying notes to the financial statements.

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	Malaysia — 0.2%
154,100	Hartalega Holdings Bhd		64,904
284,300	Kossan Rubber Industries Bhd		79,054
1,655,500	Top Glove Corp Bhd *		273,109
	Total Malaysia		417,067
	Mexico — 7.7%
193,300	Arca Continental SAB de CV		1,887,596
178,700	Banco del Bajio SA		562,600
9,000	Coca-Cola Femsa SAB de CV Sponsored ADR		762,660
539,400	Credito Real SAB de CV SOFOM ER * (b)		—
4,400	Fomento Economico Mexicano SAB de CV Sponsored ADR		495,088
600	Grupo Aeroportuario del Centro Norte SAB de CV ADR		55,560
18,800	Grupo Aeroportuario del Centro Norte SAB de CV		218,040
30,425	Grupo Aeroportuario del Sureste SAB de CV – Class B		828,232
140	Grupo Aeroportuario del Sureste SAB de CV ADR		38,119
1,234,467	Grupo Financiero Banorte SAB de CV – Class O		10,478,544
261,200	Grupo Mexico SAB de CV – Series B		1,248,515
64,400	Qualitas Controladora SAB de CV		506,649
45,500	Regional SAB de CV		335,222
404,237	Wal-Mart de Mexico SAB de CV		1,593,666
	Total Mexico		19,010,491
	Poland — 2.2%
22,627	Bank Polska Kasa Opieki SA		590,701
579	Budimex SA		62,993
213,666	ORLEN SA		3,262,010
135,209	Powszechny Zaklad Ubezpieczen SA		1,354,098
3,138	XTB SA		25,184
	Total Poland		5,294,986
	Russia — 0.2%
4,036,000	Alrosa PJSC (b) (c)		34,271
434,347	Etalon Group Plc GDR (Registered) * (b)		4,056
131,280	Evraz Plc * (b)		3,404
236,860,000	Federal Grid Co Unified Energy System PJSC * (b)		3,256
102,255	Gazprom Neft PJSC (b)		6,954
897,812	Gazprom PJSC * (b)		16,680
6,151,400	Inter RAO UES PJSC (b)		2,688
122,088	LUKOIL PJSC (b)		86,974
4,327,340	Magnitogorsk Iron & Steel Works PJSC * (b) (c)		25,098
7,832	MMC Norilsk Nickel PJSC * (b)		13,766
5	MMC Norilsk Nickel PJSC ADR * (b)		1
172,200	Mobile TeleSystems PJSC ADR * (b)		10,191
88,090	Moscow Exchange MICEX-RTS PJSC (b)		1,582
93,370	Novatek PJSC (b)		16,431

Shares	Description	Value ($)
	Russia — continued
1,403,510	Novolipetsk Steel PJSC * (b)		29,597
4,917	PhosAgro PJSC (b)		3,748
95	PhosAgro PJSC GDR * (b) (c)		24
11,902	Polyus PJSC (b) (c)		14,489
1	Polyus PJSC GDR (Registered) * (b) (c)		1
4,917	Ros Agro Plc GDR (Registered) * (b)		402
50,074,400	RusHydro PJSC (b)		5,174
3,446,432	Sberbank of Russia PJSC (b) (c)		95,224
140,607	Severstal PJSC GDR (Registered) * (b) (c)		20,811
2,387,800	Surgutneftegas PJSC (b)		7,807
657,084	Tatneft PJSC (b)		40,429
9,408	TCS Group Holding Plc GDR (Registered) * (b)		3,605
	Total Russia		446,663
	South Africa — 11.8%
5	Absa Group Ltd		48
10,048	AECI Ltd		57,362
8,714	African Rainbow Minerals Ltd		82,292
110,775	Anglo American Platinum Ltd		3,863,199
34,946	Aspen Pharmacare Holdings Ltd		318,837
6,339	Astral Foods Ltd		57,387
142,216	AVI Ltd		544,134
8,655	Barloworld Ltd		38,821
1,732	Bid Corp Ltd		38,890
1,096	Capitec Bank Holdings Ltd		91,919
20,164	Clicks Group Ltd		291,928
39,371	Coronation Fund Managers Ltd		66,628
15,700	DRDGOLD Ltd Sponsored ADR		160,454
1,259,074	FirstRand Ltd		4,892,026
231,099	Foschini Group Ltd (The)		1,275,497
614,518	Impala Platinum Holdings Ltd		3,163,617
41,473	Investec Ltd		243,306
87,973	Kumba Iron Ore Ltd		1,926,455
60,078	Momentum Metropolitan Holdings		63,932
27,795	Motus Holdings Ltd		149,257
188,152	Mr Price Group Ltd		1,316,835
70,089	MTN Group Ltd		445,707
142,254	MultiChoice Group		591,048
64,195	Nedbank Group Ltd		734,815
159,573	Ninety One Ltd		337,488
866,313	Old Mutual Ltd		580,203
32,694	Omnia Holdings Ltd		94,077
71,307	OUTsurance Group Ltd		151,227
329,364	Pepkor Holdings Ltd		284,050
111,474	Pick n Pay Stores Ltd		205,812
8,984	Remgro Ltd		75,347
100,251	Sanlam Ltd		360,399
68,052	Sappi Ltd		144,259
36,807	Shoprite Holdings Ltd		513,688
911,603	Sibanye Stillwater Ltd		1,375,460
258,500	Sibanye Stillwater Ltd ADR		1,563,925
38,073	SPAR Group Ltd (The)		207,812
69,019	Tiger Brands Ltd		596,166

See accompanying notes to the financial statements. 8

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	South Africa — continued
221,831	Truworths International Ltd		851,347
155,342	Vodacom Group Ltd		886,054
98,253	Woolworths Holdings Ltd		386,135
	Total South Africa		29,027,843
	South Korea — 14.1%
2,388	BGF retail Co Ltd		282,359
269	BNK Financial Group Inc		1,387
28,177	Cheil Worldwide Inc		401,663
12,548	CJ Corp		667,391
2,529	Coway Co Ltd		82,579
35,641	Daou Data Corp		400,106
5,429	DB Insurance Co Ltd		335,281
135,863	Dongwon Development Co Ltd		354,441
11,750	E-MART Inc		655,251
255	Handsome Co Ltd		3,658
4,067	Hankook Tire & Technology Co Ltd		119,046
118,730	Humasis Co Ltd *		225,610
253	Hyundai Glovis Co Ltd		32,989
12,349	Hyundai Marine & Fire Insurance Co Ltd		282,364
1,557	Industrial Bank of Korea		12,667
6,507	INTOPS Co Ltd		145,300
13,436	JB Financial Group Co Ltd		98,604
75	KB Financial Group Inc		3,055
4,016	KCC Glass Corp		127,096
71,609	Korea Real Estate Investment & Trust Co Ltd		67,192
63,425	KT Skylife Co Ltd		304,602
97,487	KT&G Corp		6,405,019
9,501	Kumho Petrochemical Co Ltd		895,810
7,027	LOTTE Fine Chemical Co Ltd		320,779
1,071	MegaStudyEdu Co Ltd		41,693
10,331	Mirae Asset Securities Co Ltd		51,999
16,949	NH Investment & Securities Co Ltd		131,967
384	NongShim Co Ltd		133,090
8,281	Orion Corp		762,659
4,348	S-1 Corp		183,447
326,948	Samsung Electronics Co Ltd		16,535,803
8,890	Samsung Securities Co Ltd		250,911
36,865	SD Biosensor Inc		348,667
6,149	Seegene Inc		103,114
1,052	Soulbrain Co Ltd		180,821
13,389	Spigen Korea Co Ltd		328,023
8,842	TKG Huchems Co Ltd		148,020
1	Unid Co Ltd		44
357,003	Woori Financial Group Inc		3,211,790
138	Young Poong Corp		56,832
	Total South Korea		34,693,129
	Taiwan — 27.9%
559,000	Acer Inc		640,938
17,897	Advantech Co Ltd		192,595
553,850	AmTRAN Technology Co Ltd		211,918

Shares	Description	Value ($)
	Taiwan — continued
110,000	Asia Cement Corp		137,790
35,000	Asustek Computer Inc		440,965
68,000	Aten International Co Ltd		174,674
20,000	Aurora Corp		47,665
1,082,000	Catcher Technology Co Ltd		6,121,903
249,000	Chicony Electronics Co Ltd		807,387
322,000	China General Plastics Corp		243,894
326,000	Chipbond Technology Corp		713,628
65,000	ChipMOS Technologies Inc		78,176
2,000	Chroma ATE Inc		17,496
28,000	Delta Electronics Inc		302,593
1,403,600	Evergreen Marine Corp Taiwan Ltd		4,687,362
80,000	Everlight Electronics Co Ltd		115,149
40,000	Feng Hsin Steel Co Ltd		84,566
162,740	First Financial Holding Co Ltd		134,313
36,000	FLEXium Interconnect Inc		102,567
110,000	Formosa Advanced Technologies Co Ltd		135,722
522,000	Formosa Plastics Corp		1,303,127
466,897	Foxconn Technology Co Ltd		814,791
572,500	Fubon Financial Holding Co Ltd		1,141,658
4,000	Fusheng Precision Co Ltd		24,852
46,000	Getac Technology Corp		101,364
20,000	Global Mixed Mode Technology Inc		145,659
367,000	Grand Pacific Petrochemical		193,488
6,000	Grape King Bio Ltd		28,956
79,000	Greatek Electronics Inc		143,621
361,000	HannStar Display Corp *		138,634
17,000	Holtek Semiconductor Inc		33,567
781,000	Hon Hai Precision Industry Co Ltd		2,607,558
12,239	Innodisk Corp		107,411
2,000	King Slide Works Co Ltd		57,152
344,000	King’s Town Bank Co Ltd		398,739
104,000	Kung Long Batteries Industrial Co Ltd		434,103
94,000	Largan Precision Co Ltd		6,037,540
748,000	Lite-On Technology Corp ADR		3,197,747
11,000	Makalot Industrial Co Ltd		115,390
42,000	MediaTek Inc		926,245
596,000	Micro-Star International Co Ltd		2,980,332
320,000	Mitac Holdings Corp		405,676
194,000	Nan Ya Plastics Corp		402,625
233,528	Nantex Industry Co Ltd		266,595
7,000	Nien Made Enterprise Co Ltd		65,605
163,000	Novatek Microelectronics Corp		2,037,646
11,000	Powertech Technology Inc		34,358
220,000	Primax Electronics Ltd		456,899
227,000	Radiant Opto-Electronics Corp		850,739
9,000	Raydium Semiconductor Corp		90,716
53,744	Shanghai Commercial & Savings Bank Ltd (The)		71,882
79,000	Simplo Technology Co Ltd		761,880
15,750	Sporton International Inc		126,668
33,000	Synnex Technology International Corp		63,250
69,000	T3EX Global Holdings Corp		161,064
58,000	TaiDoc Technology Corp *		312,495

9 See accompanying notes to the financial statements.

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	Taiwan — continued
60,200	Taita Chemical Co Ltd		33,030
73,000	Taiwan Glass Industry Corp *		45,107
45,000	Taiwan Hon Chuan Enterprise Co Ltd		147,284
259,000	Taiwan PCB Techvest Co Ltd		360,499
372,000	Taiwan Semiconductor Manufacturing Co Ltd		6,392,058
88,480	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		8,279,074
132,000	Taiwan Union Technology Corp		516,593
2,000	TCI Co Ltd		10,191
11,000	Topkey Corp		58,068
113,000	Tripod Technology Corp		669,264
58,000	Tung Ho Steel Enterprise Corp		109,010
19,000	TXC Corp		56,397
110,000	United Integrated Services Co Ltd		749,292
490,000	United Microelectronics Corp		699,597
24,200	United Microelectronics Corp Sponsored ADR		173,514
97,000	Universal Inc		69,066
448,000	USI Corp		298,740
1,012,250	Wan Hai Lines Ltd		1,436,845
220,000	Win Semiconductors Corp		939,507
15,000	Yageo Corp		227,869
3,479,000	Yang Ming Marine Transport Corp		4,608,076
391,363	Yuanta Financial Holding Co Ltd		299,460
	Total Taiwan		68,609,874
	Thailand — 1.8%
370,100	Carabao Group Pcl NVDR		908,934
533,800	PTT Exploration & Production Pcl NVDR		2,416,634
173,900	Regional Container Lines Pcl NVDR		107,205
150,600	Sri Trang Gloves Thailand Pcl NVDR		31,167
637,400	Srisawad Corp Pcl NVDR		928,319
289,600	Thai Union Group Pcl NVDR		118,232
	Total Thailand		4,510,491
	Turkey — 1.0%
178,829	Is Yatirim Menkul Degerler AS		284,113
3,300	Turk Traktor ve Ziraat Makineleri AS		112,355
3,642,261	Yapi ve Kredi Bankasi AS		2,163,231
	Total Turkey		2,559,699
	Vietnam — 2.9%
512,200	Duc Giang Chemicals JSC		1,856,849
22,000	IDICO Corp JSC		43,512
110,600	PetroVietnam Ca Mau Fertilizer JSC		142,065
51,500	PetroVietnam Fertilizer & Chemicals JSC		78,890
105,700	PetroVietnam Technical Services Corp		155,837
454,798	Saigon - Hanoi Commercial Joint Stock Bank *		234,609
346,000	Saigon Thuong Tin Commercial JSB *		468,326
457,500	SSI Securities Corp		632,962
228,900	Vietnam Dairy Products JSC		739,120

Shares	Description	Value ($)
	Vietnam — continued
94,700	Vietnam Joint Stock Commercial Bank for Industry and Trade *		127,423
2,625,500	VNDirect Securities Corp *		2,555,130
	Total Vietnam		7,034,723
	TOTAL COMMON STOCKS (COST $304,206,334)		221,949,310
	PREFERRED STOCKS (d) — 7.5%
	Brazil — 7.5%
245,700	Bradespar SA		1,116,356
8,600	Cia de Ferro Ligas da Bahia		80,372
15,000	Cia Energetica de Minas Gerais		37,348
435,960	Gerdau SA		2,275,737
91,665	Gerdau SA Sponsored ADR		477,575
759,100	Itausa SA		1,416,400
178,100	Metalurgica Gerdau SA		425,105
1,723,369	Petroleo Brasileiro SA		11,115,479
97,717	Petroleo Brasileiro SA Sponsored ADR		1,264,458
19,500	Unipar Carbocloro SA – Class B		304,389
	Total Brazil		18,513,219
	Russia — 0.0%
3,948,700	Surgutneftegas PJSC (b)		20,521
315	Transneft PJSC (b)		4,360
	Total Russia		24,881
	TOTAL PREFERRED STOCKS (COST $19,126,934)		18,538,100
	MUTUAL FUNDS — 2.5%
	United States — 2.5%
	Affiliated Issuers — 2.5%
1,235,127	GMO U.S. Treasury Fund		6,175,637
	Total United States		6,175,637
	TOTAL MUTUAL FUNDS (COST $6,175,637)		6,175,637
	RIGHTS/WARRANTS — 0.0%
	Brazil — 0.0%
10,557	Itausa SA, expires 09/22/23*		5,841
	Total Brazil		5,841
	TOTAL RIGHTS/WARRANTS (COST $0)		5,841

See accompanying notes to the financial statements. 10

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	SHORT-TERM INVESTMENTS — 0.2%
	Money Market Funds — 0.2%
436,009	State Street Institutional Treasury Money
	Market Fund – Premier Class, 5.22% (e)		436,009
	TOTAL SHORT-TERM INVESTMENTS (COST $436,009)		436,009
	TOTAL INVESTMENTS — 100.6% (Cost $329,944,914)		247,104,897
	Other Assets and Liabilities (net) — (0.6)%		(1,444,473	)
	TOTAL NET ASSETS — 100.0%		$245,660,424

 

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets		Value as of August 31, 2023
Alrosa PJSC		10/18/21	$	7,054,956		0.0%		$34,271
Magnitogorsk Iron & Steel Works PJSC		10/18/21		4,011,995		0.0%		25,098
PhosAgro PJSC GDR		10/18/21		2,465		0.0%		24
Polyus PJSC		10/18/21		2,285,367		0.0%		14,489
Polyus PJSC GDR (Registered)		10/22/21		4		0.0%		1
Sberbank of Russia PJSC		10/18/21		16,614,391		0.0%		95,224
Severstal PJSC GDR (Registered)		10/18/21		3,190,235		0.0%		20,811

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued using significant unobservable inputs (Note 2).

(b) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(c) The security is restricted as to resale.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

 

11 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		85.7	%
Preferred Stocks		9.4
Mutual Funds		4.6
Short-Term Investments		0.3
Debt Obligations		0.2
Rights/Warrants		0.0	^
Futures Contracts		(0.2	)
Other		0.0	^
		100.0	%

Country/Region Summary¤	% of Investments
China		25.5	%
Taiwan		18.4
South Africa		9.9
South Korea		9.3
United States		8.7	*
Brazil		8.1
India		5.9
Mexico		5.1
Vietnam		2.5
Hungary		1.8
Thailand		0.9
Indonesia		0.7
Poland		0.6
Turkey		0.6
Russia		0.3
Egypt		0.3
Saudi Arabia		0.3
Malaysia		0.3
Czech Republic		0.3
Greece		0.1
Pakistan		0.1
Chile		0.1
Qatar		0.1
Kuwait		0.1
Philippines		0.0	^
Sri Lanka		0.0	^
Panama		0.0	^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		16.9	%
Technology Hardware & Equipment		13.9
Materials		11.4
Energy		10.7
Food, Beverage & Tobacco		9.3
Semiconductors & Semiconductor Equipment		6.9
Transportation		6.8
Financial Services		5.1
Consumer Discretionary Distribution & Retail		4.2
Insurance		3.0
Capital Goods		2.2
Pharmaceuticals, Biotechnology & Life Sciences		1.7
Software & Services		1.5
Media & Entertainment		1.5
Real Estate Management & Development		1.3
Consumer Durables & Apparel		1.0
Consumer Staples Distribution & Retail		0.8
Automobiles & Components		0.6
Health Care Equipment & Services		0.4
Utilities		0.4
Telecommunication Services		0.2
Consumer Services		0.1
Household & Personal Products		0.1
Commercial & Professional Services		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

* Includes companies that are economically tied to emerging markets.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

12

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares		Description	Value ($)
		COMMON STOCKS — 85.7%
		Brazil — 2.0%
	156,700	Ambev SA		437,945
	605,900	Banco do Brasil SA		5,762,844
	23,300	Banco Santander Brasil SA		127,556
	485,100	BB Seguridade Participacoes SA		2,976,007
	66,500	Cia Brasileira de Aluminio		57,475
	12,700	CPFL Energia SA		87,581
	482,786	Enauta Participacoes SA		1,529,652
	110,000	Engie Brasil Energia SA		935,613
	521,700	Ultrapar Participacoes SA		1,913,162
	53,200	Vale SA		699,156
		Total Brazil		14,526,991
		Chile — 0.1%
	3,698,520	Colbun SA		580,266
		China — 26.6%
	2,319,000	361 Degrees International Ltd		1,220,242
	257,000	3SBio Inc		214,922
	14,832,500	Agricultural Bank of China Ltd – Class A		7,037,718
	11,710,000	Agricultural Bank of China Ltd – Class H		4,013,656
	778,372	Anhui Conch Cement Co Ltd – Class A		2,744,583
	1,306,500	Anhui Conch Cement Co Ltd – Class H		3,637,890
	354,000	Anhui Expressway Co Ltd – Class H		346,848
	156,600	ANTA Sports Products Ltd		1,765,384
	66,600	Autohome Inc – Class A (a)		479,483
	25,460,000	Bank of China Ltd – Class H		8,628,828
	252,000	Bosideng International Holdings Ltd		98,888
	1,082,000	China BlueChemical Ltd – Class H		268,878
	4,459,878	China Communications Services Corp Ltd – Class H		2,007,884
	28,767,148	China Construction Bank Corp – Class H		15,391,887
	5,000	China Education Group Holdings Ltd		4,249
	23,141,000	China Feihe Ltd		13,912,830
	5,382,000	China Lesso Group Holdings Ltd		2,959,891
	834,000	China Medical System Holdings Ltd		1,201,177
	639,800	China Merchants Bank Co Ltd – Class A		2,774,340
	1,500,000	China Oriental Group Co Ltd		229,204
	187,400	China Pacific Insurance Group Co Ltd – Class H		428,593
	10,003,232	China Petroleum & Chemical Corp – Class A		8,327,495
	1,322,000	China Petroleum & Chemical Corp – Class H		772,981
	2,017,956	China Railway Signal & Communication Corp Ltd – Class A		1,553,921
	21,000	China Shineway Pharmaceutical Group Ltd		20,739
	177,481	China Tourism Group Duty Free Corp Ltd – Class A		2,656,242
	27,000	Consun Pharmaceutical Group Ltd		17,807
	5,180,480	COSCO Shipping Holdings Co Ltd – Class A		6,966,327
	1,065,000	COSCO Shipping Holdings Co Ltd – Class H		1,092,141

Shares		Description	Value ($)
		China — continued
	62,000	COSCO SHIPPING International Hong Kong Co Ltd		26,157
	1,420,000	CSPC Pharmaceutical Group Ltd		1,067,283
	39,000	Fufeng Group Ltd		20,716
	3,032,000	Greentown Service Group Co Ltd		1,415,025
	177,122	Hangzhou Robam Appliances Co Ltd – Class A		667,938
	437,700	Hangzhou Tigermed Consulting Co Ltd – Class H		2,385,978
	227,400	Hello Group Inc Sponsored ADR		1,962,462
	10,248,000	Hua Han Health Industry Holdings Ltd * (b)		1
	250,800	Huayu Automotive Systems Co Ltd – Class A		646,405
	5,717,700	Industrial & Commercial Bank of China Ltd – Class A		3,623,213
	14,807,000	Industrial & Commercial Bank of China Ltd – Class H		6,788,673
	62,406	JOYY Inc ADR		2,141,774
	187,000	Kingboard Laminates Holdings Ltd		155,412
	25,749	Kweichow Moutai Co Ltd – Class A		6,534,234
	2,198,000	Lenovo Group Ltd		2,484,456
	1,529,000	Lonking Holdings Ltd		272,655
	128,800	Midea Group Co Ltd – Class A		998,582
	976,500	Orient Overseas International Ltd		13,096,123
	12,770,900	PetroChina Co Ltd – Class A		13,589,107
	1,036,800	Pharmaron Beijing Co Ltd Class H – Class H		2,419,357
	1,273,000	PICC Property & Casualty Co Ltd – Class H		1,463,897
	1,619,709	Ping An Insurance Group Co of China Ltd – Class A		10,856,042
	812,100	Postal Savings Bank of China Co Ltd – Class A		541,587
	4,020,400	Qingling Motors Co Ltd – Class H*		363,421
	1,003,000	Shanghai Fudan Microelectronics Group Co Ltd – Class H		2,404,432
	130,900	Shanghai Pharmaceuticals Holding Co Ltd – Class A		320,852
	1,201,681	Shenzhen YUTO Packaging Technology Co Ltd – Class A		3,977,308
	2,141,000	Sinopec Engineering Group Co Ltd – Class H		990,839
	110,800	Sinopharm Group Co Ltd – Class H		321,533
	142,000	Smoore International Holdings Ltd (a)		143,459
	214,800	Sunny Optical Technology Group Co Ltd		1,753,882
	32,900	Tencent Holdings Ltd		1,363,387
	14,300	Tencent Holdings Ltd ADR		592,163
	575,085	Vipshop Holdings Ltd ADR *		9,080,592
	859,400	Xiaomi Corp – Class B*		1,354,773
	52,000	Yadea Group Holdings Ltd		99,978
	160,000	Yihai International Holding Ltd		299,846
	1,166,000	Zhejiang Expressway Co Ltd – Class H		870,690
	37,507	Zhejiang Supor Co Ltd – Class A		244,911
		Total China		188,114,171

13 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares		Description	Value ($)
		Czech Republic — 0.3%
	336,499	Moneta Money Bank AS		1,253,425
	736	Philip Morris CR AS		576,749
		Total Czech Republic		1,830,174
		Egypt — 0.3%
	32,835	Abou Kir Fertilizers & Chemical Industries		56,137
	1,274,736	Commercial International Bank Egypt SAE		2,351,375
	2,055	Misr Fertilizers Production Co SAE		15,881
		Total Egypt		2,423,393
		Greece — 0.1%
	4,032	Motor Oil Hellas Corinth Refineries SA		102,577
	43,032	Terna Energy SA		774,585
		Total Greece		877,162
		Hungary — 1.9%
	30,164	Magyar Telekom Telecommunications Plc		40,120
	235,467	MOL Hungarian Oil & Gas Plc		1,780,608
	234,194	OTP Bank Nyrt		9,549,807
	80,655	Richter Gedeon Nyrt		2,019,554
		Total Hungary		13,390,089
		India — 6.1%
	100,441	ACC Ltd		2,433,490
	35	AU Small Finance Bank Ltd		305
	27,565	Cochin Shipyard Ltd		301,278
	16	Colgate-Palmolive India Ltd		374
	21,550	Coromandel International Ltd		284,084
	27	Deepak Fertilisers & Petrochemicals Corp Ltd		197
	10,841	Dr Reddy’s Laboratories Ltd		734,931
	52,081	GHCL Ltd		392,983
	52,156	GHCL Textiles Ltd * (c)		48,007
	71,023	Great Eastern Shipping Co Ltd (The)		655,116
	447,558	Gujarat State Fertilizers & Chemicals Ltd		949,842
	138,578	HCL Technologies Ltd		1,965,180
	305,170	HDFC Bank Ltd		5,799,098
	158,429	Hindustan Zinc Ltd		608,799
	1,430,023	Indiabulls Housing Finance Ltd *		3,417,308
	113,181	Infosys Ltd		1,962,766
	273,300	Infosys Ltd Sponsored ADR		4,747,221
	990,057	ITC Ltd		5,253,186
	805,226	Manappuram Finance Ltd		1,499,565
	25,440	Muthoot Finance Ltd		386,986
	342,427	NCC Ltd		712,894
	2,409,543	Oil & Natural Gas Corp Ltd		5,059,431
	256,654	Oil India Ltd		844,419
	8,765	Oracle Financial Services Software Ltd		434,351
	733,262	Petronet LNG Ltd		1,905,709
	2	Power Grid Corp of India Ltd		6
	187,278	Redington Ltd		355,490
	1	RITES Ltd		6
	158,144	Sun TV Network Ltd		1,179,717

Shares		Description	Value ($)
		India — continued
	31,426	Tata Consultancy Services Ltd		1,274,468
		Total India		43,207,207
		Indonesia — 0.8%
	1,732,700	AKR Corporindo Tbk PT		159,194
	1,415,800	Bank Central Asia Tbk PT		852,319
	901,300	Bank Mandiri Persero Tbk PT		356,408
	4,391,200	Bank Negara Indonesia Persero Tbk PT		2,644,407
	10,721,100	Bank Pembangunan Daerah Jawa Timur Tbk PT		461,128
	1,728,600	Bank Rakyat Indonesia Persero Tbk PT		629,722
	12,570,800	Panin Financial Tbk PT *		240,903
		Total Indonesia		5,344,081
		Kuwait — 0.1%
	47,385	Humansoft Holding Co KSC		496,021
		Malaysia — 0.3%
	672,700	Hartalega Holdings Bhd		283,328
	1,808,400	Hibiscus Petroleum Bhd		372,208
	1,184,800	Kossan Rubber Industries Bhd		329,452
	83,800	RHB Bank Bhd		101,298
	4,464,700	Top Glove Corp Bhd *		736,545
	2,200	United Plantations Bhd		7,514
		Total Malaysia		1,830,345
		Mexico — 5.3%
	457,000	Arca Continental SAB de CV		4,462,655
	245,000	Banco del Bajio SA		771,332
	312,600	Cemex SAB de CV Sponsored ADR *		2,491,422
	32,800	Coca-Cola Femsa SAB de CV Sponsored ADR		2,779,472
	315,700	Credito Real SAB de CV SOFOM ER * (a) (b)		—
	11,700	Fomento Economico Mexicano SAB de CV Sponsored ADR		1,316,484
	5,500	Grupo Aeroportuario del Centro Norte SAB de CV ADR		509,300
	50,900	Grupo Aeroportuario del Centro Norte SAB de CV		590,333
	21,735	Grupo Aeroportuario del Sureste SAB de CV – Class B		591,672
	8,700	Grupo Aeroportuario del Sureste SAB de CV ADR		2,368,836
	2,090,426	Grupo Financiero Banorte SAB de CV – Class O		17,744,193
	781,400	Grupo Mexico SAB de CV – Series B		3,735,028
	55,000	Regional SAB de CV		405,214
		Total Mexico		37,765,941
		Pakistan — 0.1%
	2,016	Mari Petroleum Co Ltd		10,556
	295,094	Oil & Gas Development Co Ltd		90,665
	10,375	Pakistan Oilfields Ltd		14,870

See accompanying notes to the financial statements. 14

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares		Description	Value ($)
		Pakistan — continued
	2,270,948	Pakistan Petroleum Ltd		491,969
		Total Pakistan		608,060
		Panama — 0.0%
	1,591,142	BAC Holding International Corp		83,243
		Philippines — 0.0%
	9,882,800	Megaworld Corp		347,256
		Poland — 0.7%
	22,153	Budimex SA		2,410,148
	142,661	ORLEN SA		2,177,986
	1,373	Santander Bank Polska SA *		123,527
		Total Poland		4,711,661
		Qatar — 0.1%
	527,916	Qatar National Cement Co QSC		507,281
		Russia — 0.3%
	31,701,260	Alrosa PJSC (b) (d)		269,184
	380,350	Detsky Mir PJSC * (b)		2,707
	39,977	Evraz Plc * (b)		1,037
	1,432,600,000	Federal Grid Co Unified Energy System PJSC * (b)		19,694
	653,911	Fix Price Group Plc GDR * (b)		14,642
	219,070	Gazprom Neft PJSC (b)		14,899
	1,250,860	Gazprom PJSC * (b)		23,239
	575,658	Globaltrans Investment Plc Sponsored GDR (Registered) * (b)		19,360
	78,536,400	Inter RAO UES PJSC (b)		34,323
	239,440	LSR Group PJSC (b)		18,686
	3	LSR Group PJSC GDR (Registered) * (b)		—
	285,469	LUKOIL PJSC (b)		203,364
	17,490,987	Magnitogorsk Iron & Steel Works PJSC * (b) (d)		101,443
	474,800	Mechel PJSC * (b)		10,224
	37,212	MMC Norilsk Nickel PJSC * (b)		65,408
	5	MMC Norilsk Nickel PJSC ADR * (b)		1
	249,660	Mobile TeleSystems PJSC (b)		7,403
	35,508	Mobile TeleSystems PJSC ADR * (b)		2,101
	4,133,417	Moscow Exchange MICEX-RTS PJSC (b)		74,240
	10,015,560	Novolipetsk Steel PJSC * (b)		211,207
	11,924	PhosAgro PJSC (b)		9,089
	230	PhosAgro PJSC GDR * (b) (d)		58
	80,094	Polyus PJSC * (b) (d)		97,500
	24,938,000	RusHydro PJSC (b)		2,577
	13,125,612	Sberbank of Russia PJSC (b) (d)		362,657
	706,464	Severstal PJSC GDR (Registered) * (b) (d)		104,563
	68,353	SFI PJSC * (b)		3,881
	63,500,900	Surgutneftegas PJSC (b)		207,607
	2,860,038	Tatneft PJSC (b)		175,973
	8,118,000	Unipro PJSC * (b)		2,022
	556,430	United Co Rusal International PJSC (b)		2,438

Shares		Description	Value ($)
		Russia — continued
	46,698	X5 Retail Group NV GDR (Registered) * (b)		4,854
		Total Russia		2,066,381
		Saudi Arabia — 0.3%
	26,092	Co for Cooperative Insurance (The)		806,554
	620,731	Emaar Economic City *		1,391,851
		Total Saudi Arabia		2,198,405
		South Africa — 10.3%
	7,713	AECI Ltd		44,032
	59,245	African Rainbow Minerals Ltd		559,487
	7,274	Afrimat Ltd		21,553
	272,563	Anglo American Platinum Ltd (a)		9,505,441
	119,894	Aspen Pharmacare Holdings Ltd		1,093,878
	12,561	Astral Foods Ltd		113,715
	378,155	AVI Ltd		1,446,862
	2	Barloworld Ltd		9
	4,435	Capitec Bank Holdings Ltd		371,953
	32,777	Clicks Group Ltd		474,535
	140,999	Coronation Fund Managers Ltd		238,614
	46,900	DRDGOLD Ltd Sponsored ADR		479,318
	2,276,033	FirstRand Ltd		8,843,334
	846,260	Foschini Group Ltd (The)		4,670,734
	1,377,466	Impala Platinum Holdings Ltd		7,091,371
	301,302	Investec Ltd (a)		1,767,619
	2,318	JSE Ltd		11,810
	395,476	Kumba Iron Ore Ltd		8,660,235
	406,587	Lewis Group Ltd		801,390
	140,633	Momentum Metropolitan Holdings		149,655
	55,815	Motus Holdings Ltd		299,723
	664,650	Mr Price Group Ltd		4,651,743
	225,597	MTN Group Ltd		1,434,607
	383,651	MultiChoice Group		1,594,022
	127,703	Nedbank Group Ltd		1,461,767
	521,650	Ninety One Ltd		1,103,260
	806,907	Old Mutual Ltd		540,417
	7,767	Omnia Holdings Ltd		22,349
	63,724	OUTsurance Group Ltd		135,145
	638,994	Pepkor Holdings Ltd		551,081
	216,630	Pick n Pay Stores Ltd		399,960
	1,376	Remgro Ltd		11,540
	286	Reunert Ltd		908
	106,542	Sanlam Ltd		383,015
	122,436	Sappi Ltd		259,544
	91,760	Shoprite Holdings Ltd		1,280,626
	1,402,211	Sibanye Stillwater Ltd		2,115,708
	331,400	Sibanye Stillwater Ltd ADR (a)		2,004,970
	189,766	SPAR Group Ltd (The)		1,035,789
	177,797	Tiger Brands Ltd		1,535,758
	616,717	Truworths International Ltd		2,366,847
	38,678	Vodacom Group Ltd		220,615

15 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares		Description	Value ($)
		South Africa — continued
	734,939	Woolworths Holdings Ltd		2,888,313
		Total South Africa		72,643,252
		South Korea — 6.8%
	2,545	BGF retail Co Ltd		300,923
	50,888	BNK Financial Group Inc		262,326
	2,235	Caregen Co Ltd (a)		70,265
	61,873	Cheil Worldwide Inc		881,999
	33,841	CJ Corp		1,799,903
	64,913	Daou Data Corp (a)		728,714
	26,271	DB Insurance Co Ltd		1,622,429
	2,832	Dongkuk Holdings Co Ltd (c)		25,563
	453,487	Dongwon Development Co Ltd		1,183,061
	31,689	E-MART Inc		1,767,170
	65,107	HDC Hyundai Development Co-Engineering & Construction (a)		507,744
	85,712	Humasis Co Ltd * (a)		162,870
	1	Hyundai Marine & Fire Insurance Co Ltd		23
	11,445	Hyundai Mobis Co Ltd		1,998,125
	26,696	Industrial Bank of Korea		217,177
	16,968	INTOPS Co Ltd (a)		378,891
	142,400	JB Financial Group Co Ltd		1,045,041
	6,590	Kia Corp		399,446
	2,297	KIWOOM Securities Co Ltd		179,271
	271,445	KT&G Corp		17,834,280
	53,161	Kumho Petrochemical Co Ltd		5,012,329
	8,842	LOTTE Fine Chemical Co Ltd (a)		403,633
	36,140	NH Investment & Securities Co Ltd		281,391
	13,519	Orion Corp		1,245,065
	92,135	Samsung Electronics Co Ltd		4,659,843
	32,182	Samsung Securities Co Ltd		908,302
	682	Unid Co Ltd		29,948
	365,201	Woori Financial Group Inc		3,285,544
	227,473	Woori Technology Investment Co Ltd * (a)		601,798
		Total South Korea		47,793,074
		Sri Lanka — 0.0%
	103,983,101	Anilana Hotels & Properties Ltd * (c) (e)		293,369
		Taiwan — 19.2%
	10,392	Advantech Co Ltd		111,832
	50,000	Allied Supreme Corp		438,628
	216,000	Aten International Co Ltd		554,846
	77,200	Aurora Corp		183,986
	2,204,000	Catcher Technology Co Ltd		12,470,124
	274,000	Chicony Electronics Co Ltd		888,450
	211,000	Chipbond Technology Corp		461,888
	6,000	ChipMOS Technologies Inc		7,216
	15,000	Chlitina Holding Ltd		89,149
	391,000	Chong Hong Construction Co Ltd		886,634
	827,400	Coretronic Corp		2,049,614
	367,000	Co-Tech Development Corp		790,866
	16,000	Delta Electronics Inc		172,910

Shares		Description	Value ($)
		Taiwan — continued
	3,000	Eclat Textile Co Ltd		47,795
	6,000	Elan Microelectronics Corp		22,583
	2,378,200	Evergreen Marine Corp Taiwan Ltd		7,942,066
	707,000	Farglory Land Development Co Ltd		1,233,367
	131,000	FLEXium Interconnect Inc		373,229
	691,778	Foxconn Technology Co Ltd		1,207,236
	94,489	Fubon Financial Holding Co Ltd		188,426
	7,000	Globalwafers Co Ltd		100,528
	1,308,000	Grand Pacific Petrochemical		689,599
	42,000	Grape King Bio Ltd		202,692
	69,000	Holtek Semiconductor Inc		136,244
	224,000	Hon Hai Precision Industry Co Ltd		747,878
	401,000	Huaku Development Co Ltd		1,126,807
	203,000	Kung Long Batteries Industrial Co Ltd		847,336
	197,000	Largan Precision Co Ltd		12,653,142
	1,305,000	Lite-On Technology Corp ADR		5,578,958
	190,000	MediaTek Inc		4,190,156
	2,221,000	Micro-Star International Co Ltd		11,106,236
	427,000	Nantex Industry Co Ltd		487,462
	17,000	Nien Made Enterprise Co Ltd		159,327
	535,810	Novatek Microelectronics Corp		6,698,104
	219,000	Phison Electronics Corp		2,903,884
	570,000	Primax Electronics Ltd		1,183,783
	585,936	Radiant Opto-Electronics Corp		2,195,941
	43,000	Raydium Semiconductor Corp		433,420
	388,000	Shinkong Insurance Co Ltd		699,169
	203,468	Simplo Technology Co Ltd		1,962,255
	4,000	Sinbon Electronics Co Ltd		38,860
	14,000	Sporton International Inc		112,594
	611,250	Syncmold Enterprise Corp		1,154,583
	194,000	T3EX Global Holdings Corp		452,846
	83,024	Tah Hsin Industrial Corp		184,488
	114,000	TaiDoc Technology Corp *		614,215
	20,000	Taiwan Hon Chuan Enterprise Co Ltd		65,460
	1,433,000	Taiwan Semiconductor Manufacturing Co Ltd		24,623,169
	324,000	Taiwan Union Technology Corp		1,268,002
	97,000	TCI Co Ltd		494,271
	25,000	Topkey Corp		131,973
	601,000	Transcend Information Inc		1,365,107
	382,160	Tripod Technology Corp		2,263,415
	73,000	TTY Biopharm Co Ltd		173,409
	18,000	TXC Corp		53,429
	283,224	United Integrated Services Co Ltd		1,929,249
	492,000	Universal Inc		350,314
	2,142,750	Wan Hai Lines Ltd		3,041,541
	594,000	Win Semiconductors Corp		2,536,668
	127,000	Yageo Corp		1,929,290
	5,697,000	Yang Ming Marine Transport Corp		7,545,907
	60,000	Yulon Nissan Motor Co Ltd		350,698
	181,725	Zeng Hsing Industrial Co Ltd		573,041
		Total Taiwan		135,476,295

See accompanying notes to the financial statements. 16

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Thailand — 0.9%
	998,200	Carabao Group Pcl NVDR		2,451,494
	2,497,900	Pruksa Holding Pcl (Foreign Registered)		955,361
	393,100	Regional Container Lines Pcl (Foreign Registered)		242,337
	369,900	Sri Trang Gloves Thailand Pcl (Foreign Registered)		76,551
	1,719,000	Srisawad Corp Pcl NVDR		2,503,577
	37,100	Thai Union Group Pcl Class F		15,146
		Total Thailand		6,244,466
		Turkey — 0.6%
	201,528	Is Yatirim Menkul Degerler AS		320,176
	6,857,637	Yapi ve Kredi Bankasi AS		4,072,925
		Total Turkey		4,393,101
		Vietnam — 2.5%
	761,300	Duc Giang Chemicals JSC		2,759,897
	442,900	PetroVietnam Technical Services Corp		652,983
	149,700	Pha Lai Thermal Power JSC		89,097
	1,131,620	Saigon - Hanoi Commercial Joint Stock Bank *		583,750
	769,200	Saigon Thuong Tin Commercial JSB *		1,041,145
	1,126,800	SSI Securities Corp		1,558,955
	609,800	Vietnam Dairy Products JSC		1,969,049
	9,651,200	VNDirect Securities Corp *		9,392,525
		Total Vietnam		18,047,401
		TOTAL COMMON STOCKS (COST $1,059,194,339)		605,799,086
		PREFERRED STOCKS (f) — 9.4%
		Brazil — 6.4%
	15,100	Banco do Estado do Rio Grande do Sul SA – Class B		37,323
	860,400	Bradespar SA		3,909,290
	5,400	Cia de Ferro Ligas da Bahia		50,466
	52,400	Cia Energetica de Minas Gerais		130,470
	329,595	Gerdau SA		1,720,506
	820,260	Gerdau SA Sponsored ADR		4,273,554
	1,629,400	Itausa SA		3,040,287
	476,700	Metalurgica Gerdau SA		1,137,831
	4,691,647	Petroleo Brasileiro SA		30,260,439
	39,800	Unipar Carbocloro SA – Class B		621,266
		Total Brazil		45,181,432
		Russia — 0.1%
	194,570	Nizhnekamskneftekhim PJSC (b)		1,777
	79,676,700	Surgutneftegas PJSC (b)		414,069
	869	Transneft PJSC (b)		12,028
		Total Russia		427,874

Shares /   Par Value†		Description	Value ($)
		South Korea — 2.9%
	508,242	Samsung Electronics Co Ltd		20,746,416
		TOTAL PREFERRED STOCKS (COST $107,442,208)		66,355,722
		DEBT OBLIGATIONS — 0.2%
		United States — 0.2%
	1,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.61%, due 01/31/25 (g)		1,001,489
		TOTAL DEBT OBLIGATIONS (COST $1,000,673)		1,001,489
		MUTUAL FUNDS — 4.6%
		United States — 4.6%
		Affiliated Issuers — 4.6%
	997,604	GMO Emerging Markets Select Equity Fund, Class V		18,395,818
	2,808,503	GMO U.S. Treasury Fund		14,042,516
		Total United States		32,438,334
		TOTAL MUTUAL FUNDS (COST $32,101,294)		32,438,334
		RIGHTS/WARRANTS — 0.0%
		Brazil — 0.0%
	22,661	Itausa SA, expires 09/22/23*		12,538
		Total Brazil		12,538
		TOTAL RIGHTS/WARRANTS (COST $0)		12,538
		SHORT-TERM INVESTMENTS — 0.3%
		Money Market Funds — 0.3%
	2,366,391	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (h)		2,366,391
		TOTAL SHORT-TERM INVESTMENTS (COST $2,366,391)		2,366,391
		TOTAL INVESTMENTS — 100.2% (Cost $1,202,104,905)		707,973,560
		Other Assets and Liabilities (net) — (0.2)%		(1,402,926	)
		TOTAL NET ASSETS — 100.0%		$706,570,634

17 See accompanying notes to the financial statements.

GMO Emerging Markets Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost			Value as a Percentage of Fund’s Net Assets			Value as of August 31, 2023
Alrosa PJSC		09/14/17		$	46,779,239		0.0	%		$	269,184
Magnitogorsk Iron & Steel Works PJSC		02/13/18			14,388,116		0.0	%			101,443
PhosAgro PJSC GDR		02/09/22			5,151		0.0	%			58
Polyus PJSC		07/23/20			17,665,998		0.0	%			97,500
Sberbank of Russia PJSC		11/10/17			51,393,929		0.1	%			362,657
Severstal PJSC GDR (Registered)		10/12/17			13,249,420		0.0	%			104,563

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
631	Mini MSCI Emerging Markets	September 2023		$	30,896,915			$	(1,069,604	)

 

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(b) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(c) Investment valued using significant unobservable inputs (Note 2). (d) The security is restricted as to resale.

(e) Affiliated company (Note 10).

(f) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(g) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(h) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

See accompanying notes to the financial statements. 18

GMO Emerging Markets Select Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		89.7	%
Preferred Stocks		1.5
Short-Term Investments		0.8
Mutual Funds		0.8
Investment Funds		0.0	^
Futures Contracts		(0.1	)
Other		7.3
		100.0	%

Country/Region Summary¤	% of Investments
China		23.3	%
India		20.0
Taiwan		15.4
Brazil		7.4
South Korea		6.7
Indonesia		6.6
United States		6.2	*
Mexico		4.8
Vietnam		3.6
United Kingdom		1.6	*
Greece		1.3
Switzerland		1.1
France		1.0
Japan		0.6
Philippines		0.3
Russia		0.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		15.3	%
Technology Hardware & Equipment		12.2
Semiconductors & Semiconductor Equipment		11.3
Consumer Discretionary Distribution & Retail		11.0
Food, Beverage & Tobacco		7.2
Capital Goods		6.7
Media & Entertainment		5.7
Household & Personal Products		4.9
Consumer Services		4.6
Automobiles & Components		4.0
Consumer Durables & Apparel		3.3
Consumer Staples Distribution & Retail		3.0
Financial Services		2.8
Pharmaceuticals, Biotechnology & Life Sciences		2.5
Transportation		2.2
Software & Services		1.1
Health Care Equipment & Services		0.7
Materials		0.7
Real Estate Management & Development		0.5
Insurance		0.3
Telecommunication Services		0.0	^
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

* Includes companies that are economically tied to emerging markets.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

19

GMO Emerging Markets Select Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 89.7%
	Brazil — 5.5%
94,400	Ambev SA		263,829
367,900	B3 SA - Brasil Bolsa Balcao		960,602
73,938	Localiza Rent a Car SA		944,372
439	MercadoLibre Inc *		602,466
88,160	Raia Drogasil SA		489,219
60,000	WEG SA		434,729
	Total Brazil		3,695,217
	China — 22.2%
293,688	Alibaba Group Holding Ltd *		3,408,583
49,000	China Merchants Bank Co Ltd – Class H		194,031
68,000	China Resources Land Ltd		287,416
16,060	Contemporary Amperex Technology Co Ltd – Class A		520,780
9,543	H World Group Ltd ADR *		384,392
163,855	Haier Smart Home Co Ltd – Class A		528,284
35,300	Inner Mongolia Yili Industrial Group Co Ltd – Class A		125,999
46,276	Jiangsu Hengli Hydraulic Co Ltd – Class A		394,745
66,900	Kuaishou Technology *		547,638
4,686	Kweichow Moutai Co Ltd – Class A		1,189,150
15,457	Meituan – Class B*		255,800
85,062	NARI Technology Co Ltd – Class A		277,643
32,000	Ping An Insurance Group Co of China Ltd – Class H		191,589
38,740	Proya Cosmetics Co Ltd – Class A		593,633
47,972	Shenzhen Inovance Technology Co Ltd – Class A		449,646
14,000	Sungrow Power Supply Co Ltd – Class A		191,585
11,400	Sunny Optical Technology Group Co Ltd		93,083
61,484	Tencent Holdings Ltd		2,547,917
11,847	Trip.com Group Ltd ADR *		465,706
72,000	Tsingtao Brewery Co Ltd – Class H		598,726
23,185	Wuliangye Yibin Co Ltd – Class A		495,852
38,500	Wuxi Biologics Cayman Inc *		217,048
35,900	Wuxi Lead Intelligent Equipment Co Ltd – Class A		145,223
15,551	Yum China Holdings Inc		834,933
	Total China		14,939,402
	France — 0.9%
1,387	L’Oreal SA		609,215
	Greece — 1.2%
468,887	Eurobank Ergasias Services and Holdings SA – Class A*		812,854
	India — 19.1%
14,316	Bajaj Auto Ltd		796,508
50,827	Blue Star Ltd		450,395
10,495	Colgate-Palmolive India Ltd		245,326
32,827	Cyient Ltd		651,302
53,844	Dabur India Ltd		360,328

Shares	Description	Value ($)
	India — continued
8,918	Eicher Motors Ltd		359,712
50,681	Godrej Consumer Products Ltd *		615,985
33,046	HDFC Bank Ltd		627,968
106,065	ICICI Bank Ltd		1,225,812
130,289	Indian Hotels Co Ltd		662,766
31,827	IndusInd Bank Ltd		529,567
23,513	JB Chemicals & Pharmaceuticals Ltd		789,592
32,046	Kajaria Ceramics Ltd		570,089
115,468	Mahindra & Mahindra Financial Services Ltd		416,399
5,993	Maruti Suzuki India Ltd		723,449
66,357	Metro Brands Ltd		837,234
34,197	Narayana Hrudayalaya Ltd		430,324
11,337	PVR Ltd *		244,874
14,878	SRF Ltd		423,709
39,928	Sun Pharmaceutical Industries Ltd		536,040
35,510	Sundram Fasteners Ltd		541,100
14,622	Titan Co Ltd		549,236
186,725	Zomato Ltd *		221,971
	Total India		12,809,686
	Indonesia — 6.3%
8,170,100	Ace Hardware Indonesia Tbk PT		391,496
1,957,900	Bank Central Asia Tbk PT		1,178,666
3,260,500	Bank Mandiri Persero Tbk PT		1,289,325
2,260,600	Cisarua Mountain Dairy Tbk PT		596,586
6,060,500	Mitra Adiperkasa Tbk PT		770,230
	Total Indonesia		4,226,303
	Japan — 0.6%
2,300	Daikin Industries Ltd		397,575
	Mexico — 4.6%
23,575	Grupo Aeroportuario del Pacifico SAB de CV – Class B		431,085
87,265	Grupo Financiero Banorte SAB de CV – Class O		740,733
82,251	Regional SAB de CV		605,986
332,432	Wal-Mart de Mexico SAB de CV		1,310,582
	Total Mexico		3,088,386
	Philippines — 0.3%
94,522	Bank of the Philippine Islands		183,580
	Russia — 0.1%
34,988	Magnit PJSC (a)		22,164
546,960	Mobile TeleSystems PJSC (a)		16,219
530,016	Sberbank of Russia PJSC (a) (b)		14,644
69,200	Yandex NV – Class A* (a)		13,107
	Total Russia		66,134
	South Korea — 6.4%
687	LG Energy Solution Ltd *		282,361

See accompanying notes to the financial statements. 20

GMO Emerging Markets Select Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	South Korea — continued
839	NAVER Corp		135,811
74,015	Samsung Electronics Co Ltd		3,743,401
1,599	SK Hynix Inc		147,028
	Total South Korea		4,308,601
	Switzerland — 1.1%
5,960	Nestle SA (Registered)		716,627
	Taiwan — 14.6%
142,000	Delta Electronics Inc		1,534,579
87,000	E Ink Holdings Inc		497,276
13,000	eMemory Technology Inc		736,447
23,000	MediaTek Inc		507,229
103,000	Sinbon Electronics Co Ltd		1,000,642
322,800	Taiwan Semiconductor Manufacturing Co Ltd		5,546,656
	Total Taiwan		9,822,829
	United Kingdom — 1.5%
10,407	Diageo Plc		426,198
11,218	Unilever Plc		572,894
	Total United Kingdom		999,092
	United States — 1.9%
3,212	Apple, Inc.		603,438
102,000	Samsonite International SA *		341,452
1,392	Visa, Inc. – Class A		341,987
	Total United States		1,286,877
	Vietnam — 3.4%
248,364	Bank for Foreign Trade of Vietnam JSC *		917,795
341,900	Mobile World Investment Corp		762,266
186,433	Phu Nhuan Jewelry JSC		622,421
	Total Vietnam		2,302,482
	TOTAL COMMON STOCKS (COST $73,830,337)		60,264,860
	PREFERRED STOCKS (c) — 1.5%
	Brazil — 1.5%
187,700	Itau Unibanco Holding SA		1,039,693
	TOTAL PREFERRED STOCKS (COST $1,053,698)		1,039,693
	INVESTMENT FUNDS — 0.0%
	Russia — 0.0%
61,600	VanEck Russia ETF (a)		9,610
	TOTAL INVESTMENT FUNDS (COST $1,542,343)		9,610

Shares	Description	Value ($)
	MUTUAL FUNDS — 0.8%
	United States — 0.8%
	Affiliated Issuers — 0.8%
102,814	GMO U.S. Treasury Fund		514,068
	Total United States		514,068
	TOTAL MUTUAL FUNDS (COST $514,068)		514,068
	SHORT-TERM INVESTMENTS — 0.8%
	Money Market Funds — 0.8%
530,645	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (d)		530,645
	TOTAL SHORT-TERM INVESTMENTS (COST $530,645)		530,645
	TOTAL INVESTMENTS — 92.8% (Cost $77,471,091)		62,358,876
	Other Assets and Liabilities (net) — 7.2%		4,846,902
	TOTAL NET ASSETS — 100.0%		$67,205,778

21 See accompanying notes to the financial statements.

GMO Emerging Markets Select Equity Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

 

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2023
Sberbank of Russia PJSC		03/03/21	$	2,059,161	0.0%			$14,644

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
44	Mini MSCI Emerging Markets	September 2023		$	2,154,460			$	(99,871	)

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(b) The security is restricted as to resale.

(c) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(d) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

See accompanying notes to the financial statements. 22

GMO International Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		96.4	%
Mutual Funds		6.6
Preferred Stocks		1.7
Short-Term Investments		0.1
Debt Obligations		0.1
Futures Contracts		(0.0	)^
Other		(4.9	)
		100.0	%

Country/Region Summary¤	% of Investments
Japan		24.6	%
France		14.6
United Kingdom		12.3
United States		7.3
Netherlands		6.9
Spain		6.1
Switzerland		5.6
Germany		4.3
Italy		4.0
Australia		3.5
Singapore		2.8
Norway		2.3
Belgium		2.0
Other Developed		1.4	‡
Hong Kong		1.3
Ireland		1.0
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		13.0	%
Banks		12.7
Pharmaceuticals, Biotechnology & Life Sciences		9.5
Food, Beverage & Tobacco		8.3
Consumer Durables & Apparel		7.9
Energy		7.5
Semiconductors & Semiconductor Equipment		4.7
Materials		4.5
Consumer Discretionary Distribution & Retail		3.8
Automobiles & Components		3.8
Technology Hardware & Equipment		3.7
Financial Services		3.5
Commercial & Professional Services		3.5
Telecommunication Services		3.5
Consumer Staples Distribution & Retail		3.2
Media & Entertainment		2.7
Household & Personal Products		1.5
Insurance		1.5
Utilities		0.4
Real Estate Management & Development		0.2
Transportation		0.2
Consumer Services		0.2
Software & Services		0.1
Health Care Equipment & Services		0.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

23

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 96.4%
	Australia — 3.7%
1,173,411	Brambles Ltd		11,363,278
69,277	Fortescue Metals Group Ltd		953,763
173,489	GrainCorp Ltd – Class A		817,115
89,611	Pact Group Holdings Ltd *		42,229
328,113	Rio Tinto Ltd		23,764,046
220,487	Super Retail Group Ltd		1,845,929
	Total Australia		38,786,360
	Belgium — 2.1%
6,623	Ageas SA/NV		263,399
32,956	Bekaert SA		1,562,658
144,039	KBC Group NV		9,450,411
18,036	Melexis NV		1,700,816
40,962	Proximus SADP		309,591
79,754	Solvay SA		9,235,319
	Total Belgium		22,522,194
	Denmark — 0.1%
8,570	Per Aarsleff Holding A/S		414,084
1,474	Schouw & Co A/S		108,194
	Total Denmark		522,278
	Finland — 0.5%
1,352,160	Nokia Oyj		5,407,379
	France — 15.5%
195,302	AXA SA		5,867,827
410,301	Cie de Saint-Gobain SA		26,690,955
123,724	Coface SA		1,656,247
114,907	Derichebourg SA		627,277
6,145	Eiffage SA		607,329
93,943	Elis SA		1,792,904
47,534	Ipsen SA		6,157,760
38,947	IPSOS		1,949,040
42,369	Metropole Television SA		580,529
265,592	Publicis Groupe SA		20,723,604
256,347	Renault SA		10,343,410
47,561	Rexel SA		1,115,165
229,070	Sanofi		24,396,857
18,126	Societe BIC SA		1,158,535
2,602	Sopra Steria Group		572,329
530,501	STMicroelectronics NV		25,071,477
29,217	Technip Energies NV		676,188
140,477	Television Francaise 1		1,139,488
14,666	TotalEnergies SE (a)		924,867
507,092	TotalEnergies SE (a)		31,809,320
	Total France		163,861,108
	Germany — 2.9%
95,406	Bayerische Motoren Werke AG		10,034,718
51,677	Henkel AG & Co KGaA		3,571,305

Shares	Description	Value ($)
	Germany — continued
6,921	Hornbach Holding AG & Co KGaA		544,248
15,632	HUGO BOSS AG		1,176,783
5,326	Indus Holding AG		127,838
30,144	Infineon Technologies AG		1,077,216
67,865	Kloeckner & Co SE		579,305
2,517	Krones AG		272,552
151,522	ProSiebenSat.1 Media SE		1,201,031
17,194	RTL Group SA		635,181
38,944	Salzgitter AG		1,145,833
44,175	Siemens AG (Registered)		6,636,444
17,098	Suedzucker AG		275,820
55,393	Talanx AG		3,723,698
	Total Germany		31,001,972
	Hong Kong — 1.3%
404,500	ASMPT Ltd		4,047,793
113,500	CK Hutchison Holdings Ltd		618,574
202,800	Dah Sing Banking Group Ltd		138,625
26,869	Dah Sing Financial Holdings Ltd		59,043
1,107,707	Esprit Holdings Ltd *		59,279
286,000	HKT Trust & HKT Ltd – Class SS		304,780
1,617,585	IGG Inc *		758,573
286,401	Johnson Electric Holdings Ltd		383,515
246,140	Kerry Logistics Network Ltd		231,231
164,326	Luk Fook Holdings International Ltd		407,188
1,009,331	Pacific Textiles Holdings Ltd		214,765
1,161,023	Shun Tak Holdings Ltd *		162,548
258,026	SmarTone Telecommunications Holdings Ltd		143,787
287,500	Swire Pacific Ltd – Class A		2,370,548
313,588	Television Broadcasts Ltd *		153,675
832,000	VSTECS Holdings Ltd		432,540
81,800	VTech Holdings Ltd		499,349
6,062,515	WH Group Ltd		3,122,165
	Total Hong Kong		14,107,978
	Ireland — 1.0%
548,234	Bank of Ireland Group Plc		5,459,187
22,017	CRH Plc Sponsored ADR		1,267,519
47,492	Kingspan Group Plc		4,012,811
	Total Ireland		10,739,517
	Italy — 4.2%
67,555	Anima Holding SPA		277,727
19,079	Assicurazioni Generali SPA		395,183
56,294	Banca IFIS SPA		987,986
1,933,183	Banco BPM SPA		9,223,695
1,387,195	BPER Banca		4,177,227
1,159,405	Eni SPA		17,926,726
74,493	Esprinet SPA		468,585
607,084	Intesa Sanpaolo SPA		1,621,158
1,265,259	MFE-MediaForEurope NV – Class A		640,249
38,100	Prada SPA		248,660

See accompanying notes to the financial statements. 24

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	Italy — continued
2,362	Sesa SPA		276,519
197,476	UniCredit SPA		4,811,129
33,183	Unieuro SPA		370,473
605,466	Unipol Gruppo SPA		3,371,325
	Total Italy		44,796,642
	Japan — 26.0%
85,500	Advantest Corp		10,702,085
63,520	AOKI Holdings Inc		455,136
401,100	Bandai Namco Holdings Inc		9,304,445
242,996	Brother Industries Ltd		4,112,359
135,500	Canon Inc		3,335,205
13,800	Canon Marketing Japan Inc		362,067
41,400	Citizen Watch Co Ltd		253,562
500	Credit Saison Co Ltd		7,815
20,400	Daido Steel Co Ltd		843,267
78,690	Daiwabo Holdings Co Ltd		1,595,042
53,448	Doutor Nichires Holdings Co Ltd		855,769
116,400	FUJIFILM Holdings Corp		6,878,826
14,906	Fuyo General Lease Co Ltd		1,231,902
17,453	Gunze Ltd		549,198
6,700	Haseko Corp		83,186
45,600	Hitachi Construction Machinery Co Ltd		1,417,893
26,300	Horiba Ltd		1,367,369
146,800	Inpex Corp		2,055,762
439,754	ITOCHU Corp		16,503,668
16,200	Japan Petroleum Exploration Co Ltd		532,773
1,161,504	Japan Tobacco Inc		25,432,612
26,000	Kaga Electronics Co Ltd		1,179,934
58,700	Kajima Corp		980,451
79,144	Kanematsu Corp		1,114,022
741,896	KDDI Corp		22,054,651
102,000	Komatsu Ltd		2,902,736
41,693	Komeri Co Ltd		880,345
898,600	Marubeni Corp		14,681,864
58,357	MCJ Co Ltd		476,818
2,036,600	Mitsubishi UFJ Financial Group Inc		16,247,339
334,138	Mitsui & Co Ltd		12,445,074
39,684	Modec Inc *		450,879
17,400	NEC Corp		917,169
53,926	Nichias Corp		1,127,870
4,432,575	Nippon Telegraph & Telephone Corp		5,118,009
26,100	Omron Corp		1,259,389
69,300	Otsuka Holdings Co Ltd		2,632,826
16,800	PAL GROUP Holdings Co Ltd		236,945
337,300	Panasonic Holdings Corp		3,882,340
82,324	Press Kogyo Co Ltd		378,123
37,219	Prima Meat Packers Ltd		646,830
181,700	Renesas Electronics Corp *		3,027,060
136,400	Ricoh Co Ltd		1,111,168
16,000	Rohm Co Ltd		1,334,523
5,983	San-A Co Ltd		201,817
27,100	Santen Pharmaceutical Co Ltd		251,509

Shares	Description	Value ($)
	Japan — continued
41,200	Sanwa Holdings Corp		626,917
7,100	SCREEN Holdings Co Ltd		722,863
22,000	Sega Sammy Holdings Inc		439,049
468,500	Seiko Epson Corp		7,335,958
50,795	Seiko Group Corp		936,499
309,012	Sekisui Chemical Co Ltd		4,739,430
944,600	Sekisui House Ltd		19,250,374
27,700	Shionogi & Co Ltd		1,216,565
335,481	Sojitz Corp		7,207,675
426,000	Sumitomo Forestry Co Ltd		11,988,129
122,500	Sumitomo Mitsui Financial Group Inc		5,600,267
7,700	Takeuchi Manufacturing Co Ltd		244,513
20,638	T-Gaia Corp		248,125
125,400	Tokyo Gas Co Ltd		2,901,826
101,975	Tokyu Construction Co Ltd		537,621
12,428	Towa Pharmaceutical Co Ltd		236,888
231,055	Toyota Tsusho Corp		13,754,384
24,269	TPR Co Ltd		304,560
35,669	Valor Holdings Co Ltd		531,968
20,256	Warabeya Nichiyo Holdings Co Ltd		378,647
496,300	Yamaha Motor Co Ltd		12,842,388
14,900	Yokogawa Electric Corp		295,034
	Total Japan		275,759,312
	Netherlands — 7.3%
1,333,328	ABN AMRO Bank NV CVA GDR		19,613,125
99,907	EXOR NV		8,841,468
262,582	ING Groep NV		3,720,527
728,968	Koninklijke Ahold Delhaize NV		23,844,546
360,563	Randstad NV		21,159,667
	Total Netherlands		77,179,333
	Norway — 2.5%
22,407	DNB Bank ASA		442,909
529,093	Elkem ASA		1,092,609
756,743	Equinor ASA		23,240,495
144,554	Europris ASA		822,619
72,420	Hoegh Autoliners ASA		504,705
38,577	Wallenius Wilhelmsen ASA		312,051
	Total Norway		26,415,388
	Portugal — 0.4%
167,770	CTT - Correios de Portugal SA		615,059
290,710	Navigator Co SA (The)		1,063,724
336,099	REN - Redes Energeticas Nacionais SGPS SA		918,515
1,216,244	Sonae SGPS SA		1,281,231
	Total Portugal		3,878,529
	Singapore — 2.9%
238,000	ComfortDelGro Corp Ltd		223,460
216,425	DBS Group Holdings Ltd		5,327,007
841,100	First Resources Ltd		963,444

25 See accompanying notes to the financial statements.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Singapore — continued
1,524,000	Keppel Corp Ltd		7,818,389
114,700	Oversea-Chinese Banking Corp Ltd		1,064,222
428,300	Sheng Siong Group Ltd		481,582
72,100	United Overseas Bank Ltd		1,514,631
213,200	Venture Corp Ltd		2,066,452
576,139	Wilmar International Ltd		1,610,475
882,722	Yangzijiang Financial Holding Ltd		238,171
7,738,522	Yangzijiang Shipbuilding Holdings Ltd		9,671,271
	Total Singapore		30,979,104
	Spain — 6.4%
3,156,975	Banco Bilbao Vizcaya Argentaria SA		24,908,184
15,779,632	Banco de Sabadell SA		18,250,102
8,236	Ebro Foods SA		148,665
648,165	Industria de Diseno Textil SA		24,832,075
	Total Spain		68,139,026
	Sweden — 0.6%
134,654	Betsson AB – Class B*		1,506,675
821,452	SSAB AB – A Shares		4,712,157
21,405	SSAB AB – B Shares		118,469
	Total Sweden		6,337,301
	Switzerland — 6.0%
49,994	ABB Ltd (Registered)		1,901,183
36,168	Ascom Holding AG (Registered)		445,346
209	Forbo Holding AG (Registered)		282,275
2,099	Kuehne & Nagel International AG (Registered)		630,634
3,406	Logitech International SA (Registered)		235,636
50,911	Novartis AG (Registered)		5,123,770
301,980	Novartis AG Sponsored ADR		30,342,950
59,741	Roche Holding AG – Genusschein		17,533,279
8,949	Swisscom AG (Registered)		5,448,949
10,851	u-blox Holding AG		967,323
3,995	Zehnder Group AG – Class RG		264,193
	Total Switzerland		63,175,538
	United Kingdom — 13.0%
918,179	3i Group Plc		23,121,073
2,219,161	Barratt Developments Plc		12,721,279
139,705	Bellway Plc		3,775,321
21,602	BP Plc Sponsored ADR		803,162
759,263	British American Tobacco Plc		25,150,085
26,843	British American Tobacco Plc Sponsored ADR		891,188
1,365,960	BT Group Plc		1,998,278
340,261	Burberry Group Plc		9,394,479
417,570	Coca-Cola HBC AG		12,028,897
83,864	Crest Nicholson Holdings Plc		191,444
600,747	Ferrexpo Plc *		588,315
50,364	Galliford Try Holdings Plc		125,016
345,636	GSK Plc		6,054,137

Shares /   Par Value†	Description	Value ($)
	United Kingdom — continued
122,946	GSK Plc Sponsored ADR		4,319,093
103,137	Halfords Group Plc		238,600
82,579	IG Group Holdings Plc		706,806
673,982	Imperial Brands Plc		15,260,018
126,559	Investec Plc		747,542
1,259,635	J Sainsbury Plc		4,307,640
71,714	Moneysupermarket.com Group plc		225,476
97,492	Next Plc		8,616,213
127,669	Persimmon Plc		1,721,141
11,174	Plus500 Ltd		202,086
276,050	Redrow Plc		1,659,353
359,028	Tesco Plc		1,207,871
154,045	Vesuvius Plc		859,193
64,313	Vodafone Group Plc Sponsored ADR		599,397
52,319	WPP Plc		507,149
	Total United Kingdom		138,020,252
	United States — 0.0%
77,100	Samsonite International SA *		258,098
	TOTAL COMMON STOCKS (COST $1,027,418,480)		1,021,887,309
	PREFERRED STOCKS (b) — 1.7%
	Germany — 1.7%
52,102	Bayerische Motoren Werke AG		5,006,041
4,226	Draegerwerk AG & Co KGaA		204,250
162,242	Henkel AG & Co KGaA		12,432,738
	Total Germany		17,643,029
	TOTAL PREFERRED STOCKS (COST $16,641,813)		17,643,029
	DEBT OBLIGATIONS — 0.1%
	United States — 0.1%
1,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.45%, due 07/31/24 (c)		1,000,241
	TOTAL DEBT OBLIGATIONS (COST $999,585)		1,000,241
	MUTUAL FUNDS — 6.6%
	United States — 6.6%
	Affiliated Issuers — 6.6%
14,049,347	GMO U.S. Treasury Fund		70,246,735
	Total United States		70,246,735
	TOTAL MUTUAL FUNDS (COST $70,214,942)		70,246,735

See accompanying notes to the financial statements. 26

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	SHORT-TERM INVESTMENTS — 0.1%
	Money Market Funds — 0.1%
1,168,664	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (d)		1,168,664
	TOTAL SHORT-TERM INVESTMENTS (COST $1,168,664)		1,168,664
	TOTAL INVESTMENTS — 104.9% (Cost $1,116,443,484)		1,111,945,978
	Other Assets and Liabilities (net) — (4.9)%		(52,198,196	)
	TOTAL NET ASSETS — 100.0%		$1,059,747,782

        

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
101	MSCI EAFE	September 2023		$	10,651,965		$	(388,131	)

    

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) Securities are traded on separate exchanges for the same entity.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(d) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

 

27 See accompanying notes to the financial statements.

GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.7	%
Mutual Funds		0.8
Preferred Stocks		0.6
Short-Term Investments		0.1
Other		(0.2	)
		100.0	%

Country/Region Summary¤	% of Investments
Japan		22.4	%
France		13.1
Canada		10.6
United Kingdom		10.1
Switzerland		6.2
Australia		4.9
Germany		4.9
Netherlands		4.7
Spain		4.6
Italy		4.4
Other Developed		3.2	‡
Finland		2.8
Sweden		2.5
Hong Kong		2.4
Denmark		1.8
Norway		1.4
Other Emerging		0.0	†^
		100.0	%

Industry Group Summary	% of Equity Investments#
Banks		18.4	%
Pharmaceuticals, Biotechnology & Life Sciences		11.1
Materials		10.3
Energy		10.2
Capital Goods		8.7
Insurance		7.7
Automobiles & Components		7.7
Telecommunication Services		4.2
Food, Beverage & Tobacco		3.8
Technology Hardware & Equipment		2.7
Real Estate Management & Development		2.5
Consumer Durables & Apparel		2.3
Consumer Staples Distribution & Retail		1.9
Financial Services		1.8
Transportation		1.7
Commercial & Professional Services		1.3
Health Care Equipment & Services		1.3
Media & Entertainment		1.1
Household & Personal Products		0.7
Consumer Discretionary Distribution & Retail		0.2
Semiconductors & Semiconductor Equipment		0.1
Utilities		0.1
Software & Services		0.1
Equity Real Estate Investment Trusts (REITs)		0.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

28

GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 98.7%
	Australia — 4.9%
73,218	ANZ Group Holdings Ltd		1,195,439
9,556	Aurizon Holdings Ltd		22,523
402,143	BHP Group Ltd		11,560,858
109,893	BlueScope Steel Ltd		1,485,702
31,296	CSR Ltd		118,938
49,765	Dexus (REIT)		248,681
49,572	Fortescue Metals Group Ltd		682,477
7,445	Rio Tinto Ltd		539,215
	Total Australia		15,853,833
	Austria — 0.7%
4,396	Erste Group Bank AG		156,822
43,253	OMV AG		2,002,958
11,138	Raiffeisen Bank International AG *		159,864
	Total Austria		2,319,644
	Belgium — 0.9%
52,746	Ageas SA/NV		2,097,723
3,118	KBC Group NV		204,572
8,249	Proximus SADP		62,346
6,666	UCB SA		597,921
	Total Belgium		2,962,562
	Canada — 10.7%
82,356	B2Gold Corp		254,480
28,573	Bank of Montreal		2,459,850
76,839	Bank of Nova Scotia (The)		3,645,242
98,486	Canadian Imperial Bank of Commerce		3,901,031
20,600	Canadian Western Bank		400,810
22,000	Celestica Inc *		512,877
52,400	Great-West Lifeco Inc		1,505,841
14,700	iA Financial Corp Inc		922,231
15,000	Imperial Oil Ltd		851,798
15,200	Magna International Inc		894,091
81,174	Manulife Financial Corp (a)		1,500,096
130,000	Manulife Financial Corp (a)		2,403,345
59,300	Nutrien Ltd		3,756,281
85,600	Parex Resources Inc		1,619,888
99,400	Power Corp of Canada		2,714,520
6,500	Russel Metals Inc		193,336
69,494	Sun Life Financial Inc		3,389,917
11,000	Teck Resources Ltd – Class B		454,914
9,431	Toronto-Dominion Bank (The)		575,385
16,700	Tourmaline Oil Corp		856,382
21,300	West Fraser Timber Co Ltd		1,610,111
	Total Canada		34,422,426
	Denmark — 1.8%
625	AP Moller – Maersk A/S – Class A		1,116,924
898	AP Moller – Maersk A/S – Class B		1,630,197
15,316	H Lundbeck A/S		77,586

Shares	Description	Value ($)
	Denmark — continued
17,383	ISS A/S		308,557
22,828	Pandora A/S		2,364,028
690	Rockwool A/S – B Shares		176,102
	Total Denmark		5,673,394
	Finland — 2.8%
710,236	Nokia Oyj		2,840,282
13,519	Nordea Bank Abp		148,767
188,667	Outokumpu Oyj		878,969
183,749	Stora Enso Oyj – R Shares		2,336,840
7,938	TietoEVRY Oyj		194,084
68,768	UPM-Kymmene Oyj		2,353,415
8,621	Valmet Oyj		219,219
	Total Finland		8,971,576
	France — 13.1%
30,047	APERAM SA		850,157
4,235	ArcelorMittal SA		112,501
4,936	Arkema SA		515,807
103,174	AXA SA		3,099,852
52,982	BNP Paribas SA		3,426,221
65,512	Cie de Saint-Gobain SA		4,261,695
85,503	Cie Generale des Etablissements Michelin SCA		2,675,044
27,886	Credit Agricole SA		351,511
5,193	Ipsen SA		672,724
220,203	Orange SA		2,472,144
52,039	Sanofi		5,542,358
119,187	Societe Generale SA		3,376,706
9,504	STMicroelectronics NV		449,159
194,133	TotalEnergies SE		12,177,748
27,190	Valeo SE		528,527
204,343	Vivendi SE		1,861,128
	Total France		42,373,282
	Germany — 4.2%
82,341	Bayer AG (Registered)		4,505,085
16,842	Bayerische Motoren Werke AG		1,771,427
45,985	Fresenius SE & Co KGaA		1,474,242
9,467	Henkel AG & Co KGaA		654,248
64,642	Mercedes-Benz Group AG		4,730,164
74,475	ProSiebenSat.1 Media SE		590,322
	Total Germany		13,725,488
	Hong Kong — 2.4%
333,000	CK Asset Holdings Ltd		1,837,416
393,500	CK Hutchison Holdings Ltd		2,144,573
66,000	Kerry Properties Ltd		121,952
164,000	Sun Hung Kai Properties Ltd		1,846,093
119,500	Swire Pacific Ltd – Class A		985,324
125,200	Swire Properties Ltd		261,639
1,800	VTech Holdings Ltd		10,988

29 See accompanying notes to the financial statements.

GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Hong Kong — continued
1,345,500	WH Group Ltd		692,926
	Total Hong Kong		7,900,911
	Ireland — 0.3%
15,000	CRH Plc Sponsored ADR		863,550
	Italy — 4.4%
76,390	Assicurazioni Generali SPA		1,582,265
194,764	Banco BPM SPA		929,267
275,635	Eni SPA		4,261,870
82,037	Intesa Sanpaolo SPA		219,072
94,394	Leonardo SPA		1,358,609
11,662	Poste Italiane SPA		129,459
234,342	Stellantis NV		4,350,149
12,691	Tenaris SA ADR		405,224
193,291	Unipol Gruppo SPA		1,076,273
	Total Italy		14,312,188
	Japan — 22.5%
33,300	Bridgestone Corp		1,292,898
37,200	Brother Industries Ltd		629,557
25,400	Credit Saison Co Ltd		396,998
99,000	Daiwa House Industry Co Ltd		2,749,801
153,268	Honda Motor Co Ltd Sponsored ADR		4,955,155
70,900	Idemitsu Kosan Co Ltd		1,509,200
202,500	Inpex Corp		2,835,775
63,600	Isuzu Motors Ltd		814,178
100,700	ITOCHU Corp		3,779,202
99,700	Japan Post Holdings Co Ltd		764,365
179,700	Japan Tobacco Inc		3,934,761
21,300	Kajima Corp		355,769
83,800	KDDI Corp		2,491,157
130,100	Kirin Holdings Co Ltd		1,826,506
51,700	Komatsu Ltd		1,471,289
3,000	Marubeni Corp		49,016
5,600	Mazda Motor Corp		58,346
77,900	Mitsubishi Corp		3,842,410
71,900	Mitsubishi Electric Corp		936,718
574,700	Mitsubishi UFJ Financial Group Inc		4,584,772
112,900	Mitsui & Co Ltd		4,204,996
9,000	Mitsui OSK Lines Ltd		249,218
179,900	Mizuho Financial Group Inc		2,964,576
16,200	Nippon Steel Corp		383,103
2,547,500	Nippon Telegraph & Telephone Corp		2,941,434
97,000	Nippon Yusen KK		2,580,626
4,600	Nitto Denko Corp		313,824
50,400	Ono Pharmaceutical Co Ltd		952,153
32,500	ORIX Corp		605,952
67,400	Otsuka Holdings Co Ltd		2,560,641
296,000	Panasonic Holdings Corp		3,406,975
75,500	Seiko Epson Corp		1,182,209
31,300	Shionogi & Co Ltd		1,374,675
24,600	Sojitz Corp		528,521

Shares	Description	Value ($)
	Japan — continued
260,800	Sumitomo Chemical Co Ltd		721,979
31,600	Sumitomo Corp		649,898
42,800	Sumitomo Forestry Co Ltd		1,204,441
3,400	Sumitomo Heavy Industries Ltd		85,099
21,700	Sumitomo Mitsui Financial Group Inc		992,047
17,700	Tokyo Gas Co Ltd		409,588
32,800	Tosoh Corp		424,425
42,000	Toyota Tsusho Corp		2,500,202
78,900	Yamaha Motor Co Ltd		2,041,637
	Total Japan		72,556,092
	Netherlands — 4.7%
198,625	Aegon NV		1,017,952
10,442	ASR Nederland NV		456,572
2,955	EXOR NV		261,508
122,999	ING Groep NV		1,742,774
107,671	Koninklijke Ahold Delhaize NV		3,521,919
117,171	Koninklijke Philips NV		2,633,018
47,895	NN Group NV		1,843,742
31,414	Randstad NV		1,843,533
63,982	Signify NV		1,808,599
	Total Netherlands		15,129,617
	Norway — 1.4%
19,984	DNB Bank ASA		395,015
130,443	Equinor ASA		4,006,062
	Total Norway		4,401,077
	Portugal — 0.0%
4,483	Sonae SGPS SA		4,723
	Russia — 0.0%
9,800	Surgutneftegas PJSC (b)		32
	Singapore — 0.5%
142,300	Oversea-Chinese Banking Corp Ltd		1,320,303
18,200	United Overseas Bank Ltd		382,334
	Total Singapore		1,702,637
	Spain — 4.6%
116,404	Acerinox SA		1,168,973
628,275	Banco Bilbao Vizcaya Argentaria SA		4,957,020
1,435,425	Banco de Sabadell SA		1,660,156
1,257,652	Banco Santander SA		4,909,380
7,304	Indra Sistemas SA		103,293
121,576	Repsol SA		1,879,091
15,888	Telefonica SA		65,835
	Total Spain		14,743,748
	Sweden — 2.5%
3,776	Boliden AB		100,406
39,623	Fabege AB		339,138

See accompanying notes to the financial statements. 30

GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Sweden — continued
95,793	Nordea Bank Abp		1,049,437
4,219	Skandinaviska Enskilda Banken AB – Class A		48,913
13,247	Skanska AB – B Shares		193,916
6,672	SSAB AB – A Shares		38,273
269,672	Svenska Handelsbanken AB – A Shares		2,250,158
539,438	Telefonaktiebolaget LM Ericsson – B Shares		2,768,388
5,033	Volvo AB – A Shares		102,944
64,528	Volvo AB – B Shares		1,300,472
	Total Sweden		8,192,045
	Switzerland — 6.2%
49,018	Adecco Group AG (Registered)		2,108,514
3,880	Holcim Ltd		256,585
5,425	Logitech International SA (Registered) (a)		375,315
6,204	Logitech International SA (Registered) (a)		426,959
1,484	Novartis AG (Registered)		149,352
51,636	Novartis AG Sponsored ADR		5,188,385
2,938	Roche Holding AG		915,653
31,921	Roche Holding AG – Genusschein		9,368,437
531	Swiss Life Holding AG (Registered)		332,547
32,801	UBS Group AG (Registered)		868,790
	Total Switzerland		19,990,537
	United Kingdom — 10.1%
143,074	3i Group Plc		3,602,810
439,386	Barclays Plc Sponsored ADR		3,299,789
63,359	Barratt Developments Plc		363,204
3,830	British American Tobacco Plc		126,866
164,035	British American Tobacco Plc Sponsored ADR		5,445,962
1,566,237	BT Group Plc		2,291,266
101,081	GSK Plc Sponsored ADR		3,550,976
135,976	HSBC Holdings Plc Sponsored ADR		5,074,624
1,179,930	ITV Plc		1,055,154
108,193	J Sainsbury Plc		369,993
270,202	Kingfisher Plc		800,741
2,811,939	Lloyds Banking Group Plc		1,502,314
18,709	Rio Tinto Plc Sponsored ADR		1,169,312
2,548	Shell Plc ADR		158,205
77,586	Standard Chartered Plc		698,096
319,843	Vodafone Group Plc Sponsored ADR		2,980,937
	Total United Kingdom		32,490,249
	TOTAL COMMON STOCKS (COST $313,968,341)		318,589,611
	PREFERRED STOCKS (c) — 0.6%
	Germany — 0.6%
4,681	Bayerische Motoren Werke AG		449,758

Shares	Description	Value ($)
	Germany — continued
20,190	Henkel AG & Co KGaA		1,547,176
	Total Germany		1,996,934
	TOTAL PREFERRED STOCKS (COST $2,061,248)		1,996,934
	MUTUAL FUNDS — 0.8%
	United States — 0.8%
	Affiliated Issuers — 0.8%
540,000	GMO U.S. Treasury Fund		2,700,000
	Total United States		2,700,000
	TOTAL MUTUAL FUNDS (COST $2,700,000)		2,700,000
	SHORT-TERM INVESTMENTS — 0.1%
	Money Market Funds — 0.1%
324,672	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (d)		324,672
	TOTAL SHORT-TERM INVESTMENTS (COST $324,672)		324,672
	TOTAL INVESTMENTS — 100.2% (Cost $319,054,261)		323,611,217
	Other Assets and Liabilities (net) — (0.2)%		(618,205	)
	TOTAL NET ASSETS — 100.0%		$322,993,012

Notes to Schedule of Investments:

* Non-income producing security.

(a) Securities are traded on separate exchanges for the same entity.

(b) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(c) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(d) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

31 See accompanying notes to the financial statements.

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.2	%
Short-Term Investments		2.5
Other		(0.7	)
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		22.0	%
Materials		10.8
Technology Hardware & Equipment		10.1
Food, Beverage & Tobacco		9.7
Semiconductors & Semiconductor Equipment		7.8
Insurance		7.3
Banks		6.9
Commercial & Professional Services		4.7
Financial Services		4.6
Software & Services		4.3
Health Care Equipment & Services		3.6
Automobiles & Components		2.7
Transportation		2.6
Consumer Discretionary Distribution & Retail		2.0
Consumer Durables & Apparel		0.9
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

32

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 98.2%
	Automobiles & Components — 2.7%
167,100	Stanley Electric Co Ltd		2,931,414
	Banks — 6.7%
95,300	Sumitomo Mitsui Financial Group Inc		4,356,779
81,700	Sumitomo Mitsui Trust Holdings Inc		3,060,384
	Total Banks		7,417,163
	Capital Goods — 21.6%
85,700	EXEO Group Inc		1,823,298
171,500	Fuji Corp		2,827,083
153,100	Kanematsu Corp		2,155,018
120,300	Kyudenko Corp		3,701,720
357,000	Mitsubishi Electric Corp		4,651,021
441,700	Penta-Ocean Construction Co Ltd		2,625,166
189,400	THK Co Ltd		3,458,867
35,400	Toyota Industries Corp		2,499,540
	Total Capital Goods		23,741,713
	Commercial & Professional Services — 4.7%
37,700	Secom Co Ltd		2,638,538
102,500	Toppan Inc		2,475,981
	Total Commercial & Professional Services		5,114,519
	Consumer Discretionary Distribution & Retail — 2.0%
239,900	K’s Holdings Corp		2,211,408
	Consumer Durables & Apparel — 0.8%
75,100	Haseko Corp		932,428
	Financial Services — 4.5%
157,800	Credit Saison Co Ltd		2,466,389
71,400	Zenkoku Hosho Co Ltd		2,473,721
	Total Financial Services		4,940,110
	Food, Beverage & Tobacco — 9.6%
229,100	Kirin Holdings Co Ltd		3,216,392
72,500	Morinaga & Co Ltd		2,634,827
149,600	NH Foods Ltd		4,641,151
	Total Food, Beverage & Tobacco		10,492,370
	Health Care Equipment & Services — 3.5%
213,300	H.U. Group Holdings Inc		3,857,385
	Insurance — 7.2%
66,000	MS&AD Insurance Group Holdings Inc		2,370,167
348,300	T&D Holdings Inc		5,520,353
	Total Insurance		7,890,520
	Materials — 10.6%
189,800	Denka Co Ltd		3,577,707

Shares	Description	Value ($)
	Materials — continued
96,000	Maruichi Steel Tube Ltd		2,494,763
227,400	Teijin Ltd		2,309,027
414,400	Tokai Carbon Co Ltd		3,273,031
	Total Materials		11,654,528
	Semiconductors & Semiconductor Equipment — 7.6%
325,800	SUMCO Corp		4,351,300
72,800	Tokyo Seimitsu Co Ltd		4,009,396
	Total Semiconductors & Semiconductor Equipment		8,360,696
	Software & Services — 4.2%
87,100	NEC Corp		4,591,117
	Technology Hardware & Equipment — 9.9%
123,000	Amano Corp		2,681,128
179,000	Daiwabo Holdings Co Ltd		3,628,320
77,100	FUJIFILM Holdings Corp		4,556,335
	Total Technology Hardware & Equipment		10,865,783
	Transportation — 2.6%
80,500	Sankyu Inc		2,806,680
	TOTAL COMMON STOCKS (COST $111,613,927)		107,807,834
	SHORT-TERM INVESTMENTS — 2.5%
	Money Market Funds — 2.5%
2,715,325	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (a)		2,715,325
	TOTAL SHORT-TERM INVESTMENTS (COST $2,715,325)		2,715,325
	TOTAL INVESTMENTS — 100.7% (Cost $114,329,252)		110,523,159
	Other Assets and Liabilities (net) — (0.7)%		(744,998	)
	TOTAL NET ASSETS — 100.0%		$109,778,161

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

33 See accompanying notes to the financial statements.

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.7	%
Preferred Stocks		1.5
Mutual Funds		0.9
Short-Term Investments		0.0	^
Other		(0.1	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		52.5	%
United Kingdom		8.8
France		8.4
Mexico		6.8
Spain		5.8
Canada		4.7
China		3.1
Ireland		3.0
Germany		2.3
Brazil		1.7
Finland		1.5
Hong Kong		1.4
Other Emerging		0.0	†^
		100.0	%

Industry Group Summary	% of Equity Investments#
Consumer Services		16.7	%
Energy		10.7
Capital Goods		8.7
Financial Services		8.5
Consumer Durables & Apparel		7.2
Materials		6.9
Food, Beverage & Tobacco		6.7
Consumer Discretionary Distribution & Retail		6.5
Semiconductors & Semiconductor Equipment		6.5
Media & Entertainment		5.7
Banks		4.7
Transportation		3.0
Automobiles & Components		3.0
Insurance		2.8
Household & Personal Products		2.4
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

34

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 97.7%
	Brazil — 0.2%
9,602	Vale SA		126,190
	Canada — 4.7%
9,933	Brookfield Asset Management Ltd – Class A		343,185
41,367	Brookfield Corp – Class A		1,411,028
27,015	Nutrien Ltd		1,710,590
	Total Canada		3,464,803
	China — 3.1%
138,407	Alibaba Group Holding Ltd *		1,606,370
15,327	Tencent Holdings Ltd		635,156
	Total China		2,241,526
	Finland — 1.5%
30,623	Neste Oyj		1,120,283
	France — 8.4%
2,066	Kering SA		1,104,752
2,564	LVMH Moet Hennessy Louis Vuitton SE		2,168,266
18,166	Safran SA		2,911,377
	Total France		6,184,395
	Germany — 2.3%
13,059	Beiersdorf AG		1,709,883
	Hong Kong — 1.4%
156,502	Galaxy Entertainment Group Ltd *		1,034,431
	Ireland — 3.0%
21,851	Ryanair Holdings Plc Sponsored ADR *		2,168,712
	Mexico — 6.8%
263,223	Fomento Economico Mexicano SAB de CV		2,947,085
433,845	Grupo Mexico SAB de CV – Series B		2,073,744
	Total Mexico		5,020,829
	Russia — 0.0%
33,541	LUKOIL PJSC (a)		23,894
72,920	Novatek PJSC (a)		12,832
	Total Russia		36,726
	Spain — 5.8%
30,477	Amadeus IT Group SA		2,091,132
55,696	Industria de Diseno Textil SA		2,133,789
	Total Spain		4,224,921
	United Kingdom — 8.8%
24,526	Berkeley Group Holdings Plc (The)		1,260,051
100,210	Compass Group Plc		2,526,967
54,466	Persimmon Plc		734,271

Shares	Description	Value ($)
	United Kingdom — continued
63,851	Shell Plc		1,952,261
	Total United Kingdom		6,473,550
	United States — 51.7%
13,909	Alphabet, Inc. – Class A*		1,893,989
13,272	American Express Co.		2,096,843
953	Booking Holdings, Inc. *		2,959,094
46,706	BorgWarner, Inc.		1,903,270
12,176	CarMax, Inc. *		994,536
10,239	Chevron Corp.		1,649,503
31,294	Darling Ingredients, Inc. *		1,932,717
18,582	EOG Resources, Inc.		2,390,017
6,894	General Electric Co.		789,087
21,337	Green Plains, Inc. *		662,301
12,219	Hilton Worldwide Holdings, Inc.		1,816,354
20,110	Intercontinental Exchange, Inc.		2,372,779
2,966	Lam Research Corp.		2,083,318
31,684	Las Vegas Sands Corp.		1,738,184
1,357	Markel Group, Inc. *		2,006,894
5,549	Meta Platforms, Inc. – Class A*		1,641,893
24,499	Micron Technology, Inc.		1,713,460
13,296	Otis Worldwide Corp.		1,137,473
9,341	Phinia, Inc. *		259,680
17,783	RTX Corp.		1,530,049
5,407	Texas Instruments, Inc.		908,700
39,475	US Bancorp		1,442,022
48,219	Wells Fargo & Co.		1,990,963
	Total United States		37,913,126
	TOTAL COMMON STOCKS (COST $56,648,729)		71,719,375
	PREFERRED STOCKS (b) — 1.5%
	Brazil — 1.5%
245,120	Bradespar SA		1,113,720
	TOTAL PREFERRED STOCKS (COST $1,090,501)		1,113,720
	MUTUAL FUNDS — 0.9%
	United States — 0.9%
	Affiliated Issuers — 0.9%
125,406	GMO U.S. Treasury Fund		627,028
	Total United States		627,028
	TOTAL MUTUAL FUNDS (COST $626,573)		627,028

35 See accompanying notes to the financial statements.

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	SHORT-TERM INVESTMENTS — 0.0%
	Money Market Funds — 0.0%
13,893	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (c)		13,893
	TOTAL SHORT-TERM INVESTMENTS (COST $13,893)		13,893
	TOTAL INVESTMENTS — 100.1% (Cost $58,379,696)		73,474,016
	Other Assets and Liabilities (net) — (0.1)%		(70,896	)
	TOTAL NET ASSETS — 100.0%		$73,403,120

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

See accompanying notes to the financial statements. 36

GMO Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.4	%
Mutual Funds		1.7
Short-Term Investments		0.0	^
Other		(0.1	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		79.2	%
United Kingdom		5.7
France		4.4
Germany		3.2
Switzerland		3.1
Taiwan		2.6
China		1.1
Other Developed		0.7	‡
		100.0	%

Industry Group Summary	% of Equity Investments#
Software & Services		20.4	%
Health Care Equipment & Services		13.6
Pharmaceuticals, Biotechnology & Life Sciences		10.8
Semiconductors & Semiconductor Equipment		10.1
Consumer Discretionary Distribution & Retail		7.7
Media & Entertainment		6.5
Food, Beverage & Tobacco		6.3
Capital Goods		6.2
Banks		3.9
Technology Hardware & Equipment		3.7
Consumer Services		3.3
Household & Personal Products		3.2
Financial Services		3.0
Consumer Durables & Apparel		1.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

37

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 98.4%
	Banks — 3.8%
4,116,853	US Bancorp		150,388,640
3,634,802	Wells Fargo & Co.		150,080,975
	Total Banks		300,469,615
	Capital Goods — 6.2%
531,262	General Electric Co.		60,808,249
480,068	Knorr-Bremse AG		32,788,895
1,698,730	Otis Worldwide Corp.		145,326,351
1,520,703	Safran SA		243,715,722
	Total Capital Goods		482,639,217
	Consumer Discretionary Distribution & Retail — 7.6%
7,678,765	Alibaba Group Holding Ltd*		89,120,786
2,050,778	Amazon.com, Inc.*		283,027,872
2,378,341	TJX Cos., Inc. (The)		219,948,976
	Total Consumer Discretionary Distribution & Retail		592,097,634
	Consumer Durables & Apparel — 1.3%
120,331	LVMH Moet Hennessy Louis Vuitton SE		101,758,796
	Consumer Services — 3.2%
817,054	Amadeus IT Group SA		56,060,888
7,878,697	Compass Group Plc		198,674,818
	Total Consumer Services		254,735,706
	Financial Services — 3.0%
425,118	American Express Co.		67,164,393
674,019	Visa, Inc. – Class A		165,592,988
	Total Financial Services		232,757,381
	Food, Beverage & Tobacco — 6.2%
3,307,331	Coca-Cola Co. (The)		197,877,614
413,060	Constellation Brands, Inc. – Class A		107,626,913
2,011,317	Diageo Plc		82,369,387
819,973	Nestle SA (Registered)		98,593,067
	Total Food, Beverage & Tobacco		486,466,981
	Health Care Equipment & Services — 13.3%
1,645,762	Abbott Laboratories		169,348,910
303,814	Cigna Group (The)		83,931,656
425,387	Elevance Health, Inc.		188,025,308
470,104	Intuitive Surgical, Inc.*		146,992,119
835,119	Quest Diagnostics, Inc.		109,818,148
731,171	UnitedHealth Group, Inc.		348,461,475
	Total Health Care Equipment & Services		1,046,577,616
	Household & Personal Products — 3.1%
3,418,115	Kenvue, Inc.		78,787,550

Shares	Description	Value ($)
	Household & Personal Products — continued
3,281,852	Unilever Plc		167,601,586
	Total Household & Personal Products		246,389,136
	Media & Entertainment — 6.4%
1,993,449	Alphabet, Inc. – Class A*		271,447,950
771,519	Meta Platforms, Inc. – Class A*		228,284,757
	Total Media & Entertainment		499,732,707
	Pharmaceuticals, Biotechnology & Life Sciences —10.6%
474,564	Eli Lilly & Co.		263,003,369
1,406,175	Johnson & Johnson		227,350,374
1,831,394	Merck & Co., Inc.		199,585,318
489,924	Roche Holding AG – Genusschein		143,786,919
	Total Pharmaceuticals, Biotechnology & Life Sciences		833,725,980
	Semiconductors & Semiconductor Equipment — 9.9%
267,238	KLA Corp.		134,118,735
365,706	Lam Research Corp.		256,871,894
11,667,790	Taiwan Semiconductor Manufacturing Co Ltd		200,487,064
1,111,281	Texas Instruments, Inc.		186,761,885
	Total Semiconductors & Semiconductor Equipment		778,239,578
	Software & Services — 20.1%
800,032	Accenture Plc – Class A		259,026,360
309,299	Adobe, Inc.*		173,003,303
1,482,600	Microsoft Corp.		485,936,976
2,255,489	Oracle Corp.		271,538,321
754,916	salesforce.com, Inc.*		167,183,697
1,575,352	SAP SE		219,768,607
	Total Software & Services		1,576,457,264
	Technology Hardware & Equipment — 3.7%
1,537,932	Apple, Inc.		288,931,285
	TOTAL COMMON STOCKS (COST $4,287,904,975)		7,720,978,896
	MUTUAL FUNDS — 1.7%
	Affiliated Issuers — 1.7%
25,703,810	GMO U.S. Treasury Fund		128,519,053
	TOTAL MUTUAL FUNDS (COST $128,469,235)		128,519,053

See accompanying notes to the financial statements. 38

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	SHORT-TERM INVESTMENTS — 0.0%
	Money Market Funds — 0.0%
1,964,501	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (a)		1,964,501
	TOTAL SHORT-TERM INVESTMENTS (COST $1,964,501)		1,964,501
	TOTAL INVESTMENTS — 100.1% (Cost $4,418,338,711)		7,851,462,450
	Other Assets and Liabilities (net) — (0.1)%		(6,268,571	)
	TOTAL NET ASSETS — 100.0%		$7,845,193,879

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

39 See accompanying notes to the financial statements.

GMO Resource Transition Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		89.7	%
Preferred Stocks		8.1
Mutual Funds		1.4
Short-Term Investments		0.3
Other		0.5
		100.0	%

Country/Region Summary¤	% of Investments
United States		38.2	%
United Kingdom		13.8
Canada		13.2
Brazil		11.7
South Africa		3.6
France		3.1
Mexico		2.7
Japan		2.3
Chile		2.1
Argentina		2.0
Denmark		1.9
Other Developed		1.6	‡
Finland		1.1
Israel		1.1
Norway		1.0
Other Emerging		0.6	†
		100.0	%

Industry Group Summary	% of Equity Investments#
Industrial Metals		51.3	%
Energy		33.5
Agriculture		11.9
Water		3.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

40

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 89.7%
	Argentina — 2.0%
695,400	Adecoagro SA		7,983,192
	Australia — 0.4%
1,992,788	Jupiter Mines Ltd		263,725
1,739,005	Perenti Ltd *		1,191,315
578,245	Sunrise Energy Metals Ltd *		356,470
	Total Australia		1,811,510
	Brazil — 5.5%
511,600	Sao Martinho SA		3,732,617
199,260	SLC Agricola SA		1,618,368
465,300	Suzano SA		4,712,149
961,300	Vale SA		12,633,435
	Total Brazil		22,696,569
	Canada — 13.1%
273,200	Anaergia Inc *		75,821
148,000	Canadian Solar Inc *		4,145,480
194,100	Enerflex Ltd		1,198,042
385,700	First Quantum Minerals Ltd		10,361,834
520,000	Greenlane Renewables Inc *		88,514
2,693,600	Ivanhoe Mines Ltd – Class A*		23,961,717
531,300	Largo Inc *		1,737,971
585,000	Li-Cycle Holdings Corp *		2,597,400
46,400	Nutrien Ltd		2,938,048
76,600	Teck Resources Ltd – Class B (a)		3,165,112
77,600	Teck Resources Ltd – Class B (a)		3,209,212
	Total Canada		53,479,151
	China — 0.6%
2,962,000	China High Speed Transmission Equipment Group Co Ltd *		962,137
1,500,000	China Water Affairs Group Ltd		1,150,055
964,200	Goldwind Science & Technology Co Ltd		505,772
	Total China		2,617,964
	Denmark — 1.9%
330,766	Vestas Wind Systems A/S *		7,642,383
	Finland — 1.1%
79,165	Kemira Oyj		1,253,031
90,118	Neste Oyj		3,296,792
	Total Finland		4,549,823
	France — 3.1%
28,207	Eramet SA		2,160,164
143,393	Technip Energies NV		3,318,638
227,766	Veolia Environnement SA		7,105,601
	Total France		12,584,403

Shares	Description	Value ($)
	Israel — 1.1%
760,025	ICL Group Ltd		4,541,762
	Italy — 0.3%
68,226	Tenaris SA		1,089,558
	Japan — 2.3%
55,300	Ebara Corp		2,749,476
158,500	Mitsubishi Materials Corp		2,660,598
25,500	Organo Corp		707,736
100,400	Sumitomo Metal Mining Co Ltd		3,115,775
	Total Japan		9,233,585
	Mexico — 2.7%
2,319,900	Grupo Mexico SAB de CV – Series B		11,088,933
	Norway — 1.0%
360,348	Austevoll Seafood ASA		2,606,996
42,902	Subsea 7 SA		558,994
61,042	TGS ASA		790,112
	Total Norway		3,956,102
	South Africa — 3.5%
285,926	African Rainbow Minerals Ltd		2,700,173
1,516,715	Impala Platinum Holdings Ltd		7,808,242
2,650,214	Sibanye Stillwater Ltd		3,998,741
	Total South Africa		14,507,156
	Spain — 0.2%
62,524	Solaria Energia y Medio Ambiente SA *		929,094
	Sweden — 0.7%
107,658	Boliden AB		2,862,680
	United Kingdom — 13.7%
1,140,070	Anglo American Plc		30,316,358
1,184,156	Ferrexpo Plc *		1,159,650
4,631,429	Glencore Plc		24,663,257
	Total United Kingdom		56,139,265
	United States — 36.5%
244,019	Aemetis, Inc. *		1,222,535
37,600	AGCO Corp.		4,870,328
107,200	Alcoa Corp.		3,224,576
378,046	Ameresco, Inc. – Class A*		16,441,220
953,720	Clean Energy Fuels Corp. *		4,062,847
47,300	Corteva, Inc.		2,389,123
451,500	Darling Ingredients, Inc. *		27,884,640
5,700	Deere & Co.		2,342,358
23,500	Enphase Energy, Inc. *		2,973,455
16,500	First Solar, Inc. *		3,120,480
204,600	Freeport-McMoRan, Inc.		8,165,586
1,326,966	GrafTech International Ltd.		4,697,460
553,200	Green Plains, Inc. *		17,171,328

41 See accompanying notes to the financial statements.

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	United States — continued
414,700	Livent Corp. *		8,903,609
207,600	Mosaic Co. (The)		8,065,260
40,600	PotlatchDeltic Corp. (REIT)		1,918,756
97,600	SolarEdge Technologies, Inc. *		15,866,832
1,044,346	Sunrun, Inc. *		16,323,128
	Total United States		149,643,521
	TOTAL COMMON STOCKS (COST $427,757,926)		367,356,651
	PREFERRED STOCKS (b) — 8.1%
	Brazil — 6.0%
5,458,465	Bradespar SA		24,800,933
	Chile — 2.1%
136,700	Sociedad Quimica y Minera de Chile SA Sponsored ADR		8,556,053
	TOTAL PREFERRED STOCKS (COST $39,587,665)		33,356,986
	MUTUAL FUNDS — 1.4%
	United States — 1.4%
	Affiliated Issuers — 1.4%
1,130,682	GMO U.S. Treasury Fund		5,653,412
	Total United States		5,653,412
	TOTAL MUTUAL FUNDS (COST $5,653,412)		5,653,412
	SHORT-TERM INVESTMENTS — 0.3%
	Money Market Funds — 0.3%
1,038,432	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (c)		1,038,432
	TOTAL SHORT-TERM INVESTMENTS (COST $1,038,432)		1,038,432
	TOTAL INVESTMENTS — 99.5% (Cost $474,037,435)		407,405,481
	Other Assets and Liabilities (net) — 0.5%		2,172,238
	TOTAL NET ASSETS — 100.0%		$409,577,719

Notes to Schedule of Investments:

* Non-income producing security.

(a) Securities are traded on separate exchanges for the same entity.

(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(c) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

See accompanying notes to the financial statements. 42

GMO Resources Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		89.3	%
Preferred Stocks		9.1
Mutual Funds		0.8
Short-Term Investments		0.0	^
Other		0.8
		100.0	%

Country/Region Summary¤	% of Investments
United States		33.8	%
United Kingdom		14.7
Brazil		11.0
Canada		9.3
Portugal		4.7
Other Developed		2.8	‡
Norway		2.5
South Africa		2.3
Italy		2.1
Spain		2.0
France		2.0
Mexico		1.7
Japan		1.4
Chile		1.4
China		1.3
Denmark		1.2
India		1.2
Argentina		1.2
Other Emerging		1.2	†
Israel		1.1
Austria		1.1
		100.0	%

Industry Group Summary	% of Equity Investments#
Energy		57.1	%
Industrial Metals		33.5
Agriculture		7.4
Water		2.0
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

43

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 89.3%
	Argentina — 1.2%
1,981,775	Adecoagro SA (a)		22,750,777
	Australia — 0.8%
10,480,466	Beach Energy Ltd		10,497,090
735,000	Clean TeQ Water Ltd *		175,774
4,776,947	Jupiter Mines Ltd		632,181
5,153,570	Perenti Ltd * (a)		3,530,481
1,938,657	Sunrise Energy Metals Ltd *		1,195,120
	Total Australia		16,030,646
	Austria — 1.1%
478,012	OMV AG (a)		22,135,764
	Brazil — 3.1%
651,300	Enauta Participacoes SA		2,063,569
356,500	PRIO SA *		3,341,794
1,522,328	Sao Martinho SA		11,106,857
591,382	SLC Agricola SA		4,803,139
1,386,200	Suzano SA		14,038,213
2,031,868	Vale SA		26,702,874
	Total Brazil		62,056,446
	Canada — 9.2%
654,900	Anaergia Inc * (a)		181,755
469,860	Canadian Solar Inc * (a)		13,160,779
575,852	Enerflex Ltd (a)		3,554,326
237,400	Enerplus Corp (a)		4,061,914
1,212,900	First Quantum Minerals Ltd		32,584,569
1,246,100	Greenlane Renewables Inc * (a)		212,110
8,468,000	Ivanhoe Mines Ltd – Class A* (a)		75,329,603
1,273,509	Largo Inc * (a)		4,165,860
1,740,100	Li-Cycle Holdings Corp * (a)		7,726,044
409,165	Logan Energy Corp *		314,929
137,700	Nutrien Ltd		8,719,164
170,765	Spartan Delta Corp (a)		533,325
227,800	Teck Resources Ltd – Class B (b)		9,412,696
230,700	Teck Resources Ltd – Class B (b)		9,540,790
620,900	Vermilion Energy Inc (a)		9,034,095
426,600	Whitecap Resources Inc (a)		3,488,699
	Total Canada		182,020,658
	China — 1.3%
8,006,000	China High Speed Transmission Equipment Group Co Ltd * (a)		2,600,562
4,454,000	China Water Affairs Group Ltd		3,414,897
2,813,000	Goldwind Science & Technology Co Ltd		1,475,562
2,516,300	Henan Shenhuo Coal & Power Co Ltd – Class A		5,476,535
6,891,945	Western Mining Co Ltd – Class A		12,046,855
	Total China		25,014,411

Shares	Description	Value ($)
	Denmark — 1.2%
1,048,809	Vestas Wind Systems A/S *		24,232,841
	Finland — 0.7%
235,342	Kemira Oyj		3,725,015
268,936	Neste Oyj		9,838,502
	Total Finland		13,563,517
	France — 2.0%
83,932	Eramet SA		6,427,726
426,467	Technip Energies NV		9,870,004
710,967	Veolia Environnement SA		22,179,992
	Total France		38,477,722
	Hungary — 0.8%
1,970,591	MOL Hungarian Oil & Gas Plc		14,901,665
	India — 1.2%
1,439,252	Oil India Ltd		4,735,290
6,721,812	Vedanta Ltd		18,826,665
	Total India		23,561,955
	Isle of Man — 0.9%
1,221,000	Lifezone Holdings Ltd *		17,460,300
	Israel — 1.1%
63,210	Delek Group Ltd		9,068,266
2,219,866	ICL Group Ltd		13,265,487
	Total Israel		22,333,753
	Italy — 2.1%
2,527,002	Eni SPA		39,072,517
201,723	Tenaris SA		3,221,483
	Total Italy		42,294,000
	Japan — 1.4%
164,000	Ebara Corp		8,153,961
478,900	Mitsubishi Materials Corp		8,038,866
72,800	Organo Corp		2,020,518
299,600	Sumitomo Metal Mining Co Ltd		9,297,671
	Total Japan		27,511,016
	Mexico — 1.7%
7,206,540	Grupo Mexico SAB de CV – Series B		34,446,674
	Norway — 2.5%
1,069,161	Austevoll Seafood ASA		7,735,020
4,898,521	DNO ASA		4,565,292
1,115,499	Equinor ASA		34,258,327
105,909	Subsea 7 SA		1,379,947
157,732	TGS ASA		2,041,642
	Total Norway		49,980,228

See accompanying notes to the financial statements. 44

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	Pakistan — 0.0%
459,459	Pakistan Oilfields Ltd		658,537
	Portugal — 4.6%
6,665,385	Galp Energia SGPS SA (a)		91,996,799
	Russia — 0.1%
3,574,704	Gazprom Neft PJSC (c)		243,117
14,145,410	Gazprom PJSC * (c)		262,798
248,399	LUKOIL PJSC (c)		176,956
232,917	MMC Norilsk Nickel PJSC * (c)		409,399
9	MMC Norilsk Nickel PJSC ADR * (c)		2
338,098	PhosAgro PJSC (c)		257,713
6,533	PhosAgro PJSC GDR * (c) (d)		1,656
2	PhosAgro PJSC GDR (Registered) * (c)		1
601,778	Ros Agro Plc GDR (Registered) * (c)		49,236
3,476,399	Tatneft PJSC (c)		213,896
	Total Russia		1,614,774
	Singapore — 0.0%
2,725,600	Ezra Holdings Ltd * (a) (c)		—
	South Africa — 2.2%
850,472	African Rainbow Minerals Ltd		8,031,524
4,735,741	Impala Platinum Holdings Ltd		24,380,199
7,908,978	Sibanye Stillwater Ltd		11,933,359
	Total South Africa		44,345,082
	Spain — 2.0%
2,431,265	Repsol SA		37,577,876
183,344	Solaria Energia y Medio Ambiente SA *		2,724,454
	Total Spain		40,302,330
	Sweden — 0.4%
307,718	Boliden AB		8,182,375
	Turkey — 0.2%
1,916,313	Koza Anadolu Metal Madencilik Isletmeleri AS *		4,691,435
	Ukraine — 0.1%
501,341	Kernel Holding SA *		1,338,070
	United Kingdom — 14.6%
2,826,856	Anglo American Plc		75,170,804
10,148,065	BP Plc		62,707,773
3,520,763	Ferrexpo Plc *		3,447,903
13,676,479	Glencore Plc		72,829,900
2,497,974	Harbour Energy Plc		7,902,732
544,276	Serica Energy Plc		1,722,054
2,145,861	Shell Plc		65,610,258
	Total United Kingdom		289,391,424
	United States — 32.8%
687,620	Aemetis, Inc. * (a)		3,444,976

Shares		Description	Value ($)
		United States — continued
	112,600	AGCO Corp.		14,585,078
	151,100	Alcoa Corp.		4,545,088
	925,575	Ameresco, Inc. – Class A*		40,253,257
	187,400	California Resources Corp.		10,464,416
	2,836,413	Clean Energy Fuels Corp. *		12,083,119
	140,800	Corteva, Inc.		7,111,808
	1,421,500	Darling Ingredients, Inc. *		87,791,840
	16,800	Deere & Co.		6,903,792
	74,400	Enphase Energy, Inc. *		9,413,832
	52,000	First Solar, Inc. *		9,834,240
	638,582	Freeport-McMoRan, Inc.		25,485,808
	3,959,957	GrafTech International Ltd.		14,018,248
	1,646,893	Green Plains, Inc. *		51,119,559
	474,100	Hess Corp.		73,248,450
	15,997,255	Kosmos Energy Ltd. *		116,460,016
	1,294,846	Livent Corp. * (a)		27,800,343
	647,421	Mosaic Co. (The)		25,152,306
	120,200	PotlatchDeltic Corp. (REIT)		5,680,652
	308,224	SolarEdge Technologies, Inc. *		50,107,976
	3,304,217	Sunrun, Inc. * (a)		51,644,912
	531,100	W&T Offshore, Inc. *		2,166,888
		Total United States		649,316,604
		TOTAL COMMON STOCKS (COST $1,859,171,972)		1,770,609,803
		PREFERRED STOCKS (e) — 9.1%
		Brazil — 7.8%
	16,956,326	Bradespar SA		77,042,303
	11,942,681	Petroleo Brasileiro SA		77,028,550
		Total Brazil		154,070,853
		Chile — 1.3%
	426,795	Sociedad Quimica y Minera de Chile SA Sponsored ADR		26,713,099
		Russia — 0.0%
	20,237,584	Surgutneftegas PJSC (c)		105,172
	7,494,797	Tatneft PJSC (c)		457,153
		Total Russia		562,325
		TOTAL PREFERRED STOCKS (COST $222,648,084)		181,346,277
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers — 0.8%
	3,026,358	GMO U.S. Treasury Fund		15,131,789
		Total United States		15,131,789
		TOTAL MUTUAL FUNDS (COST $15,111,007)		15,131,789

45 See accompanying notes to the financial statements.

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	SHORT-TERM INVESTMENTS — 0.0%
	Money Market Funds — 0.0%
774,663	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (f)		774,663
	TOTAL SHORT-TERM INVESTMENTS (COST $774,663)		774,663
	TOTAL INVESTMENTS — 99.2% (Cost $2,097,705,726)		1,967,862,532
	Other Assets and Liabilities (net) — 0.8%		14,955,841
	TOTAL NET ASSETS — 100.0%		$1,982,818,373

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost	Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2023
PhosAgro PJSC GDR	08/26/16	$93,496	0.0%	$1,656

See accompanying notes to the financial statements. 46

GMO Resources Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is out on loan (Note 2).

(b) Securities are traded on separate exchanges for the same entity.

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(d) The security is restricted as to resale.

(e) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(f) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

47 See accompanying notes to the financial statements.

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.6	%
Mutual Funds		2.0
Short-Term Investments		0.4
Other		(1.0	)
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		18.7	%
Financial Services		11.4
Semiconductors & Semiconductor Equipment		10.2
Consumer Durables & Apparel		9.1
Automobiles & Components		7.3
Technology Hardware & Equipment		6.7
Commercial & Professional Services		6.2
Materials		5.7
Food, Beverage & Tobacco		4.4
Pharmaceuticals, Biotechnology & Life Sciences		4.2
Consumer Discretionary Distribution & Retail		3.8
Media & Entertainment		3.4
Transportation		3.1
Health Care Equipment & Services		2.3
Software & Services		2.0
Consumer Staples Distribution & Retail		1.5
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

48

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 98.6%
	Automobiles & Components — 7.2%
21,484	Fox Factory Holding Corp.*		2,380,642
72,703	Gentex Corp.		2,374,480
5,053	XPEL, Inc.*		420,915
	Total Automobiles & Components		5,176,037
	Capital Goods — 18.4%
22,258	AAON, Inc.		1,403,589
12,614	Allegion Plc		1,435,599
11,948	Curtiss-Wright Corp.		2,485,065
6,527	Kadant, Inc.		1,434,243
10,598	RBC Bearings, Inc.*		2,443,263
23,088	Trex Co., Inc.*		1,647,791
19,031	Woodward, Inc.		2,462,040
	Total Capital Goods		13,311,590
	Commercial & Professional Services — 6.1%
23,314	ASGN, Inc.*		1,915,478
2,813	Booz Allen Hamilton Holding Corp.		318,741
11,577	FTI Consulting, Inc.*		2,151,238
	Total Commercial & Professional Services		4,385,457
	Consumer Discretionary Distribution & Retail — 3.8%
29,600	Ollie’s Bargain Outlet Holdings, Inc.*		2,281,568
1,116	Winmark Corp.		424,671
	Total Consumer Discretionary Distribution & Retail		2,706,239
	Consumer Durables & Apparel — 8.9%
42,218	Acushnet Holdings Corp.		2,471,864
24,276	Malibu Boats, Inc. – Class A*		1,178,843
9,679	TopBuild Corp.*		2,807,684
	Total Consumer Durables & Apparel		6,458,391
	Consumer Staples Distribution & Retail — 1.5%
13,196	PriceSmart, Inc.		1,048,818
	Financial Services — 11.3%
17,030	Cohen & Steers, Inc.		1,110,015
54,445	Essent Group Ltd.		2,734,228
22,196	Houlihan Lokey, Inc.		2,338,127
63,867	StepStone Group, Inc. – Class A		1,971,574
	Total Financial Services		8,153,944
	Food, Beverage & Tobacco — 4.3%
8,949	J & J Snack Foods Corp.		1,450,901
10,142	Lancaster Colony Corp.		1,675,357
	Total Food, Beverage & Tobacco		3,126,258
	Health Care Equipment & Services — 2.3%
30,727	Globus Medical, Inc. – Class A*		1,662,331

Shares	Description	Value ($)
	Materials — 5.7%
17,843	AptarGroup, Inc.		2,365,268
12,336	Balchem Corp.		1,733,208
	Total Materials		4,098,476
	Media & Entertainment — 3.3%
54,266	New York Times Co. (The) – Class A		2,402,356
	Pharmaceuticals, Biotechnology & Life Sciences —4.2%
18,227	Bruker Corp.		1,195,691
6,658	Medpace Holdings, Inc.*		1,799,458
	Total Pharmaceuticals, Biotechnology & Life Sciences		2,995,149
	Semiconductors & Semiconductor Equipment — 10.0%
14,726	Axcelis Technologies, Inc.*		2,829,601
21,044	Cirrus Logic, Inc.*		1,726,450
23,605	Power Integrations, Inc.		1,983,292
4,366	Universal Display Corp.		709,737
	Total Semiconductors & Semiconductor Equipment		7,249,080
	Software & Services — 2.0%
17,312	Dolby Laboratories, Inc. – Class A		1,462,345
	Technology Hardware & Equipment — 6.6%
48,602	Ciena Corp.*		2,429,128
14,709	Fabrinet*		2,364,766
	Total Technology Hardware & Equipment		4,793,894
	Transportation — 3.0%
11,569	Landstar System, Inc.		2,195,912
	TOTAL COMMON STOCKS (COST $55,369,549)		71,226,277
	MUTUAL FUNDS — 2.0%
	Affiliated Issuers — 2.0%
289,499	GMO U.S. Treasury Fund		1,447,496
	TOTAL MUTUAL FUNDS (COST $1,447,054)		1,447,496

49 See accompanying notes to the financial statements.

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	SHORT-TERM INVESTMENTS — 0.4%
	Money Market Funds — 0.4%
320,708	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (a)		320,708
	TOTAL SHORT-TERM INVESTMENTS (COST $320,708)		320,708
	TOTAL INVESTMENTS — 101.0% (Cost $57,137,311)		72,994,481
	Other Assets and Liabilities (net) — (1.0)%		(732,202	)
	TOTAL NET ASSETS — 100.0%		$72,262,279

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

See accompanying notes to the financial statements. 50

GMO U.S. Equity Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		98.4	%
Mutual Funds		1.4
Short-Term Investments		0.2
Debt Obligations		0.1
Futures Contracts		0.0	^
Other		(0.1	)
		100.0	%

Industry Group Summary	% of Equity Investments#
Technology Hardware & Equipment		12.5	%
Capital Goods		10.3
Media & Entertainment		9.8
Consumer Discretionary Distribution & Retail		8.8
Semiconductors & Semiconductor Equipment		7.1
Software & Services		7.0
Energy		6.8
Financial Services		5.5
Pharmaceuticals, Biotechnology & Life Sciences		5.3
Consumer Durables & Apparel		4.9
Food, Beverage & Tobacco		4.3
Materials		4.0
Health Care Equipment & Services		3.9
Banks		3.3
Consumer Staples Distribution & Retail		2.0
Household & Personal Products		1.7
Commercial & Professional Services		1.2
Consumer Services		0.6
Insurance		0.6
Automobiles & Components		0.4
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

51

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 98.4%
	Automobiles & Components — 0.4%
1,282	Aptiv Plc*		130,059
11,538	BorgWarner, Inc.		470,173
4,999	Dana, Inc.		80,534
9,469	Modine Manufacturing Co.*		450,630
	Total Automobiles & Components		1,131,396
	Banks — 3.3%
1,800	1st Source Corp.		80,442
900	Banner Corp.		39,195
1,900	Capital City Bank Group, Inc.		57,969
47,792	Citigroup, Inc.		1,973,332
2,000	Community Trust Bancorp, Inc.		71,000
1,800	Enterprise Financial Services Corp.		69,678
5,400	Farmers National Banc Corp.		68,580
1,500	First Financial Corp.		55,080
8,900	Hanmi Financial Corp.		154,148
4,100	Independent Bank Corp.		78,269
40,235	JPMorgan Chase & Co.		5,887,587
4,600	Trustmark Corp.		105,984
	Total Banks		8,641,264
	Capital Goods — 10.1%
542	AGCO Corp.		70,205
7,154	Allison Transmission Holdings, Inc.		432,459
2,000	Apogee Enterprises, Inc.		100,920
12,140	Builders FirstSource, Inc.*		1,760,786
30,039	Carrier Global Corp.		1,725,741
11,682	Cummins, Inc.		2,687,327
1,589	Dover Corp.		235,649
4,384	Ferguson Plc		708,279
33,068	Johnson Controls International Plc		1,952,996
1,062	Moog, Inc. – Class A		123,362
45,400	MRC Global, Inc.*		423,128
4,670	nVent Electric Plc		264,042
40,666	PACCAR, Inc.		3,346,405
1,053	Parker-Hannifin Corp.		438,996
4,952	Timken Co. (The)		378,432
30,248	Trane Technologies Plc		6,208,704
1,301	UFP Industries, Inc.		135,759
5,345	Westinghouse Air Brake Technologies Corp.		601,419
4,890	WW Grainger, Inc.		3,492,145
16,238	Xylem, Inc.		1,681,282
	Total Capital Goods		26,768,036
	Commercial & Professional Services — 1.1%
95,700	ACCO Brands Corp.		510,081
600	Barrett Business Services, Inc.		57,408
5,200	Brady Corp. – Class A		262,288
3,766	CBIZ, Inc.*		211,310
1,470	Cimpress Plc*		94,977

Shares	Description	Value ($)
	Commercial & Professional Services — continued
7,900	CSG Systems International, Inc.		429,049
9,600	Deluxe Corp.		194,112
2,700	Heidrick & Struggles International, Inc.		71,523
747	Huron Consulting Group, Inc.*		74,663
5,560	ICF International, Inc.		750,934
12,800	Resources Connection, Inc.		198,528
980	TriNet Group, Inc.*		108,711
3,000	TrueBlue, Inc.*		45,390
	Total Commercial & Professional Services		3,008,974
	Consumer Discretionary Distribution & Retail —8.6%
4,900	1-800-Flowers.com, Inc. – Class A*		36,897
8,400	Aaron’s Co., Inc. (The)		101,388
59,878	Amazon.com, Inc.*		8,263,763
29,480	American Eagle Outfitters, Inc.		499,981
527	AutoZone, Inc.*		1,334,011
36,497	Best Buy Co., Inc.		2,790,196
2,122	Caleres, Inc.		60,838
16,000	Container Store Group, Inc. (The)*		37,440
86,500	eBay, Inc.		3,873,470
27,114	Gap, Inc. (The)		313,980
6,425	Group 1 Automotive, Inc.		1,698,898
8,700	Haverty Furniture Cos., Inc.		272,310
13,563	ODP Corp. (The)*		668,927
905	O’Reilly Automotive, Inc.*		850,428
8,100	Shoe Carnival, Inc.		187,353
8,824	Signet Jewelers Ltd.		661,800
35,275	Urban Outfitters, Inc.*		1,171,483
	Total Consumer Discretionary Distribution & Retail		22,823,163
	Consumer Durables & Apparel — 4.8%
9,213	Acushnet Holdings Corp.		539,421
12	Carter’s, Inc.		859
19,642	Ethan Allen Interiors, Inc.		616,366
37,835	Garmin Ltd.		4,011,267
965	Johnson Outdoors, Inc. – Class A		53,953
2,563	Kontoor Brands, Inc.		117,360
34,674	La-Z-Boy, Inc.		1,069,693
1,400	M/I Homes, Inc.*		137,452
1,202	Malibu Boats, Inc. – Class A*		58,369
9,997	MasterCraft Boat Holdings, Inc.*		217,535
784	Meritage Homes Corp.		109,007
5,300	Movado Group, Inc.		144,955
5,037	Oxford Industries, Inc.		508,687
22,393	PVH Corp.		1,872,055
30,646	Taylor Morrison Home Corp.*		1,452,620
58,052	TRI Pointe Homes, Inc.*		1,805,417
8,356	Vera Bradley, Inc.*		59,912
	Total Consumer Durables & Apparel		12,774,928

See accompanying notes to the financial statements. 52

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	Consumer Services — 0.6%
8,154	Adtalem Global Education, Inc.*		357,553
1,200	Graham Holdings Co. – Class B		703,596
26,375	Perdoceo Education Corp.		437,034
	Total Consumer Services		1,498,183
	Consumer Staples Distribution & Retail — 2.0%
111,945	Kroger Co. (The)		5,193,128
	Energy — 6.7%
37,309	Chevron Corp.		6,010,480
9,187	EOG Resources, Inc.		1,181,632
58,587	Exxon Mobil Corp.		6,514,289
14,125	Marathon Petroleum Corp.		2,016,626
4,122	Murphy Oil Corp.		187,139
10,527	Phillips 66		1,201,762
995	Weatherford International Plc*		88,077
27,385	World Kinect Corp.		599,732
	Total Energy		17,799,737
	Financial Services — 5.4%
31,047	American Express Co.		4,905,115
26,599	Bank of New York Mellon Corp. (The)		1,193,497
3,518	Berkshire Hathaway, Inc. – Class B*		1,267,184
2,096	Discover Financial Services		188,787
6,533	Donnelley Financial Solutions, Inc.*		321,881
25,043	Enova International, Inc.*		1,263,419
7,818	Intercontinental Exchange, Inc.		922,446
40,818	Janus Henderson Group Plc		1,121,270
2,605	LendingTree, Inc.*		49,261
31,200	MGIC Investment Corp.		548,496
20,587	Nasdaq, Inc.		1,080,406
30	Nelnet, Inc. – Class A		2,755
663	Oppenheimer Holdings, Inc. – Class A		25,260
7,783	PROG Holdings, Inc.*		266,957
46,172	Radian Group, Inc.		1,250,338
	Total Financial Services		14,407,072
	Food, Beverage & Tobacco — 4.2%
21,069	Coca-Cola Co. (The)		1,260,558
21,833	General Mills, Inc.		1,477,221
11,698	Kellogg Co.		713,812
19,822	Mondelez International, Inc. – Class A		1,412,516
11,618	PepsiCo, Inc.		2,067,074
35,764	Philip Morris International, Inc.		3,435,490
16,635	Universal Corp.		792,159
	Total Food, Beverage & Tobacco		11,158,830
	Health Care Equipment & Services — 3.9%
8,300	Cencora, Inc.		1,460,634
4,823	Cigna Group (The)		1,332,402
4,672	Elevance Health, Inc.		2,065,071
6,098	GE HealthCare Technologies, Inc.		429,604
3,823	Humana, Inc.		1,764,811

Shares	Description	Value ($)
	Health Care Equipment & Services — continued
20,056	Medtronic Plc		1,634,564
13,071	Zimmer Biomet Holdings, Inc.		1,557,018
	Total Health Care Equipment & Services		10,244,104
	Household & Personal Products — 1.7%
12,836	Colgate-Palmolive Co.		943,061
83,051	Coty, Inc. – Class A*		960,070
7,595	Edgewell Personal Care Co.		292,863
1,024	Inter Parfums, Inc.		143,084
37,639	Kenvue, Inc.		867,579
8,375	Procter & Gamble Co.		1,292,597
	Total Household & Personal Products		4,499,254
	Insurance — 0.5%
11,105	Arch Capital Group Ltd.*		853,530
11,215	CNO Financial Group, Inc.		262,431
5,748	Stewart Information Services Corp.		266,248
1,144	Unum Group		56,273
	Total Insurance		1,438,482
	Materials — 4.0%
7,171	Commercial Metals Co.		403,655
26,574	Ecolab, Inc.		4,884,567
2,973	NewMarket Corp.		1,396,240
41,622	O-I Glass, Inc.*		826,613
10,968	PPG Industries, Inc.		1,554,824
15,678	Ryerson Holding Corp.		488,213
2,200	Schnitzer Steel Industries, Inc. – Class A		73,040
2,829	Vulcan Materials Co.		617,429
6,400	Warrior Met Coal, Inc.		253,184
	Total Materials		10,497,765
	Media & Entertainment — 9.6%
45,597	Alphabet, Inc. – Class A*		6,208,943
41,770	Alphabet, Inc. – Class C*		5,737,110
3,709	AMC Networks, Inc. – Class A*		43,173
4,023	Cargurus, Inc.*		72,857
2,738	Cars.com, Inc.*		51,173
49,789	Comcast Corp. – Class A		2,328,134
22,842	Electronic Arts, Inc.		2,740,583
8,162	Match Group, Inc.*		382,553
25,314	Meta Platforms, Inc. – Class A*		7,490,159
29,092	Vimeo, Inc.*		115,786
8,105	Yelp, Inc.*		347,299
	Total Media & Entertainment		25,517,770
	Pharmaceuticals, Biotechnology & Life Sciences — 5.2%
1,949	Amphastar Pharmaceuticals, Inc.*		103,901
1,269	Biogen, Inc.*		339,280
77,991	Bristol-Myers Squibb Co.		4,808,145
15,485	Johnson & Johnson		2,503,615

53 See accompanying notes to the financial statements.

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Pharmaceuticals, Biotechnology & Life Sciences — continued
38,800	Merck & Co., Inc.		4,228,424
48,366	Pfizer, Inc.		1,711,189
	Total Pharmaceuticals, Biotechnology & Life Sciences		13,694,554
	Semiconductors & Semiconductor Equipment — 7.0%
183,425	Intel Corp.		6,445,554
10,870	Microchip Technology, Inc.		889,601
10,926	NVIDIA Corp.		5,392,527
1,758	NXP Semiconductors NV		361,656
986	ON Semiconductor Corp.*		97,082
41,160	QUALCOMM, Inc.		4,714,055
5,854	Skyworks Solutions, Inc.		636,564
	Total Semiconductors & Semiconductor Equipment		18,537,039
	Software & Services — 6.9%
525	ANSYS, Inc.*		167,407
11,052	Cadence Design Systems, Inc.*		2,657,343
29,819	Microsoft Corp.		9,773,475
739	Oracle Corp.		88,968
1,109	Roper Technologies, Inc.		553,458
10,474	Synopsys, Inc.*		4,806,414
1,826	Teradata Corp.*		84,489
	Total Software & Services		18,131,554
	Technology Hardware & Equipment — 12.4%
66,340	Apple, Inc.		12,463,296
9,448	Arista Networks, Inc.*		1,844,533
10,619	Avnet, Inc.		538,914
3,187	Bel Fuse, Inc. – Class B		166,680
14,116	Belden, Inc.		1,325,492
29,700	Dell Technologies, Inc. – Class C		1,670,328
196,127	Hewlett Packard Enterprise Co.		3,332,198
127,229	HP, Inc.		3,779,974
34,004	Juniper Networks, Inc.		990,196
11,463	Keysight Technologies, Inc.*		1,528,018
3,773	Motorola Solutions, Inc.		1,069,910

Shares /   Par Value†	Description	Value ($)
	Technology Hardware & Equipment — continued
918	Sanmina Corp.*		51,133
16,016	TE Connectivity Ltd.		2,120,358
22,090	Vishay Intertechnology, Inc.		606,150
24,576	Vontier Corp.		771,932
26,895	Xerox Holdings Corp.		427,361
	Total Technology Hardware & Equipment		32,686,473
	TOTAL COMMON STOCKS (COST $241,966,008)		260,451,706
	DEBT OBLIGATIONS — 0.1%
	U.S. Government — 0.1%
350,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.61, due 01/31/25 (a)		350,521
	TOTAL DEBT OBLIGATIONS (COST $350,039)		350,521
	MUTUAL FUNDS — 1.4%
	Affiliated Issuers — 1.4%
732,872	GMO U.S. Treasury Fund		3,664,361
	TOTAL MUTUAL FUNDS (COST $3,659,432)		3,664,361
	SHORT-TERM INVESTMENTS — 0.2%
	Money Market Funds — 0.2%
513,141	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (b)		513,141
	TOTAL SHORT-TERM INVESTMENTS (COST $513,141)		513,141
	TOTAL INVESTMENTS — 100.1% (Cost $246,488,620)		264,979,729
	Other Assets and Liabilities (net) — (0.1)%		(286,898	)
	TOTAL NET ASSETS — 100.0%		$264,692,831

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Futures Contracts

Number of Contracts +

Type

Expiration Date

Notional Amount ($)

Value/Net Unrealized Appreciation (Depreciation) ($)

Buys

14

S&P 500 E-Mini

September 2023

$

3,161,200

$

59,882

  

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 54

GMO U.S. Equity Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

55 See accompanying notes to the financial statements.

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.4	%
Mutual Funds		2.2
Short-Term Investments		0.1
Other		0.3
		100.0	%

Industry Group Summary	% of Equity Investments#
Media & Entertainment		11.4	%
Pharmaceuticals, Biotechnology & Life Sciences		11.3
Financial Services		10.0
Banks		9.6
Energy		8.9
Capital Goods		5.4
Health Care Equipment & Services		5.3
Technology Hardware & Equipment		5.3
Semiconductors & Semiconductor Equipment		4.7
Telecommunication Services		3.4
Software & Services		3.2
Consumer Discretionary Distribution & Retail		3.1
Insurance		2.9
Food, Beverage & Tobacco		2.9
Automobiles & Components		2.8
Consumer Durables & Apparel		2.8
Materials		2.3
Consumer Staples Distribution & Retail		1.6
Household & Personal Products		1.1
Consumer Services		0.7
Commercial & Professional Services		0.6
Real Estate Management & Development		0.6
Transportation		0.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

 

56

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 97.4%
	Automobiles & Components — 2.7%
60,416	BorgWarner, Inc.		2,461,952
341,820	Ford Motor Co.		4,146,277
77,034	General Motors Co.		2,581,409
13,018	Harley-Davidson, Inc.		439,357
13,686	Lear Corp.		1,972,016
1,400	Winnebago Industries, Inc.		90,790
	Total Automobiles & Components		11,691,801
	Banks — 9.3%
392,668	Bank of America Corp.		11,257,792
134,234	Citigroup, Inc.		5,542,522
113,368	JPMorgan Chase & Co.		16,589,139
6,700	M&T Bank Corp.		837,835
6,427	PNC Financial Services Group, Inc.		775,932
49,568	Regions Financial Corp.		909,077
104,007	US Bancorp		3,799,376
5,126	Wells Fargo & Co.		211,652
	Total Banks		39,923,325
	Capital Goods — 5.2%
52,010	3M Co.		5,547,907
695	Acuity Brands, Inc.		112,090
16,212	AGCO Corp.		2,099,940
5,421	Allison Transmission Holdings, Inc.		327,699
3,807	Atkore, Inc.*		586,164
4,105	Caterpillar, Inc.		1,154,039
15,353	Cummins, Inc.		3,531,804
5,509	Encore Wire Corp.		907,938
11,933	Ferguson Plc		1,927,895
18,905	Owens Corning		2,720,618
24,709	PACCAR, Inc.		2,033,304
7,710	Textron, Inc.		599,144
2,968	Timken Co. (The)		226,815
5,611	UFP Industries, Inc.		585,508
	Total Capital Goods		22,360,865
	Commercial & Professional Services — 0.6%
2,156	HNI Corp.		70,630
25,101	ManpowerGroup, Inc.		1,979,716
7,626	Robert Half, Inc.		564,019
	Total Commercial & Professional Services		2,614,365
	Consumer Discretionary Distribution & Retail — 3.0%
14,633	Academy Sports & Outdoors, Inc.		798,523
5,910	AutoNation, Inc.*		928,402
37,735	Best Buy Co., Inc.		2,884,841
2,734	Dick’s Sporting Goods, Inc.		318,074
81,278	eBay, Inc.		3,639,629
10,802	Foot Locker, Inc.		211,935
21,180	Gap, Inc. (The)		245,264

Shares	Description	Value ($)
	Consumer Discretionary Distribution & Retail — continued
4,049	Group 1 Automotive, Inc.		1,070,637
29,205	Kohl’s Corp.		778,021
84,766	Macy’s, Inc.		1,036,688
4,994	Nordstrom, Inc.		81,003
5,632	Williams-Sonoma, Inc.		795,238
	Total Consumer Discretionary Distribution & Retail		12,788,255
	Consumer Durables & Apparel — 2.7%
18,376	Brunswick Corp.		1,453,909
5,966	Carter’s, Inc.		426,987
3,433	DR Horton, Inc.		408,596
6,464	Garmin Ltd.		685,313
19,446	Hasbro, Inc.		1,400,112
8,526	La-Z-Boy, Inc.		263,027
10,202	Lennar Corp. – Class A		1,214,956
4,482	PulteGroup, Inc.		367,793
20,261	PVH Corp.		1,693,820
5,816	Tapestry, Inc.		193,789
4,396	Taylor Morrison Home Corp.*		208,370
4,410	TRI Pointe Homes, Inc.*		137,151
102,401	VF Corp.		2,023,444
7,768	Whirlpool Corp.		1,087,209
	Total Consumer Durables & Apparel		11,564,476
	Consumer Services — 0.7%
4,417	Adtalem Global Education, Inc.*		193,685
490	Graham Holdings Co. – Class B		287,302
59,098	H&R Block, Inc.		2,362,738
	Total Consumer Services		2,843,725
	Consumer Staples Distribution & Retail — 1.5%
73,604	Kroger Co. (The)		3,414,489
4,462	Target Corp.		564,666
104,106	Walgreens Boots Alliance, Inc.		2,634,923
	Total Consumer Staples Distribution & Retail		6,614,078
	Energy — 8.6%
5,267	Chesapeake Energy Corp.		464,602
48,857	Chevron Corp.		7,870,863
9,665	ConocoPhillips		1,150,425
15,470	Devon Energy Corp.		790,362
32,398	EOG Resources, Inc.		4,167,031
121,044	Exxon Mobil Corp.		13,458,882
22,573	Marathon Petroleum Corp.		3,222,747
19,136	Ovintiv, Inc.		898,627
39,762	Phillips 66		4,539,230
2,432	Valero Energy Corp.		315,917
	Total Energy		36,878,686

57 See accompanying notes to the financial statements.

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	Financial Services — 9.8%
10,113	Affiliated Managers Group, Inc.		1,355,243
66,408	Ally Financial, Inc.		1,838,837
34,342	American Express Co.		5,425,693
85,664	Bank of New York Mellon Corp. (The)		3,843,744
35,893	Capital One Financial Corp.		3,675,084
32,419	Discover Financial Services		2,919,979
10,044	Franklin Resources, Inc.		268,577
22,774	Goldman Sachs Group, Inc. (The)		7,463,267
76,182	Invesco Ltd.		1,212,817
64,653	Janus Henderson Group Plc		1,776,018
94,605	MGIC Investment Corp.		1,663,156
3,821	Morgan Stanley		325,358
5,167	Northern Trust Corp.		393,054
7,127	OneMain Holdings, Inc.		295,842
88,522	Radian Group, Inc.		2,397,176
44,174	State Street Corp.		3,036,521
86,785	Synchrony Financial		2,801,420
2,574	T. Rowe Price Group, Inc.		288,880
55,414	Western Union Co. (The)		684,363
	Total Financial Services		41,665,029
	Food, Beverage & Tobacco — 2.8%
34,454	Archer-Daniels-Midland Co.		2,732,202
39,764	General Mills, Inc.		2,690,432
12,834	Kellogg Co.		783,131
88,340	Kraft Heinz Co. (The)		2,923,171
51,591	Tyson Foods, Inc. – Class A		2,748,252
4,474	Universal Corp.		213,052
	Total Food, Beverage & Tobacco		12,090,240
	Health Care Equipment & Services — 5.2%
4,552	Centene Corp.*		280,631
21,949	Cigna Group (The)		6,063,631
86,726	CVS Health Corp.		5,651,933
15,286	Elevance Health, Inc.		6,756,565
4,827	Humana, Inc.		2,228,288
2,588	UnitedHealth Group, Inc.		1,233,389
	Total Health Care Equipment & Services		22,214,437
	Household & Personal Products — 1.0%
65,889	Kenvue, Inc.		1,518,742
18,385	Procter & Gamble Co.		2,837,541
784	USANA Health Sciences, Inc.*		50,403
	Total Household & Personal Products		4,406,686
	Insurance — 2.9%
15,826	Aflac, Inc.		1,180,145
17,125	Fidelity National Financial, Inc.		708,975
34,779	Hartford Financial Services Group, Inc. (The)		2,497,828
63,184	MetLife, Inc.		4,002,075
14,551	Principal Financial Group, Inc.		1,130,758
181	Prudential Financial, Inc.		17,135

Shares	Description	Value ($)
	Insurance — continued
8,592	Stewart Information Services Corp.		397,981
47,596	Unum Group		2,341,247
	Total Insurance		12,276,144
	Materials — 2.2%
6,080	Commercial Metals Co.		342,243
7,899	FMC Corp.		681,131
15,196	Huntsman Corp.		423,513
15,311	LyondellBasell Industries NV – Class A		1,512,267
10,123	Nucor Corp.		1,742,168
6,205	Reliance Steel & Aluminum Co.		1,768,177
27,785	Steel Dynamics, Inc.		2,961,603
	Total Materials		9,431,102
	Media & Entertainment — 11.2%
83,438	Alphabet, Inc. – Class A*		11,361,752
65,340	Alphabet, Inc. – Class C*		8,974,449
253,868	Comcast Corp. – Class A		11,870,868
21,026	Fox Corp. – Class A		695,120
10,463	Fox Corp. – Class B		319,331
48,881	Meta Platforms, Inc. – Class A*		14,463,399
	Total Media & Entertainment		47,684,919
	Pharmaceuticals, Biotechnology & Life Sciences —11.1%
13,758	Biogen, Inc.*		3,678,339
130,016	Bristol-Myers Squibb Co.		8,015,486
63,741	Gilead Sciences, Inc.		4,874,912
27,108	Johnson & Johnson		4,382,821
106,370	Merck & Co., Inc.		11,592,203
297,514	Pfizer, Inc.		10,526,045
3,142	Regeneron Pharmaceuticals, Inc.*		2,596,832
149,675	Viatris, Inc.		1,609,006
	Total Pharmaceuticals, Biotechnology & Life Sciences		47,275,644
	Real Estate Management & Development — 0.6%
25,073	CBRE Group, Inc. – Class A*		2,132,459
1,344	Jones Lang LaSalle, Inc.*		232,243
	Total Real Estate Management & Development		2,364,702
	Semiconductors & Semiconductor Equipment — 4.6%
308,926	Intel Corp.		10,855,660
1,535	Kulicke & Soffa Industries, Inc.		79,406
69,801	QUALCOMM, Inc.		7,994,308
6,965	Skyworks Solutions, Inc.		757,374
	Total Semiconductors & Semiconductor Equipment		19,686,748

See accompanying notes to the financial statements. 58

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	Software & Services — 3.1%
46,933	Cognizant Technology Solutions Corp. – Class A		3,360,872
57,524	International Business Machines Corp.		8,446,249
11,460	Oracle Corp.		1,379,669
	Total Software & Services		13,186,790
	Technology Hardware & Equipment — 5.2%
15,111	Arrow Electronics, Inc.*		2,016,261
22,596	Avnet, Inc.		1,146,747
176,402	Cisco Systems, Inc.		10,116,655
12,364	Crane NXT Co.		733,927
186,122	Hewlett Packard Enterprise Co.		3,162,213
145,602	HP, Inc.		4,325,835
3,816	NetApp, Inc.		292,687
5,666	Sensata Technologies Holding Plc		213,155
10,290	Xerox Holdings Corp.		163,508
	Total Technology Hardware & Equipment		22,170,988
	Telecommunication Services — 3.3%
330,428	AT&T, Inc.		4,887,030
264,818	Verizon Communications, Inc.		9,263,334
	Total Telecommunication Services		14,150,364
	Transportation — 0.1%
1,868	Matson, Inc.		164,160
5,762	Schneider National, Inc. – Class B		166,579
	Total Transportation		330,739
	TOTAL COMMON STOCKS (COST $411,325,889)		416,214,108
	MUTUAL FUNDS — 2.2%
	Affiliated Issuers — 2.2%
1,900,852	GMO U.S. Treasury Fund		9,504,260
	TOTAL MUTUAL FUNDS (COST $9,504,260)		9,504,260

Shares	Description	Value ($)
	SHORT-TERM INVESTMENTS — 0.1%
	Money Market Funds — 0.1%
317,511	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (a)		317,511
	TOTAL SHORT-TERM INVESTMENTS (COST $317,511)		317,511
	TOTAL INVESTMENTS — 99.7% (Cost $421,147,660)		426,035,879
	Other Assets and Liabilities (net) — 0.3%		1,110,661
	TOTAL NET ASSETS — 100.0%		$427,146,540

Notes to Schedule of Investments:

* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

59 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		99.1	%
Mutual Funds		0.5
Short-Term Investments		0.4
Rights/Warrants		0.1
Other		(0.1	)
		100.0	%

Industry Group Summary	% of Equity Investments#
Capital Goods		11.7	%
Consumer Discretionary Distribution & Retail		11.0
Consumer Durables & Apparel		10.7
Technology Hardware & Equipment		9.2
Financial Services		8.7
Materials		8.2
Equity Real Estate Investment Trusts (REITs)		7.7
Commercial & Professional Services		5.1
Media & Entertainment		4.5
Banks		4.2
Energy		3.4
Insurance		2.7
Health Care Equipment & Services		2.7
Household & Personal Products		2.2
Pharmaceuticals, Biotechnology & Life Sciences		2.0
Semiconductors & Semiconductor Equipment		1.9
Food, Beverage & Tobacco		1.4
Consumer Services		1.0
Automobiles & Components		0.7
Consumer Staples Distribution & Retail		0.4
Real Estate Management & Development		0.3
Telecommunication Services		0.3
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

60

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	COMMON STOCKS — 99.1%
	Automobiles & Components — 0.7%
1,782	Dana, Inc.		28,708
2,699	Garrett Motion Inc*		20,944
3,488	Modine Manufacturing Co.*		165,994
	Total Automobiles & Components		215,646
	Banks — 4.2%
2,706	1st Source Corp.		120,931
7,025	Amalgamated Financial Corp.		125,888
1,327	Arrow Financial Corp.		23,368
12,749	Associated Banc-Corp.		220,940
500	BOK Financial Corp.		41,555
600	Capital City Bank Group, Inc.		18,306
900	Central Valley Community Bancorp		13,158
470	Civista Bancshares, Inc.		7,985
479	Comerica, Inc.		23,045
2,696	Community Trust Bancorp, Inc.		95,708
300	Enterprise Financial Services Corp.		11,613
1,004	Financial Institutions, Inc.		17,570
1,441	First Community Bankshares, Inc.		44,570
1,115	First Financial Bancorp		23,170
2,400	First Financial Corp.		88,128
400	Great Southern Bancorp, Inc.		20,188
8,589	Hanmi Financial Corp.		148,762
4,391	Independent Bank Corp.		83,824
3,400	Midland States Bancorp, Inc.		75,480
1,200	MidWestOne Financial Group, Inc.		25,632
613	Republic Bancorp, Inc. – Class A		27,242
2,089	Towne Bank		49,300
	Total Banks		1,306,363
	Capital Goods — 11.6%
8,528	Allison Transmission Holdings, Inc.		515,518
1,009	American Woodmark Corp.*		78,369
5,100	Apogee Enterprises, Inc.		257,346
350	Columbus McKinnon Corp.		13,184
2,256	Gates Industrial Corp. Plc*		27,704
807	Gibraltar Industries, Inc.*		60,549
5,097	Griffon Corp.		213,411
2,070	Hyster-Yale Materials Handling, Inc.		94,537
78	Insteel Industries, Inc.		2,711
6,527	JELD-WEN Holding, Inc.*		98,427
1,300	Manitowoc Co., Inc.*		21,996
1,468	Miller Industries, Inc.		58,720
4,281	Moog, Inc. – Class A		497,281
33,300	MRC Global, Inc.*		310,356
79	MYR Group, Inc.*		11,224
6,684	nVent Electric Plc		377,913
1,152	Park-Ohio Holdings Corp.		21,554
539	Preformed Line Products Co.		91,355
300	Rush Enterprises, Inc. – Class B		13,791
806	Tennant Co.		66,439

Shares	Description	Value ($)
	Capital Goods — continued
6,069	Terex Corp.		367,842
4,374	Timken Co. (The)		334,261
388	V2X, Inc.*		19,520
2,853	Wabash National Corp.		64,335
	Total Capital Goods		3,618,343
	Commercial & Professional Services — 5.1%
33,149	ACCO Brands Corp.		176,684
800	Barrett Business Services, Inc.		76,544
5,107	Brady Corp. – Class A		257,597
547	Cimpress Plc*		35,341
2,467	CSG Systems International, Inc.		133,983
10,995	Deluxe Corp.		222,319
4,971	Heidrick & Struggles International, Inc.		131,682
946	HNI Corp.		30,991
883	ICF International, Inc.		119,258
7,365	Kelly Services, Inc. – Class A		136,179
10,690	Resources Connection, Inc.		165,802
9,067	Steelcase, Inc. – Class A		82,238
1,726	Upwork, Inc.*		25,562
	Total Commercial & Professional Services		1,594,180
	Consumer Discretionary Distribution & Retail — 10.9%
12,500	Aaron’s Co., Inc. (The)		150,875
19,373	American Eagle Outfitters, Inc.		328,566
2,034	Caleres, Inc.		58,315
3,820	Cato Corp. (The) – Class A		29,605
9,942	Chico’s FAS, Inc.*		51,003
18,055	Container Store Group, Inc. (The)*		42,249
6,487	Genesco, Inc.*		222,374
3,235	Group 1 Automotive, Inc.		855,399
6,194	Haverty Furniture Cos., Inc.		193,872
5,910	Lands’ End, Inc.*		45,507
5,091	ODP Corp. (The)*		251,088
5,588	Sally Beauty Holdings, Inc.*		56,774
9,848	Shoe Carnival, Inc.		227,784
3,699	Signet Jewelers Ltd.		277,425
1,295	Sleep Number Corp.*		33,126
16,681	Urban Outfitters, Inc.*		553,976
494	Weyco Group, Inc.		12,622
	Total Consumer Discretionary Distribution & Retail		3,390,560
	Consumer Durables & Apparel — 10.6%
2,581	Acushnet Holdings Corp.		151,118
1,136	Bassett Furniture Industries, Inc.		17,324
10,689	Ethan Allen Interiors, Inc.		335,421
9,040	G-III Apparel Group Ltd.*		179,444
2,546	Hooker Furniture Corp.		54,815
1,622	Johnson Outdoors, Inc. – Class A		90,686
14,891	La-Z-Boy, Inc.		459,387
591	Malibu Boats, Inc. – Class A*		28,699

61 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	Consumer Durables & Apparel — continued
3,200	MasterCraft Boat Holdings, Inc.*		69,632
7,335	Movado Group, Inc.		200,612
2,834	Oxford Industries, Inc.		286,206
5,645	PVH Corp.		471,922
9,800	Taylor Morrison Home Corp.*		464,520
11,892	TRI Pointe Homes, Inc.*		369,841
3,569	Universal Electronics, Inc.*		31,764
11,651	Vera Bradley, Inc.*		83,538
1,300	VOXX International Corp.*		11,232
	Total Consumer Durables & Apparel		3,306,161
	Consumer Services — 1.0%
686	Adtalem Global Education, Inc.*		30,081
17,549	Perdoceo Education Corp.		290,787
	Total Consumer Services		320,868
	Consumer Staples Distribution & Retail — 0.4%
4,515	SpartanNash Co.		98,246
1,140	Village Super Market, Inc. – Class A		25,707
	Total Consumer Staples Distribution & Retail		123,953
	Energy — 3.4%
893	California Resources Corp.		49,865
1,100	Dril-Quip, Inc.*		30,338
2,454	Evolution Petroleum Corp.		20,761
625	Gulfport Energy Corp.*		73,750
2,332	Murphy Oil Corp.		105,873
1,273	Oceaneering International, Inc.*		29,012
26,100	Oil States International, Inc.*		204,624
2,865	Overseas Shipholding Group, Inc. – Class A*		12,606
679	Valaris Ltd.*		51,142
22,197	World Kinect Corp.		486,114
	Total Energy		1,064,085
	Equity Real Estate Investment Trusts (REITs) — 7.7%
1,896	Alexander & Baldwin, Inc. (REIT)		34,147
45,558	Anywhere Real Estate, Inc.*		298,861
27,423	Apple Hospitality REIT, Inc.		411,894
4,632	Armada Hoffler Properties, Inc. (REIT)		52,759
1,928	Brixmor Property Group, Inc. (REIT)		42,377
3,414	Chatham Lodging Trust (REIT)		33,389
103,000	Diversified Healthcare Trust (REIT)		279,645
7,600	Hersha Hospitality Trust (REIT) – Class A		74,632
26,995	Industrial Logistics Properties Trust (REIT)		106,090
19,848	Park Hotels & Resorts, Inc. (REIT)		254,650
27,400	Piedmont Office Realty Trust, Inc. – Class A (REIT)		188,238
4,202	PotlatchDeltic Corp. (REIT)		198,587
277	Regency Centers Corp.		17,229
6,516	RPT Realty (REIT)		73,891

Shares	Description	Value ($)
	Equity Real Estate Investment Trusts (REITs) — continued
23,300	Service Properties Trust (REIT)		192,458
2,922	Summit Hotel Properties, Inc. (REIT)		16,977
9,158	Sunstone Hotel Investors, Inc. (REIT)		82,239
4,000	Whitestone REIT		40,000
	Total Equity Real Estate Investment Trusts (REITs)		2,398,063
	Financial Services — 8.6%
5,834	A-Mark Precious Metals, Inc.		199,056
8,971	Curo Group Holdings Corp.*		9,689
308	Diamond Hill Investment Group, Inc.		51,978
10,051	Donnelley Financial Solutions, Inc.*		495,213
9,509	Enova International, Inc.*		479,729
1,863	Federated Hermes, Inc.		64,758
1,008	Green Dot Corp. – Class A*		14,959
4,216	Janus Henderson Group Plc		115,813
5,411	LendingTree, Inc.*		102,322
4,146	MGIC Investment Corp.		72,886
2,539	Oppenheimer Holdings, Inc. – Class A		96,736
4,867	PROG Holdings, Inc.*		166,938
22,460	Radian Group, Inc.		608,217
1,900	Regional Management Corp.		52,212
3,178	Victory Capital Holdings, Inc. – Class A		109,387
2,367	Waterstone Financial, Inc.		29,374
914	Westwood Holdings Group, Inc.		9,323
	Total Financial Services		2,678,590
	Food, Beverage & Tobacco — 1.4%
2,444	Seneca Foods Corp. – Class A*		117,947
6,459	Universal Corp.		307,578
	Total Food, Beverage & Tobacco		425,525
	Health Care Equipment & Services — 2.7%
703	Eargo, Inc.*		1,940
4,900	HealthStream, Inc.		103,047
18,057	Patterson Cos., Inc.		542,432
923	Pediatrix Medical Group, Inc.*		13,042
4,067	Varex Imaging Corp.*		79,998
8,700	Zimvie, Inc.*		102,660
	Total Health Care Equipment & Services		843,119
	Household & Personal Products — 2.1%
39,963	Coty, Inc. – Class A*		461,972
5,347	Edgewell Personal Care Co.		206,181
	Total Household & Personal Products		668,153
	Insurance — 2.7%
17,797	CNO Financial Group, Inc.		416,450
2,080	GoHealth, Inc. – Class A*		33,051
4,600	Selectquote, Inc.*		5,612
8,054	Stewart Information Services Corp.		373,061

See accompanying notes to the financial statements. 62

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

 

Shares	Description	Value ($)
	Insurance — continued
1,400	Universal Insurance Holdings, Inc.		17,724
	Total Insurance		845,898
	Materials — 8.1%
3,763	AdvanSix, Inc.		124,480
2,712	Carpenter Technology Corp.		169,853
1,540	Commercial Metals Co.		86,687
3,519	Koppers Holdings, Inc.		134,742
5,264	Mativ Holdings, Inc.		86,330
1,120	NewMarket Corp.		525,997
17,215	O-I Glass, Inc.*		341,890
675	Olympic Steel, Inc.		36,126
807	Pactiv Evergreen, Inc.		6,633
9,300	Ryerson Holding Corp.		289,602
2,356	Schnitzer Steel Industries, Inc. – Class A		78,219
796	Stepan Co.		69,467
3,493	Sylvamo Corp.		145,903
11,208	Warrior Met Coal, Inc.		443,388
	Total Materials		2,539,317
	Media & Entertainment — 4.4%
15,552	AMC Networks, Inc. – Class A*		181,025
1,016	Cars.com, Inc.*		18,989
700	Lee Enterprises, Inc.*		8,365
7,900	Scholastic Corp.		343,255
6,054	Shutterstock, Inc.		254,934
1,568	Thryv Holdings, Inc.*		31,971
26,169	Vimeo, Inc.*		104,153
10,400	Yelp, Inc.*		445,640
	Total Media & Entertainment		1,388,332
	Pharmaceuticals, Biotechnology & Life Sciences —1.9%
2,291	Perrigo Co. Plc		80,185
700	Phibro Animal Health Corp. – Class A		9,765
8,523	Prestige Consumer Healthcare, Inc.*		497,147
	Total Pharmaceuticals, Biotechnology & Life Sciences		587,097
	Real Estate Management & Development — 0.3%
12,743	Douglas Elliman, Inc.		31,985
496	Forestar Group, Inc.*		14,141
1,702	Marcus & Millichap, Inc.		56,677
11	RMR Group, Inc. (The) – Class A		278
	Total Real Estate Management & Development		103,081
	Semiconductors & Semiconductor Equipment — 1.9%
12,151	Amkor Technology, Inc.		339,742
4,600	Kulicke & Soffa Industries, Inc.		237,958
	Total Semiconductors & Semiconductor Equipment		577,700

Shares	Description	Value ($)
	Technology Hardware & Equipment — 9.1%
12,313	Avnet, Inc.		624,885
1,894	Bel Fuse, Inc. – Class B		99,056
4,175	Belden, Inc.		392,032
8,619	Benchmark Electronics, Inc.		221,853
5,355	Daktronics, Inc.*		44,768
226	ePlus, Inc.*		15,002
2,978	Kimball Electronics, Inc.*		89,906
7,382	Sanmina Corp.*		411,177
2,953	ScanSource, Inc.*		96,799
14,104	Vishay Intertechnology, Inc.		387,014
2,532	Vontier Corp.		79,530
23,922	Xerox Holdings Corp.		380,121
	Total Technology Hardware & Equipment		2,842,143
	Telecommunication Services — 0.3%
5,621	Spok Holdings, Inc.		80,043
	TOTAL COMMON STOCKS (COST $30,500,736)		30,917,220
	MUTUAL FUNDS — 0.5%
	Affiliated Issuers — 0.5%
30,765	GMO U.S. Treasury Fund		153,827
	TOTAL MUTUAL FUNDS (COST $153,827)		153,827
	RIGHTS/WARRANTS — 0.1%
	Pharmaceuticals, Biotechnology & Life Sciences —0.1%
72,700	Achillion Pharmaceuticals, Inc. CVR* (a)		36,350
	TOTAL RIGHTS/WARRANTS (COST $33,442)		36,350
	SHORT-TERM INVESTMENTS — 0.4%
	Money Market Funds — 0.4%
125,949	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (b)		125,949
	TOTAL SHORT-TERM INVESTMENTS (COST $125,949)		125,949
	TOTAL INVESTMENTS — 100.1% (Cost $30,813,954)		31,233,346
	Other Assets and Liabilities (net) — (0.1)%		(28,170	)
	TOTAL NET ASSETS — 100.0%		$31,205,176

Notes to Schedule of Investments:

* Non-income producing security.

(a) Investment valued using significant unobservable inputs (Note 2).

(b) The rate disclosed is the 7 day net yield as of August 31, 2023.

63 See accompanying notes to the financial statements.

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 65.

See accompanying notes to the financial statements. 64

GMO Trust Funds

 

 

 

August 31, 2023 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

USBM - U.S. Treasury 3 Month Bill Money Market Yield

The rates shown on variable rate notes are the current interest rates at August 31, 2023, which are subject to change based on the terms of the security.

65 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited)

							Emerging
			Emerging				Markets
			Markets				Select
	Climate		ex-China		Emerging		Equity		International
	Change Fund		Fund		Markets Fund		Fund		Equity Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	30,137,927	$	6,175,637	$	32,731,703	$	514,068	$	70,246,735
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		931,618,566		240,929,260		675,241,857		61,844,808		1,041,699,243
Foreign currency, at value (Note 2)(d)		153,948		611,750		4,211,473		16,427		935,429
Cash		6		22,303		1		3		32
Receivable for investments sold		—		6,004,139		24,747,124		73,189		2,165
Receivable for Fund shares sold		398,154		—		—		—		50,601
Dividends and interest receivable		532,941		1,582,107		4,517,181		53,186		3,722,904
Dividend withholding tax receivable		28,102		18,391		29,838		33,164		1,332,745
Foreign capital gains tax refund receivable (Note 2)		—		82,091		3,680,111		5,183,286		—
EU tax reclaims receivable (Note 2)		—		—		—		—		400,638
Due from broker (Note 2)		—		—		139,970		76,025		4,372
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		26,634		40,330		62,221		31,885		30,810
Total assets		962,896,278		255,466,008		745,361,479		67,826,041		1,118,425,674
Liabilities:
Payable for cash collateral from securities loaned (Note 2)		26,894,588		—		—		—		—
Payable for investments purchased		27,489		7,930,104		34,033,238		1,300		—
Payable for Fund shares repurchased		177,004		975,000		1,424,844		—		3,073,468
Accrued foreign capital gains tax payable (Note 2)		—		496,107		1,145,875		384,323		—
Payable for IRS closing agreement fees (Note 2)		—		—		—		—		54,736,742
Payable to affiliate for (Note 5):
Management fee		491,989		116,020		391,746		31,090		448,885
Shareholder service fee		122,998		14,063		63,033		8,816		98,713
Payable for variation margin on open futures contracts (Note 4)		—		—		413,305		28,820		53,025
Payable to Trustees and related expenses		1,942		1,016		8,854		2,008		8,172
Miscellaneous payable		—		—		793,610		—		—
Accrued expenses		257,650		273,274		516,340		163,906		258,887
Total liabilities		27,973,660		9,805,584		38,790,845		620,263		58,677,892
Net assets	$	934,922,618	$	245,660,424	$	706,570,634	$	67,205,778	$	1,059,747,782
(a)   Cost of investments – affiliated issuers:	$	30,102,832	$	6,175,637	$	38,074,540	$	514,068	$	70,214,942
(b)   Cost of investments – unaffiliated issuers:	$	1,012,980,062	$	323,769,277	$	1,164,030,365	$	76,957,023	$	1,046,228,542
(c)   Includes securities on loan at value (Note 2):	$	32,557,850	$	—	$	14,622,460	$	—	$	—
(d)   Cost of foreign currency:	$	156,591	$	614,954	$	4,231,114	$	16,562	$	933,696

See accompanying notes to the financial statements. 66

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

										Emerging
				Emerging						Markets
				Markets						Select
	Climate			ex-China			Emerging			Equity			International
	Change Fund			Fund			Markets Fund			Fund			Equity Fund
Net assets consist of:
Paid-in capital	$	1,044,989,253		$	352,368,149		$	2,564,646,778		$	243,038,608		$	2,004,162,703
Distributable earnings (accumulated loss)		(110,066,635	)		(106,707,725	)		(1,858,076,144	)		(175,832,830	)		(944,414,921	)
	$	934,922,618		$	245,660,424		$	706,570,634		$	67,205,778		$	1,059,747,782
Net assets attributable to:
Class II	$	—		$	—		$	131,911,808		$	35,087,572		$	—
Class III	$	352,384,301		$	29,910,677		$	74,215		$	—		$	345,616,315
Class IV	$	—		$	—		$	—		$	—		$	711,124,772
Class V	$	—		$	—		$	—		$	25,384,686		$	—
Class VI	$	—		$	215,749,747		$	494,584,510		$	—		$	—
Class R6	$	189,709,113		$	—		$	11,172,024		$	—		$	—
Class I	$	392,829,204		$	—		$	68,828,077		$	6,733,520		$	3,006,695
Shares outstanding:
Class II		—			—			5,927,280			1,895,271			—
Class III		13,426,697			2,132,910			3,284			—			15,212,025
Class IV		—			—			—			—			31,350,888
Class V		—			—			—			1,376,971			—
Class VI		—			15,368,453			22,427,500			—			—
Class R6		7,243,882			—			501,960			—			—
Class I		15,016,434			—			3,099,358			364,537			131,917
Net asset value per share:
Class II	$	—		$	—		$	22.26		$	18.51		$	—
Class III	$	26.25		$	14.02		$	22.60		$	—		$	22.72
Class IV	$	—		$	—		$	—		$	—		$	22.68
Class V	$	—		$	—		$	—		$	18.44		$	—
Class VI	$	—		$	14.04		$	22.05		$	—		$	—
Class R6	$	26.19		$	—		$	22.26		$	—		$	—
Class I	$	26.16		$	—		$	22.21		$	18.47		$	22.79

67 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

	International
	Opportunistic
	Value
	Fund
	(formerly
	Tax-Managed
	International				Quality
	Equities		Japan Value		Cyclicals		Quality		Resource
	Fund		Creation Fund		Fund		Fund		Transition Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	2,700,000	$	—	$	627,028	$	128,519,053	$	5,653,412
Investments in unaffiliated issuers, at value (Note 2)(b)		320,911,217		110,523,159		72,846,988		7,722,943,397		401,752,069
Foreign currency, at value (Note 2)(c)		168,328		—		25,030		1,538,416		98,049
Cash		1		—		—		40		1
Receivable for investments sold		373		266,356		334		—		—
Receivable for Fund shares sold		—		—		—		3,185,791		—
Dividends and interest receivable		779,929		200,161		105,188		8,176,229		2,507,479
Dividend withholding tax receivable		26,404		2,762		—		2,512,074		34,339
Foreign capital gains tax refund receivable (Note 2)		24		—		—		—		—
Receivable for variation margin on open futures contracts (Note 4)		1,167		—		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		30,240		14,346		16,417		32,241		27,511
Total assets		324,617,683		111,006,784		73,620,985		7,866,907,241		410,072,860
Liabilities:
Due to broker (Note 2)		36		—		—		—		—
Payable for investments purchased		—		938		—		—		25,364
Payable for Fund shares repurchased		800,000		1,075,000		125,000		18,141,537		—
Payable for IRS closing agreement fees (Note 2)		548,104		—		—		—		—
Payable to affiliate for (Note 5):
Management fee		136,909		46,202		20,616		2,176,744		285,162
Shareholder service fee		41,073		7,534		3,441		757,480		19,605
Payable to Trustees and related expenses		61		531		473		24,645		1,027
Accrued expenses		98,488		98,418		68,335		612,956		163,983
Total liabilities		1,624,671		1,228,623		217,865		21,713,362		495,141
Net assets	$	322,993,012	$	109,778,161	$	73,403,120	$	7,845,193,879	$	409,577,719
(a)   Cost of investments – affiliated issuers:	$	2,700,000	$	—	$	626,573	$	128,469,235	$	5,653,412
(b)   Cost of investments – unaffiliated issuers:	$	316,354,261	$	114,329,252	$	57,753,123	$	4,289,869,476	$	468,384,023
(c)   Cost of foreign currency:	$	170,608	$	—	$	25,400	$	1,544,370	$	99,771

See accompanying notes to the financial statements. 68

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

	International
	Opportunistic
	Value
	Fund
	(formerly
	Tax-Managed
	International					Quality
	Equities		Japan Value			Cyclicals		Quality		Resource
	Fund		Creation Fund			Fund		Fund		Transition Fund
Net assets consist of:
Paid-in capital	$	316,295,087	$	122,712,632		$	57,219,846	$	4,242,043,255	$	485,395,275
Distributable earnings (accumulated loss)		6,697,925		(12,934,471	)		16,183,274		3,603,150,624		(75,817,556	)
	$	322,993,012	$	109,778,161		$	73,403,120	$	7,845,193,879	$	409,577,719
Net assets attributable to:
Class III	$	322,942,362	$	26,623,698		$	—	$	2,807,770,553	$	—
Class IV	$	—	$	—		$	—	$	762,866,122	$	—
Class VI	$	—	$	79,424,162		$	73,333,379	$	2,522,832,781	$	409,577,719
Class R6	$	—	$	—		$	—	$	919,948,583	$	—
Class I	$	50,650	$	3,730,301		$	69,741	$	831,775,840	$	—
Shares outstanding:
Class III		23,238,728		1,443,785			—		99,668,558		—
Class IV		—		—			—		26,991,834		—
Class VI		—		4,305,747			3,323,555		89,528,739		24,271,635
Class R6		—		—			—		32,701,234		—
Class I		3,645		202,572			3,163		29,612,142		—
Net asset value per share:
Class III	$	13.90	$	18.44		$	—	$	28.17	$	—
Class IV	$	—	$	—		$	—	$	28.26	$	—
Class VI	$	—	$	18.45		$	22.06	$	28.18	$	16.87
Class R6	$	—	$	—		$	—	$	28.13	$	—
Class I	$	13.90	$	18.41		$	22.05	$	28.09	$	—

69 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

							U.S.
			Small Cap				Opportunistic		U.S. Small
	Resources		Quality		U.S. Equity		Value		Cap Value
	Fund		Fund		Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	15,131,789	$	1,447,496	$	3,664,361	$	9,504,260	$	153,827
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		1,952,730,743		71,546,985		261,315,368		416,531,619		31,079,519
Foreign currency, at value (Note 2)(d)		1,014,299		—		—		—		—
Cash		6,682,849		—		1		—		—
Receivable for investments sold		—		3,527,790		—		—		—
Receivable for Fund shares sold		5,769,615		—		—		103,665		—
Dividends and interest receivable		14,550,675		59,516		496,073		1,336,472		43,749
Dividend withholding tax receivable		212,715		—		—		—		—
Foreign capital gains tax refund receivable (Note 2)		209,639		—		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		25,202		14,534		9,080		13,030		3,931
Total assets		1,996,327,526		76,596,321		265,484,883		427,489,046		31,281,026
Liabilities:
Due to custodian		—		—		—		2,822		—
Due to broker (Note 2)		—		—		46		—		—
Payable for investments purchased		11,492,863		3,542,257		—		—		—
Payable for Fund shares repurchased		254,070		640,000		605,000		82,898		—
Accrued foreign capital gains tax payable (Note 2)		1,259		—		—		—		—
Payable to affiliate for (Note 5):
Management fee		815,749		36,323		69,315		108,592		8,237
Shareholder service fee		220,529		4,244		16,665		28,721		1,461
Payable for variation margin on open futures contracts (Note 4)		—		—		6,831		—		—
Payable to Trustees and related expenses		9,550		405		2,039		109		1,948
Accrued expenses		715,133		110,813		92,156		119,364		64,204
Total liabilities		13,509,153		4,334,042		792,052		342,506		75,850
Net assets	$	1,982,818,373	$	72,262,279	$	264,692,831	$	427,146,540	$	31,205,176
(a)   Cost of investments – affiliated issuers:	$	15,111,007	$	1,447,054	$	3,659,432	$	9,504,260	$	153,827
(b)   Cost of investments – unaffiliated issuers:	$	2,082,594,719	$	55,690,257	$	242,829,188	$	411,643,400	$	30,660,127
(c)   Includes securities on loan at value (Note 2):	$	129,198,140	$	—	$	—	$	—	$	—
(d)   Cost of foreign currency:	$	1,021,368	$	—	$	—	$	—	$	—

See accompanying notes to the financial statements. 70

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

								U.S.
				Small Cap				Opportunistic		U.S. Small
	Resources			Quality		U.S. Equity		Value		Cap Value
	Fund			Fund		Fund		Fund		Fund
Net assets consist of:
Paid-in capital	$	2,110,390,571		$	51,667,690	$	239,803,891	$	418,754,573	$	35,708,618
Distributable earnings (accumulated loss)		(127,572,198	)		20,594,589		24,888,940		8,391,967		(4,503,442	)
	$	1,982,818,373		$	72,262,279	$	264,692,831	$	427,146,540	$	31,205,176
Net assets attributable to:
Class III	$	224,790,378		$	10,991,049	$	53,841,873	$	9,888	$	—
Class IV	$	484,263,155		$	—	$	—	$	138,545,346	$	—
Class VI	$	58,465,878		$	61,247,092	$	210,850,958	$	222,418,383	$	31,205,176
Class R6	$	345,864,072		$	—	$	—	$	394	$	—
Class I	$	869,434,890		$	24,138	$	—	$	66,172,529	$	—
Shares outstanding:
Class III		9,523,901			444,029		4,179,189		484		—
Class IV		20,591,614			—		—		6,778,574		—
Class VI		2,485,542			2,472,362		16,597,310		10,880,389		1,778,972
Class R6		14,671,268			—		—		19		—
Class I		36,854,152			975		—		3,239,990		—
Net asset value per share:
Class III	$	23.60		$	24.75	$	12.88	$	20.43	$	—
Class IV	$	23.52		$	—	$	—	$	20.44	$	—
Class VI	$	23.52		$	24.77	$	12.70	$	20.44	$	17.54
Class R6	$	23.57		$	—	$	—	$	20.42	$	—
Class I	$	23.59		$	24.75	$	—	$	20.42	$	—

71 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Operations —Six Months Ended August 31, 2023 (Unaudited)

										Emerging
				Emerging						Markets
				Markets						Select
	Climate			ex-China			Emerging			Equity			International
	Change Fund			Fund			Markets Fund			Fund			Equity Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	8,513,396		$	11,199,726		$	36,424,372		$	860,386		$	31,907,704
Dividends from affiliated issuers (Note 10)		513,600			141,050			270,490			11,560			1,685,795
Interest		6,586			—			61,842			9,928			19,878
Securities lending income from affiliated issuers (net)		317,767			—			—			—			—
Securities lending income (net)		208,132			—			131,520			—			—
Other income (Note 2)		563			—			56,966			—			69,143
Less: IRS closing agreement fees (Note 2)		—			—			—			—			(1,658,816	)
Total investment income		9,560,044			11,340,776			36,945,190			881,874			32,023,704
Expenses:
Management fee (Note 5)		2,914,040			706,155			2,585,761			210,998			2,910,258
Shareholder service fee – Class II (Note 5)		—			—			153,250			57,861			2,593	*
Shareholder service fee – Class III (Note 5)		269,628			22,575			56			—			266,470
Shareholder service fee – Class IV (Note 5)		—			—			—			—			361,585
Shareholder service fee – Class V (Note 5)		—			—			—			7,485			—
Shareholder service fee – Class VI (Note 5)		—			62,338			154,559			—			—
Shareholder service fee – Class R6 (Note 5)		145,006			—			12,346			—			—
Shareholder service fee – Class I (Note 5)		313,876			—	**		91,267			7,166			3,224
Audit and tax fees		47,464			53,803			90,456			81,685			73,687
Custodian, fund accounting agent and transfer agent fees		323,624			221,391			515,983			104,278			189,368
Legal fees		11,592			2,405			14,990			1,547			17,565
Registration fees		29,104			4,894			32,721			10,967			21,298
Trustees’ fees and related expenses (Note 5)		25,276			7,449			27,089			2,067			37,212
Miscellaneous		21,730			22,699			30,534			11,256			22,280
Total expenses		4,101,340			1,103,709			3,709,012			495,310			3,905,540
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(127,082	)		(216,468	)		(313,902	)		(212,387	)		(220,040	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(12,683	)		(1,186	)		(29,885	)		(57	)		(18,034	)
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		—			—			(4,452	)		—			—
Net expenses		3,961,575			886,055			3,360,773			282,866			3,667,466
Net investment income (loss)		5,598,469			10,454,721			33,584,417			599,008			28,356,238
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(6,016,799	)		(8,741,775	)		(57,800,672	)		(12,057,468	)		21,364,067
Investments in affiliated issuers		53,943			12,533			132			240			124,761
Futures contracts		—			—			217,940			(81,665	)		366,338
Foreign currency and foreign currency related transactions		(101,664	)		(135,949	)		(1,003,476	)		(92,584	)		(585,087	)
Net realized gain (loss)		(6,064,520	)		(8,865,191	)		(58,586,076	)		(12,231,477	)		21,270,079
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(90,488,248	)		15,193,493			49,966,327			15,966,765			26,133,159
Investments in affiliated issuers		23,029			—			371,773			—			11,532
Futures contracts		—			—			(47,710	)		(99,871	)		(36,020	)
Foreign currency and foreign currency related transactions		29,918			82,285			273,190			5,220			543,514
Net change in unrealized appreciation (depreciation)		(90,435,301	)		15,275,778			50,563,580			15,872,114			26,652,185
Net realized and unrealized gain (loss)		(96,499,821	)		6,410,587			(8,022,496	)		3,640,637			47,922,264
Net increase (decrease) in net assets resulting from operations	$	(90,901,352	)	$	16,865,308		$	25,561,921		$	4,239,645		$	76,278,502
(a)   Withholding tax:	$	525,962		$	1,969,901		$	4,572,483		$	167,046		$	3,036,996
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	(14,921	)	$	1,516,688		$	958		$	—
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	494,853		$	(439,926	)	$	—		$	—
*    Class II liquidated on August 28, 2023.
**    Class I liquidated on August 28, 2023.

See accompanying notes to the financial statements. 72

GMO Trust Funds

 

 

 

Statements of Operations —Six Months Ended August 31, 2023 (Unaudited) — (Continued)

	International
	Opportunistic
	Value
	Fund
	(formerly
	Tax-Managed
	International						Quality
	Equities			Japan Value			Cyclicals			Quality			Resource
	Fund			Creation Fund			Fund			Fund			Transition Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	2,736,348		$	1,850,154		$	724,792		$	59,231,091		$	9,121,207
Dividends from affiliated issuers (Note 10)		64,059			—			16,650			2,718,608			140,759
Interest		17,630			26			—			13,212			—
Other income (Note 2)		356			—			29			12,357			29
Less: IRS closing agreement fees (Note 2)		(39,637	)		—			—			—			—
Total investment income		2,778,756			1,850,180			741,471			61,975,268			9,261,995
Expenses:
Management fee (Note 5)		373,569			274,941			119,260			12,324,355			1,756,006
Shareholder service fee – Class III (Note 5)		112,067			19,917			—			2,188,841			—
Shareholder service fee – Class IV (Note 5)		—			—			—			311,616			—
Shareholder service fee – Class VI (Note 5)		—			22,171			19,857			674,567			120,726
Shareholder service fee – Class R6 (Note 5)		—			—			—			647,622			—
Shareholder service fee – Class I (Note 5)		4	*		2,099			53			480,622			—
Audit and tax fees		54,069			40,223			32,474			44,036			41,251
Custodian, fund accounting agent and transfer agent fees		37,418			35,789			19,774			874,384			72,249
Legal fees		760			1,351			1,494			74,525			8,364
Registration fees		24,125			22,124			17,662			87,494			26,387
Trustees’ fees and related expenses (Note 5)		2,042			3,196			2,219			198,811			12,306
Miscellaneous		12,748			6,921			4,690			44,039			3,411
Total expenses		616,802			428,732			217,483			17,950,912			2,040,700
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(107,592	)		(97,131	)		(68,902	)		(371,088	)		(151,610	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(623	)		—			(193	)		(34,433	)		(1,649	)
Net expenses		508,587			331,601			148,388			17,545,391			1,887,441
Net investment income (loss)		2,270,169			1,518,579			593,083			44,429,877			7,374,554
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		3,999,872			(3,559,176	)		1,371,026			193,339,272			(16,354,241	)
Investments in affiliated issuers		3,699			—			710			157,550			7,861
Futures contracts		15,210			—			—			—			—
Foreign currency and foreign currency related transactions		(89,838	)		(162,108	)		916			84,722			(148	)
Net realized gain (loss)		3,928,943			(3,721,284	)		1,372,652			193,581,544			(16,346,528	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		813,876			13,007,162			2,096,479			1,016,849,878			(41,657,671	)
Investments in affiliated issuers		(1,574	)		—			455			(36,832	)		—
Futures contracts		(2,645	)		—			—			—			—
Foreign currency and foreign currency related transactions		4,233			73,155			4,533			364,451			(1,389	)
Net change in unrealized appreciation (depreciation)		813,890			13,080,317			2,101,467			1,017,177,497			(41,659,060	)
Net realized and unrealized gain (loss)		4,742,833			9,359,033			3,474,119			1,210,759,041			(58,005,588	)
Net increase (decrease) in net assets resulting from operations	$	7,013,002		$	10,877,612		$	4,067,202		$	1,255,188,918		$	(50,631,034	)
(a)   Withholding tax:	$	351,867		$	199,588		$	36,697		$	2,233,085		$	593,233
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	7,623		$	—		$	—		$	—		$	—
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	(5,274	)	$	—		$	—		$	—		$	—

* Period from August 14, 2023 (commencement of operations) through August 31, 2023.

73 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Operations —Six Months Ended August 31, 2023 (Unaudited) — (Continued)

										U.S.
				Small Cap						Opportunistic			U.S. Small
	Resources			Quality			U.S. Equity			Value			Cap Value
	Fund			Fund			Fund			Fund			Fund
Investment Income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)	$	58,019,385		$	312,994		$	2,418,246		$	5,337,357		$	349,417
Dividends from affiliated issuers (Note 10)		977,046			31,781			91,445			158,819			9,929
Interest		14,457			41			9,818			10,819			702
Securities lending income (net)		748,453			—			—			—			—
Other income		295			—			—			—			—
Total investment income		59,759,636			344,816			2,519,509			5,506,995			360,048
Expenses:
Management fee (Note 5)		4,523,985			203,484			396,866			535,267			46,112
Shareholder service fee – Class III (Note 5)		201,450			9,792			39,303			7			—
Shareholder service fee – Class IV (Note 5)		204,968			—			—			61,430			—
Shareholder service fee – Class VI (Note 5)		16,836			15,056			56,001			58,148			8,181
Shareholder service fee – Class R6 (Note 5)		238,186			—			—			—	*		—
Shareholder service fee – Class I (Note 5)		564,191			17			—			8,262			—
Audit and tax fees		70,084			30,198			31,109			33,394			29,327
Custodian, fund accounting agent and transfer agent fees		810,792			26,947			31,728			44,461			12,224
Legal fees		24,091			2,845			4,350			6,171			1,634
Registration fees		45,954			15,504			10,100			12,602			1,075
Trustees’ fees and related expenses (Note 5)		52,718			2,092			7,667			8,678			1,971
Miscellaneous		31,157			2,627			7,042			4,471			3,216
Total expenses		6,784,412			308,562			584,166			772,891			103,740
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(112,838	)		(78,121	)		(66,599	)		(69,473	)		(32,133	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(12,312	)		(302	)		(993	)		(2,049	)		(103	)
Net expenses		6,659,262			230,139			516,574			701,369			71,504
Net investment income (loss)		53,100,374			114,677			2,002,935			4,805,626			288,544
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(22,542,637	)		4,754,997			5,171,188			2,339,800			220,511
Investments in affiliated issuers		16,540			3,317			1,400			9,094			911
Futures contracts		—			—			372,756			—			43,230
Foreign currency and foreign currency related transactions		(22,906	)		—			—			—			—
Net realized gain (loss)		(22,549,003	)		4,758,314			5,545,344			2,348,894			264,652
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		(80,668,669	)		5,186,146			13,774,160			5,678,743			230,108
Investments in affiliated issuers		5,722			25			4,929			—			—
Futures contracts		—			—			9,968			—			(14,011	)
Foreign currency and foreign currency related transactions		(5,884	)		—			—			—			—
Net change in unrealized appreciation (depreciation)		(80,668,831	)		5,186,171			13,789,057			5,678,743			216,097
Net realized and unrealized gain (loss)		(103,217,834	)		9,944,485			19,334,401			8,027,637			480,749
Net  increase (decrease) in net assets resulting from operations	$	(50,117,460	)	$	10,059,162		$	21,337,336		$	12,833,263		$	769,293
(a)   Withholding tax:	$	2,923,179		$	—		$	4,595		$	—		$	—
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	225,817		$	—		$	—		$	—		$	—
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	(239,117	)	$	—		$	—		$	—		$	—
*    Period from August 28, 2023 (commencement of operations) through August 31, 2023.

See accompanying notes to the financial statements. 74

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets

	Climate Change Fund								Emerging Markets ex-China Fund
	Six Months Ended								Six Months Ended
	August 31, 2023				Year Ended				August 31, 2023				Year Ended
	(Unaudited)				February 28, 2023				(Unaudited)				February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	5,598,469			$	6,951,323			$	10,454,721			$	15,332,899
Net realized gain (loss)			(6,064,520	)			(20,296,199	)			(8,865,191	)			(23,213,927	)
Change in net unrealized appreciation (depreciation)			(90,435,301	)			(4,911,109	)			15,275,778				(38,670,448	)
Net increase (decrease) in net assets from operations			(90,901,352	)			(18,255,985	)			16,865,308				(46,551,476	)
Distributions to shareholders:
Class III			—				(6,826,624	)			(406,904	)			(759,928	)
Class VI			—				—				(3,033,044	)			(13,701,355	)
Class R6			—				(3,035,164	)			—				—
Class I			—				(8,159,916	)			(5	)*			(15	)
Total distributions			—				(18,021,704	)			(3,439,953	)			(14,461,298	)
Net share transactions (Note 9):
Class III			54,797,701				34,383,090				(135,774	)			17,239,928
Class VI			—				—				(22,422,899	)			1,469,698
Class R6			24,702,099				71,379,478				—				—
Class I			13,464,997				133,221,424				(385	)*			15
Increase (decrease) in net assets resulting from net share transactions			92,964,797				238,983,992				(22,559,058	)			18,709,641
Total increase (decrease) in net assets			2,063,445				202,706,303				(9,133,703	)			(42,303,133	)
Net assets:
Beginning of period			932,859,173				730,152,870				254,794,127				297,097,260
End of period		$	934,922,618			$	932,859,173			$	245,660,424			$	254,794,127

* Class I liquidated on August 28, 2023.

75 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	Emerging Markets Fund								Emerging Markets Select Equity Fund
	Six Months Ended									Six Months Ended
	August 31, 2023				Year Ended				August 31, 2023					Year Ended
	(Unaudited)				February 28, 2023				(Unaudited)					February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	33,584,417			$	66,903,959				$	599,008			$	6,150,206
Net realized gain (loss)			(58,586,076	)			(201,332,540	)				(12,231,477	)			(91,569,762	)
Change in net unrealized appreciation (depreciation)			50,563,580				(265,750,295	)				15,872,114				(39,057,366	)
Net increase (decrease) in net assets from operations			25,561,921				(400,178,876	)				4,239,645				(124,476,922	)
Distributions to shareholders:
Class II			(1,530,242	)			(13,357,178	)				(53,616	)			(3,229,489	)
Class III			(34	)			(10,406,493	)				—				—
Class V			—				—					(81,285	)			(3,512,029	)
Class VI			(6,141,469	)			(59,450,292	)				—				—
Class R6			(129,398	)			(1,501,438	)				—				—
Class I			(951,768	)			(7,549,670	)				(15,271	)			(181,455	)
Total distributions			(8,752,911	)			(92,265,071	)				(150,172	)			(6,922,973	)
Net share transactions (Note 9):
Class II			(22,589,522	)			(47,692,845	)				(81,768,883	)			(85,145,643	)
Class III			34				(200,996,603	)				—				—
Class V			—				—					18,013,621				(414,461,166	)
Class VI			(115,345,002	)			(325,897,850	)				—				—
Class R6			(66,991	)			(18,867,256	)				—				—
Class I			(20,043,696	)			(1,027,086	)				683,440				(3,325,970	)
Increase (decrease) in net assets resulting from net share transactions			(158,045,177	)			(594,481,640	)				(63,071,822	)			(502,932,779	)
Total increase (decrease) in net assets			(141,236,167	)			(1,086,925,587	)				(58,982,349	)			(634,332,674	)
Net assets:
Beginning of period			847,806,801				1,934,732,388					126,188,127				760,520,801
End of period		$	706,570,634			$	847,806,801				$	67,205,778			$	126,188,127

See accompanying notes to the financial statements. 76

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	International Equity Fund								International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund
	Six Months Ended									Six Months Ended
	August 31, 2023				Year Ended				August 31, 2023					Year Ended
	(Unaudited)				February 28, 2023				(Unaudited)					February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	28,356,238			$	67,950,597				$	2,270,169			$	1,425,241
Net realized gain (loss)			21,270,079				(97,451,037	)				3,928,943				(2,811,095	)
Change in net unrealized appreciation (depreciation)			26,652,185				(13,198,531	)				813,890				(650,535	)
Net increase (decrease) in net assets from operations			76,278,502				(42,698,971	)				7,013,002				(2,036,389	)
Distributions to shareholders:
Class II			(4,872	)*			(187,750	)				—				—
Class III			(6,327,293	)			(13,506,456	)				(481,218	)			(2,115,226	)
Class IV			(13,321,569	)			(51,620,967	)				—				—
Class I			(51,532	)			(105,835	)				—	**			—
Total distributions			(19,705,266	)			(65,421,008	)				(481,218	)			(2,115,226	)
Net share transactions (Note 9):
Class II			(4,847,751	)*			(636,611	)				—				—
Class III			(38,484,940	)			29,494,140					285,724,297				3,056,537
Class IV			(249,100,829	)			(526,895,189	)				—				—
Class I			64,516				(49,180	)				50,735	**			—
Increase (decrease) in net assets resulting from net share transactions			(292,369,004	)			(498,086,840	)				285,775,032				3,056,537
Total increase (decrease) in net assets			(235,795,768	)			(606,206,819	)				292,306,816				(1,095,078	)
Net assets:
Beginning of period			1,295,543,550				1,901,750,369					30,686,196				31,781,274
End of period		$	1,059,747,782			$	1,295,543,550				$	322,993,012			$	30,686,196

* Class II liquidated on August 28, 2023.

** Period from August 14, 2023 (commencement of operations) through August 31, 2023.

77 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	Japan Value Creation Fund								Quality Cyclicals Fund
	Six Months Ended								Six Months Ended
	August 31, 2023				Year Ended				August 31, 2023				Year Ended
	(Unaudited)				February 28, 2023				(Unaudited)				February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	1,518,579			$	3,174,050			$	593,083			$	2,068,981
Net realized gain (loss)			(3,721,284	)			(5,530,808	)			1,372,652				10,476,743
Change in net unrealized appreciation (depreciation)			13,080,317				(11,654,366	)			2,101,467				(17,682,823	)
Net increase (decrease) in net assets from operations			10,877,612				(14,011,124	)			4,067,202				(5,137,099	)
Distributions to shareholders:
Class III			(312,295	)			(1,377,552	)			—				—
Class VI			(936,139	)			(6,098,598	)			(3,824,538	)			(12,448,036	)
Class I			(42,952	)			(140,999	)			(3,765	)			(8,044	)
Total distributions			(1,291,386	)			(7,617,149	)			(3,828,303	)			(12,456,080	)
Net share transactions (Note 9):
Class III			(502,705	)			4,240,268				—				—
Class VI			(8,806,341	)			(33,856,529	)			3,490,162				(54,278,965	)
Class I			1,995,207				(1,063,960	)			—				—
Increase (decrease) in net assets resulting from net share transactions			(7,313,839	)			(30,680,221	)			3,490,162				(54,278,965	)
Total increase (decrease) in net assets			2,272,387				(52,308,494	)			3,729,061				(71,872,144	)
Net assets:
Beginning of period			107,505,774				159,814,268				69,674,059				141,546,203
End of period		$	109,778,161			$	107,505,774			$	73,403,120			$	69,674,059

See accompanying notes to the financial statements. 78

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	Quality Fund								Resource Transition Fund
													Period from
													February 15, 2023
													(commencement
													of operations)
	Six Months Ended								Six Months Ended				through
	August 31, 2023				Year Ended				August 31, 2023				February 28,
	(Unaudited)				February 28, 2023				(Unaudited)				2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	44,429,877			$	84,852,243			$	7,374,554			$	231,914
Net realized gain (loss)			193,581,544				473,792,008				(16,346,528	)			(48,994	)
Change in net unrealized appreciation (depreciation)			1,017,177,497				(1,005,130,455	)			(41,659,060	)			(24,974,167	)
Net increase (decrease) in net assets from operations			1,255,188,918				(446,486,204	)			(50,631,034	)			(24,791,247	)
Distributions to shareholders:
Class III			(5,047,478	)			(273,729,638	)			—				—
Class IV			(1,123,416	)			(87,058,631	)			—				—
Class VI			(5,054,848	)			(283,709,474	)			(395,275	)			—
Class R6			(1,573,465	)			(61,977,061	)			—				—
Class I			(1,152,471	)			(52,650,146	)			—				—
Total distributions			(13,951,678	)			(759,124,950	)			(395,275	)			—
Net share transactions (Note 9):
Class III			(576,840,979	)			320,666,228				—				—
Class IV			256,531,650				(353,772,936	)			—				—
Class VI			(111,050,140	)			(765,638,839	)			395,275				485,000,000
Class R6			7,082,547				346,761,814				—				—
Class I			242,829,378				83,829,487				—				—
Increase (decrease) in net assets resulting from net share transactions			(181,447,544	)			(368,154,246	)			395,275				485,000,000
Total increase (decrease) in net assets			1,059,789,696				(1,573,765,400	)			(50,631,034	)			460,208,753
Net assets:
Beginning of period			6,785,404,183				8,359,169,583				460,208,753				—
End of period		$	7,845,193,879			$	6,785,404,183			$	409,577,719			$	460,208,753

79 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	Resources Fund								Small Cap Quality Fund
													Period from
													September 20, 2022
													(commencement
													of operations)
	Six Months Ended								Six Months Ended				through
	August 31, 2023				Year Ended				August 31, 2023				February 28,
	(Unaudited)				February 28, 2023				(Unaudited)				2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	53,100,374			$	94,755,628			$	114,677			$	106,100
Net realized gain (loss)			(22,549,003	)			203,861,292				4,758,314				9,118,120
Change in net unrealized appreciation (depreciation)			(80,668,831	)			(297,163,709	)			5,186,171				10,670,999
Net increase (decrease) in net assets from operations			(50,117,460	)			1,453,211				10,059,162				19,895,219
Distributions to shareholders:
Class III			(7,160,236	)			(24,568,037	)			(448,529	)			(1,078,895	)*
Class IV			(12,980,027	)			(39,706,418	)			—				—
Class VI			(1,657,703	)			(78,893,459	)			(1,759,969	)			(6,070,048	)
Class R6			(9,132,804	)			(17,754,677	)			—				—
Class I			(21,248,591	)			(75,407,234	)			(708	)			(1,643	)*
Total distributions			(52,179,361	)			(236,329,825	)			(2,209,206	)			(7,150,586	)
Net share transactions (Note 9):
Class III			(80,892,141	)			110,861,393				(3,922,383	)			14,292,658	*
Class IV			157,144,049				13,307,997				—				—
Class VI			(3,756,685	)			(733,868,214	)			3,356,063				37,919,001
Class R6			47,833,137				229,450,639				—				—
Class I			180,509,638				195,850,083				708				21,643	*
Increase (decrease) in net assets resulting from net share transactions			300,837,998				(184,398,102	)			(565,612	)			52,233,302
Total increase (decrease) in net assets			198,541,177				(419,274,716	)			7,284,344				64,977,935
Net assets:
Beginning of period			1,784,277,196				2,203,551,912				64,977,935				—
End of period		$	1,982,818,373			$	1,784,277,196			$	72,262,279			$	64,977,935

* Period from November 15, 2022 (commencement of operations) through February 28, 2023.

See accompanying notes to the financial statements. 80

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	U.S. Equity Fund								U.S. Opportunistic Value Fund
	Six Months Ended August 31, 2023 (Unaudited)				Year Ended February 28, 2023				Six Months Ended August 31, 2023 (Unaudited)				Period from December 13, 2022 (commencement of operations) through February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	2,002,935			$	5,597,458			$	4,805,626			$	1,629,733
Net realized gain (loss)			5,545,344				13,965,336				2,348,894				1,892,866
Change in net unrealized appreciation (depreciation)			13,789,057				(28,175,702	)			5,678,743				(790,524	)
Net increase (decrease) in net assets from operations			21,337,336				(8,612,908	)			12,833,263				2,732,075
Distributions to shareholders:
Class III			(2,971,849	)			(5,157,645	)			(192	)			—
Class IV			—				—				(2,654,395	)			—
Class VI			(11,771,124	)			(23,167,342	)			(4,058,390	)			(300,214	)
Class R6			—				—				—	*			—
Class I			—				—				(160,180	)			—
Total distributions			(14,742,973	)			(28,324,987	)			(6,873,157	)			(300,214	)
Net share transactions (Note 9):
Class III			2,357,049				(24,293,425	)			192				10,000	**
Class IV			—				—				71,154,395				65,500,000	**
Class VI			10,781,034				(159,286,298	)			4,423,406				210,519,854
Class R6			—				—				390	*			—
Class I			—				—				67,141,336				5,000	**
Increase (decrease) in net assets resulting from net share transactions			13,138,083				(183,579,723	)			142,719,719				276,034,854
Total increase (decrease) in net assets			19,732,446				(220,517,618	)			148,679,825				278,466,715
Net assets:
Beginning of period			244,960,385				465,478,003				278,466,715				—
End of period		$	264,692,831			$	244,960,385			$	427,146,540			$	278,466,715

* Period from August 28, 2023 (commencement of operations) through August 31, 2023.

** Period from February 15, 2023 (commencement of operations) through February 28, 2023.

81 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	U.S. Small Cap Value Fund
	Six Months Ended August 31, 2023 (Unaudited)				Year Ended February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	288,544			$	2,624,580
Net realized gain (loss)			264,652				(4,678,017	)
Change in net unrealized appreciation (depreciation)			216,097				(23,582,842	)
Net increase (decrease) in net assets from operations			769,293				(25,636,279	)
Distributions to shareholders:
Class VI			(100,044	)			(18,256,190	)
Total distributions			(100,044	)			(18,256,190	)
Net share transactions (Note 9):
Class VI			1,108,412				(180,490,250	)
Increase (decrease) in net assets resulting from net share transactions			1,108,412				(180,490,250	)
Total increase (decrease) in net assets			1,777,661				(224,382,719	)
Net assets:
Beginning of period			29,427,515				253,810,234
End of period		$	31,205,176			$	29,427,515

See accompanying notes to the financial statements. 82

GMO Trust Funds

 

 

Financial Highlights

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND

			Class III Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	28.91		$	30.23		$	34.39		$	22.36		$	22.04		$	23.81
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.17			0.25			0.28			0.35			0.41			0.36
Net realized and unrealized gain (loss)				(2.83	)		(0.93	)		0.72			13.43			0.87			(1.61	)
Total from investment operations				(2.66	)		(0.68	)		1.00			13.78			1.28			(1.25	)
Less distributions to shareholders:
From net investment income				—			(0.16	)		(0.57	)		(0.30	)		(0.45	)		(0.26	)
From net realized gains				—			(0.48	)		(4.59	)		(1.45	)		(0.51	)		(0.26	)
Total distributions				—			(0.64	)		(5.16	)		(1.75	)		(0.96	)		(0.52	)
Net asset value, end of period			$	26.25		$	28.91		$	30.23		$	34.39		$	22.36		$	22.04
Total Return(b)				(9.20	)%**		(1.92	)%		2.91	%		63.84	%		5.66	%		(5.22	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	352,384		$	330,218		$	306,996		$	178,223		$	121,062		$	113,000
Net expenses to average daily net assets(c)				0.77	%*		0.77	%		0.77	%		0.77	%		0.77	%		0.75	%
Net investment income (loss) to average daily net assets(a)				1.18	%*		0.90	%		0.84	%		1.39	%		1.84	%		1.61	%
Portfolio turnover rate(d)				24	%**		57	%		63	%		84	%		62	%		29	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.03	%(e) *		0.05	%		0.04	%(e)		0.13	%(e)		0.16	%(e)		0.26	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	52%	124%	140%	145%	173%	121%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

83 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND (continued)

			Class R6 Shares
	Six Months Ended August 31,					Year Ended									Period from January 16, 2020 (commencement of operations) through
	2023					February 28,									February 29,
	(Unaudited)					2023			2022			2021			2020
Net asset value, beginning of period			$	28.85		$	30.17		$	34.33		$	22.36				$	24.55
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.17			0.25			0.28			0.31					0.01
Net realized and unrealized gain (loss)				(2.83	)		(0.92	)		0.72			13.43					(2.20	)
Total from investment operations				(2.66	)		(0.67	)		1.00			13.74					(2.19	)
Less distributions to shareholders:
From net investment income				—			(0.17	)		(0.57	)		(0.32	)				—
From net realized gains				—			(0.48	)		(4.59	)		(1.45	)				—
Total distributions				—			(0.65	)		(5.16	)		(1.77	)				—
Net asset value, end of period			$	26.19		$	28.85		$	30.17		$	34.33				$	22.36
Total Return(b)				(9.22	)%**		(1.90	)%		2.90	%		63.71	%				(8.92	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	189,709		$	183,089		$	115,014		$	74,961				$	1,129
Net expenses to average daily net assets(c)				0.77	%*		0.77	%		0.77	%		0.77	%				0.77	%*
Net investment income (loss) to average daily net assets(a)				1.23	%*		0.90	%		0.84	%		1.04	%				0.40	%*
Portfolio turnover rate(d)				24	%**		57	%		63	%		84	%				62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.03	%(e) *		0.05	%		0.04	%(e)		0.11	%(e)				0.23	%(e) *

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020
Portfolio turnover rate including transactions in USTF	52%	124%	140%	145%	173%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 84

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CLIMATE CHANGE FUND (continued)

			Class I Shares
	Six Months Ended August 31, 2023					Year Ended February 28,									Period from February 25, 2020 (commencement of operations) through February 29,
	(Unaudited)					2023			2022			2021			2020
Net asset value, beginning of period			$	28.83		$	30.16		$	34.33		$	22.36				$	23.37
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.15			0.22			0.24			0.21					0.01
Net realized and unrealized gain (loss)				(2.82	)		(0.93	)		0.73			13.53					(1.02	)
Total from investment operations				(2.67	)		(0.71	)		0.97			13.74					(1.01	)
Less distributions to shareholders:
From net investment income				—			(0.14	)		(0.55	)		(0.32	)				—
From net realized gains				—			(0.48	)		(4.59	)		(1.45	)				—
Total distributions				—			(0.62	)		(5.14	)		(1.77	)				—
Net asset value, end of period			$	26.16		$	28.83		$	30.16		$	34.33				$	22.36
Total Return(b)				(9.26	)%**		(2.03	)%		2.81	%		63.67	%				(4.32	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	392,829		$	419,552		$	308,143		$	98,697				$	962
Net expenses to average daily net assets(c)				0.87	%*		0.87	%		0.87	%		0.87	%				0.87	%*
Net investment income (loss) to average daily net assets(a)				1.09	%*		0.79	%		0.72	%		0.66	%				1.93	%*
Portfolio turnover rate(d)				24	%**		57	%		63	%		84	%				62	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.03	%(e) *		0.05	%		0.04	%(e)		0.11	%(e)				0.43	%(e) *

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020
Portfolio turnover rate including transactions in USTF	52%	124%	140%	145%	173%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

85 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS EX-CHINA FUND

			Class III Shares
											Period from
											November 17, 2021
	Six Months										(commencement
	Ended										of operations)
	August 31,					Year Ended					through
	2023					February 28,					February 28,
	(Unaudited)					2023					2022
Net asset value, beginning of period			$	13.33				$	16.65			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.57					0.72				0.15
Net realized and unrealized gain (loss)				0.31					(3.42	)			(3.37	)
Total from investment operations				0.88					(2.70	)			(3.22	)
Less distributions to shareholders:
From net investment income				(0.19	)				(0.56	)			(0.13	)
From net realized gains				—					(0.06	)			—
Total distributions				(0.19	)				(0.62	)			(0.13	)
Net asset value, end of period			$	14.02				$	13.33			$	16.65
Total Return(b)				6.58	%**				(16.04	)%			(16.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	29,911				$	28,548			$	14,810
Net expenses to average daily net assets(c)				0.80	%*				0.80	%			0.80	%*
Net investment income (loss) to average daily net assets(a)				8.12	%*				5.26	%			2.52	%*
Portfolio turnover rate(d)				43	%**				126	%			43	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.14	%(e) *				0.08	%			0.16	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,				February 28,				February 28,
	2023				2023				2022
Portfolio turnover rate including transactions in USTF		66	%			140	%			43	%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 86

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS EX-CHINA FUND (continued)

			Class VI Shares
											Period from
											October 18, 2021
	Six Months										(commencement
	Ended										of operations)
	August 31,						Year Ended				through
	2023						February 28,				February 28,
	(Unaudited)						2023				2022
Net asset value, beginning of period				$	13.34			$	16.66			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†					0.57				0.74				0.17
Net realized and unrealized gain (loss)					0.32				(3.43	)			(3.38	)
Total from investment operations					0.89				(2.69	)			(3.21	)
Less distributions to shareholders:
From net investment income					(0.19	)			(0.57	)			(0.13	)
From net realized gains					—				(0.06	)			—
Total distributions					(0.19	)			(0.63	)			(0.13	)
Net asset value, end of period				$	14.04			$	13.34			$	16.66
Total Return(b)					6.69	%**			(15.97	)%			(16.15	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)				$	215,750			$	226,245			$	282,287
Net expenses to average daily net assets(c)					0.67	%*			0.67	%			0.67	%*
Net investment income (loss) to average daily net assets(a)					8.15	%*			5.39	%			2.36	%*
Portfolio turnover rate(d)					43	%**			126	%			43	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:					0.17	%(e) *			0.12	%			0.20	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,			February 28,			February 28,
	2023			2023			2022
Portfolio turnover rate including transactions in USTF		66	%		140	%		43	%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

87 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND

			Class II Shares
	Six Months
	Ended
	August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	21.87		$	29.81		$	36.70		$	30.75		$	32.23		$	36.42
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.94			1.04			1.21			0.86			1.13			1.01
Net realized and unrealized gain (loss)				(0.29	)		(7.23	)		(6.58	)		6.36			(1.02	)		(4.22	)
Total from investment operations				0.65			(6.19	)		(5.37	)		7.22			0.11			(3.21	)
Less distributions to shareholders:
From net investment income				(0.26	)		(1.75	)		(1.52	)		(1.27	)		(1.59	)		(0.98	)
Total distributions				(0.26	)		(1.75	)		(1.52	)		(1.27	)		(1.59	)		(0.98	)
Net asset value, end of period			$	22.26		$	21.87		$	29.81		$	36.70		$	30.75		$	32.23
Total Return(b)				2.96	%**		(20.78	)%		(15.13	)%		23.89	%		(0.11	)%		(8.57	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	131,912		$	151,666		$	262,449		$	291,833		$	397,798		$	451,720
Net expenses to average daily net assets(c)				0.97	%*		0.95	%		0.92	%		0.93	%		0.93	%		0.93	%
Net investment income (loss) to average daily net assets(a)				8.32	%*		4.32	%		3.34	%		2.73	%		3.44	%		3.09	%
Portfolio turnover rate				57	%(d) **		128	%(d)		102	%		102	%		100	%(d)		98	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.07	%(e) *		0.05	%		0.03	%		0.07	%(e)		0.13	%(e)		0.13	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			$	—		$	—		$	—		$	—		$	0.02		$	0.08

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	71%	138%	N/A	N/A	123%	128%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 88

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

		Class III Shares
	Six Months Ended August 31,
	2023				Year Ended February 28/29,
	(Unaudited)				2023			2022			2021			2020			2019
Net asset value, beginning of period		$	21.96		$	29.91		$	36.81		$	30.84		$	32.32		$	36.51
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.98			1.22			1.27			0.76			1.21			1.01
Net realized and unrealized gain (loss)			(0.33	)		(7.42	)		(6.64	)		6.51			(1.09	)		(4.21	)
Total from investment operations			0.65			(6.20	)		(5.37	)		7.27			0.12			(3.20	)
Less distributions to shareholders:
From net investment income			(0.01	)		(1.75	)		(1.53	)		(1.30	)		(1.60	)		(0.99	)
Total distributions			(0.01	)		(1.75	)		(1.53	)		(1.30	)		(1.60	)		(0.99	)
Net asset value, end of period		$	22.60		$	21.96		$	29.91		$	36.81		$	30.84		$	32.32
Total Return(b)			2.96	%**		(20.73	)%		(15.08	)%		23.99	%		(0.08	)%		(8.51	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	74		$	72		$	267,177		$	501,907		$	333,779		$	277,824
Net expenses to average daily net assets(c)			0.91	%*		0.90	%		0.87	%		0.88	%		0.88	%		0.88	%
Net investment income (loss) to average daily net assets(a)			8.64	%*		5.01	%		3.47	%		2.36	%		3.68	%		3.08	%
Portfolio turnover rate			57	%(d) **		128	%(d)		102	%		102	%		100	%(d)		98	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%(e) *		0.02	%		0.01	%		0.04	%(e)		0.11	%(e)		0.11	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—		$	—		$	—		$	—		$	0.02		$	0.08

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	71%	138%	N/A	N/A	123%	128%

^(e) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

89 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

			Class VI Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	21.67		$	29.56		$	36.41		$	30.52		$	32.00		$	36.16
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.94			1.14			1.33			0.87			1.23			1.06
Net realized and unrealized gain (loss)				(0.28	)		(7.24	)		(6.59	)		6.36			(1.07	)		(4.19	)
Total from investment operations				0.66			(6.10	)		(5.26	)		7.23			0.16			(3.13	)
Less distributions to shareholders:
From net investment income				(0.28	)		(1.79	)		(1.59	)		(1.34	)		(1.64	)		(1.03	)
Total distributions				(0.28	)		(1.79	)		(1.59	)		(1.34	)		(1.64	)		(1.03	)
Net asset value, end of period			$	22.05		$	21.67		$	29.56		$	36.41		$	30.52		$	32.00
Total Return(b)				3.02	%**		(20.62	)%		(14.98	)%		24.11	%		0.05	%		(8.39	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	494,585		$	598,337		$	1,244,914		$	1,787,607		$	2,182,893		$	2,685,798
Net expenses to average daily net assets(c)				0.79	%*		0.77	%		0.74	%		0.75	%		0.75	%		0.75	%
Net investment income (loss) to average daily net assets(a)				8.46	%*		4.77	%		3.69	%		2.75	%		3.76	%		3.25	%
Portfolio turnover rate				57	%(d) **		128	%(d)		102	%		102	%		100	%(d)		98	%(d)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.08	%(e) *		0.06	%		0.05	%		0.08	%(e)		0.15	%(e)		0.14	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			$	—		$	—		$	—		$	—		$	0.02		$	0.08

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	71%	138%	N/A	N/A	123%	128%

^(e) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 90

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

			Class R6 Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from March 31, 2020 (commencement of operations) through February 28,
	(Unaudited)					2023			2022			2021
Net asset value, beginning of period			$	21.88		$	29.78		$	36.67				$	26.05
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.97			1.14			1.15					0.72
Net realized and unrealized gain (loss)				(0.32	)		(7.32	)		(6.51	)				11.20
Total from investment operations				0.65			(6.18	)		(5.36	)				11.92
Less distributions to shareholders:
From net investment income				(0.27	)		(1.72	)		(1.53	)				(1.30	)
Total distributions				(0.27	)		(1.72	)		(1.53	)				(1.30	)
Net asset value, end of period			$	22.26		$	21.88		$	29.78				$	36.67
Total Return(b)				2.94	%**		(20.76	)%		(15.13	)%				46.24	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	11,172		$	11,042		$	40,197				$	43,664
Net expenses to average daily net assets(c)				0.96	%*		0.95	%		0.93	%				0.93	%*
Net investment income (loss) to average daily net assets(a)				8.59	%*		4.74	%		3.18	%				2.39	%*
Portfolio turnover rate				57	%(d) **		128	%(d)		102	%				102	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.07	%(e) *		0.04	%		0.03	%				0.05	%(e) *

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021
Portfolio turnover rate including transactions in USTF	71%	138%	N/A	N/A

^(e) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

91 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS FUND (continued)

			Class I Shares
	Six Months Ended August 31, 2023					Year Ended February 28,									Period from January 14, 2020 (commencement of operations) through February 29,
	(Unaudited)					2023			2022			2021			2020
Net asset value, beginning of period			$	21.83		$	29.75		$	36.66		$	30.75				$	35.29
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.96			1.06			1.13			0.52					0.00	(b)
Net realized and unrealized gain (loss)				(0.32	)		(7.24	)		(6.52	)		6.68					(4.54	)
Total from investment operations				0.64			(6.18	)		(5.39	)		7.20					(4.54	)
Less distributions to shareholders:
From net investment income				(0.26	)		(1.74	)		(1.52	)		(1.29	)				—
Total distributions				(0.26	)		(1.74	)		(1.52	)		(1.29	)				—
Net asset value, end of period			$	22.21		$	21.83		$	29.75		$	36.66				$	30.75
Total Return(c)				2.92	%**		(20.80	)%		(15.20	)%		23.83	%				(12.86	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	68,828		$	86,689		$	119,995		$	79,824				$	16,158
Net expenses to average daily net assets(d)				1.02	%*		1.00	%		0.98	%		0.98	%				0.94	%*
Net investment income (loss) to average daily net assets(a)				8.50	%*		4.42	%		3.14	%		1.55	%				(0.05	)%*
Portfolio turnover rate				57	%(e) **		128	%(e)		102	%		102	%				100	%(e) **
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.14	%(f) *		0.12	%		0.10	%		0.10	%(f)				0.19	%(f) *

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Rounds to less than $0.01.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,    2023			February 28,      2023			February 28,      2022		February 28,      2021		February 29,      2020
Portfolio turnover rate including transactions in USTF		71	%		138	%		N/A		N/A		123	%

^(f)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 92

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS SELECT EQUITY FUND

			Class II Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	17.95		$	21.96		$	27.68		$	21.14		$	21.61		$	28.86
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.13			0.22			0.15			0.17			0.40			0.24
Net realized and unrealized gain (loss)				0.46			(3.74	)		(3.95	)		6.53			0.18			(4.58	)
Total from investment operations				0.59			(3.52	)		(3.80	)		6.70			0.58			(4.34	)
Less distributions to shareholders:
From net investment income				(0.03	)		(0.49	)		(0.06	)		(0.16	)		(1.05	)		(0.17	)
From net realized gains				—			—			(1.86	)		—			—			(2.74	)
Total distributions				(0.03	)		(0.49	)		(1.92	)		(0.16	)		(1.05	)		(2.91	)
Net asset value, end of period			$	18.51		$	17.95		$	21.96		$	27.68		$	21.14		$	21.61
Total Return(b)				3.26	%**		(15.97	)%		(14.13	)%		31.76	%		2.39	%		(15.48	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	35,088		$	113,488		$	238,702		$	309,966		$	292,418		$	467,336
Net expenses to average daily net assets(c)				0.76	%*		1.00	%		1.06	%		1.03	%		1.03	%		1.04	%
Net investment income (loss) to average daily net assets(a)				1.39	%*		1.18	%		0.56	%		0.73	%		1.81	%		1.00	%
Portfolio turnover rate(d)				50	%**		131	%		190	%		216	%		186	%		238	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.54	%(e) *		0.13	%		0.02	%(e)		0.02	%(e)		0.02	%(e)		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			$	—		$	—		$	—		$	—		$	0.05		$	0.05

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,   2023	February 28,   2023	February 28,   2022	February 28,   2021	February 29,   2020	February 28,   2019
Portfolio turnover rate including transactions in USTF	57%	143%	215%	236%	235%	254%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

93 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS SELECT EQUITY FUND (continued)

			Class V Shares
	Six Months Ended August 31,
			2023			Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	17.89		$	21.97		$	27.66		$	21.12		$	21.60		$	28.85
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.20			0.45			0.18			0.20			0.43			0.28
Net realized and unrealized gain (loss)				0.41			(3.96	)		(3.93	)		6.53			0.17			(4.60	)
Total from investment operations				0.61			(3.51	)		(3.75	)		6.73			0.60			(4.32	)
Less distributions to shareholders:
From net investment income				(0.06	)		(0.57	)		(0.08	)		(0.19	)		(1.08	)		(0.19	)
From net realized gains				—			—			(1.86	)		—			—			(2.74	)
Total distributions				(0.06	)		(0.57	)		(1.94	)		(0.19	)		(1.08	)		(2.93	)
Net asset value, end of period			$	18.44		$	17.89		$	21.97		$	27.66		$	21.12		$	21.60
Total Return(b)				3.40	%**		(15.90	)%		(13.98	)%		31.95	%		2.50	%		(15.37	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	25,385		$	6,830		$	510,307		$	697,864		$	565,384		$	755,613
Net expenses to average daily net assets(c)				0.64	%*		0.94	%		0.92	%		0.90	%		0.89	%		0.90	%
Net investment income (loss) to average daily net assets(a)				2.10	%*		2.25	%		0.70	%		0.87	%		1.94	%		1.19	%
Portfolio turnover rate(d)				50	%**		131	%		190	%		216	%		186	%		238	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.58	%(e) *		0.07	%		0.02	%(e)		0.02	%(e)		0.02	%(e)		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			$	—		$	—		$	—		$	—		$	0.04		$	0.05

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,   2023	February 28,   2023	February 28,   2022	February 28,   2021	February 29,   2020	February 28,   2019
Portfolio turnover rate including transactions in USTF	57%	143%	215%	236%	235%	254%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 94

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING MARKETS SELECT EQUITY FUND (continued)

			Class I Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from January 22, 2021 (commencement of operations) through February 28,
	(Unaudited)					2023			2022			2021
Net asset value, beginning of period			$	17.93		$	21.95		$	27.67				$	28.88
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.13			0.22			0.15					0.02
Net realized and unrealized gain (loss)				0.45			(3.75	)		(3.94	)				(1.23	)
Total from investment operations				0.58			(3.53	)		(3.79	)				(1.21	)
Less distributions to shareholders:
From net investment income				(0.04	)		(0.49	)		(0.07	)				—
From net realized gains				—			—			(1.86	)				—
Total distributions				(0.04	)		(0.49	)		(1.93	)				—
Net asset value, end of period			$	18.47		$	17.93		$	21.95				$	27.67
Total Return(b)				3.25	%**		(16.04	)%		(14.12	)%				(4.19	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	6,734		$	5,870		$	11,512				$	18,476
Net expenses to average daily net assets(c)				0.85	%*		1.06	%		1.09	%				1.04	%*
Net investment income (loss) to average daily net assets(a)				1.46	%*		1.19	%		0.57	%				0.82	%*
Portfolio turnover rate(d)				50	%**		131	%		190	%				216	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.61	%(e) *		0.17	%		0.09	%(e)				0.08	%(e) *

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,   2023	February 28,   2023	February 28,   2022	February 28,   2021
Portfolio turnover rate including transactions in USTF	57%	143%	215%	236%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

95 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND

			Class III Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	21.64		$	23.00		$	23.32		$	20.09		$	20.33		$	23.92
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.53			0.89			0.96	(b)		0.75	(b)		0.70			0.57
Net realized and unrealized gain (loss)				0.96			(1.36	)		0.25			3.51			(0.17	)		(3.47	)
Total from investment operations				1.49			(0.47	)		1.21			4.26			0.53			(2.90	)
Less distributions to shareholders:
From net investment income				(0.41	)		(0.89	)		(1.53	)		(1.03	)		(0.77	)		(0.69	)
Total distributions				(0.41	)		(0.89	)		(1.53	)		(1.03	)		(0.77	)		(0.69	)
Net asset value, end of period			$	22.72		$	21.64		$	23.00		$	23.32		$	20.09		$	20.33
Total Return(c)				6.90	%**		(1.87	)%		5.08	%(d)		21.60	%(e)		2.29	%		(12.02	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	345,616		$	366,630		$	358,775		$	423,332		$	452,165		$	507,195
Net expenses to average daily net assets(f)				0.67	%*		0.66	%		0.67	%		0.66	%		0.66	%		0.66	%
Net investment income (loss) to average daily net assets(a)				4.72	%*		4.28	%		3.84	%(b)		3.70	%(b)		3.36	%		2.64	%
Portfolio turnover rate(g)				31	%**		51	%		64	%		48	%		46	%		41	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.04	%*		0.04	%		0.03	%		0.03	%		0.03	%(h)		0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

	February 28, 2022				February 28, 2021
		$861,919				$	6,194,610
		3.63	%				2.30	%

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28, 2022
	0.21	%

^(e)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (Note 2).

^(f)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021	February 29,  2020	February 28,  2019
Portfolio turnover rate including transactions in USTF	42%	60%	N/A	N/A	65%	54%

^(h)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 96

GMO Trust Funds

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

			Class IV Shares
	Six Months Ended August 31,
	2023						Year Ended February 28/29,
	(Unaudited)						2023			2022			2021			2020			2019
Net asset value, beginning of period			$	21.60			$	22.96		$	23.28		$	20.05		$	20.29		$	23.87
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.55				0.92			0.96	(b)		0.77	(b)		0.74			0.63
Net realized and unrealized gain (loss)				0.94				(1.38	)		0.26			3.50			(0.20	)		(3.51	)
Total from investment operations				1.49				(0.46	)		1.22			4.27			0.54			(2.88	)
Less distributions to shareholders:
From net investment income				(0.41	)			(0.90	)		(1.54	)		(1.04	)		(0.78	)		(0.70	)
Total distributions				(0.41	)			(0.90	)		(1.54	)		(1.04	)		(0.78	)		(0.70	)
Net asset value, end of period			$	22.68			$	21.60		$	22.96		$	23.28		$	20.05		$	20.29
Total Return(c)				6.92	%**			(1.82	)%		5.16	%(d)		21.71	%(e)		2.34	%		(11.95	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	711,125			$	921,486		$	1,534,339		$	1,765,686		$	2,584,648		$	3,156,760
Net expenses to average daily net assets(f)				0.61	%*			0.60	%		0.61	%		0.60	%		0.60	%		0.60	%
Net investment income (loss) to average daily net assets(a)				4.94	%*			4.42	%		3.88	%(b)		3.81	%(b)		3.53	%		2.89	%
Portfolio turnover rate(g)				31	%**			51	%		64	%		48	%		46	%		41	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.04	%*			0.04	%		0.03	%		0.03	%		0.03	%(h)		0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2022				February 28, 2021
	$3,699,861				$	27,980,578
	3.67	%				2.49	%

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28, 2022
	0.21	%

^(e)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees, had a positive impact to total return, adding 1.58% to each class’s total return (Note 2).

^(f)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021	February 29,  2020	February 28,  2019
Portfolio turnover rate including transactions in USTF	42%	60%	N/A	N/A	65%	54%

^(h)  Ratio includes indirect fees waived or borne by GMO.

^†  Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

97 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY FUND (continued)

			Class I Shares
	Six Months Ended August 31, 2023					Year Ended February 28,					Period from May 24, 2021 (commencement of operations) through February 28,
	(Unaudited)					2023					2022
Net asset value, beginning of period			$	21.72				$	23.08				$	25.79
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.51					0.85					0.44	(b)
Net realized and unrealized gain (loss)				0.96					(1.36	)				(2.05	)
Total from investment operations				1.47					(0.51	)				(1.61	)
Less distributions to shareholders:
From net investment income				(0.40	)				(0.85	)				(1.10	)
Total distributions				(0.40	)				(0.85	)				(1.10	)
Net asset value, end of period			$	22.79				$	21.72				$	23.08
Total Return(c)				6.78	%**				(2.03	)%				(6.27	)%(d) **
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	3,007				$	2,804				$	3,021
Net expenses to average daily net assets(e)				0.84	%*				0.83	%				0.89	%*
Net investment income (loss) to average daily net assets(a)				4.49	%*				4.08	%				2.35	%(b) *
Portfolio turnover rate(f)				31	%**				51	%				64	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.04	%*				0.04	%				0.03	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2022
	$2,264
	1.63	%

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  EU tax reclaim payments and related interest received during the period, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding 0.16% to Class I’s total return (Note 2). Class I commenced operations on May 24, 2021.

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022
Portfolio turnover rate including transactions in USTF	42%	60%	N/A

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 98

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL OPPORTUNISTIC VALUE FUND (FORMERLY TAX-MANAGED INTERNATIONAL EQUITIES FUND)

			Class III Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	13.17		$	14.30		$	15.98		$	13.57		$	13.82		$	17.00
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.21			0.52			0.63	(b)		0.34			0.46			0.37
Net realized and unrealized gain (loss)				0.55			(0.93	)		0.14			2.42			(0.10	)		(2.63	)
Total from investment operations				0.76			(0.41	)		0.77			2.76			0.36			(2.26	)
Less distributions to shareholders:
From net investment income				(0.03	)		(0.48	)		(0.76	)		(0.35	)		(0.61	)		(0.39	)
From net realized gains				—			(0.24	)		(1.69	)		—			—			(0.53	)
Total distributions				(0.03	)		(0.72	)		(2.45	)		(0.35	)		(0.61	)		(0.92	)
Net asset value, end of period			$	13.90		$	13.17		$	14.30		$	15.98		$	13.57		$	13.82
Total Return(c)				5.80	%**		(2.42	)%		4.77	%(d)		20.53	%		2.31	%		(13.50	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	322,942		$	30,686		$	31,781		$	38,960		$	36,228		$	48,739
Net expenses to average daily net assets(e)				0.68	%*		0.68	%		0.84	%(f)		0.73	%		0.80	%		0.79	%
Net investment income (loss) to average daily net assets(a)				3.04	%*		4.06	%		3.78	%(b)		2.47	%		3.28	%		2.47	%
Portfolio turnover rate(g)				31	% **		93	%		86	%		75	%		52	%		63	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.14	%(h) *		0.70	%		0.60	%(h)		0.54	%(h)		0.54	%(h)		0.54	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2022
	$	61,519
		3.62	%

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,
	2022
	0.14	%

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  Net expenses include non-recurring contingent legal fees attributed to EU tax reclaims. The net expense ratio excluding these legal fees is 0.73% (Note 2).

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021	February 29,  2020	February 28,  2019
Portfolio turnover rate including transactions in USTF	57%	134%	107%	77%	65%	117%

^(h)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

99 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

INTERNATIONAL OPPORTUNISTIC VALUE FUND (FORMERLY TAX-MANAGED INTERNATIONAL EQUITIES FUND) (continued)

	Class I Shares
	Period from August 14, 2023 (commencement of operations) through August 31, 2023 (Unaudited)
Net asset value, beginning of period		$	13.92
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.01
Net realized and unrealized gain (loss)			(0.03	)(b)
Total from investment operations			(0.02	)
Net asset value, end of period		$	13.90
Total Return(c)			(0.14	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	51
Net expenses to average daily net assets(d)			0.79	%*
Net investment income (loss) to average daily net assets(a)			0.93	%*
Portfolio turnover rate(e)			31	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.14	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023
Portfolio turnover rate including transactions in USTF		57	%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 100

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND

			Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from December 30, 2021 (commencement of operations) through February 28,
	(Unaudited)					2023						2022
Net asset value, beginning of period			$	16.86				$	19.71					$	19.81
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.23					0.39						(0.03	)
Net realized and unrealized gain (loss)				1.56					(2.27	)					(0.07	)
Total from investment operations				1.79					(1.88	)					(0.10	)
Less distributions to shareholders:
From net investment income				(0.21	)				(0.16	)					—
From net realized gains				—					(0.81	)					—
Total distributions				(0.21	)				(0.97	)					—
Net asset value, end of period			$	18.44				$	16.86					$	19.71
Total Return(b)				10.63	%**				(9.21	)%					(0.50	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	26,624				$	24,808					$	23,673
Net expenses to average daily net assets(c)				0.67	%*				0.67	%					0.66	%*
Net investment income (loss) to average daily net assets(a)				2.59	%*				2.37	%					(0.55	)%*
Portfolio turnover rate				15	%**				39	%					47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.18	%*				0.15	%					0.15	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

101 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND (continued)

			Class VI Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from September 14, 2020 (commencement of operations) through February 28,
	(Unaudited)					2023			2022			2021
Net asset value, beginning of period			$	16.87		$	19.71		$	23.47				$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.26			0.41			0.43					0.17
Net realized and unrealized gain (loss)				1.54			(2.27	)		(0.71	)				3.59
Total from investment operations				1.80			(1.86	)		(0.28	)				3.76
Less distributions to shareholders:
From net investment income				(0.22	)		(0.17	)		(1.50	)				(0.28	)
From net realized gains				—			(0.81	)		(1.98	)				(0.01	)
Total distributions				(0.22	)		(0.98	)		(3.48	)				(0.29	)
Net asset value, end of period			$	18.45		$	16.87		$	19.71				$	23.47
Total Return(b)				10.65	%**		(9.11	)%		(1.45	)%				18.82	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	79,424		$	81,148		$	133,035				$	163,872
Net expenses to average daily net assets(c)				0.58	%*		0.57	%		0.57	%				0.56	%*
Net investment income (loss) to average daily net assets(a)				2.86	%*		2.48	%		1.90	%				1.68	%*
Portfolio turnover rate				15	%**		39	%		47	%				28	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.18	%*		0.14	%		0.08	%				0.23	%*

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 102

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

JAPAN VALUE CREATION FUND (continued)

			Class I Shares
	Six Months Ended August 31, 2023						Year Ended February 28,				Period from June 7, 2021 (commencement of operations) through February 28,
	(Unaudited)						2023				2022
Net asset value, beginning of period			$	16.85				$	19.69				$	24.95
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.14					0.42					0.12
Net realized and unrealized gain (loss)				1.63					(2.32	)				(1.91	)(b)
Total from investment operations				1.77					(1.90	)				(1.79	)
Less distributions to shareholders:
From net investment income				(0.21	)				(0.13	)				(1.49	)
From net realized gains				—					(0.81	)				(1.98	)
Total distributions				(0.21	)				(0.94	)				(3.47	)
Net asset value, end of period			$	18.41				$	16.85				$	19.69
Total Return(c)				10.53	%**				(9.32	)%				(7.43	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	3,730				$	1,549				$	3,107
Net expenses to average daily net assets(d)				0.77	%*				0.77	%				0.77	%*
Net investment income (loss) to average daily net assets(a)				1.52	%*				2.54	%				0.79	%*
Portfolio turnover rate				15	%**				39	%				47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.18	%*				0.19	%				0.12	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

103 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY CYCLICALS FUND

				Class VI Shares
		Six Months Ended August 31, 2023					Year Ended February 28,						Period from May 12, 2020 (commencement of operations) through February 28,
		(Unaudited)					2023			2022			2021
Net asset value, beginning of period				$	21.99		$	25.77		$	29.06				$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†					0.18			0.42			0.64					0.38
Net realized and unrealized gain (loss)					1.09			(1.61	)		2.24					10.23
Total from investment operations					1.27			(1.19	)		2.88					10.61
Less distributions to shareholders:
From net investment income					(0.16	)		(0.59	)		(0.84	)				(0.60	)
From net realized gains					(1.04	)		(2.00	)		(5.33	)				(0.95	)
Total distributions					(1.20	)		(2.59	)		(6.17	)				(1.55	)
Net asset value, end of period				$	22.06		$	21.99		$	25.77				$	29.06
Total Return(b)					5.79	%**		(3.67	)%		10.22	%				53.56	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)				$	73,333		$	69,605		$	141,465				$	141,989
Net expenses to average daily net assets(c)					0.41	%*		0.40	%		0.40	%				0.40	%*
Net investment income (loss) to average daily net assets(a)					1.64	%*		1.90	%		2.20	%				1.92	%*
Portfolio turnover rate(d)					8	%**		17	%		22	%				65	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:					0.19	%(e) *		0.15	%		0.08	%				0.20	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,    2023			February 28,     2023			February 28,     2022			February 28,     2021
Portfolio turnover rate including transactions in USTF		17	%		29	%		27	%		70	%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 104

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY CYCLICALS FUND (continued)

			Class I Shares
	Six Months Ended August 31, 2023						Year Ended February 28,							Period from July 16, 2021 (commencement of operations) through February 28,
	(Unaudited)						2023							2022
Net asset value, beginning of period			$	21.99					$	25.76						$	28.45
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.16						0.38							0.34
Net realized and unrealized gain (loss)				1.09						(1.60	)						(0.05	)(b)
Total from investment operations				1.25						(1.22	)						0.29
Less distributions to shareholders:
From net investment income				(0.15	)					(0.55	)						(0.47	)
From net realized gains				(1.04	)					(2.00	)						(2.51	)
Total distributions				(1.19	)					(2.55	)						(2.98	)
Net asset value, end of period			$	22.05					$	21.99						$	25.76
Total Return(c)				5.68	%**					(3.84	)%						1.42	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	70					$	70						$	81
Net expenses to average daily net assets(d)				0.61	%*					0.60	%						0.59	%*
Net investment income (loss) to average daily net assets(a)				1.45	%*					1.70	%						1.92	%*
Portfolio turnover rate(e)				8	%**					17	%						22	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.19	%(f) *					0.15	%						0.08	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022
Portfolio turnover rate including transactions in USTF	17%	29%	27%

^(f)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

105 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND

	Class III Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	23.76		$	28.05		$	25.98		$	22.77		$	22.28		$	25.13
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.15			0.29			0.33	(b)		0.32			0.35			0.35
Net realized and unrealized gain (loss)				4.31			(1.80	)		3.56			6.37			2.15			1.21
Total from investment operations				4.46			(1.51	)		3.89			6.69			2.50			1.56
Less distributions to shareholders:
From net investment income				(0.05	)		(0.30	)		(0.32	)		(0.35	)		(0.36	)		(0.39	)
From net realized gains				—			(2.48	)		(1.50	)		(3.13	)		(1.65	)		(4.02	)
Total distributions				(0.05	)		(2.78	)		(1.82	)		(3.48	)		(2.01	)		(4.41	)
Net asset value, end of period			$	28.17		$	23.76		$	28.05		$	25.98		$	22.77		$	22.28
Total Return(c)				18.76	%**		(5.30	)%		14.71	%(d)		30.83	%		10.64	%		6.86	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	2,807,771		$	2,885,807		$	2,996,330		$	3,519,473		$	3,195,240		$	3,065,461
Net expenses to average daily net assets(e)				0.50	%*		0.49	%		0.48	%		0.48	%		0.48	%		0.48	%
Net investment income (loss) to average daily net assets(a)				1.16	%*		1.14	%		1.12	%(b)		1.33	%		1.44	%		1.42	%
Portfolio turnover rate(f)				10	%**		15	%		18	%		28	%		17	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.01	%(g) *		0.02	%		0.02	%(g)		0.02	%(g)		0.02	%(g)		0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2022
$	6,233,641
	0.94	%

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,   2023	February 28,   2023	February 28,   2022	February 28,   2021	February 29,   2020	February 28,   2019
Portfolio turnover rate including transactions in USTF	17%	24%	18%	28%	17%	20%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 106

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class IV Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	23.84		$	28.13		$	26.04		$	22.82		$	22.32		$	25.17
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.16			0.30			0.32	(b)		0.34			0.37			0.36
Net realized and unrealized gain (loss)				4.31			(1.80	)		3.60			6.37			2.14			1.22
Total from investment operations				4.47			(1.50	)		3.92			6.71			2.51			1.58
Less distributions to shareholders:
From net investment income				(0.05	)		(0.31	)		(0.33	)		(0.36	)		(0.36	)		(0.41	)
From net realized gains				—			(2.48	)		(1.50	)		(3.13	)		(1.65	)		(4.02	)
Total distributions				(0.05	)		(2.79	)		(1.83	)		(3.49	)		(2.01	)		(4.43	)
Net asset value, end of period			$	28.26		$	23.84		$	28.13		$	26.04		$	22.82		$	22.32
Total Return(c)				18.75	%**		(5.23	)%		14.79	%(d)		30.86	%		10.70	%		6.91	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	762,866		$	418,403		$	912,163		$	750,632		$	852,866		$	1,139,024
Net expenses to average daily net assets(e)				0.45	%*		0.45	%		0.44	%		0.44	%		0.44	%		0.44	%
Net investment income (loss) to average daily net assets(a)				1.20	%*		1.19	%		1.08	%(b)		1.37	%		1.52	%		1.46	%
Portfolio turnover rate(f)				10	%**		15	%		18	%		28	%		17	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.01	%(g) *		0.02	%		0.02	%(g)		0.02	%(g)		0.02	%(g)		0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2022
$	1,577,219
	0.91	%

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,    2022	February 28,    2021	February 29,  2020	February 28,  2019
Portfolio turnover rate including transactions in USTF	17%	24%	18%	28%	17%	20%

^(g) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

107 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class VI Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	23.76		$	28.06		$	25.98		$	22.77		$	22.28		$	25.13
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.17			0.32			0.34	(b)		0.35			0.37			0.38
Net realized and unrealized gain (loss)				4.30			(1.82	)		3.60			6.37			2.15			1.21
Total from investment operations				4.47			(1.50	)		3.94			6.72			2.52			1.59
Less distributions to shareholders:
From net investment income				(0.05	)		(0.32	)		(0.36	)		(0.38	)		(0.38	)		(0.42	)
From net realized gains				—			(2.48	)		(1.50	)		(3.13	)		(1.65	)		(4.02	)
Total distributions				(0.05	)		(2.80	)		(1.86	)		(3.51	)		(2.03	)		(4.44	)
Net asset value, end of period			$	28.18		$	23.76		$	28.06		$	25.98		$	22.77		$	22.28
Total Return(c)				18.84	%**		(5.24	)%		14.86	%(d)		30.95	%		10.73	%		6.96	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	2,522,833		$	2,224,691		$	3,461,580		$	2,465,066		$	2,077,277		$	2,227,287
Net expenses to average daily net assets(e)				0.40	%*		0.40	%		0.39	%		0.39	%		0.39	%		0.39	%
Net investment income (loss) to average daily net assets(a)				1.26	%*		1.24	%		1.16	%(b)		1.41	%		1.55	%		1.54	%
Portfolio turnover rate(f)				10	%**		15	%		18	%		28	%		17	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.01	%(g) *		0.02	%		0.02	%(g)		0.02	%(g)		0.02	%(g)		0.02	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2022
$	5,862,655
	0.99	%

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021	February 29,  2020	February 28,  2019
Portfolio turnover rate including transactions in USTF	17%	24%	18%	28%	17%	20%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 108

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2023					Year Ended February 28,									Period from November 12, 2019 (commencement of operations) through February 29,
	(Unaudited)					2023			2022			2021			2020
Net asset value, beginning of period			$	23.73		$	28.02		$	25.96		$	22.76				$	25.21
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.16			0.28			0.32	(b)		0.30					0.10
Net realized and unrealized gain (loss)				4.29			(1.79	)		3.57			6.39					(0.83	)
Total from investment operations				4.45			(1.51	)		3.89			6.69					(0.73	)
Less distributions to shareholders:
From net investment income				(0.05	)		(0.30	)		(0.33	)		(0.36	)				(0.32	)
From net realized gains				—			(2.48	)		(1.50	)		(3.13	)				(1.40	)
Total distributions				(0.05	)		(2.78	)		(1.83	)		(3.49	)				(1.72	)
Net asset value, end of period			$	28.13		$	23.73		$	28.02		$	25.96				$	22.76
Total Return(c)				18.75	%**		(5.29	)%		14.71	%(d)		30.81	%				(3.39	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	919,949		$	769,960		$	507,232		$	330,287				$	77,375
Net expenses to average daily net assets(e)				0.49	%*		0.48	%		0.48	%		0.48	%				0.49	%*
Net investment income (loss) to average daily net assets(a)				1.17	%*		1.12	%		1.07	%(b)		1.22	%				1.31	%*
Portfolio turnover rate(f)				10	%**		15	%		18	%		28	%				17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.02	%(g) *		0.03	%		0.02	%(g)		0.02	%(g)				0.02	%(g) *

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2022
$	822,832
	0.89	%

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021	February 29,  2020
Portfolio turnover rate including transactions in USTF	17%	24%	18%	28%	17%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

109 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

QUALITY FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2023					Year Ended February 28,									Period from September 26, 2019 (commencement of operations) through February 29,
	(Unaudited)					2023			2022			2021			2020
Net asset value, beginning of period			$	23.70		$	27.99		$	25.93		$	22.75				$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.14			0.26			0.28	(b)		0.28					0.12
Net realized and unrealized gain (loss)				4.29			(1.80	)		3.58			6.37					0.39
Total from investment operations				4.43			(1.54	)		3.86			6.65					0.51
Less distributions to shareholders:
From net investment income				(0.04	)		(0.27	)		(0.30	)		(0.34	)				(0.31	)
From net realized gains				—			(2.48	)		(1.50	)		(3.13	)				(1.40	)
Total distributions				(0.04	)		(2.75	)		(1.80	)		(3.47	)				(1.71	)
Net asset value, end of period			$	28.09		$	23.70		$	27.99		$	25.93				$	22.75
Total Return(c)				18.71	%**		(5.40	)%		14.62	%(d)		30.66	%				1.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	831,776		$	486,544		$	481,865		$	303,447				$	80,110
Net expenses to average daily net assets(e)				0.59	%*		0.58	%		0.58	%		0.58	%				0.57	%*
Net investment income (loss) to average daily net assets(a)				1.08	%*		1.04	%		0.96	%(b)		1.12	%				1.13	%*
Portfolio turnover rate(f)				10	%**		15	%		18	%		28	%				17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.04	%(g) *		0.04	%		0.04	%(g)		0.02	%(g)				0.02	%(g) *

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2022
$	779,657
	0.79	%

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class’s total return (Note 2):

February 28,

2022

0.20%

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021	February 29,  2020
Portfolio turnover rate including transactions in USTF	17%	24%	18%	28%	17%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 110

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCE TRANSITION FUND

	Class VI Shares
	Six Months Ended August 31, 2023					Period from February 15, 2023 (commencement of operations) through February 28,
	(Unaudited)					2023
Net asset value, beginning of period			$	18.98				$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.30					0.01
Net realized and unrealized gain (loss)				(2.39	)				(1.03	)
Total from investment operations				(2.09	)				(1.02	)
Less distributions to shareholders:
From net investment income				(0.02	)				—
Total distributions				(0.02	)				—
Net asset value, end of period			$	16.87				$	18.98
Total Return(b)				(11.04	)%**				(5.10	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	409,578				$	460,209
Net expenses to average daily net assets(c)				0.86	%*				0.86	%*
Net investment income (loss) to average daily net assets(a)				3.36	%*				1.39	%*
Portfolio turnover rate(d)				39	%**				0	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.07	%(e) *				0.73	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023
Portfolio turnover rate including transactions in USTF	44%	2%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

111 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	25.06		$	28.39		$	27.81		$	18.11		$	20.31		$	20.88
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.67			1.13			1.54			0.48			0.65			0.54
Net realized and unrealized gain (loss)				(1.43	)		(1.74	)		2.00			10.13			(2.22	)		(0.37	)
Total from investment operations				(0.76	)		(0.61	)		3.54			10.61			(1.57	)		0.17
Less distributions to shareholders:
From net investment income				(0.22	)		(1.10	)		(1.35	)		(0.47	)		(0.63	)		(0.74	)
From net realized gains				(0.48	)		(1.62	)		(1.61	)		(0.44	)		—			—
Total distributions				(0.70	)		(2.72	)		(2.96	)		(0.91	)		(0.63	)		(0.74	)
Net asset value, end of period			$	23.60		$	25.06		$	28.39		$	27.81		$	18.11		$	20.31
Total Return(b)				(3.08	)%**		(1.47	)%		13.29	%		59.36	%		(8.14	)%		0.99	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	224,790		$	322,035		$	239,225		$	96,091		$	201,320		$	169,523
Net expenses to average daily net assets(c)				0.71	%*		0.72	%		0.71	%		0.72	%		0.73	%		0.74	%(d)
Net investment income (loss) to average daily net assets(a)				5.54	%*		4.26	%		5.32	%		2.44	%		3.24	%		2.68	%
Portfolio turnover rate(e)				24	%**		65	%		60	%		86	%		37	%		35	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.00	%(f) (g) *		—			—			0.00	%(f) (g)		0.00	%(f) (g)		—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			$	—		$	—		$	—		$	—		$	0.01		$	0.02

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Includes recoupment of past reimbursed and/or waived fees (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021	February 29,  2020	February 28,  2019
Portfolio turnover rate including transactions in USTF	46%	72%	60%	89%	101%	69%

^(f)  Ratio includes indirect fees waived or borne by GMO.

^(g)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 112

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class IV Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	24.98		$	28.30		$	27.73		$	18.06		$	20.24		$	20.81
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.72			1.13			1.79			0.47			0.68			0.62
Net realized and unrealized gain (loss)				(1.47	)		(1.72	)		1.76			10.12			(2.22	)		(0.46	)
Total from investment operations				(0.75	)		(0.59	)		3.55			10.59			(1.54	)		0.16
Less distributions to shareholders:
From net investment income				(0.23	)		(1.11	)		(1.37	)		(0.48	)		(0.64	)		(0.73	)
From net realized gains				(0.48	)		(1.62	)		(1.61	)		(0.44	)		—			—
Total distributions				(0.71	)		(2.73	)		(2.98	)		(0.92	)		(0.64	)		(0.73	)
Net asset value, end of period			$	23.52		$	24.98		$	28.30		$	27.73		$	18.06		$	20.24
Total Return(b)				(3.06	)%**		(1.40	)%		13.34	%		59.42	%		(8.03	)%		0.98	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	484,263		$	344,000		$	383,353		$	531,006		$	311,515		$	336,954
Net expenses to average daily net assets(c)				0.66	%*		0.67	%		0.65	%		0.67	%		0.68	%		0.70	%(d)
Net investment income (loss) to average daily net assets(a)				5.96	%*		4.32	%		6.21	%		2.33	%		3.40	%		3.06	%
Portfolio turnover rate(e)				24	%**		65	%		60	%		86	%		37	%		35	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.00	%(f) (g) *		—			—			0.00	%(f) (g)		0.00	%(f) (g)		—
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			$	—		$	—		$	—		$	—		$	0.01		$	0.02

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Includes recoupment of past reimbursed and/or waived fees (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021	February 29,  2020	February 28,  2019
Portfolio turnover rate including transactions in USTF	46%	72%	60%	89%	101%	69%

^(f)  Ratio includes indirect fees waived or borne by GMO.

^(g)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

113 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from February 8, 2022 (commencement of operations) through February 28,
	(Unaudited)					2023						2022
Net asset value, beginning of period			$	24.96				$	28.30					$	29.11
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.72					1.10						(0.57	)
Net realized and unrealized gain (loss)				(1.47	)				(1.69	)					(0.24	)(b)
Total from investment operations				(0.75	)				(0.59	)					(0.81	)
Less distributions to shareholders:
From net investment income				(0.21	)				(1.13	)					—
From net realized gains				(0.48	)				(1.62	)					—
Total distributions				(0.69	)				(2.75	)					—
Net asset value, end of period			$	23.52				$	24.96					$	28.30
Total Return(c)				(3.06	)%**				(1.39	)%					(2.78	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	58,466				$	65,869					$	842,698
Net expenses to average daily net assets(d)				0.61	%*				0.62	%					0.74	%*
Net investment income (loss) to average daily net assets(a)				6.00	%*				4.21	%					(35.65	)%*
Portfolio turnover rate(e)				24	%**				65	%					60	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.00	%(f) (g) *				—						—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022
Portfolio turnover rate including transactions in USTF	46%	72%	60%

^(f)  Ratio includes indirect fees waived or borne by GMO.

^(g)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 114

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from January 22, 2021 (commencement of operations) through February 28,
	(Unaudited)					2023			2022			2021
Net asset value, beginning of period			$	25.04		$	28.37		$	27.82				$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.72			1.10			(0.06	)				0.03
Net realized and unrealized gain (loss)				(1.49	)		(1.71	)		3.59					0.35
Total from investment operations				(0.77	)		(0.61	)		3.53					0.38
Less distributions to shareholders:
From net investment income				(0.22	)		(1.10	)		(1.37	)				—
From net realized gains				(0.48	)		(1.62	)		(1.61	)				—
Total distributions				(0.70	)		(2.72	)		(2.98	)				—
Net asset value, end of period			$	23.57		$	25.04		$	28.37				$	27.82
Total Return(b)				(3.10	)%**		(1.43	)%		13.25	%				1.38	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	345,864		$	315,904		$	105,086				$	2,617
Net expenses to average daily net assets(c)				0.71	%*		0.72	%		0.74	%				0.71	%*
Net investment income (loss) to average daily net assets(a)				5.93	%*		4.21	%		(0.20	)%				0.98	%*
Portfolio turnover rate(d)				24	%**		65	%		60	%				86	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.00	%(e) (f)*		—			—					—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021
Portfolio turnover rate including transactions in USTF	46%	72%	60%	89%

^(e)  Ratio includes indirect fees waived or borne by GMO.

^(f) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

115 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

RESOURCES FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from January 22, 2021 (commencement of operations) through February 28,
	(Unaudited)					2023			2022			2021
Net asset value, beginning of period			$	25.06		$	28.39		$	27.81				$	27.44
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.71			1.08			1.25					0.02
Net realized and unrealized gain (loss)				(1.49	)		(1.72	)		2.27					0.35
Total from investment operations				(0.78	)		(0.64	)		3.52					0.37
Less distributions to shareholders:
From net investment income				(0.21	)		(1.07	)		(1.33	)				—
From net realized gains				(0.48	)		(1.62	)		(1.61	)				—
Total distributions				(0.69	)		(2.69	)		(2.94	)				—
Net asset value, end of period			$	23.59		$	25.06		$	28.39				$	27.81
Total Return(b)				(3.14	)%**		(1.55	)%		13.19	%				1.35	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	869,435		$	736,470		$	633,189				$	369,102
Net expenses to average daily net assets(c)				0.81	%*		0.82	%		0.81	%				0.81	%*
Net investment income (loss) to average daily net assets(a)				5.90	%*		4.11	%		4.32	%				0.74	%*
Portfolio turnover rate(d)				24	%**		65	%		60	%				86	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.03	%(e) *		0.03	%		—					—

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021
Portfolio turnover rate including transactions in USTF	46%	72%	60%	89%

^(e) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 116

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

SMALL CAP QUALITY FUND

	Class III Shares
	Six Months Ended August 31, 2023						Period from November 15, 2022 (commencement of operations) through February 28,
	(Unaudited)						2023
Net asset value, beginning of period			$	22.12					$	22.96
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.03						0.01
Net realized and unrealized gain (loss)				3.35						1.03
Total from investment operations				3.38						1.04
Less distributions to shareholders:
From net investment income				(0.01	)					(0.01	)
From net realized gains				(0.74	)					(1.87	)
Total distributions				(0.75	)					(1.88	)
Net asset value, end of period			$	24.75					$	22.12
Total Return(b)				15.46	%**					4.57	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	10,991					$	13,391
Net expenses to average daily net assets(c)				0.76	%*					0.75	%*
Net investment income (loss) to average daily net assets(a)				0.25	%*					0.19	%*
Portfolio turnover rate(d)				19	%**					77	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.23	%(e) *					0.85	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023
Portfolio turnover rate including transactions in USTF	23%	78%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

117 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

SMALL CAP QUALITY FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2023					Period from September 20, 2022 (commencement of operations) through February 28,
	(Unaudited)					2023
Net asset value, beginning of period			$	22.13				$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.04					0.02
Net realized and unrealized gain (loss)				3.35					4.00
Total from investment operations				3.39					4.02
Less distributions to shareholders:
From net investment income				(0.01	)				(0.02	)
From net realized gains				(0.74	)				(1.87	)
Total distributions				(0.75	)				(1.89	)
Net asset value, end of period			$	24.77				$	22.13
Total Return(b)				15.50	%**				20.10	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	61,247				$	51,566
Net expenses to average daily net assets(c)				0.66	%*				0.66	%*
Net investment income (loss) to average daily net assets(a)				0.36	%*				0.25	%*
Portfolio turnover rate(d)				19	%**				77	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.23	%(e) *				0.39	%*

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023
Portfolio turnover rate including transactions in USTF	23%	78%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 118

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

SMALL CAP QUALITY FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2023 (Unaudited)					Period from November 15, 2022 (commencement of  operations) through February 28, 2023
Net asset value, beginning of period			$	22.11				$	22.96
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.03					0.01
Net realized and unrealized gain (loss)				3.36					1.02
Total from investment operations				3.39					1.03
Less distributions to shareholders:
From net investment income				(0.01	)				(0.01	)
From net realized gains				(0.74	)				(1.87	)
Total distributions				(0.75	)				(1.88	)
Net asset value, end of period			$	24.75				$	22.11
Total Return(b)				15.49	%**				4.51	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	24				$	21
Net expenses to average daily net assets(c)				0.75	%*				0.75	%*
Net investment income (loss) to average daily net assets(a)				0.27	%*				0.09	%*
Portfolio turnover rate(d)				19	%**				77	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.33	%(e) *				0.61	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023
Portfolio turnover rate including transactions in USTF	23%	78%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

119 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. EQUITY FUND

	Class III Shares
	Six Months Ended August 31, 2023 (Unaudited)					Year Ended February 28/29,
							2023			2022			2021			2020			2019
Net asset value, beginning of period			$	12.54			$	13.69		$	14.39		$	11.89		$	13.07		$	15.41
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.10				0.17			0.21			0.18			0.22			0.23
Net realized and unrealized gain (loss)				0.98				(0.45	)		2.13			3.56			0.21			(0.04	)(b)
Total from investment operations				1.08				(0.28	)		2.34			3.74			0.43			0.19
Less distributions to shareholders:
From net investment income				(0.03	)			(0.17	)		(0.19	)		(0.21	)		(0.32	)		(0.26	)
From net realized gains				(0.71	)			(0.70	)		(2.85	)		(1.03	)		(1.29	)		(2.27	)
Total distributions				(0.74	)			(0.87	)		(3.04	)		(1.24	)		(1.61	)		(2.53	)
Net asset value, end of period			$	12.88			$	12.54		$	13.69		$	14.39		$	11.89		$	13.07
Total Return(c)				8.66	%**			(1.63	)%		15.80	%		33.74	%		2.51	%		1.94	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	53,842			$	50,114		$	80,646		$	105,656		$	83,738		$	131,198
Net expenses to average daily net assets(d)				0.48	%*			0.47	%		0.46	%		0.47	%		0.46	%		0.46	%
Net investment income (loss) to average daily net assets(a)				1.49	%*			1.38	%		1.34	%		1.47	%		1.64	%		1.62	%
Portfolio turnover rate(e)				43	%**			81	%		94	%		66	%		72	%		89	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.05	%(f) *			0.05	%		0.04	%(f)		0.04	%(f)		0.03	%(f)		0.03	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021	February 29,  2020	February 28,  2019
Portfolio turnover rate including transactions in USTF	43%	91%	115%	81%	88%	105%

^(f)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 120

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. EQUITY FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2023 (Unaudited)					Year Ended February 28/29,
						2023			2022			2021			2020			2019
Net asset value, beginning of period			$	12.38		$	13.52		$	14.25		$	11.78		$	12.97		$	15.31
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.10			0.18			0.22			0.19			0.23			0.24
Net realized and unrealized gain (loss)				0.97			(0.44	)		2.11			3.53			0.20			(0.04	)(b)
Total from investment operations				1.07			(0.26	)		2.33			3.72			0.43			0.20
Less distributions to shareholders:
From net investment income				(0.04	)		(0.18	)		(0.21	)		(0.22	)		(0.33	)		(0.27	)
From net realized gains				(0.71	)		(0.70	)		(2.85	)		(1.03	)		(1.29	)		(2.27	)
Total distributions				(0.75	)		(0.88	)		(3.06	)		(1.25	)		(1.62	)		(2.54	)
Net asset value, end of period			$	12.70		$	12.38		$	13.52		$	14.25		$	11.78		$	12.97
Total Return(c)				8.65	%**		(1.47	)%		15.89	%		33.92	%		2.53	%		2.05	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	210,851		$	194,846		$	384,832		$	245,547		$	365,693		$	758,714
Net expenses to average daily net assets(d)				0.38	%*		0.38	%		0.37	%		0.37	%		0.37	%		0.37	%
Net investment income (loss) to average daily net assets(a)				1.58	%*		1.47	%		1.42	%		1.56	%		1.75	%		1.68	%
Portfolio turnover rate(e)				43	%**		81	%		94	%		66	%		72	%		89	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.05	%(f) *		0.05	%		0.04	%(f)		0.04	%(f)		0.03	%(f)		0.03	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023	February 28,  2022	February 28,  2021	February 29,  2020	February 28,  2019
Portfolio turnover rate including transactions in USTF	43%	91%	115%	81%	88%	105%

^(f)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

121 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. OPPORTUNISTIC VALUE FUND

	Class III Shares
	Six Months Ended August 31, 2023 (Unaudited)					Period from February 15, 2023 (commencement of  operations) through February 28, 2023
Net asset value, beginning of period			$	20.20				$	21.07
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.27					0.02
Net realized and unrealized gain (loss)				0.36					(0.89	)(b)
Total from investment operations				0.63					(0.87	)
Less distributions to shareholders:
From net investment income				(0.09	)				—
From net realized gains				(0.31	)				—
Total distributions				(0.40	)				—
Net asset value, end of period			$	20.43				$	20.20
Total Return(c)				3.16	%**				(4.13	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	10				$	10
Net expenses to average daily net assets(d)				0.48	%*				0.47	%*
Net investment income (loss) to average daily net assets(a)				2.69	%*				2.30	%*
Portfolio turnover rate(e)				37	%**				47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.04	%(f) *				0.48	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023
Portfolio turnover rate including transactions in USTF	62%	77%

^(f)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 122

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. OPPORTUNISTIC VALUE FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2023 (Unaudited)					Period from February 15, 2023 (commencement of operations) through February 28, 2023
Net asset value, beginning of period			$	20.20				$	21.07
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.27					0.01
Net realized and unrealized gain (loss)				0.37					(0.88	)(b)
Total from investment operations				0.64					(0.87	)
Less distributions to shareholders:
From net investment income				(0.09	)				—
From net realized gains				(0.31	)				—
Total distributions				(0.40	)				—
Net asset value, end of period			$	20.44				$	20.20
Total Return(c)				3.18	%**				(4.13	)%**
Ratios/Supplemental Data:
Net assets, end of period (000's)			$	138,545				$	62,784
Net expenses to average daily net assets(d)				0.43	%*				0.42	%*
Net investment income (loss) to average daily net assets(a)				2.72	%*				1.94	%*
Portfolio turnover rate(e)				37	%**				47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.04	%(f) *				0.49	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023
Portfolio turnover rate including transactions in USTF	62%	77%

^(f)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

123 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. OPPORTUNISTIC VALUE FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2023 (Unaudited)					Period from December 13, 2022 (commencement of operations) through February 28, 2023
Net asset value, beginning of period			$	20.19				$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.28					0.12
Net realized and unrealized gain (loss)				0.37					0.10
Total from investment operations				0.65					0.22
Less distributions to shareholders:
From net investment income				(0.09	)				(0.03	)
From net realized gains				(0.31	)				—
Total distributions				(0.40	)				(0.03	)
Net asset value, end of period			$	20.44				$	20.19
Total Return(b)				3.22	%**				1.10	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	222,418				$	215,668
Net expenses to average daily net assets(c)				0.38	%*				0.38	%*
Net investment income (loss) to average daily net assets(a)				2.79	%*				2.79	%*
Portfolio turnover rate(d)				37	%**				47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.04	%(e) *				0.28	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023
Portfolio turnover rate including transactions in USTF	62%	77%

^(e)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 124

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

U.S. OPPORTUNISTIC VALUE FUND (continued)

	Class R6 Shares
	Period from August 28, 2023 (commencement of operations) through August  31, 2023 (Unaudited)
Net asset value, beginning of period			$	20.22
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.02
Net realized and unrealized gain (loss)				0.18
Total from investment operations				0.20
Net asset value, end of period			$	20.42
Total Return(b)				0.99	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	0	(c)
Net expenses to average daily net assets(d)				0.46	%*
Net investment income (loss) to average daily net assets(a)				10.56	%*
Portfolio turnover rate(e)				37	%**

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Rounds to less than $1,000.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023
Portfolio turnover rate including transactions in USTF		62%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

125 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. OPPORTUNISTIC VALUE FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2023 (Unaudited)					Period from February 15, 2023 (commencement of  operations) through February 28, 2023
Net asset value, beginning of period			$	20.20				$	21.07
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.34					0.01
Net realized and unrealized gain (loss)				0.28					(0.88	)(b)
Total from investment operations				0.62					(0.87	)
Less distributions to shareholders:
From net investment income				(0.09	)				—
From net realized gains				(0.31	)				—
Total distributions				(0.40	)				—
Net asset value, end of period			$	20.42				$	20.20
Total Return(c)				3.10	%**				(4.13	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	66,173				$	5
Net expenses to average daily net assets(d)				0.59	%*				0.57	%*
Net investment income (loss) to average daily net assets(a)				3.34	%*				1.73	%*
Portfolio turnover rate(e)				37	%**				47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.04	%(f) *				0.47	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31,  2023	February 28,  2023
Portfolio turnover rate including transactions in USTF	62%	77%

^(f)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 126

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. SMALL CAP VALUE FUND

	Class VI Shares
	Six Months Ended August 31, 2023 (Unaudited)					Year Ended February 28,									Period from July 2, 2019 (commencement of operations) through February  29, 2020
						2023			2022			2021
Net asset value, beginning of period			$	17.19		$	19.74		$	24.99		$	18.06				$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.16			0.30			0.33			0.30					0.23
Net realized and unrealized gain (loss)				0.25			(1.08	)		2.89			6.96					(1.99	)
Total from investment operations				0.41			(0.78	)		3.22			7.26					(1.76	)
Less distributions to shareholders:
From net investment income				(0.06	)		(0.45	)		(0.39	)		(0.33	)				(0.18	)
From net realized gains				—			(1.32	)		(8.08	)		—					—
Total distributions				(0.06	)		(1.77	)		(8.47	)		(0.33	)				(0.18	)
Net asset value, end of period			$	17.54		$	17.19		$	19.74		$	24.99				$	18.06
Total Return(b)				2.36	%**		(2.86	)%		13.21	%		40.64	%				(8.95	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	31,205		$	29,428		$	253,810		$	372,498				$	415,508
Net expenses to average daily net assets(c)				0.48	%*		0.45	%		0.42	%		0.41	%				0.44	%*
Net investment income (loss) to average daily net assets(a)				1.94	%*		1.71	%		1.32	%		1.67	%				1.69	%*
Portfolio turnover rate(d)				29	%**		60	%		62	%		86	%				56	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.22	%(e) *		—			0.00	%(e) (f)		0.00	%(e) (f)				0.00	%(e) (f) *

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023			February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020
Portfolio turnover rate including transactions in USTF		36	%		69	%		71	%		98	%		69	%

^(e)  Ratio includes indirect fees waived or borne by GMO.

^(f)  Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

127 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Notes to Financial Statements

August 31, 2023 (Unaudited)

1. Organization

Each of Climate Change Fund, Emerging Markets ex-China Fund, Emerging Markets Fund, Emerging Markets Select Equity Fund, International Equity Fund, International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund), Japan Value Creation Fund, Quality Cyclicals Fund, Quality Fund, Resource Transition Fund, Resources Fund, Small Cap Quality Fund, U.S. Equity Fund, U.S. Opportunistic Value Fund and U.S. Small Cap Value Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”). The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Climate Change Fund	Not Applicable	High total return
Emerging Markets ex-China Fund	MSCI Emerging Markets ex-China Index	Total return in excess of its benchmark
Emerging Markets Fund	MSCI Emerging Markets Index	Total return in excess of its benchmark
Emerging Markets Select Equity Fund	MSCI Emerging Markets Index	Total return above the benchmark
International Equity Fund	Not Applicable	High total return
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)	Not Applicable	Total return
Japan Value Creation Fund	Not Applicable	Total return
Quality Cyclicals Fund	Not Applicable	Total return
Quality Fund	Not Applicable	Total return
Resource Transition Fund	Not Applicable	Total return
Resources Fund	Not Applicable	Total return
Small Cap Quality Fund	Not Applicable	Total return
U.S. Equity Fund	Not Applicable	High total return
U.S. Opportunistic Value Fund	Not Applicable	Total return
U.S. Small Cap Value Fund	S&P SmallCap 600 Value Index	Total return in excess of its benchmark

International Equity Fund currently limits subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

128

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Portfolio valuation

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO 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 source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities 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. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2023, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

129

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

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

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

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

The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; certain equity securities that are valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain equity securities valued off the last traded price with a discount for liquidity; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2023:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	10,254,108	$	—	$	—	$	10,254,108
Australia		—		939,002		—		939,002
Brazil		—		25,895,046		—		25,895,046
Canada		93,170,592		—		—		93,170,592
China		4,253,921		10,296,472		—		14,550,393
Denmark		—		34,591,035		—		34,591,035
Finland		—		8,540,322		—		8,540,322
France		—		83,848,467		—		83,848,467
Germany		—		34,991,008		—		34,991,008
Ireland		—		2,677,207		—		2,677,207
Isle of Man		6,578,000		—		—		6,578,000
Israel		—		4,920,861		—		4,920,861
Italy		—		9,870,925		—		9,870,925
Japan		—		47,610,055		—		47,610,055
Mexico		24,316,669		—		—		24,316,669
Netherlands		—		6,991,548		—		6,991,548
Norway		—		6,179,966		—		6,179,966
Russia		—		—		233,527		233,527
South Korea		—		50,992,023		—		50,992,023
Spain		—		21,277,833		—		21,277,833
Sweden		—		3,013,819		—		3,013,819

130

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Switzerland	$	—	$	1,280,531	$	—	$	1,280,531
Ukraine		—		587,160		—		587,160
United Kingdom		—		4,085,445		—		4,085,445
United States		419,797,636		—		—		419,797,636
TOTAL COMMON STOCKS		558,370,926		358,588,725		233,527		917,193,178
Preferred Stocks
Chile		13,854,797		—		—		13,854,797
TOTAL PREFERRED STOCKS		13,854,797		—		—		13,854,797
Mutual Funds
United States		30,137,927		—		—		30,137,927
TOTAL MUTUAL FUNDS		30,137,927		—		—		30,137,927
Short-Term Investments		570,591		—		—		570,591
Total Investments		602,934,241		358,588,725		233,527		961,756,493
Total	$	602,934,241	$	358,588,725	$	233,527	$	961,756,493
Emerging Markets ex-China Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	6,406,806	$	—	$	6,406,806
Chile		60,393		1,117,162		—		1,177,555
Czech Republic		—		552,457		—		552,457
Egypt		—		1,698,329		—		1,698,329
Greece		—		287,211		—		287,211
Hungary		—		5,783,014		—		5,783,014
India		3,026,632		23,651,569		16,948		26,695,149
Indonesia		—		7,743,823		—		7,743,823
Malaysia		—		417,067		—		417,067
Mexico		19,010,491		—		0§		19,010,491
Poland		—		5,294,986		—		5,294,986
Russia		—		—		446,663		446,663
South Africa		1,724,379		27,303,464		—		29,027,843
South Korea		—		34,693,129		—		34,693,129
Taiwan		8,452,588		60,157,286		—		68,609,874
Thailand		—		4,510,491		—		4,510,491
Turkey		—		2,559,699		—		2,559,699
Vietnam		—		7,034,723		—		7,034,723
TOTAL COMMON STOCKS		32,274,483		189,211,216		463,611		221,949,310
Preferred Stocks
Brazil		1,742,033		16,771,186		—		18,513,219
Russia		—		—		24,881		24,881
TOTAL PREFERRED STOCKS		1,742,033		16,771,186		24,881		18,538,100

131

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Emerging Markets ex-China Fund (continued)
Asset Valuation Inputs (continued)
Rights/Warrants
Brazil	$	5,841	$	—	$	—	$	5,841
TOTAL RIGHTS/WARRANTS		5,841		—		—		5,841
Mutual Funds
United States		6,175,637		—		—		6,175,637
TOTAL MUTUAL FUNDS		6,175,637		—		—		6,175,637
Short-Term Investments		436,009		—		—		436,009
Total Investments		40,634,003		205,982,402		488,492		247,104,897
Total	$	40,634,003	$	205,982,402	$	488,492	$	247,104,897
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	14,526,991	$	—	$	14,526,991
Chile		—		580,266		—		580,266
China		13,776,991		174,337,179		1		188,114,171
Czech Republic		—		1,830,174		—		1,830,174
Egypt		—		2,423,393		—		2,423,393
Greece		—		877,162		—		877,162
Hungary		—		13,390,089		—		13,390,089
India		4,747,221		38,411,979		48,007		43,207,207
Indonesia		—		5,344,081		—		5,344,081
Kuwait		—		496,021		—		496,021
Malaysia		—		1,830,345		—		1,830,345
Mexico		37,765,941		—		0§		37,765,941
Pakistan		—		608,060		—		608,060
Panama		83,243		—		—		83,243
Philippines		—		347,256		—		347,256
Poland		—		4,711,661		—		4,711,661
Qatar		—		507,281		—		507,281
Russia		—		—		2,066,381		2,066,381
Saudi Arabia		—		2,198,405		—		2,198,405
South Africa		2,484,288		70,158,964		—		72,643,252
South Korea		—		47,767,511		25,563		47,793,074
Sri Lanka		—		—		293,369		293,369
Taiwan		—		135,476,295		—		135,476,295
Thailand		—		6,244,466		—		6,244,466
Turkey		—		4,393,101		—		4,393,101
Vietnam		—		18,047,401		—		18,047,401
TOTAL COMMON STOCKS		58,857,684		544,508,081		2,433,321		605,799,086
Preferred Stocks
Brazil		4,273,554		40,907,878		—		45,181,432
Russia		—		—		427,874		427,874
South Korea		—		20,746,416		—		20,746,416
TOTAL PREFERRED STOCKS		4,273,554		61,654,294		427,874		66,355,722

132

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1			Level 2		Level 3		Total
Emerging Markets Fund (continued)
Asset Valuation Inputs (continued)
Rights/Warrants
Brazil	$	12,538		$	—	$	—	$	12,538
TOTAL RIGHTS/WARRANTS		12,538			—		—		12,538
Debt Obligations
United States		1,001,489			—		—		1,001,489
TOTAL DEBT OBLIGATIONS		1,001,489			—		—		1,001,489
Mutual Funds
United States		32,438,334			—		—		32,438,334
TOTAL MUTUAL FUNDS		32,438,334			—		—		32,438,334
Short-Term Investments		2,366,391			—		—		2,366,391
Total Investments		98,949,990			606,162,375		2,861,195		707,973,560
Total	$	98,949,990		$	606,162,375	$	2,861,195	$	707,973,560
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(1,069,604	)	$	—	$	—	$	(1,069,604	)
Total	$	(1,069,604	)	$	—	$	—	$	(1,069,604	)
Emerging Markets Select Equity Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	602,466		$	3,092,751	$	—	$	3,695,217
China		1,685,031			13,254,371		—		14,939,402
France		—			609,215		—		609,215
Greece		—			812,854		—		812,854
India		—			12,809,686		—		12,809,686
Indonesia		—			4,226,303		—		4,226,303
Japan		—			397,575		—		397,575
Mexico		3,088,386			—		—		3,088,386
Philippines		—			183,580		—		183,580
Russia		—			—		66,134		66,134
South Korea		—			4,308,601		—		4,308,601
Switzerland		—			716,627		—		716,627
Taiwan		—			9,822,829		—		9,822,829
United Kingdom		—			999,092		—		999,092
United States		945,425			341,452		—		1,286,877
Vietnam		—			2,302,482		—		2,302,482
TOTAL COMMON STOCKS		6,321,308			53,877,418		66,134		60,264,860
Preferred Stocks
Brazil		—			1,039,693		—		1,039,693
TOTAL PREFERRED STOCKS		—			1,039,693		—		1,039,693

133

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1			Level 2		Level 3		Total
Emerging Markets Select Equity Fund (continued)
Asset Valuation Inputs (continued)
Investment Funds
Russia	$	—		$	—	$	9,610	$	9,610
TOTAL INVESTMENT FUNDS		—			—		9,610		9,610
Mutual Funds
United States		514,068			—		—		514,068
TOTAL MUTUAL FUNDS		514,068			—		—		514,068
Short-Term Investments		530,645			—		—		530,645
Total Investments		7,366,021			54,917,111		75,744		62,358,876
Total	$	7,366,021		$	54,917,111	$	75,744	$	62,358,876
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(99,871	)	$	—	$	—	$	(99,871	)
Total	$	(99,871	)	$	—	$	—	$	(99,871	)
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	38,786,360	$	—	$	38,786,360
Belgium		—			22,522,194		—		22,522,194
Denmark		—			522,278		—		522,278
Finland		—			5,407,379		—		5,407,379
France		25,071,477			138,789,631		—		163,861,108
Germany		—			31,001,972		—		31,001,972
Hong Kong		—			14,107,978		—		14,107,978
Ireland		1,267,519			9,471,998		—		10,739,517
Italy		—			44,796,642		—		44,796,642
Japan		—			275,759,312		—		275,759,312
Netherlands		—			77,179,333		—		77,179,333
Norway		—			26,415,388		—		26,415,388
Portugal		—			3,878,529		—		3,878,529
Singapore		—			30,979,104		—		30,979,104
Spain		—			68,139,026		—		68,139,026
Sweden		—			6,337,301		—		6,337,301
Switzerland		30,342,950			32,832,588		—		63,175,538
United Kingdom		6,612,840			131,407,412		—		138,020,252
United States		—			258,098		—		258,098
TOTAL COMMON STOCKS		63,294,786			958,592,523		—		1,021,887,309
Preferred Stocks
Germany		—			17,643,029		—		17,643,029
TOTAL PREFERRED STOCKS		—			17,643,029		—		17,643,029
Debt Obligations
United States		1,000,241			—		—		1,000,241
TOTAL DEBT OBLIGATIONS		1,000,241			—		—		1,000,241

134

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1			Level 2		Level 3		Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Mutual Funds
United States	$	70,246,735		$	—	$	—	$	70,246,735
TOTAL MUTUAL FUNDS		70,246,735			—		—		70,246,735
Short-Term Investments		1,168,664			—		—		1,168,664
Total Investments		135,710,426			976,235,552		—		1,111,945,978
Total	$	135,710,426		$	976,235,552	$	—	$	1,111,945,978
Liability Valuation Inputs
Derivatives^
Futures Contracts
Equity Risk	$	(388,131	)	$	—	$	—	$	(388,131	)
Total	$	(388,131	)	$	—	$	—	$	(388,131	)
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	15,853,833	$	—	$	15,853,833
Austria		—			2,319,644		—		2,319,644
Belgium		—			2,962,562		—		2,962,562
Canada		34,422,426			—		—		34,422,426
Denmark		—			5,673,394		—		5,673,394
Finland		—			8,971,576		—		8,971,576
France		449,159			41,924,123		—		42,373,282
Germany		—			13,725,488		—		13,725,488
Hong Kong		—			7,900,911		—		7,900,911
Ireland		863,550			—		—		863,550
Italy		405,224			13,906,964		—		14,312,188
Japan		4,955,155			67,600,937		—		72,556,092
Netherlands		—			15,129,617		—		15,129,617
Norway		—			4,401,077		—		4,401,077
Portugal		—			4,723		—		4,723
Russia		—			—		32		32
Singapore		—			1,702,637		—		1,702,637
Spain		—			14,743,748		—		14,743,748
Sweden		—			8,192,045		—		8,192,045
Switzerland		5,615,344			14,375,193		—		19,990,537
United Kingdom		21,679,805			10,810,444		—		32,490,249
TOTAL COMMON STOCKS		68,390,663			250,198,916		32		318,589,611
Preferred Stocks
Germany		—			1,996,934		—		1,996,934
TOTAL PREFERRED STOCKS		—			1,996,934		—		1,996,934
Mutual Funds
United States		2,700,000			—		—		2,700,000
TOTAL MUTUAL FUNDS		2,700,000			—		—		2,700,000

135

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund) (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	324,672	$	—	$	—	$	324,672
Total Investments		71,415,335		252,195,850		32		323,611,217
Total	$	71,415,335	$	252,195,850	$	32	$	323,611,217
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—	$	107,807,834	$	—	$	107,807,834
Short-Term Investments		2,715,325		—		—		2,715,325
Total Investments		2,715,325		107,807,834		—		110,523,159
Total	$	2,715,325	$	107,807,834	$	—	$	110,523,159
Quality Cyclicals Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	126,190	$	—	$	126,190
Canada		3,464,803		—		—		3,464,803
China		—		2,241,526		—		2,241,526
Finland		—		1,120,283		—		1,120,283
France		—		6,184,395		—		6,184,395
Germany		—		1,709,883		—		1,709,883
Hong Kong		—		1,034,431		—		1,034,431
Ireland		2,168,712		—		—		2,168,712
Mexico		5,020,829		—		—		5,020,829
Russia		—		—		36,726		36,726
Spain		—		4,224,921		—		4,224,921
United Kingdom		—		6,473,550		—		6,473,550
United States		37,913,126		—		—		37,913,126
TOTAL COMMON STOCKS		48,567,470		23,115,179		36,726		71,719,375
Preferred Stocks
Brazil		—		1,113,720		—		1,113,720
TOTAL PREFERRED STOCKS		—		1,113,720		—		1,113,720
Mutual Funds
United States		627,028		—		—		627,028
TOTAL MUTUAL FUNDS		627,028		—		—		627,028
Short-Term Investments		13,893		—		—		13,893
Total Investments		49,208,391		24,228,899		36,726		73,474,016
Total	$	49,208,391	$	24,228,899	$	36,726	$	73,474,016
Quality Fund
Asset Valuation Inputs
Common Stocks
China	$	—	$	89,120,786	$	—	$	89,120,786
France		—		345,474,518		—		345,474,518

136

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Quality Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Germany	$	—	$	252,557,502	$	—	$	252,557,502
Spain		—		56,060,888		—		56,060,888
Switzerland		—		242,379,986		—		242,379,986
Taiwan		—		200,487,064		—		200,487,064
United Kingdom		—		448,645,791		—		448,645,791
United States		6,086,252,361		—		—		6,086,252,361
TOTAL COMMON STOCKS		6,086,252,361		1,634,726,535		—		7,720,978,896
Mutual Funds
United States		128,519,053		—		—		128,519,053
TOTAL MUTUAL FUNDS		128,519,053		—		—		128,519,053
Short-Term Investments		1,964,501		—		—		1,964,501
Total Investments		6,216,735,915		1,634,726,535		—		7,851,462,450
Total	$	6,216,735,915	$	1,634,726,535	$	—	$	7,851,462,450
Resource Transition Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	7,983,192	$	—	$	—	$	7,983,192
Australia		—		1,811,510		—		1,811,510
Brazil		—		22,696,569		—		22,696,569
Canada		53,479,151		—		—		53,479,151
China		—		2,617,964		—		2,617,964
Denmark		—		7,642,383		—		7,642,383
Finland		—		4,549,823		—		4,549,823
France		—		12,584,403		—		12,584,403
Israel		—		4,541,762		—		4,541,762
Italy		—		1,089,558		—		1,089,558
Japan		—		9,233,585		—		9,233,585
Mexico		11,088,933		—		—		11,088,933
Norway		—		3,956,102		—		3,956,102
South Africa		—		14,507,156		—		14,507,156
Spain		—		929,094		—		929,094
Sweden		—		2,862,680		—		2,862,680
United Kingdom		—		56,139,265		—		56,139,265
United States		149,643,521		—		—		149,643,521
TOTAL COMMON STOCKS		222,194,797		145,161,854		—		367,356,651
Preferred Stocks
Brazil		—		24,800,933		—		24,800,933
Chile		8,556,053		—		—		8,556,053
TOTAL PREFERRED STOCKS		8,556,053		24,800,933		—		33,356,986
Mutual Funds
United States		5,653,412		—		—		5,653,412
TOTAL MUTUAL FUNDS		5,653,412		—		—		5,653,412

137

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Resource Transition Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	1,038,432	$	—	$	—	$	1,038,432
Total Investments		237,442,694		169,962,787		—		407,405,481
Total	$	237,442,694	$	169,962,787	$	—	$	407,405,481
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	22,750,777	$	—	$	—	$	22,750,777
Australia		—		16,030,646		—		16,030,646
Austria		—		22,135,764		—		22,135,764
Brazil		—		62,056,446		—		62,056,446
Canada		182,020,658		—		—		182,020,658
China		—		25,014,411		—		25,014,411
Denmark		—		24,232,841		—		24,232,841
Finland		—		13,563,517		—		13,563,517
France		—		38,477,722		—		38,477,722
Hungary		—		14,901,665		—		14,901,665
India		—		23,561,955		—		23,561,955
Isle of Man		17,460,300		—		—		17,460,300
Israel		—		22,333,753		—		22,333,753
Italy		—		42,294,000		—		42,294,000
Japan		—		27,511,016		—		27,511,016
Mexico		34,446,674		—		—		34,446,674
Norway		—		49,980,228		—		49,980,228
Pakistan		—		658,537		—		658,537
Portugal		—		91,996,799		—		91,996,799
Russia		—		—		1,614,774		1,614,774
Singapore		—		—		0§		0§
South Africa		—		44,345,082		—		44,345,082
Spain		—		40,302,330		—		40,302,330
Sweden		—		8,182,375		—		8,182,375
Turkey		—		4,691,435		—		4,691,435
Ukraine		—		1,338,070		—		1,338,070
United Kingdom		—		289,391,424		—		289,391,424
United States		649,316,604		—		—		649,316,604
TOTAL COMMON STOCKS		905,995,013		863,000,016		1,614,774		1,770,609,803
Preferred Stocks
Brazil		—		154,070,853		—		154,070,853
Chile		26,713,099		—		—		26,713,099
Russia		—		—		562,325		562,325
TOTAL PREFERRED STOCKS		26,713,099		154,070,853		562,325		181,346,277
Mutual Funds
United States		15,131,789		—		—		15,131,789
TOTAL MUTUAL FUNDS		15,131,789		—		—		15,131,789

138

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Short-Term Investments	$	774,663	$	—	$	—	$	774,663
Total Investments		948,614,564		1,017,070,869		2,177,099		1,967,862,532
Total	$	948,614,564	$	1,017,070,869	$	2,177,099	$	1,967,862,532
Small Cap Quality Fund
Asset Valuation Inputs
Common Stocks	$	71,226,277	$	—	$	—	$	71,226,277
Mutual Funds		1,447,496		—		—		1,447,496
Short-Term Investments		320,708		—		—		320,708
Total Investments		72,994,481		—		—		72,994,481
Total	$	72,994,481	$	—	$	—	$	72,994,481
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	260,451,706	$	—	$	—	$	260,451,706
Mutual Funds		3,664,361		—		—		3,664,361
Debt Obligations		350,521		—		—		350,521
Short-Term Investments		513,141		—		—		513,141
Total Investments		264,979,729		—		—		264,979,729
Derivatives^
Futures Contracts
Equity Risk		59,882		—		—		59,882
Total	$	265,039,611	$	—	$	—	$	265,039,611
U.S. Opportunistic Value Fund
Asset Valuation Inputs
Common Stocks	$	416,214,108	$	—	$	—	$	416,214,108
Mutual Funds		9,504,260		—		—		9,504,260
Short-Term Investments		317,511		—		—		317,511
Total Investments		426,035,879		—		—		426,035,879
Total	$	426,035,879	$	—	$	—	$	426,035,879
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	30,917,220	$	—	$	—	$	30,917,220
Mutual Funds		153,827		—		—		153,827
Rights/Warrants		—		—		36,350		36,350
Short-Term Investments		125,949		—		—		125,949
Total Investments		31,196,996		—		36,350		31,233,346
Total	$	31,196,996	$	—	$	36,350	$	31,233,346

139

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2023.

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

Cash

Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include marked-to-market amounts related to foreign currency or cash owed.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Rights and warrants

The Funds 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 set 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, warrants and rights often do not have standardized terms, and 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/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the following business day. Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, the inability to invest proceeds from the sales of such securities and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline and bears the risk of total loss with respect to the investment of collateral.

140

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

At August 31, 2023, securities on loan at value and collateral from securities on loan are listed below:

Fund Name	Value of securities  on loan ($)		Cash  collateral ($)		Non-cash  collateral ($)*		Total  collateral ($)
Climate Change Fund		32,557,850		26,894,588		7,804,463		34,699,051
Emerging Markets Fund		14,622,460		—		15,635,101		15,635,101
Resources Fund		129,198,140		—		136,562,073		136,562,073

* Non-cash collateral is comprised of U.S. Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

Information regarding the value of the securities loaned and the value of cash collateral at period end is included in the Statements of Assets and Liabilities.

Taxes and distributions

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

As a result of court cases involving several countries across the European Union, certain Funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned (“EU tax reclaims”). These filings are subject to various administrative proceedings by each local jurisdiction’s tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees. Such fees are presented within Legal fees in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund’s net asset value. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service (the “IRS”). Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its shareholders). Based on current guidance from the IRS, it is expected that International Equity Fund and International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund) will enter into a closing agreement with the IRS. Accordingly, estimated charges related to International Equity Fund and International Opportunistic Value Fund’s (formerly Tax-Managed International Equities Fund) closing agreement liabilities are presented as a reduction of Investment Income in the Statements of Operations and their estimated closing agreement liabilities are presented as Payable for IRS closing agreement fees in the Statements of Assets and Liabilities.

141

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2023, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.

As of February 28, 2023, certain Funds elected to defer to March 1, 2023 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year  Ordinary Loss  Deferral ($)	Post-October Capital Losses Deferral ($)
Climate Change Fund	—		—
Emerging Markets ex-China Fund	—		(1,600,297	)
Emerging Markets Fund	—		(16,286,704	)
Emerging Markets Select Equity Fund	—		(16,310,162	)
International Equity Fund	—		(12,365,740	)
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)	—		—
Japan Value Creation Fund	—		(1,723,625	)
Quality Cyclicals Fund	—		—
Quality Fund	—		(43,083,480	)
Resource Transition Fund	—		—
Resources Fund	—		—
Small Cap Quality Fund	—		—
U.S. Equity Fund	—		—
U.S. Opportunistic Value Fund	—		—
U.S. Small Cap Value Fund	—		—

As of February 28, 2023, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2023, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

Fund Name	Short-Term ($)			Long-Term ($)
Climate Change Fund		(503,543	)		(2,314,527	)
Emerging Markets ex-China Fund		(13,036,850	)		—
Emerging Markets Fund		(185,574,143	)		(1,112,275,280	)
Emerging Markets Select Equity Fund		(97,432,541	)		(27,140,854	)

142

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Fund Name	Short-Term ($)	Long-Term ($)
International Equity Fund	(800,218,525)	(98,670,937)
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)	(2,758,138)	—
Japan Value Creation Fund	(51,479)	(3,628,512)
Quality Cyclicals Fund	—	—
Quality Fund	—	—
Resource Transition Fund	—	—
Resources Fund	—	—
Small Cap Quality Fund	—	—
U.S. Equity Fund	—	—
U.S. Opportunistic Value Fund	—	—
U.S. Small Cap Value Fund	(5,302,487)	—

As of August 31, 2023, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments, for U.S. federal income tax purposes were as follows:

	Total Investments									Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized  Appreciation ($)		Gross Unrealized  (Depreciation) ($)			Net Unrealized  Appreciation  (Depreciation) ($)		Net Unrealized Appreciation (Depreciation) ($)
Climate Change Fund		1,069,318,952		80,936,867		(188,499,326	)		(107,562,459)		—
Emerging Markets ex-China Fund		338,955,788		16,863,437		(108,714,328	)		(91,850,891)		—
Emerging Markets Fund		1,215,751,896		34,065,449		(541,843,785	)		(507,778,336)		(1,069,604)
Emerging Markets Select Equity Fund		81,570,320		2,845,759		(22,057,203	)		(19,211,444)		(99,871)
International Equity Fund		1,142,188,623		81,697,254		(111,939,899	)		(30,242,645)		(388,131)
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		320,396,386		10,155,802		(6,940,971	)		3,214,831		—
Japan Value Creation Fund		116,554,654		8,699,010		(14,730,505	)		(6,031,495)		—
Quality Cyclicals Fund		59,015,483		19,242,172		(4,783,639	)		14,458,533		—
Quality Fund		4,449,388,357		3,484,368,706		(82,294,613	)		3,402,074,093		—
Resource Transition Fund		480,631,909		8,410,303		(81,636,731	)		(73,226,428)		—
Resources Fund		2,124,989,071		316,793,313		(473,919,852	)		(157,126,539)		—
Small Cap Quality Fund		57,194,417		16,179,790		(379,726	)		15,800,064		—
U.S. Equity Fund		247,402,373		27,018,094		(9,440,738	)		17,577,356		59,882
U.S. Opportunistic Value Fund		426,750,759		19,398,872		(20,113,752	)		(714,880)		—
U.S. Small Cap Value Fund		30,920,244		4,192,304		(3,879,202	)		313,102		—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed

143

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of August 31, 2023, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/deflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

During the period ended August 31, 2023, the Funds did not recognize dividends or foreign withholding on local Russian shares, if any, due to restrictions imposed by the Russian government on dividend payments received by foreign shareholders like the Funds. At this time, no assurance can be given regarding the future payment of outstanding dividends by Russian issuers, the time period during which such Russia’s restrictions will remain in place or on the future ability of foreign shareholders to claim or otherwise gain control over or access to dividends paid.

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (see Note 5).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties and transfer fees) incurred by the Fund directly or indirectly (e.g., through investments in underlying funds) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Purchase premiums and redemption fees are paid to and retained by a Fund for the benefit of non-transacting shareholders. Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or modify existing purchase premium and redemption fees at any time.

144

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.

As of August 31, 2023, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.

Emerging Markets Fund	For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed. Prior to December 1, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.80% of the amount invested or redeemed.
Emerging Markets Select Equity Fund	For the period from December 1, 2018 to November 22, 2019, the premium on cash purchases and the fee on cash redemptions were each 0.40% of the amount invested or redeemed. Prior to December 1, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.80% of the amount invested or redeemed.
Resources Fund	Prior to March 9, 2020, the premium on cash purchases and the fee on cash redemptions were each 0.30% of the amount invested or redeemed.

Other matters — Emerging Markets Fund (“EMF”)

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.45% of the Fund’s total net assets as of August 31, 2023, though in recognition of the potential liability, a portion of that amount is included as a Miscellaneous payable within the Statements of Assets and Liabilities. The effect of this claim on the value of the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of GMO Trust’s Board of Trustees. Any costs in respect of this matter will be borne by EMF.

Recently-issued accounting guidance

In June 2022, the Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update 2022-03, “Fair Value Measurement (Topic 820) – Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions” (“ASU 2022-03”). The amendments in ASU 2022-03 apply to all entities that have investments in equity securities measured at fair value that are subject to a contractual sale restriction. The amendments in ASU 2022-03 clarify guidance for fair value measurement of an equity security subject to a contractual sale restriction and establish new disclosure requirements for such equity securities. The amendments in ASU 2022-03 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023 with early adoption permitted. GMO is currently evaluating the impact, if any, of the new disclosure requirements on the financial statements.

145

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

3. Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

Market Risk – Equities

X

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Management and Operational Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Focused Investment Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Non-U.S. Investment Risk

X

X

X

X

X

X

X

X

X

X

X

Illiquidity Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Currency Risk

X

X

X

X

X

X

X

X

X

X

X

Smaller Company Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Market Disruption and Geopolitical Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Derivatives and Short Sales Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Counterparty Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Leveraging Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Commodities Risk

X

X

X

Large Shareholder Risk

X

X

X

X

X

X

X

X

X

X

X

X

X

X

Fund of Funds Risk

X

X

X

Event-Driven Risk

X

X

X

X

X

X

Non-Diversified Funds

X

X

X

X

146

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds or other investment companies (collectively, “Underlying Funds”) are exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly and indirectly by the Fund.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK — EQUITIES. The market price of an equity in a Fund’s portfolio may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations and interest rates than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund runs the risk that GMO’s investment techniques will fail to produce intended results. For many Funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. The Funds also run the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Funds or impair Fund operations.

• FOCUSED INVESTMENT RISK. Investments focused in countries, regions, asset classes, sectors, industries, currencies or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated. A Fund that invests in the securities of a small number of issuers has greater exposure to a decline in the market price of a particular security held by the Fund than if the Fund invested in the securities of a larger number of issuers.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. securities markets are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, non-U.S. securities issuers often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund is subject to taxation by countries other than the United States, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, the Funds need a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of a Fund’s investments. The risks above (such as substantial price fluctuations and market instability, illiquidity and lack of regulation) and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities, and often are more volatile than the economies of developed countries.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size or legal restrictions increase the risk that a Fund or an underlying fund is limited or prevented from selling particular securities or closing derivative positions at desirable prices.

147

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) often disrupt securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds’ investments.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, leveraging risk, commodities risk and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant index or underlying securities. A Fund typically creates short investment exposure by selling securities short or by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. Specifically, the net asset value of a Fund’s shares will be adversely affected if the equities or other assets that are the subject of a Fund’s short exposures appreciate in value. The risk of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s collateral or otherwise honor its obligations.

• LEVERAGING RISK. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, a Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by a Fund and the time the Fund liquidates assets to meet that request.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate significantly in a rapid and unpredictable manner.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by that shareholder or group will require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, including the risk that those underlying funds will not perform as expected.

• EVENT-DRIVEN RISK. If a Fund purchases securities in anticipation of a proposed merger, acquisition, exchange offer, tender offer, or other similar transaction and that transaction later appears likely to be delayed or unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. Event-driven strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated.

148

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

• NON-DIVERSIFIED FUNDS. The following Funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market price of a particular security held by the Funds may affect the Funds’ performance more than if the Funds were a diversified investment company.

• Emerging Markets ex-China Fund

• Emerging Markets Select Equity Fund

• Japan Value Creation Fund

• Resource Transition Fund

4. Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a 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 Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

A Fund also may use currency derivatives in an attempt to 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 GMO believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO 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). In adjusting its investment exposures, a 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 currencies in which its equities are traded.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

Each of the Funds may have investment exposures in excess of its net assets (i.e. the Fund may be leveraged).

A Fund’s foreign currency exposure may differ significantly from the currencies in which its equities are traded.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.

149

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

For Funds that held derivatives during the period ended August 31, 2023, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use

Emerging Markets Fund

Emerging Markets Select Equity Fund

International Equity Fund

International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund

U.S. Equity Fund

U.S. Small Cap Value Fund

Futures contracts

Adjust exposure to certain securities markets

X

X

X

X

X

X

Maintain the diversity and liquidity of the portfolio

X

X

X

X

Futures contracts

The Funds 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 at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a 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 (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). 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 each 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 as recorded in the Statements of Assets and Liabilities. 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 Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

****

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure.

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The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2023 and the Statements of Operations for the period ended August 31, 2023^:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

	Equity Contracts
Emerging Markets Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(1,069,604	)
Total	$	(1,069,604	)
Net Realized Gain (Loss) on
Futures Contracts	$	217,940
Total	$	217,940
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(47,710	)
Total	$	(47,710	)
Emerging Markets Select Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(99,871	)
Total	$	(99,871	)
Net Realized Gain (Loss) on
Futures Contracts	$	(81,665	)
Total	$	(81,665	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(99,871	)
Total	$	(99,871	)
International Equity Fund
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	(388,131	)
Total	$	(388,131	)
Net Realized Gain (Loss) on
Futures Contracts	$	366,338
Total	$	366,338
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(36,020	)
Total	$	(36,020	)
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Net Realized Gain (Loss) on
Futures Contracts	$	15,210
Total	$	15,210
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(2,645	)
Total	$	(2,645	)

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	Equity Contracts
U.S. Equity Fund
Asset Derivatives
Unrealized Appreciation on Futures Contracts¤	$	59,882
Total	$	59,882
Net Realized Gain (Loss) on
Futures Contracts	$	372,756
Total	$	372,756
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	9,968
Total	$	9,968
U.S. Small Cap Value Fund
Net Realized Gain (Loss) on
Futures Contracts	$	43,230
Total	$	43,230
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	(14,011	)
Total	$	(14,011	)

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

¤ The table includes cumulative unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at August 31, 2023, if any.

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The average derivative activity of notional amounts (futures contracts), based on absolute values, at each month-end, was as follows for the period ended August 31, 2023:

Fund Name	Futures Contracts ($)
Emerging Markets Fund		39,168,553
Emerging Markets Select Equity Fund		2,304,940
International Equity Fund		9,613,219
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		70,768
U.S. Equity Fund		3,386,058
U.S. Small Cap Value Fund		186,018

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

Climate Change Fund

Emerging Markets ex-China Fund

Emerging Markets Fund

Emerging Markets Select Equity Fund

International Equity Fund

International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)

Japan Value Creation Fund

Quality Cyclicals Fund

Quality Fund

Resource Transition Fund

Resources Fund

Small Cap Quality Fund

U.S. Equity Fund

U.S. Opportunistic Value Fund

U.S. Small Cap Value Fund

Management Fee

0.60%(a)

0.55%

0.65%(b)

0.55%(c)

0.50%

0.50%

0.50%

0.33%

0.33%

0.80%

0.50%

0.60%

0.31%

0.31%

0.31%

^(a) Prior to December 31, 2018, GMO voluntarily agreed to reduce its annual management fee by 0.15%.

^(b) Prior to June 30, 2020, GMO contractually agreed to reduce its annual management fee from 0.75% to 0.65%.

^(c) Prior to October 26, 2022, Emerging Markets Select Equity Fund’s management fee was 0.75%.

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related

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information. Shareholder service fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class II	Class III	Class IV	Class V	Class VI	Class R6	Class I
Climate Change Fund		0.15%	0.10%*	0.085%*	0.055%*	0.15%	0.15%
Emerging Markets ex-China Fund	0.22%*	0.15%	0.105%*	0.085%*	0.055%	0.22%*	0.22%*
Emerging Markets Fund	0.22%	0.15%	0.105%*	0.085%*	0.055%	0.22%	0.22%
Emerging Markets Select Equity Fund	0.22%	0.15%*	0.105%*	0.085%	0.055%*	0.22%*	0.22%
International Equity Fund	0.22%*	0.15%	0.09%			0.22%*	0.22%
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		0.15%				0.15%*	0.15%
Japan Value Creation Fund		0.15%	0.10%*	0.085%*	0.055%	0.15%*	0.15%
Quality Cyclicals Fund		0.15%*	0.105%*	0.085%*	0.055%	0.15%*	0.15%
Quality Fund		0.15%	0.105%	0.085%*	0.055%	0.15%	0.15%
Resource Transition Fund		0.15%*	0.10%*	0.085%*	0.055%	0.15%*	0.15%*
Resources Fund		0.15%	0.10%	0.085%*	0.055%	0.15%	0.15%
Small Cap Quality Fund		0.15%	0.10%*	0.085%*	0.055%	0.15%*	0.15%
U.S. Equity Fund		0.15%	0.10%*	0.085%*	0.055%	0.15%*	0.15%*
U.S. Opportunistic Value Fund		0.15%	0.10%	0.085%*	0.055%	0.15%	0.15%
U.S. Small Cap Value Fund		0.15%*	0.10%*	0.085%*	0.055%	0.15%*	0.15%*

* Class is offered but has no shareholders as of August 31, 2023.

GMO has contractually agreed to reimburse Emerging Markets Fund for “Specified Operating Expenses” (as defined below). For U.S. Opportunistic Value Fund, International Equity Fund, International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund), Japan Value Creation Fund, Quality Cyclicals Fund, and U.S. Equity Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.02% of the Fund’s average daily net assets. For Resources Fund and U.S. Small Cap Value Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.10% of the Fund’s average daily net assets. Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Emerging Markets Fund, “Specified Operating Expenses” does not include custody expenses.

With respect to Climate Change Fund, Emerging Markets ex-China Fund, Quality Fund, Emerging Markets Select Equity Fund, Resource Transition Fund and Small Cap Quality Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse each Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares (each, an “Expense Cap”). The Expense Cap for Climate Change Fund is 0.77% for Class III shares; 0.72% for Class IV shares; 0.705% for Class V shares; 0.675% for Class VI shares; 0.77% for Class R6 shares; and 0.77% for Class I shares. The Expense Cap for Emerging Markets ex-China Fund is 0.85% for Class II shares; 0.80% for Class III shares; 0.75%for Class IV shares; 0.70% for Class V shares; 0.67% for Class VI shares; 0.85% for Class R6 shares; and 0.85% for Class I shares. The Expense Cap for Quality Fund is 0.50% for Class III shares; 0.455% for Class IV shares; 0.435% for Class V shares; 0.405% for Class VI shares; 0.49% for Class R6 shares; and 0.49% for Class I shares. The Expense Cap for Emerging Markets Select Equity Fund is 0.75% for Class II shares; 0.70% for Class III shares; 0.65% for Class IV shares; 0.635% for Class V shares; 0.605% for Class VI shares; 0.75% for Class R6 shares; and 0.75% for Class I shares. The Expense Cap for Resource Transition Fund is 0.95% for Class III shares; 0.90% for Class IV shares; 0.885% for Class V shares; 0.855% for Class VI shares;

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0.95% for Class R6 shares; and 0.95% for Class I shares. The Expense Cap for Small Cap Quality Fund is 0.75% for Class III shares; 0.70% for Class IV shares; 0.685% for Class V shares; 0.655% for Class VI shares; 0.75% for Class R6 shares; and 0.75% for Class I shares. Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (“Excluded Expenses”), are excluded from the Expense Cap.

GMO is permitted to recover from Climate Change Fund, Emerging Markets ex-China Fund, Emerging Markets Select Equity Fund, Resources Fund and U.S. Small Cap Value Fund on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses.

For the period ended August 31, 2023, GMO did not recoup any previously recorded waivers and/or reimbursements.

On August 31, 2023, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 29, 2024			Expiring the year ending February 28, 2025			Expiring the year ending February 28, 2026			Expiring the year ending February 28, 2027
Climate Change Fund, Class III		$	168,599		$	105,427		$	138,441		$	46,841
Climate Change Fund, Class R6		$	31,954		$	37,789		$	65,464		$	25,310
Climate Change Fund, Class I		$	23,165		$	84,286		$	172,425		$	54,931
Emerging Markets ex-China Fund, Class III			—		$	1,152		$	12,927		$	20,782
Emerging Markets ex-China Fund, Class VI			—		$	240,690		$	312,667		$	195,686
Emerging Markets Select Equity Fund, Class II			—			—		$	107,572		$	141,417
Emerging Markets Select Equity Fund, Class V			—			—		$	5,863		$	51,125
Emerging Markets Select Equity Fund, Class I			—			—		$	5,659		$	19,845
U.S. Small Cap Value Fund, Class VI			—			—			—		$	32,133

For each Fund that pays GMO a management fee and shareholder service fee, GMO has contractually agreed to waive or reduce the Fund’s management fee and shareholder service fee, to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust. Management fees and shareholder service fees will not be waived below zero.

In addition, for Emerging Markets Fund, GMO has contractually agreed to waive the shareholder service fees charged to each class of shares of the Fund to the extent necessary to prevent the shareholder service fees paid by the class from exceeding the following amounts of the class’s average daily net assets: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% for Class IV shares, 0.05% for Class V shares, 0.02% for Class VI shares, 0.20% for Class R6 shares and 0.20% for Class I shares.

GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares of each Fund, except Small Cap Quality Fund and Emerging Markets Fund, to the extent that amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I shares.

For Emerging Markets Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I assets to the extent that amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.05% of the average daily net assets attributable to Class I shares.

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For Small Cap Quality Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares for the amounts paid by the Fund out of the net assets attributable to Class I shares to financial intermediaries for sub-transfer agency, recordkeeping and other administrative services provided with respect to Class I shareholders.

These contractual waivers and reimbursements will continue through at least June 30, 2024 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2023 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and   their legal counsel ($)
Climate Change Fund	25,276
Emerging Markets ex-China Fund	7,449
Emerging Markets Fund	27,089
Emerging Markets Select Equity Fund	2,067
International Equity Fund	37,212
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)	2,042
Japan Value Creation Fund	3,196
Quality Cyclicals Fund	2,219
Quality Fund	198,811
Resource Transition Fund	12,306
Resources Fund	52,718
Small Cap Quality Fund	2,092
U.S. Equity Fund	7,667
U.S. Opportunistic Value Fund	8,678
U.S. Small Cap Value Fund	1,971

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2023, none of the Funds had annualized indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

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The Funds are permitted to purchase or sell securities from or to other GMO Trust funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another GMO Trust fund complies with rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2023, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the period ended August 31, 2023 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Climate Change Fund		—		633,117,135		—		511,761,307
Emerging Markets ex-China Fund		—		166,232,158		—		188,226,572
Emerging Markets Fund		2,001,684		548,142,908		3,801,491		683,007,764
Emerging Markets Select Equity Fund		—		40,705,637		—		102,887,890
International Equity Fund		—		510,118,758		2,997,771		788,664,240
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)		—		381,724,626		—		94,363,063
Japan Value Creation Fund		—		16,088,420		—		23,547,499
Quality Cyclicals Fund		—		12,410,187		—		12,959,607
Quality Fund		—		1,249,042,157		—		1,388,704,490
Resource Transition Fund		—		197,042,232		—		192,260,146
Resources Fund		—		1,094,768,215		—		823,017,048
Small Cap Quality Fund		—		15,439,044		—		16,989,203
U.S. Equity Fund		350,050		113,051,043		—		110,786,649
U.S. Opportunistic Value Fund		—		351,085,563		—		212,851,475
U.S. Small Cap Value Fund		—		12,029,166		—		10,766,916

7. Guarantees

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

8. Principal shareholders as of August 31, 2023

Fund Name	Number of  shareholders that held  more than 10% of the outstanding shares of the Fund	Percentage of outstanding shares of the Fund held by those shareholders owning  greater than 10% of the  outstanding shares of the Fund
Climate Change Fund	2	24.16%
Emerging Markets ex-China Fund	3#	58.59%

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Fund Name	Number of  shareholders that held  more than 10% of the outstanding shares of the Fund	Percentage of outstanding shares of the Fund held by  those shareholders owning  greater than 10% of the  outstanding shares of the Fund
Emerging Markets Fund	3#	57.72%
Emerging Markets Select Equity Fund*	3‡	72.80%
International Equity Fund	5§	85.35%
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)	4§	62.63%
Japan Value Creation Fund	5§	73.56%
Quality Cyclicals Fund	3#	79.91%
Quality Fund	—	—
Resource Transition Fund	1	100.00%
Resources Fund	1	17.19%
Small Cap Quality Fund	4§	84.17%
U.S. Equity Fund	3‡	78.95%
U.S. Opportunistic Value Fund	4‡	70.85%
U.S. Small Cap Value Fund	3#	93.79%

# Two of the shareholders are other funds of the Trust.

* The Fund’s outstanding shares were owned by 10 or more shareholders as of August 31, 2023.

‡ One of the shareholders is another fund of the Trust.

§ Three of the shareholders are other funds of the Trust.

9. Share transactions

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Climate Change Fund
Class III:
Shares sold		2,710,579		$	74,213,424			2,293,579		$	63,698,181
Shares issued to shareholders in reinvestment of distributions		—			—			270,003			6,770,829
Shares repurchased		(705,930	)		(19,415,723	)		(1,296,895	)		(36,085,920	)
Net increase (decrease)		2,004,649		$	54,797,701			1,266,687		$	34,383,090
Class R6:
Shares sold		915,423		$	25,219,118			2,750,968		$	77,763,896
Shares issued to shareholders in reinvestment of distributions		—			—			119,945			3,035,164
Shares repurchased		(18,223	)		(517,019	)		(335,884	)		(9,419,582	)
Net increase (decrease)		897,200		$	24,702,099			2,535,029		$	71,379,478

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	Six Months Ended August 31, 2023 (Unaudited)							Year Ended February 28, 2023
	Shares				Amount			Shares			Amount
Climate Change Fund (continued)
Class I:
Shares sold		2,436,171			$	67,762,036			8,677,070		$	250,563,272
Shares issued to shareholders in reinvestment of distributions		—				—			306,421			7,654,596
Shares repurchased		(1,971,807	)			(54,297,039	)		(4,649,309	)		(124,996,444	)
Net increase (decrease)		464,364			$	13,464,997			4,334,182		$	133,221,424
Emerging Markets ex-China Fund
Class III:
Shares sold		20,250			$	275,000			1,226,028		$	16,900,000
Shares issued to shareholders in reinvestment of distributions		19,209				271,226			58,596			759,928
Shares repurchased		(48,993	)			(682,000	)		(31,508	)		(420,000	)
Net increase (decrease)		(9,534	)		$	(135,774	)		1,253,116		$	17,239,928
Class VI:
Shares sold		206,750			$	2,793,666			7,082,596		$	99,117,301
Shares issued to shareholders in reinvestment of distributions		208,730				2,949,357			1,038,893			13,467,979
Shares repurchased		(2,013,107	)			(28,165,922	)		(8,104,086	)		(111,115,582	)
Net increase (decrease)		(1,597,627	)		$	(22,422,899	)		17,403		$	1,469,698
Class I:(a)
Shares issued to shareholders in reinvestment of distributions		—			$	5			1		$	15
Shares repurchased		(27	)			(390	)		—			—
Net increase (decrease)		(27	)		$	(385	)		1		$	15
Emerging Markets Fund
Class II:
Shares sold		—			$	—			1,277,650		$	30,440,000
Shares issued to shareholders in reinvestment of distributions		41,733				935,645			291,417			6,477,785
Shares repurchased		(1,049,710	)			(23,525,167	)		(3,438,032	)		(84,610,630	)
Net increase (decrease)		(1,007,977	)		$	(22,589,522	)		(1,868,965	)	$	(47,692,845	)
Class III:
Shares sold		—			$	—			390,168		$	10,000,000
Shares issued to shareholders in reinvestment of distributions		1				34			162,785			3,655,845
Shares repurchased		—				—			(9,483,449	)		(214,652,448	)
Net increase (decrease)		1			$	34			(8,930,496	)	$	(200,996,603	)
Class VI:
Shares sold		363,652			$	8,027,755			5,482,286		$	139,068,333
Shares issued to shareholders in reinvestment of distributions		273,811				6,081,350			2,643,339			58,261,285
Shares repurchased		(5,824,264	)			(129,454,107	)		(22,625,062	)		(523,227,468	)
Net increase (decrease)		(5,186,801	)		$	(115,345,002	)		(14,499,437	)	$	(325,897,850	)

159

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Emerging Markets Fund (continued)
Class R6:
Shares sold		36,162		$	807,566			330,449		$	8,182,854
Shares issued to shareholders in reinvestment of distributions		5,772			129,398			67,172			1,501,438
Shares repurchased		(44,739	)		(1,003,955	)		(1,242,779	)		(28,551,548	)
Net increase (decrease)		(2,805	)	$	(66,991	)		(845,158	)	$	(18,867,256	)
Class I:
Shares sold		472,383		$	10,422,109			4,488,230		$	101,205,649
Shares issued to shareholders in reinvestment of distributions		38,022			850,544			305,559			6,768,479
Shares repurchased		(1,382,790	)		(31,316,349	)		(4,854,907	)		(109,001,214	)
Net increase (decrease)		(872,385	)	$	(20,043,696	)		(61,118	)	$	(1,027,086	)
Emerging Markets Select Equity Fund
Class II:
Shares sold		—		$	—			70,922		$	1,500,000
Shares issued to shareholders in reinvestment of distributions		2,855			53,616			160,512			2,821,893
Shares repurchased		(4,431,179	)		(81,822,499	)		(4,777,771	)		(89,467,536	)
Net increase (decrease)		(4,428,324	)	$	(81,768,883	)		(4,546,337	)	$	(85,145,643	)
Class V:
Shares sold		994,460		$	18,000,004			1,879,699		$	40,000,000
Shares issued to shareholders in reinvestment of distributions		4,347			81,285			193,914			3,512,029
Shares repurchased		(3,588	)		(67,668	)		(24,921,887	)		(457,973,195	)
Net increase (decrease)		995,219		$	18,013,621			(22,848,274	)	$	(414,461,166	)
Class I:
Shares sold		36,819		$	677,000			50,310		$	943,106
Shares issued to shareholders in reinvestment of distributions		815			15,271			10,306			181,455
Shares repurchased		(463	)		(8,831	)		(257,747	)		(4,450,531	)
Net increase (decrease)		37,171		$	683,440			(197,131	)	$	(3,325,970	)
International Equity Fund
Class II:(b)
Shares issued to shareholders in reinvestment of distributions		218		$	4,872			3,425		$	69,812
Shares repurchased		(216,797	)		(4,852,623	)		(34,224	)		(706,423	)
Net increase (decrease)		(216,579	)	$	(4,847,751	)		(30,799	)	$	(636,611	)
Class III:
Shares sold		480,261		$	10,726,927			2,704,405		$	57,352,993
Shares issued to shareholders in reinvestment of distributions		280,465			6,327,293			652,563			13,506,456
Shares repurchased		(2,487,735	)		(55,539,160	)		(2,014,765	)		(41,365,309	)
Net increase (decrease)		(1,727,009	)	$	(38,484,940	)		1,342,203		$	29,494,140

160

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)							Year Ended February 28, 2023
	Shares				Amount			Shares			Amount
International Equity Fund (continued)
Class IV:
Shares sold		488,698			$	11,083,242			2,432,877		$	47,902,468
Shares issued to shareholders in reinvestment of distributions		591,544				13,321,570			2,465,511			50,894,941
Shares repurchased		(12,384,739	)			(273,505,641	)		(29,069,183	)		(625,692,598	)
Net increase (decrease)		(11,304,497	)		$	(249,100,829	)		(24,170,795	)	$	(526,895,189	)
Class I:
Shares sold		554			$	12,985			—		$	—
Shares issued to shareholders in reinvestment of distributions		2,276				51,531			5,087			105,835
Shares repurchased		—				—			(6,920	)		(155,015	)
Net increase (decrease)		2,830			$	64,516			(1,833	)	$	(49,180	)
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Class III:
Shares sold		21,441,146			$	293,064,992			1,278,438		$	17,610,421
Shares issued to shareholders in reinvestment of distributions		30,153				414,307			19,213			234,924
Shares repurchased		(562,951	)			(7,755,002	)		(1,189,473	)		(14,788,808	)
Net increase (decrease)		20,908,348			$	285,724,297			108,178		$	3,056,537
Class I:(c)
Shares sold		3,645			$	50,735			—		$	—
Net increase (decrease)		3,645			$	50,735			—		$	—
Japan Value Creation Fund
Class III:
Shares sold		—			$	—			619,507		$	11,000,000
Shares issued to shareholders in reinvestment of distributions		16,972				312,295			86,864			1,377,552
Shares repurchased		(44,197	)			(815,000	)		(436,366	)		(8,137,284	)
Net increase (decrease)		(27,225	)		$	(502,705	)		270,005		$	4,240,268
Class VI:
Shares sold		50,997			$	873,972			959,693		$	15,667,481
Shares issued to shareholders in reinvestment of distributions		50,849				936,139			384,538			6,098,598
Shares repurchased		(607,371	)			(10,616,452	)		(3,282,287	)		(55,622,608	)
Net increase (decrease)		(505,525	)		$	(8,806,341	)		(1,938,056	)	$	(33,856,529	)
Class I:
Shares sold		112,057			$	2,020,696			50,299		$	859,951
Shares issued to shareholders in reinvestment of distributions		2,092				38,446			7,979			126,318
Shares repurchased		(3,505	)			(63,935	)		(124,158	)		(2,050,229	)
Net increase (decrease)		110,644			$	1,995,207			(65,880	)	$	(1,063,960	)

161

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Quality Cyclicals Fund
Class VI:
Shares sold		17,530		$	386,205			67,181		$	1,423,995
Shares issued to shareholders in reinvestment of distributions		173,291			3,824,538			603,708			12,448,036
Shares repurchased		(32,025	)		(720,581	)		(2,996,166	)		(68,150,996	)
Net increase (decrease)		158,796		$	3,490,162			(2,325,277	)	$	(54,278,965	)
Class I:
Shares issued to shareholders in reinvestment of distributions		171		$	3,765			390		$	8,044
Shares repurchased		(170	)		(3,765	)		(390	)		(8,044	)
Net increase (decrease)		1		$	—			—		$	—
Quality Fund
Class III:
Shares sold		3,420,552		$	90,357,928			29,027,931		$	707,656,996
Shares issued to shareholders in reinvestment of distributions		142,357			3,927,643			10,035,515			241,386,991
Shares repurchased		(25,338,299	)		(671,126,550	)		(24,430,061	)		(628,377,759	)
Net increase (decrease)		(21,775,390	)	$	(576,840,979	)		14,633,385		$	320,666,228
Class IV:
Shares sold		10,006,887		$	271,676,750			8,731,142		$	219,481,613
Shares issued to shareholders in reinvestment of distributions		30,896			854,900			3,610,473			87,058,631
Shares repurchased		(598,567	)		(16,000,000	)		(27,218,142	)		(660,313,180	)
Net increase (decrease)		9,439,216		$	256,531,650			(14,876,527	)	$	(353,772,936	)
Class VI:
Shares sold		888,845		$	23,126,853			16,844,643		$	424,865,852
Shares issued to shareholders in reinvestment of distributions		179,834			4,961,626			11,765,228			282,951,395
Shares repurchased		(5,153,621	)		(139,138,619	)		(58,380,318	)(d)		(1,473,456,086)	(d)
Net increase (decrease)		(4,084,942	)	$	(111,050,140	)		(29,770,447	)	$	(765,638,839	)
Class R6:
Shares sold		2,398,787		$	64,226,642			17,754,787		$	434,999,443
Shares issued to shareholders in reinvestment of distributions		50,188			1,382,676			2,148,260			51,549,418
Shares repurchased		(2,195,111	)		(58,526,771	)		(5,557,361	)		(139,787,047	)
Net increase (decrease)		253,864		$	7,082,547			14,345,686		$	346,761,814
Class I:
Shares sold		12,919,573		$	342,104,392			7,697,744		$	194,255,441
Shares issued to shareholders in reinvestment of distributions		35,896			987,512			1,845,669			44,276,266
Shares repurchased		(3,870,392	)		(100,262,526	)		(6,232,234	)		(154,702,220	)
Net increase (decrease)		9,085,077		$	242,829,378			3,311,179		$	83,829,487

162

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Resource Transition Fund
Class VI:(e)
Shares sold		—		$	—			24,250,000	(f)	$	485,000,000	(f)
Shares issued to shareholders in reinvestment of distributions		21,635			395,275			—			—
Net increase (decrease)		21,635		$	395,275			24,250,000		$	485,000,000
Resources Fund
Class III:
Shares sold		747,072		$	17,995,874			5,838,113		$	150,228,136
Shares issued to shareholders in reinvestment of distributions		285,711			6,845,640			977,612			23,410,659
Shares repurchased		(4,357,460	)		(105,733,655	)		(2,393,374	)		(62,777,402	)
Net increase (decrease)		(3,324,677	)	$	(80,892,141	)		4,422,351		$	110,861,393
Class IV:
Shares sold		6,932,625		$	159,995,429			4,970,697		$	138,669,163
Shares issued to shareholders in reinvestment of distributions		488,003			11,648,620			1,402,172			33,474,027
Shares repurchased		(600,991	)		(14,500,000	)		(6,146,566	)		(158,835,193	)
Net increase (decrease)		6,819,637		$	157,144,049			226,303		$	13,307,997
Class VI:
Shares sold		—		$	(792	)		5,144,338		$	137,190,816
Shares issued to shareholders in reinvestment of distributions		69,418			1,657,703			3,298,787			78,893,459
Shares repurchased		(223,277	)		(5,413,596	)		(35,579,492	)(g)		(949,952,489	)(g)
Net increase (decrease)		(153,859	)	$	(3,756,685	)		(27,136,367	)	$	(733,868,214	)
Class R6:
Shares sold		3,068,426		$	72,114,391			10,952,827		$	284,224,101
Shares issued to shareholders in reinvestment of distributions		332,624			7,959,701			525,919			12,572,025
Shares repurchased		(1,345,843	)		(32,240,955	)		(2,566,399	)		(67,345,487	)
Net increase (decrease)		2,055,207		$	47,833,137			8,912,347		$	229,450,639
Class I:
Shares sold		11,401,907		$	274,723,275			14,656,338		$	394,486,306
Shares issued to shareholders in reinvestment of distributions		437,028			10,466,825			1,436,534			34,315,888
Shares repurchased		(4,373,988	)		(104,680,462	)		(9,009,983	)		(232,952,111	)
Net increase (decrease)		7,464,947		$	180,509,638			7,082,889		$	195,850,083
Small Cap Quality Fund
Class III:(h)
Shares sold		—		$	—			579,284		$	13,713,763
Shares issued to shareholders in reinvestment of distributions		19,022			448,529			48,771			1,078,895
Shares repurchased		(180,444	)		(4,370,912	)		(22,604	)		(500,000	)
Net increase (decrease)		(161,422	)	$	(3,922,383	)		605,451		$	14,292,658

163

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Small Cap Quality Fund (continued)
Class VI:(i)
Shares sold		163,356		$	3,917,532			4,834,315		$	95,350,175
Shares issued to shareholders in reinvestment of distributions		74,607			1,759,969			274,277			6,070,048
Shares repurchased		(96,158	)		(2,321,438	)		(2,778,035	)		(63,501,222	)
Net increase (decrease)		141,805		$	3,356,063			2,330,557		$	37,919,001
Class I:(h)
Shares sold		—		$	—			871		$	20,000
Shares issued to shareholders in reinvestment of distributions		30			708			74			1,643
Net increase (decrease)		30		$	708			945		$	21,643
U.S. Equity Fund
Class III:
Shares sold		9,345		$	120,000			780,199		$	9,542,163
Shares issued to shareholders in reinvestment of distributions		231,204			2,968,654			434,605			5,152,616
Shares repurchased		(57,080	)		(731,605	)		(3,111,887	)		(38,988,204	)
Net increase (decrease)		183,469		$	2,357,049			(1,897,083	)	$	(24,293,425	)
Class VI:
Shares sold		20,210		$	250,000			3,361,946		$	42,023,521
Shares issued to shareholders in reinvestment of distributions		929,324			11,765,242			1,952,253			22,833,817
Shares repurchased		(97,074	)		(1,234,208	)		(18,043,098	)		(224,143,636	)
Net increase (decrease)		852,460		$	10,781,034			(12,728,899	)	$	(159,286,298	)
U.S. Opportunistic Value Fund
Class III:(j)
Shares sold		—		$	—			475		$	10,000
Shares issued to shareholders in reinvestment of distributions		9			192			—			—
Net increase (decrease)		9		$	192			475		$	10,000
Class IV:(j)
Shares sold		3,538,937		$	68,500,000			3,108,685		$	65,500,000
Shares issued to shareholders in reinvestment of distributions		130,952			2,654,395			—			—
Net increase (decrease)		3,669,889		$	71,154,395			3,108,685		$	65,500,000
Class VI:(k)
Shares sold		614,682		$	12,647,016			15,518,520		$	308,964,640
Shares issued to shareholders in reinvestment of distributions		200,217			4,058,390			15,792			300,214
Shares repurchased		(613,962	)		(12,282,000	)		(4,854,860	)		(98,745,000	)
Net increase (decrease)		200,937		$	4,423,406			10,679,452		$	210,519,854
Class R6:(l)
Shares sold		19		$	390			—		$	—
Net increase (decrease)		19		$	390			—		$	—

164

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
U.S. Opportunistic Value Fund (continued)
Class I:(j)
Shares sold		3,255,479		$	67,461,805			237		$	5,000
Shares issued to shareholders in reinvestment of distributions		7,910			160,180			—			—
Shares repurchased		(23,636	)		(480,649	)		—			—
Net increase (decrease)		3,239,753		$	67,141,336			237		$	5,000
U.S. Small Cap Value Fund
Class VI:
Shares sold		94,705		$	1,564,183			434,736		$	7,112,560
Shares issued to shareholders in reinvestment of distributions		5,710			100,044			1,174,542			18,256,190
Shares repurchased		(32,954	)		(555,815	)		(12,753,368	)		(205,859,000	)
Net increase (decrease)		67,461		$	1,108,412			(11,144,090	)	$	(180,490,250	)

^(a)  Class I liquidated on August 28, 2023.

^(b)  Class II liquidated on August 28, 2023.

^(c) The period under the heading “Six Months Ended August 31, 2023” represents the period from August 14, 2023 (commencement of operations) through August 31, 2023.

^(d) 4,031,474 shares and $97,279,466 were redeemed in-kind by an affiliate.

^(e) The period under the heading “Year Ended February 28, 2023” represents the period from February 15, 2023 (commencement of operations) through February 28, 2023.

^(f) 13,124,792 shares and $262,495,845 were purchased in-kind by an affiliate.

^(g)  9,969,459 shares and $262,495,845 were redeemed in-kind by an affiliate.

^(h) The period under the heading “Year Ended February 28, 2023” represents the period from November 15, 2022 (commencement of operations) through February 28, 2023.

⁽ⁱ⁾ The period under the heading “Year Ended February 28, 2023” represents the period from September 20, 2022 (commencement of operations) through February 28, 2023.

^(j) The period under the heading “Year Ended February 28, 2023” represents the period from February 15, 2023 (commencement of operations) through February 28, 2023.

^(k)  The period under the heading “Year Ended February 28, 2023” represents the period from December 13, 2022 (commencement of operations) through February 28, 2023.

^(l)  The period under the heading “Six Months Ended August 31, 2023” represents the period from August 28, 2023 (commencement of operations) through August 31, 2023.

10. Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 2023 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*		Net Realized Gain (Loss)		Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
Climate Change Fund
GMO U.S. Treasury Fund	$	27,154,401	$	290,965,735	$	288,059,181	$	513,600	**	$	—	$	53,943	$	23,029	$	30,137,927

165

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)		Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Emerging Markets ex-China Fund
GMO U.S. Treasury Fund	$	319,023	$	59,894,081	$	54,050,000	$	141,050	$	—	$	12,533	$	—		$	6,175,637
Emerging Markets Fund
Anilana Hotels & Properties Ltd	$	258,636	$	—	$	—	$	—	$	—	$	—	$	34,733		$	293,369
GMO Emerging Markets Select Equity Fund, Class V		—		18,058,778		—		58,773		—		—		337,040			18,395,818
GMO U.S. Treasury Fund		15,345,992		116,706,997		118,010,605		211,717		—		132		—			14,042,516
Totals	$	15,604,628	$	134,765,775	$	118,010,605	$	270,490	$	—	$	132	$	371,773		$	32,731,703
Emerging Markets Select Equity Fund
GMO U.S. Treasury Fund	$	712,446	$	4,961,382	$	5,160,000	$	11,560	$	—	$	240	$	—		$	514,068
International Equity Fund
GMO U.S. Treasury Fund	$	72,610,442	$	154,350,000	$	156,850,000	$	1,685,795	$	—	$	124,761	$	11,532		$	70,246,735
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
GMO U.S. Treasury Fund	$	1,160,296	$	47,470,000	$	45,932,421	$	64,059	$	—	$	3,699	$	(1,574	)	$	2,700,000
Quality Cyclicals Fund
GMO U.S. Treasury Fund	$	680,863	$	6,600,000	$	6,655,000	$	16,650	$	—	$	710	$	455		$	627,028
Quality Fund
GMO U.S. Treasury Fund	$	116,238,335	$	527,260,000	$	515,100,000	$	2,718,608	$	—	$	157,550	$	(36,832	)	$	128,519,053
Resource Transition Fund
GMO U.S. Treasury Fund	$	3,512,040	$	25,533,511	$	23,400,000	$	140,759	$	—	$	7,861	$	—		$	5,653,412
Resources Fund
GMO U.S. Treasury Fund	$	39,264,526	$	368,050,001	$	392,205,000	$	977,046	$	—	$	16,540	$	5,722		$	15,131,789
Small Cap Quality Fund
GMO U.S. Treasury Fund	$	611,750	$	2,582,404	$	1,750,000	$	31,781	$	—	$	3,317	$	25		$	1,447,496
U.S. Equity Fund
GMO U.S. Treasury Fund	$	3,058,032	$	3,400,000	$	2,800,000	$	91,445	$	—	$	1,400	$	4,929		$	3,664,361
U.S. Opportunistic Value Fund
GMO U.S. Treasury Fund	$	5,821,730	$	92,678,436	$	89,005,000	$	158,819	$	—	$	9,094	$	—		$	9,504,260

166

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)		Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund	$	344,916	$	1,950,000	$	2,142,000	$	9,929	$	—	$	911	$	—	$	153,827

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2023 through August 31, 2023. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2024.

** Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $317,767 in Climate Change Fund during the period.

11. Subsequent events

In October 2023, the Board of Trustees of GMO Trust approved the liquidation of GMO Emerging Markets Select Equity Fund. The Fund is expected to liquidate on or about November 15, 2023.

Subsequent to August 31, 2023, GMO Emerging Markets Fund received notification from a shareholder of its intent to redeem approximately 31% of the Fund. The redemption is expected to occur in two tranches with the first at the end of October and the second in November.

Subsequent to August 31, 2023, GMO U.S. Equity Fund received notification from a shareholder of its intent to redeem approximately 51% of the Fund. The redemption is expected to occur in two tranches with the first at the end of October and the second in November.

167

GMO Trust Funds

 

 

Board Review of Investment Management Agreements

August 31, 2023 (Unaudited)

GMO Climate Change Fund

Approval of renewal of management agreement for GMO Climate Change Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed account with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to those other vehicles and that other account, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing those other vehicles and that other account. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund

168

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Emerging Markets ex-China Fund

Approval of renewal of management agreement for GMO Emerging Markets ex-China Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

169

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Emerging Markets Fund

Approval of renewal of management agreement for GMO Emerging Markets Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to those other vehicles and those other accounts, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing those other vehicles and those other accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

170

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that pay management fees, GMO offsets against the fees it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those underlying GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Emerging Markets Select Equity Fund

Approval of renewal of management agreement and sub-advisory agreement for GMO Emerging Markets Select Equity Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”), and the sub-advisory agreement among GMO, GMO Singapore Pte. Limited (“GMO Singapore”) and the Trust, on behalf of the Fund.

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement and sub-advisory agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

171

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO. In addition, the Trustees reviewed the fee payable by GMO to GMO Singapore under the Fund’s sub-advisory agreement and considered the services that GMO Singapore provided the Fund. The Trustees noted that GMO Singapore’s sub-advisory fee was paid by GMO out of GMO’s management fee and not directly by the Fund.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management and sub-advisory agreements and that the fees charged under those agreements were reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement and sub-advisory agreement for another year.

GMO International Equity Fund

Approval of renewal of management agreement for GMO International Equity Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

172

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its separately managed accounts with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to those other accounts, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing those other accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund)

Approval of renewal of management agreement for GMO International Opportunistic Value Fund (the “Fund”) (formerly known as “GMO Tax-Managed International Equities Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

173

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO-Usonian Japan Value Creation Fund

Approval of renewal of management agreement for GMO-Usonian Japan Value Creation Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

174

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

175

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

GMO Quality Cyclicals Fund

Approval of renewal of management agreement for GMO Quality Cyclicals Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

176

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Quality Fund

Approval of renewal of management agreement for GMO Quality Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service, to fees GMO anticipated receiving for providing management and other services to a potential new exchange-traded fund with an investment strategy expected to be similar to that of the Fund, to fees received by GMO for providing sub-investment advisory services to a third-party managed fund with an investment strategy similar to that of the Fund, and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed accounts with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund , to that third-party managed fund, and to those other vehicles and those other accounts and the services to be provided to the potential new exchange-traded fund, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in providing sub-investment advisory services to that third-party managed fund and managing those other vehicles and those other accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

177

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Resources Fund

Approval of renewal of management agreement for GMO Resources Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicle and separately managed accounts with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that other vehicle and those other accounts, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing that other vehicle and those other accounts. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

178

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO U.S. Equity Fund

Approval of renewal of management agreement for GMO U.S. Equity Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

179

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO U.S. Small Cap Value Fund

Approval of renewal of management agreement for GMO U.S. Small Cap Value Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

180

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund. The Trustees also reviewed information regarding average brokerage commissions paid by the Funds and by certain other pooled investment vehicles and separately managed accounts advised by GMO.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

181

GMO Trust Funds

 

 

Liquidity Risk Management Program

August 31, 2023 (Unaudited)

Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:

• Monitoring of factors material to liquidity risk for each Fund;

• Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid;

• Oversight of third parties providing services in support of the Program;

• Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments;

• A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments;

• Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness.

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 15, 2023 addressing the Program’s operation, adequacy and effectiveness.

182

GMO Trust Funds

 

 

Fund Expenses

August 31, 2023 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2023.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction cost, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2023 through August 31, 2023.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value March 1, 2023	Ending Account Value August 31, 2023	Expenses Paid During the Period*				Beginning Account Value March 1, 2023		Ending Account Value August 31, 2023		Expenses Paid During the Period*				Annualized Expense Ratio
Climate Change Fund
Class III	$1,000.00	$908.00		$3.69				$1,000.00		$1,021.27		$3.91				0.77%
Class R6	$1,000.00	$907.80		$3.69				$1,000.00		$1,021.27		$3.91				0.77%
Class I	$1,000.00	$907.40		$4.17				$1,000.00		$1,020.76		$4.42				0.87%
Emerging Markets ex-China Fund
Class III	$1,000.00	$1,065.80		$4.15				$1,000.00		$1,021.12		$4.06				0.80%
Class VI	$1,000.00	$1,066.90		$3.48				$1,000.00		$1,021.77		$3.40				0.67%
Emerging Markets Fund
Class II	$1,000.00	$1,029.60		$4.95				$1,000.00		$1,020.26		$4.93				0.97%
Class III	$1,000.00	$1,029.60		$4.64				$1,000.00		$1,020.56		$4.62				0.91%
Class VI	$1,000.00	$1,030.20		$4.03				$1,000.00		$1,021.17		$4.01				0.79%
Class R6	$1,000.00	$1,029.40		$4.90				$1,000.00		$1,020.31		$4.88				0.96%
Class I	$1,000.00	$1,029.20		$5.20				$1,000.00		$1,020.01		$5.18				1.02%
Emerging Markets Select Equity Fund
Class II	$1,000.00	$1,032.60		$3.88				$1,000.00		$1,021.32		$3.86				0.76%
Class V	$1,000.00	$1,034.00		$3.27				$1,000.00		$1,021.92		$3.25				0.64%
Class I	$1,000.00	$1,032.50		$4.34				$1,000.00		$1,020.86		$4.32				0.85%
International Equity Fund
Class III	$1,000.00	$1,069.00		$3.48				$1,000.00		$1,021.77		$3.40				0.67%
Class IV	$1,000.00	$1,069.20		$3.17				$1,000.00		$1,022.07		$3.10				0.61%
Class I	$1,000.00	$1,067.80		$4.37				$1,000.00		$1,020.91		$4.27				0.84%

183

GMO Trust Funds

 

 

Fund Expenses — (Continued)

August 31, 2023 (Unaudited)

	Actual					Hypothetical
	Beginning Account Value March 1, 2023	Ending Account Value August 31, 2023	Expenses Paid During the Period*			Beginning Account Value March 1, 2023		Ending Account Value August 31, 2023		Expenses Paid During the Period*				Annualized Expense Ratio
International Opportunistic Value Fund (formerly Tax-Managed International Equities Fund)
Class III	$1,000.00	$1,058.00	$3.52				$1,000.00		$1,021.72		$3.46				0.68%
Class I(a)	$1,000.00	$998.60	$0.37				$1,000.00		$1,021.17		$4.01				0.79%
Japan Value Creation Fund
Class III	$1,000.00	$1,106.30	$3.55				$1,000.00		$1,021.77		$3.40				0.67%
Class VI	$1,000.00	$1,106.50	$3.07				$1,000.00		$1,022.22		$2.95				0.58%
Class I	$1,000.00	$1,105.30	$4.07				$1,000.00		$1,021.27		$3.91				0.77%
Quality Cyclicals Fund
Class VI	$1,000.00	$1,057.90	$2.12				$1,000.00		$1,023.08		$2.08				0.41%
Class I	$1,000.00	$1,056.80	$3.15				$1,000.00		$1,022.07		$3.10				0.61%
Quality Fund
Class III	$1,000.00	$1,187.60	$2.75				$1,000.00		$1,022.62		$2.54				0.50%
Class IV	$1,000.00	$1,187.50	$2.47				$1,000.00		$1,022.87		$2.29				0.45%
Class VI	$1,000.00	$1,188.40	$2.20				$1,000.00		$1,023.13		$2.03				0.40%
Class R6	$1,000.00	$1,187.50	$2.69				$1,000.00		$1,022.67		$2.49				0.49%
Class I	$1,000.00	$1,187.10	$3.24				$1,000.00		$1,022.17		$3.00				0.59%
Resource Transition Fund
Class VI	$1,000.00	$889.60	$4.08				$1,000.00		$1,020.81		$4.37				0.86%
Resources Fund
Class III	$1,000.00	$969.20	$3.51				$1,000.00		$1,021.57		$3.61				0.71%
Class IV	$1,000.00	$969.40	$3.27				$1,000.00		$1,021.82		$3.35				0.66%
Class VI	$1,000.00	$969.40	$3.02				$1,000.00		$1,022.07		$3.10				0.61%
Class R6	$1,000.00	$969.00	$3.51				$1,000.00		$1,021.57		$3.61				0.71%
Class I	$1,000.00	$968.60	$4.01				$1,000.00		$1,021.06		$4.12				0.81%
Small Cap Quality Fund
Class III	$1,000.00	$1,154.60	$4.12				$1,000.00		$1,021.32		$3.86				0.76%
Class VI	$1,000.00	$1,155.00	$3.58				$1,000.00		$1,021.82		$3.35				0.66%
Class I	$1,000.00	$1,154.90	$4.06				$1,000.00		$1,021.37		$3.81				0.75%
U.S. Equity Fund
Class III	$1,000.00	$1,086.60	$2.52				$1,000.00		$1,022.72		$2.44				0.48%
Class VI	$1,000.00	$1,086.50	$1.99				$1,000.00		$1,023.23		$1.93				0.38%
U.S. Opportunistic Value Fund
Class III	$1,000.00	$1,031.60	$2.45				$1,000.00		$1,022.72		$2.44				0.48%
Class IV	$1,000.00	$1,031.80	$2.20				$1,000.00		$1,022.98		$2.19				0.43%
Class VI	$1,000.00	$1,032.20	$1.94				$1,000.00		$1,023.23		$1.93				0.38%
Class R6(b)	$1,000.00	$1,009.90	$0.04				$1,000.00		$1,022.82		$2.34				0.46%
Class I	$1,000.00	$1,031.00	$3.01				$1,000.00		$1,022.17		$3.00				0.59%
U.S. Small Cap Value Fund
Class VI	$1,000.00	$1,023.60	$2.44				$1,000.00		$1,022.72		$2.44				0.48%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2023, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

^(a)  For the period August 14, 2023 (commencement of operations) through August 31, 2023, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2023, multiplied by the average account value over the period, multiplied by 18 days in the period, divided by 366 days in the year.

^(b)  For the period August 28, 2023 (commencement of operations) through August 31, 2023, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2023, multiplied by the average account value over the period, multiplied by 3 days in the period, divided by 366 days in the year.

184

SR-083123-EQ

GMO Trust

Semiannual Report

August 31, 2023

Asset Allocation Bond Fund

Emerging Country Debt Fund

High Yield Fund

Multi-Sector Fixed Income Fund

Opportunistic Income Fund

U.S. Treasury Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT which is available on the Commission’s website at www.sec.gov. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-fixed income investments, management and operational risk, market risk-asset backed securities, credit risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Asset Allocation Bond Fund
Investment Concentration Summary	1
Schedule of Investments	2
Emerging Country Debt Fund
Investment Concentration Summary	4
Schedule of Investments	5
High Yield Fund
Investment Concentration Summary	18
Schedule of Investments	19
Multi-Sector Fixed Income Fund
Investment Concentration Summary	24
Schedule of Investments	25
Opportunistic Income Fund
Investment Concentration Summary	33
Schedule of Investments	34
U.S. Treasury Fund
Investment Concentration Summary	46
Schedule of Investments	47
Portfolio, Counterparty and Currency Abbreviations	48
Fund Financial Statements:
Statements of Assets and Liabilities	49
Statements of Operations	53
Statements of Changes in Net Assets	55
Statement of Cash Flow	58
Financial Highlights	59
Notes to Financial Statements	72
Board Review of Investment Management Agreements	107
Liquidity Risk Management Program	114
Fund Expenses	115

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		73.8	%
Debt Obligations		25.3
Futures Contracts		2.2
Forward Currency Contracts		0.6
Other		(1.9	)
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

1

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 25.4%
		U.S. Government — 25.4%
	5,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.61%, due 01/31/25 (a)		5,007,444
		TOTAL DEBT OBLIGATIONS (COST $5,001,618)		5,007,444
		SHORT-TERM INVESTMENTS — 73.8%
		Sovereign and Sovereign Agency Issuers — 9.4%
JPY	270,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/04/23		1,855,747
		Repurchase Agreements — 60.7%
	12,000,000	Nomura Securities International, Inc. Repurchase Agreement, dated, 08/31/23 maturing on 09/01/23 with a maturity value of $12,001,757 and an effective yield of 5.27%, collateralized by a U.S. Treasury Note with maturity date 08/15/26 and a market value of $12,221,370.		12,000,000

Shares		Description	Value ($)
		Money Market Funds — 3.7%
	734,638	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (b)		734,638
		TOTAL SHORT-TERM INVESTMENTS (COST $14,663,599)		14,590,385
		TOTAL INVESTMENTS — 99.2% (Cost $19,665,217)		19,597,829
		Other Assets and Liabilities (net) — 0.8%		161,281
		TOTAL NET ASSETS — 100.0%		$19,759,110

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)($)
09/05/2023	CITI		JPY 270,000,000		USD 1,970,952	$115,218

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
55	U.S. Long Bond (CBT)		December 2023			6,692,812			88,812
57	U.S. Treasury Note 10 Yr. (CBT)		December 2023			6,328,781			67,476
43	U.S. Treasury Note 2 Yr. (CBT)		December 2023			8,763,602			22,185
129	U.S. Treasury Note 5 Yr. (CBT)		December 2023			13,792,922			94,113
47	U.S. Treasury Ultra 10 Yr. (CBT)		December 2023			5,457,141			66,464
37	U.S. Ultra Bond (CBT)		December 2023			4,790,344			91,578
					$	45,825,602		$	430,628

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

See accompanying notes to the financial statements. 2

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 48.

3 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		93.7	%
Short-Term Investments		1.8
Loan Assignments		1.0
Rights/Warrants		0.7
Investment Funds		0.5
Loan Participations		0.4
Swap Contracts		0.4
Forward Currency Contracts		0.2
Written Options/Credit Linked Options		0.0	^
Reverse Repurchase Agreements		(1.2	)
Other		2.5
		100.0	%

Country/Region Summary¤	% of Investments
Mexico		6.6	%
Saudi Arabia		6.2
Turkey		6.2
Bahrain		5.6
Oman		5.6
Dominican Republic		5.4
Colombia		5.1
South Africa		4.7
Argentina		4.4
Indonesia		4.4
Jordan		3.5
Panama		3.5
Egypt		3.1
Ecuador		2.7
United Arab Emirates		2.7
Romania		2.6
Peru		2.5
Chile		2.4
Kenya		2.3
Kazakhstan		2.1
Vietnam		2.1
Philippines		2.0
Nigeria		1.9
Israel		1.8
Ghana		1.7
Brazil		1.4
India		1.4
Sri Lanka		1.4
Ukraine		1.3
Costa Rica		1.2
Other Emerging		1.2	†
Tunisia		1.0
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using a reference security and applying the same methodology to that security.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

4

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 93.6%
		Albania — 1.7%
		Sovereign and Sovereign Agency Issuers — 1.7%
	40,349,849	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		35,700,458
EUR	9,200,000	Republic of Albania Par Bond, Reg S, 3.50%, due 11/23/31		8,275,212
		Total Albania		43,975,670
		Angola — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	18,900,000	Angolan Government International Bond, Reg S, 9.38%, due 05/08/48		14,399,532
		Argentina — 3.3%
		Sovereign and Sovereign Agency Issuers — 3.3%
	21,690,713	Republic of Argentina, 1.00%, due 07/09/29		6,967,025
	26,333,493	Republic of Argentina, Step Up, 0.75%, due 07/09/30		8,796,967
JPY	330,767,207	Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 (c)		494,463
	42,247,942	Republic of Argentina, Step Up, 3.63%, due 07/09/35		12,409,911
EUR	25,230,000	Republic of Argentina, Step Up, 3.75%, due 01/09/38		8,025,517
	42,198,994	Republic of Argentina, Step Up, 4.25%, due 01/09/38		14,413,789
JPY	271,173,000	Republic of Argentina, 0.67%, due 12/31/38 (c)		294,480
EUR	6,660,000	Republic of Argentina, Step Up, 3.00%, due 07/09/41		1,910,737
	64,101,240	Republic of Argentina, Step Up, 3.50%, due 07/09/41		19,720,746
	42,447,000	Republic of Argentina, Step Up, 3.63%, due 07/09/46		12,626,709
		Total Argentina		85,660,344
		Azerbaijan — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	13,100,000	Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29		12,359,850
		Bahamas — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	8,840,000	Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28		7,227,849
	4,400,000	Bahamas Government International Bond, Reg S, 9.00%, due 06/16/29		3,910,236
	15,200,000	Bahamas Government International Bond, Reg S, 8.95%, due 10/15/32		12,978,672
	900,000	Bahamas Government International Bond, Reg S, 7.13%, due 04/02/38		704,061
		Total Bahamas		24,820,818

Par Value†		Description	Value ($)
		Bahrain — 2.6%
		Sovereign and Sovereign Agency Issuers — 2.6%
	5,000,000	Bahrain Government International Bond, 144A, 7.75%, due 04/18/35		5,110,400
	68,190,000	Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47		62,727,299
	500,000	Bahrain Government International Bond, Reg S, 6.25%, due 01/25/51		398,680
		Total Bahrain		68,236,379
		Barbados — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	16,520,000	Barbados Government International Bond, Reg S, 6.50%, due 10/01/29		15,379,624
		Belarus — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	8,304,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (c) (d)		3,197,040
	20,300,000	Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30 (c) (d)		7,815,500
		Total Belarus		11,012,540
		Benin — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
EUR	3,650,000	Benin Government International Bond, Reg S, 6.88%, due 01/19/52		2,717,520
		Bermuda — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	5,690,000	Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29		5,490,281
		Bolivia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	6,900,000	Bolivian Government International Bond, Reg S, 4.50%, due 03/20/28		4,300,425
		Brazil — 1.8%
		Corporate Debt — 0.8%
	22,897,672	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		20,590,502
		Sovereign and Sovereign Agency Issuers — 1.0%
	7,400,000	Petrobras Global Finance BV, 6.85%, due 06/05/2115		6,470,375
	11,600,000	Republic of Brazil, 4.75%, due 01/14/50		8,514,052
BRL	60,119,770	Rio Smart Lighting Sarl, Reg S, 12.25%, due 09/20/32 (e)		12,489,052
				27,473,479
		Total Brazil		48,063,981

5 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Bulgaria — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
EUR	2,800,000	Bulgarian Energy Holding EAD, Reg S, 2.45%, due 07/22/28		2,556,738
		Cameroon — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
EUR	9,900,000	Republic of Cameroon International Bond, Reg S, 5.95%, due 07/07/32		7,308,436
		Chile — 2.4%
		Corporate Debt — 0.9%
	16,611,000	Enel Generacion Chile SA, 8.13%, due 02/01/97 (a)		15,549,557
	23,601,659	Inversiones Latin America Power Ltda, Reg S, 5.13%, due 06/15/33		9,785,956
				25,335,513
		Sovereign and Sovereign Agency Issuers — 1.5%
	4,400,000	Chile Electricity Lux MPC Sarl, 144A, 6.01%, due 01/20/33		4,443,120
	5,600,000	Chile Government International Bond, 3.10%, due 05/07/41		4,076,016
	4,000,000	Corp Nacional del Cobre de Chile, Reg S, 5.13%, due 02/02/33		3,833,600
	6,100,000	Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29		5,800,917
	3,900,000	Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31		3,210,870
	22,950,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		17,032,343
				38,396,866
		Total Chile		63,732,379
		China — 0.3%
		Corporate Debt — 0.3%
	11,200,000	China Evergrande Group, Reg S, 11.50%, due 01/22/23 (d)		448,000
	14,300,000	China Evergrande Group, Reg S, 12.00%, due 01/22/24 (d)		629,200
	7,500,000	China Evergrande Group, Reg S, 10.50%, due 04/11/24 (d)		300,000
	7,300,000	Huarong Finance Co Ltd, Reg S, 4.75%, due 04/27/27		5,704,804
	6,100,000	Scenery Journey Ltd, Reg S, 11.50%, due 10/24/22 (d)		244,000
	2,100,000	Scenery Journey Ltd, Reg S, 13.00%, due 11/06/22 (d)		84,000
	3,600,000	Scenery Journey Ltd, Reg S, 12.00%, due 10/24/23 (d)		144,000
	4,100,000	Scenery Journey Ltd, Reg S, 13.75%, due 11/06/23 (d)		164,000
		Total China		7,718,004

Par Value†		Description	Value ($)
		Colombia — 4.4%
		Corporate Debt — 0.2%
COP	26,927,998,398	PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36		5,249,989
		Sovereign and Sovereign Agency Issuers — 4.2%
	1,092,000	Colombia Government International Bond, 8.38%, due 02/15/27 (a)		1,111,445
	3,100,000	Colombia Government International Bond, 11.85%, due 03/09/28 (a)		3,560,515
	4,700,000	Colombia Government International Bond, 7.50%, due 02/02/34		4,658,546
	77,100,000	Colombia Government International Bond, 5.63%, due 02/26/44		58,406,334
	12,900,000	Colombia Government International Bond, 5.20%, due 05/15/49		9,064,314
	10,600,000	Ecopetrol SA, 8.88%, due 01/13/33		10,716,865
	20,900,000	Ecopetrol SA, 5.88%, due 11/02/51		14,015,122
COP	41,560,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		8,224,826
				109,757,967
		Total Colombia		115,007,956
		Congo Republic (Brazzaville) — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	38,164,654	Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 (c)		31,728,948
		Costa Rica — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	4,100,000	Costa Rica Government International Bond, 144A, 6.55%, due 04/03/34		4,123,657
	11,231,000	Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45 (f)		11,270,982
	8,298,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43 (f)		6,905,596
		Total Costa Rica		22,300,235
		Czech Republic — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	4,458,000	CEZ AS, Reg S, 5.63%, due 04/03/42		4,002,550
		Dominican Republic — 2.9%
		Sovereign and Sovereign Agency Issuers — 2.9%
	7,600,000	Dominican Republic International Bond, Reg S, 6.50%, due 02/15/48 (f)		6,491,844
	4,410,000	Dominican Republic International Bond, Reg S, 6.40%, due 06/05/49		3,688,656
	84,929,000	Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60		65,013,150
		Total Dominican Republic		75,193,650
		Ecuador — 2.4%
		Sovereign and Sovereign Agency Issuers — 2.4%
	1,300,000	Ecuador Government International Bond, 5.00%, due 02/28/25 (c)		1,196,000

See accompanying notes to the financial statements. 6

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Ecuador — continued
		Sovereign and Sovereign Agency Issuers — continued
	6,146,892	Ecuador Government International Bond, Reg S, Zero Coupon, due 07/31/30 (f)		1,688,797
	19,676,250	Ecuador Government International Bond, Reg S, Step Up, 6.00%, due 07/31/30		9,567,774
	97,987,125	Ecuador Government International Bond, Reg S, Step Up, 3.50%, due 07/31/35		35,661,434
	27,303,750	Ecuador Government International Bond, Reg S, Step Up, 2.50%, due 07/31/40 (f)		8,876,722
	5,766,763	Ecuador Social Bond Sarl, Reg S, Zero Coupon, due 01/30/35		4,428,701
		Total Ecuador		61,419,428
		Egypt — 2.0%
		Sovereign and Sovereign Agency Issuers — 2.0%
	24,000,000	Egypt Government International Bond, Reg S, 8.70%, due 03/01/49		12,643,680
	46,800,000	Egypt Government International Bond, Reg S, 8.88%, due 05/29/50		24,956,568
	27,264,000	Egypt Government International Bond, Reg S, 8.15%, due 11/20/59		13,897,279
		Total Egypt		51,497,527
		El Salvador — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	6,200,000	El Salvador Government International Bond, Reg S, 8.25%, due 04/10/32		4,714,604
	2,375,000	El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35 (f)		1,673,639
	24,500,000	El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50		16,241,295
		Total El Salvador		22,629,538
		Ethiopia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	2,990,000	Ethiopia International Bond, Reg S, 6.63%, due 12/11/24		1,944,995
		Gabon — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	8,100,000	Gabon Blue Bond Master Trust, 144A, 6.10%, due 08/01/38		7,972,833
	4,100,000	Gabon Government International Bond, Reg S, 6.63%, due 02/06/31		2,965,735
	10,600,000	Gabon Government International Bond, Reg S, 7.00%, due 11/24/31		7,643,554
		Total Gabon		18,582,122
		Ghana — 1.5%
		Sovereign and Sovereign Agency Issuers — 1.5%
	9,000,000	Republic of Ghana, Reg S, 8.88%, due 05/07/42 (d)		3,706,200
	12,900,000	Republic of Ghana, Reg S, 8.63%, due 06/16/49 (d)		5,328,603

Par Value†		Description	Value ($)
		Ghana — continued
		Sovereign and Sovereign Agency Issuers — continued
	28,500,000	Republic of Ghana, Reg S, 8.95%, due 03/26/51 (d)		11,800,425
	36,600,000	Republic of Ghana, Reg S, 8.75%, due 03/11/61 (d)		15,053,214
	7,121,144	Saderea DAC, Reg S, 12.50%, due 11/30/26 (d)		2,995,367
		Total Ghana		38,883,809
		Grenada — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	6,538,875	Grenada Government International Bond, Reg S, 7.00%, due 05/12/30		5,541,697
		Guatemala — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	3,915,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		4,247,188
	5,100,000	Republic of Guatemala, Reg S, 4.65%, due 10/07/41		3,997,788
	14,600,000	Republic of Guatemala, Reg S, 6.13%, due 06/01/50		13,285,854
		Total Guatemala		21,530,830
		Honduras — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	6,150,000	Honduras Government International Bond, Reg S, 5.63%, due 06/24/30		5,266,676
		Hungary — 2.0%
		Sovereign and Sovereign Agency Issuers — 2.0%
	9,400,000	Hungary Government International Bond, Reg S, 6.25%, due 09/22/32		9,467,210
	21,900,000	Hungary Government International Bond, 144A, 5.50%, due 06/16/34		20,758,791
	15,100,000	Hungary Government International Bond, Reg S, 3.13%, due 09/21/51		9,100,921
	9,500,000	Hungary Government International Bond, Reg S, 6.75%, due 09/25/52		9,631,670
	3,900,000	MVM Energetika Zrt, Reg S, 7.50%, due 06/09/28		3,958,500
		Total Hungary		52,917,092
		India — 1.6%
		Corporate Debt — 1.6%
	2,848,000	Adani Renewable Energy RJ Ltd / Kodangal Solar Parks Pvt Ltd / Wardha Solar Maharash, Reg S, 4.63%, due 10/15/39		2,082,059
	24,100,000	Delhi International Airport Ltd, Reg S, 6.45%, due 06/04/29		22,603,872
	12,740,000	GMR Hyderabad International Airport Ltd, Reg S, 4.25%, due 10/27/27		11,329,555

7 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		India — continued
		Corporate Debt — continued
	6,331,000	India Airport Infra, Reg S, 6.25%, due 10/25/25		6,176,017
		Total India		42,191,503
		Indonesia — 3.3%
		Sovereign and Sovereign Agency Issuers — 3.3%
	3,950,000	Freeport Indonesia PT, Reg S, 6.20%, due 04/14/52		3,510,562
	5,500,000	Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30		4,952,365
	15,600,000	Indonesia Asahan Aluminium Persero PT, Reg S, 5.80%, due 05/15/50		13,324,740
	3,100,000	Indonesia Government International Bond, 4.85%, due 01/11/33		3,036,171
	10,191,000	Indonesia Government International Bond, 5.45%, due 09/20/52		10,040,785
	1,500,000	Indonesia Government International Bond, 5.65%, due 01/11/53		1,529,460
	2,333,340	LLPL Capital Pte Ltd, Reg S, 6.88%, due 02/04/39		2,059,966
	23,400,000	Minejesa Capital BV, Reg S, 5.63%, due 08/10/37		18,360,576
	4,100,000	Pertamina Persero PT, Reg S, 6.50%, due 05/27/41		4,153,915
	2,600,000	Pertamina Persero PT, Reg S, 4.15%, due 02/25/60		1,872,286
	14,800,000	Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49		14,095,520
	5,400,000	Perusahaan Penerbit SBSN Indonesia III, Reg S, 4.70%, due 06/06/32		5,247,882
	4,595,000	Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24		4,506,271
		Total Indonesia		86,690,499
		Israel — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	15,783,000	Israel Electric Corp Ltd, Reg S, 8.10%, due 12/15/96		18,939,284
		Ivory Coast — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
EUR	1,500,000	Ivory Coast Government International Bond, Reg S, 6.88%, due 10/17/40		1,220,464
EUR	27,000,000	Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48		20,444,746
		Total Ivory Coast		21,665,210
		Jamaica — 0.8%
		Corporate Debt — 0.2%
	7,290,179	TransJamaican Highway Ltd, Reg S, 5.75%, due 10/10/36		6,033,352
		Sovereign and Sovereign Agency Issuers — 0.6%
	3,975,000	Jamaica Government International Bond, 7.88%, due 07/28/45		4,506,696

Par Value†		Description	Value ($)
		Jamaica — continued
		Sovereign and Sovereign Agency Issuers — continued
	9,300,000	National Road Operating & Constructing Co Ltd, Reg S, 9.38%, due 11/10/24 (c)		9,509,250
				14,015,946
		Total Jamaica		20,049,298
		Jordan — 1.4%
		Sovereign and Sovereign Agency Issuers — 1.4%
	41,095,000	Jordan Government International Bond, Reg S, 7.38%, due 10/10/47		35,843,470
		Kazakhstan — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	1,600,000	KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47		1,285,488
	23,800,000	KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48		19,885,376
		Total Kazakhstan		21,170,864
		Kenya — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	31,594,000	Kenya Government International Bond, Reg S, 8.25%, due 02/28/48		23,488,559
		Lebanon — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	6,800,000	Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 (d)		517,140
	5,547,000	Lebanon Government International Bond, Reg S, 7.00%, due 03/20/28 (d)		410,866
	60,605,000	Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 (d)		4,532,042
	21,000,000	Lebanon Government International Bond, 8.20%, due 05/17/33 (d)		1,522,080
	56,914,000	Lebanon Government International Bond, 8.25%, due 05/17/34 (d)		4,163,259
		Total Lebanon		11,145,387
		Malaysia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	4,900,000	Dua Capital Ltd, Reg S, 2.78%, due 05/11/31		4,131,435
		Mexico — 6.2%
		Sovereign and Sovereign Agency Issuers — 6.2%
	5,720,000	Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49		4,633,200
	142,700,000	Petroleos Mexicanos, 7.69%, due 01/23/50		95,166,630
	5,200,000	Petroleos Mexicanos, Reg S, 6.63%, due 12/28/2170		3,019,250
GBP	64,506,000	United Mexican States, 5.63%, due 03/19/2114		59,388,035
		Total Mexico		162,207,115

See accompanying notes to the financial statements. 8

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Mongolia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	3,000,000	Mongolia Government International Bond, Reg S, 4.45%, due 07/07/31		2,318,700
		Montenegro — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
EUR	7,300,000	Montenegro Government International Bond, Reg S, 2.88%, due 12/16/27		6,799,241
		Morocco — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	11,100,000	Morocco Government International Bond, 144A, 6.50%, due 09/08/33		11,125,641
	4,100,000	OCP SA, Reg S, 5.13%, due 06/23/51		2,884,863
	9,200,000	Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44		8,228,940
		Total Morocco		22,239,444
		Mozambique — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,576,000	Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31		5,715,940
		Nigeria — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	39,550,000	Nigeria Government International Bond, Reg S, 8.25%, due 09/28/51		28,171,069
		Oman — 2.7%
		Sovereign and Sovereign Agency Issuers — 2.7%
	9,400,000	Lamar Funding Ltd, Reg S, 3.96%, due 05/07/25		8,969,950
	59,300,000	Oman Government International Bond, Reg S, 6.75%, due 01/17/48		57,239,918
	4,300,000	Oryx Funding Ltd, Reg S, 5.80%, due 02/03/31		4,136,170
		Total Oman		70,346,038
		Pakistan — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	14,700,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		6,722,898
	4,826,000	Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31		2,075,711
		Total Pakistan		8,798,609
		Panama — 2.8%
		Sovereign and Sovereign Agency Issuers — 2.8%
	9,061,000	Aeropuerto Internacional de Tocumen SA, Reg S, 5.13%, due 08/11/61		6,788,320
	2,874,038	AES Panama Generation Holdings SRL, Reg S, 4.38%, due 05/31/30		2,486,617
	22,800,000	Panama Bonos del Tesoro, Reg S, 6.38%, due 07/25/33		22,331,004

Par Value†		Description	Value ($)
		Panama — continued
		Sovereign and Sovereign Agency Issuers — continued
	9,837,000	Panama Government International Bond, 8.13%, due 04/28/34		11,169,914
	2,600,000	Panama Government International Bond, 6.40%, due 02/14/35		2,663,414
	2,600,000	Panama Government International Bond, 6.85%, due 03/28/54		2,652,338
	24,400,000	Panama Government International Bond, 4.50%, due 04/01/56		17,612,652
	11,000,000	Panama Government International Bond, 4.50%, due 01/19/63		7,837,170
		Total Panama		73,541,429
		Papua New Guinea — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
	1,100,000	Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28		1,014,871
		Peru — 1.8%
		Sovereign and Sovereign Agency Issuers — 1.8%
	21,900,000	Peruvian Government International Bond, 3.60%, due 01/15/72 (f)		14,358,516
	49,595,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		31,801,802
		Total Peru		46,160,318
		Philippines — 2.1%
		Sovereign and Sovereign Agency Issuers — 2.1%
	3,800,000	Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 (c)		5,700,000
	8,700,000	Philippine Government International Bond, 5.95%, due 10/13/47		9,199,380
	2,300,000	Philippine Government International Bond, 5.50%, due 01/17/48		2,310,810
	32,512,000	Power Sector Assets & Liabilities Management Corp, 9.63%, due 05/15/28		36,932,982
		Total Philippines		54,143,172
		Poland — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	4,600,000	Bank Gospodarstwa Krajowego, 144A, 5.38%, due 05/22/33		4,496,500
	10,500,000	Republic of Poland Government International Bond, 5.75%, due 11/16/32		10,907,715
	8,300,000	Republic of Poland Government International Bond, 4.88%, due 10/04/33		8,045,439
	6,700,000	Republic of Poland Government International Bond, 5.50%, due 04/04/53		6,508,648
		Total Poland		29,958,302
		Republic of North Macedonia — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
EUR	10,200,000	North Macedonia Government International Bond, Reg S, 1.63%, due 03/10/28		9,102,468

9 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Romania — 2.0%
		Sovereign and Sovereign Agency Issuers — 2.0%
EUR	14,900,000	Romanian Government International Bond, Reg S, 6.63%, due 09/27/29		16,810,851
	10,000,000	Romanian Government International Bond, Reg S, 6.00%, due 05/25/34		9,731,900
EUR	5,000,000	Romanian Government International Bond, Reg S, 2.88%, due 04/13/42		3,330,854
EUR	5,600,000	Romanian Government International Bond, Reg S, 4.63%, due 04/03/49		4,790,730
EUR	14,900,000	Romanian Government International Bond, Reg S, 3.38%, due 01/28/50		10,110,940
	7,300,000	Romanian Government International Bond, Reg S, 7.63%, due 01/17/53		7,837,280
		Total Romania		52,612,555
		Russia — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	6,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (a) (d) (g)		3,435
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (a) (d) (g)		2,600
	6,800,000	GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (a) (d) (g)		3,400
	6,400,000	Russian Foreign Bond, Reg S, 5.10%, due 03/28/35 (c) (d)		2,544,000
	34,000,000	Russian Foreign Bond, 144A, 5.10%, due 03/28/35 (c) (d)		13,515,000
		Total Russia		16,068,435
		Rwanda — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	4,500,000	Rwanda International Government Bond, Reg S, 5.50%, due 08/09/31		3,460,725
		Saudi Arabia — 3.5%
		Corporate Debt — 1.3%
	27,287,368	ACWA Power Management & Investments One Ltd, Reg S, 5.95%, due 12/15/39		26,328,217
	10,800,000	EIG Pearl Holdings Sarl, 144A, 4.39%, due 11/30/46		8,134,560
				34,462,777
		Sovereign and Sovereign Agency Issuers — 2.2%
	14,900,000	Saudi Government International Bond, Reg S, 4.63%, due 10/04/47		12,625,366
	12,300,000	Saudi Government International Bond, Reg S, 5.00%, due 01/18/53		10,913,298
	49,500,000	Saudi Government International Bond, Reg S, 3.45%, due 02/02/61		32,741,280
				56,279,944
		Total Saudi Arabia		90,742,721

Par Value†		Description	Value ($)
		Senegal — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	6,500,000	Senegal Government International Bond, Reg S, 6.75%, due 03/13/48		4,513,730
		Serbia — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	8,900,000	Serbia International Bond, Reg S, 6.50%, due 09/26/33		8,767,123
EUR	12,500,000	Serbia International Bond, Reg S, 2.05%, due 09/23/36		8,414,425
		Total Serbia		17,181,548
		South Africa — 4.5%
		Sovereign and Sovereign Agency Issuers — 4.5%
	19,700,000	Eskom Holdings SOC Ltd, Reg S, 8.45%, due 08/10/28		19,079,450
ZAR	165,550,000	Eskom Holdings SOC Ltd, Zero Coupon, due 12/31/32		1,866,678
ZAR	977,200,000	Republic of South Africa Government International Bond, 6.50%, due 02/28/41		30,494,596
	53,600,000	Republic of South Africa Government International Bond, 5.75%, due 09/30/49		37,877,512
	21,200,000	Republic of South Africa Government International Bond, 7.30%, due 04/20/52		17,865,028
	9,100,000	Transnet SOC Ltd, Reg S, 8.25%, due 02/06/28		8,834,189
ZAR	22,200,000	Transnet SOC Ltd, 13.50%, due 04/18/28		1,260,339
		Total South Africa		117,277,792
		Sri Lanka — 1.3%
		Sovereign and Sovereign Agency Issuers — 1.3%
	5,380,000	Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26 (d)		2,519,077
	9,444,000	Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27 (d)		4,241,017
	24,900,000	Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28 (d)		11,148,975
	8,500,000	Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29 (d)		3,813,525
	26,200,000	Sri Lanka Government International Bond, Reg S, 7.55%, due 03/28/30 (d)		11,767,992
		Total Sri Lanka		33,490,586
		Suriname — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	13,600,000	Republic of Suriname, Reg S, 12.88%, due 12/30/23 (d)		11,562,992
	14,259,000	Republic of Suriname, Reg S, 9.25%, due 10/26/26 (d) (f)		11,770,662
		Total Suriname		23,333,654
		Tajikistan — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	9,274,000	Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27		7,465,570

See accompanying notes to the financial statements. 10

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Trinidad And Tobago — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	21,100,000	Heritage Petroleum Co Ltd, Reg S, 9.00%, due 08/12/29 (f)		21,876,058
	10,200,000	Telecommunications Services of Trinidad & Tobago Ltd, Reg S, 8.88%, due 10/18/29		8,308,104
		Total Trinidad And Tobago		30,184,162
		Tunisia — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
JPY	5,960,000,000	Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 (c)		16,795,079
JPY	2,030,000,000	Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 (c)		5,441,424
JPY	730,000,000	Banque Centrale de Tunisie SA, 3.50%, due 02/03/33		1,705,901
		Total Tunisia		23,942,404
		Turkey — 3.0%
		Sovereign and Sovereign Agency Issuers — 3.0%
	11,644,000	Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25		10,872,119
	17,202,000	Republic of Turkey, 6.00%, due 01/14/41		13,216,297
	77,313,000	Republic of Turkey, 5.75%, due 05/11/47		54,830,379
		Total Turkey		78,918,795
		Ukraine — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	5,500,000	NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 (c) (d)		1,498,750
	13,900,000	State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/30 (c) (d)		3,627,761
	7,319,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/28 (c) (d)		2,085,915
	4,369,000	Ukraine Government International Bond, Reg S, 7.75%, due 09/01/29 (c) (d)		1,245,165
	17,800,000	Ukraine Government International Bond, Reg S, 9.75%, due 11/01/30 (c) (d)		5,206,500
	28,000,000	Ukraine Government International Bond, Reg S, 7.38%, due 09/25/34 (c) (d)		7,350,000
	22,300,000	Ukraine Government International Bond, Reg S, 7.25%, due 03/15/35 (c) (d)		5,908,162
	200,000	Ukraine Railways Via Rail Capital Markets PLC, Reg S, 7.88%, due 07/15/28 (c) (d)		75,794
		Total Ukraine		26,998,047
		United Arab Emirates — 1.5%
		Sovereign and Sovereign Agency Issuers — 1.5%
	3,100,000	Abu Dhabi Crude Oil Pipeline LLC, Reg S, 4.60%, due 11/02/47		2,749,514
	6,200,000	Abu Dhabi Government International Bond, Reg S, 3.13%, due 09/30/49		4,324,252
	6,800,000	Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70		3,985,956
	6,200,000	DAE Funding LLC, Reg S, 3.38%, due 03/20/28		5,504,236

Par Value†		Description	Value ($)
		United Arab Emirates — continued
		Sovereign and Sovereign Agency Issuers — continued
	14,600,000	Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50		8,967,612
	21,100,000	Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51		13,778,089
		Total United Arab Emirates		39,309,659
		United States — 0.6%
		Asset-Backed Securities — 0.3%
	704,703	CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. SOFR + 0.35%, 5.67%, due 12/15/35		676,014
	211,203	CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. SOFR + 0.35%, 5.67%, due 12/15/35		207,891
	524,292	CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. SOFR + 0.31%, 5.63%, due 05/15/36		493,690
	6,531,250	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. SOFR + 0.26%, 5.58%, due 11/25/36		2,260,890
	6,584,785	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. SOFR + 0.33%, 5.65%, due 11/25/36		2,279,346
	3,394,852	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. SOFR + 0.47%, 5.79%, due 04/25/37		1,267,170
				7,185,001
		U.S. Government — 0.3%
	9,100,000	U.S. Treasury Note, 3.88%, due 11/30/27 (h)		8,932,930
		Total United States		16,117,931
		Uruguay — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
UYU	81,100,000	Uruguay Government International Bond, 9.75%, due 07/20/33		2,224,313
	9,418,000	Uruguay Government International Bond, 5.10%, due 06/18/50		9,079,988
		Total Uruguay		11,304,301
		Uzbekistan — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	5,700,000	Republic of Uzbekistan International Bond, Reg S, 3.70%, due 11/25/30		4,578,069
	1,037,000	Uzbek Industrial & Construction Bank ATB, Reg S, 5.75%, due 12/02/24		985,378
	7,400,000	Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28		6,046,540
		Total Uzbekistan		11,609,987

11 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Venezuela — 1.8%
		Sovereign and Sovereign Agency Issuers — 1.8%
	111,465,000	Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 (c) (d)		557,325
	176,000,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (c) (d)		11,264,000
	61,967,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (c) (d)		3,872,937
	19,028,000	Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 (c) (d)		1,379,530
	36,600,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 (c) (d)		2,653,500
	23,750,000	Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 (c) (d)		2,434,375
	172,793,000	Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 (c) (d)		16,415,335
	68,700,000	Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 (c) (d)		6,526,500
	7,000,000	Venezuela Government International Bond, 9.38%, due 01/13/34 (c) (d)		665,000
		Total Venezuela		45,768,502
		Vietnam — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	14,458,000	Debt & Asset Trading Corp, Reg S, 1.00%, due 10/10/25		12,139,081
	8,018,000	Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 6.31%, due 03/13/28 (c)		7,376,560
		Total Vietnam		19,515,641
		Zambia — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	2,900,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 (d)		1,380,545
	24,572,000	Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 (d)		12,745,742
		Total Zambia		14,126,287
		TOTAL DEBT OBLIGATIONS (COST $3,443,640,473)		2,435,954,831
		LOAN ASSIGNMENTS — 1.0%
		Chad — 0.3%
	1,362,050	Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 7.66%, due 09/30/25 (c)		1,115,519
	11,913,032	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 7.91%, due 12/31/27 (c)		8,029,383
		Total Chad		9,144,902
		Kenya — 0.1%
	1,966,667	Republic of Kenya Loan Agreement, Variable Rate, 6 mo. LIBOR + 6.70%, 12.58%, due 04/10/25 (a)		1,832,158

Par Value† /  Shares		Description	Value ($)
		Turkey — 0.6%
	14,785,714	Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 8.85%, due 06/23/28 (a)		14,910,595
		TOTAL LOAN ASSIGNMENTS (COST $28,855,237)		25,887,655
		LOAN PARTICIPATIONS — 0.4%
		Angola — 0.4%
	97,000	Republic of Angola Loan Agreement (Participation via Avenir II BV), Variable Rate, Reg S, 6 mo. LIBOR + 4.50%, 10.38%, due 12/07/23 (c)		96,515
	6,800,000	Republic of Angola Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c)		6,358,000
	3,850,000	Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 (c)		3,657,500
		Total Angola		10,112,015
		Egypt — 0.0%
CHF	120	Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 (a)		110
		Iraq — 0.0%
EUR	503,982	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (c)		452,906
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (c) (d)		2
		Sudan — 0.0%
CHF	11,833,578	Republic of Sudan Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (d)		669,813
CHF	5,155,077	Republic of Sudan Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (d)		291,791
		Total Sudan		961,604
		TOTAL LOAN PARTICIPATIONS (COST $31,392,796)		11,526,637
		INVESTMENT FUNDS — 0.5%
		Colombia — 0.5%
	9,300,000	Bona Fide Investment Holdings II LLC (a) (i) (j)		9,284,087

See accompanying notes to the financial statements. 12

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares		Description	Value ($)
		Colombia — continued
	3,083,695	Bona Fide Investments Feeder LLC (a) (i) (j)		4,225,165
		Total Colombia		13,509,252
		TOTAL INVESTMENT FUNDS (COST $12,383,695)		13,509,252
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	5,516,891	GMO U.S. Treasury Fund		27,584,457
		TOTAL MUTUAL FUNDS (COST $27,623,760)		27,584,457
		RIGHTS/WARRANTS — 0.7%
		Argentina — 0.5%
EUR	271,989,675	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (k)		11,726,503
JPY	1,898,045,000	Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 (a) (k)		259,343
		Total Argentina		11,985,846
		Ukraine — 0.2%
	11,746,000	Government of Ukraine GDP Linked, Variable Rate, Reg S, Expires 08/01/41 (c) (d) (k)		5,344,430
		TOTAL RIGHTS/WARRANTS (COST $44,862,382)		17,330,276

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.0%
	735,393	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (l)		735,393
		Repurchase Agreements — 0.8%
	20,000,000	Nomura Securities International, Inc. Repurchase Agreement, dated, 08/31/23 maturing on 09/01/23 with a maturity value of $20,002,928 and an effective yield of 5.27%, collateralized by a U.S. Treasury Note with maturity date 08/15/26 and a market value of $20,370,277.		20,000,000
		TOTAL SHORT-TERM INVESTMENTS (COST $20,735,393)		20,735,393
		TOTAL INVESTMENTS — 98.1% (Cost $3,609,493,736)		2,552,528,501
		Other Assets and Liabilities (net) — 1.9%		48,878,827
		TOTAL NET ASSETS — 100.0%	$	2,601,407,328

Additional information on each restricted security is as follows:

					Value as a
					Percentage		Value as of
Issuer	Acquisition		Acquisition		of Fund’s		August 31,
Description	Date		Cost		Net Assets		2023
Bona Fide Investment Holdings II LLC		06/07/23	$	9,300,000		0.3%	$	9,284,087
Bona Fide Investments Feeder LLC		12/31/21		3,083,695		0.2%		4,225,165
GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27		04/30/20		6,704,029		0.0%		3,435
GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28		03/12/21		5,318,965		0.0%		2,600
GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29		01/26/22		5,953,950		0.0%		3,400
							$	13,518,687

13 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
10/03/2023	JPM		BRL	26,500,000		USD	5,538,950		211,735
10/02/2023	JPM		COP	112,820,000,000		USD	27,376,850		53,161
09/21/2023	MSCI		EUR	132,700,000		USD	144,829,908		826,995
10/18/2023	MSCI		GBP	48,600,000		USD	63,561,328		1,985,617
10/11/2023	MSCI		HKD	851,300,000		USD	109,239,061		504,647
09/21/2023	BCLY		JPY	3,695,100,000		USD	25,464,440		3,017

Settlement Date	Counter- party		Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/29/2023		MSCI	ZAR	666,400,000		USD	35,671,415			458,453
09/05/2023		MSCI	COP	112,820,000,000		USD	27,537,222			(43,758	)
09/05/2023		JPM	USD	27,604,600		COP	112,820,000,000			(23,620	)
10/11/2023		MSCI	USD	5,276,842		HKD	41,200,000			(14,469	)
									$	3,961,778

Reverse Repurchase Agreements^(m)

Face Value		Description	Value ($)
USD	(5,961,442)	Nomura International Plc, 4.50%, dated 05/23/23, (collateral: Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45), to be repurchased on demand at face value plus accrued interest.		(5,961,442	)
USD	(4,810,747)	Nomura International Plc, 4.50%, dated 06/01/23, (collateral: Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45), to be repurchased on demand at face value plus accrued interest.		(4,810,747	)
USD	(4,911,270)	Nomura International Plc, 4.50%, dated 06/01/23, (collateral: Dominican Republic International Bond, Reg S, 6.50%, due 02/15/48), to be repurchased on demand at face value plus accrued interest.		(4,911,270	)
USD	(1,135,706)	Nomura International Plc, 4.50%, dated 06/09/23, (collateral: Dominican Republic International Bond, Reg S, 6.50%, due 02/15/48), to be repurchased on demand at face value plus accrued interest.		(1,135,706	)
USD	(1,361,318)	Nomura International Plc, 3.00%, dated 06/21/23, (collateral: El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35), to be repurchased on demand at face value plus accrued interest.		(1,361,318	)
USD	(217,233)	Nomura International Plc, 4.50%, dated 07/03/23, (collateral: Dominican Republic International Bond, Reg S, 6.50%, due 02/15/48), to be repurchased on demand at face value plus accrued interest.		(217,233	)
USD	(647,776)	Nomura International Plc, 4.50%, dated 07/11/23, (collateral: Republic of Suriname, Reg S, 9.25%, due 10/26/26), to be repurchased on demand at face value plus accrued interest.		(647,776	)
USD	(694,486)	Nomura International Plc, 4.50%, dated 07/21/23, (collateral: Republic of Suriname, Reg S, 9.25%, due 10/26/26), to be repurchased on demand at face value plus accrued interest.		(694,486	)
USD	(10,109,539)	Barclays Bank PLC, 4.50%, dated 07/26/23, (collateral: Peruvian Government International Bond, 3.60%, due 01/15/72), to be repurchased on demand at face value plus accrued interest.		(10,109,539	)
USD	(514,963)	Nomura International Plc, 4.75%, dated 08/02/23, (collateral: Heritage Petroleum Co Ltd, Reg S, 9.00%, due 08/12/29), to be repurchased on demand at face value plus accrued interest.		(514,963	)
USD	(146,418)	Nomura International Plc, 3.50%, dated 08/04/23, (collateral: Ecuador Government International Bond, Reg S, Step Up, 2.50%, due 07/31/40), to be repurchased on demand at face value plus accrued interest.		(146,418	)
USD	(217,411)	Nomura International Plc, 4.00%, dated 08/22/23, (collateral: Ecuador Government International Bond, Reg S, Zero Coupon, due 07/31/30), to be repurchased on demand at face value plus accrued interest.		(217,411	)
USD	(989,964)	Nomura International Plc, 4.75%, dated 08/30/23, (collateral: Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43), to be repurchased on demand at face value plus accrued interest.		(989,964	)
			$	(31,718,273	)
Average balance outstanding			$	(23,589,133	)
Average interest rate (net)				(3.39	)%
Maximum balance outstanding			$	(36,200,890	)

See accompanying notes to the financial statements. 14

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.

Credit Linked Options

Principal / Notional Amount	Expiration Date		Description	Premiums Paid/ (Received) ($)			Value ($)
Put Sold  USD   7,946,000		01/24/2024	Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) (a)		(167,408	)		9,946
Put Sold  USD  41,197,000		04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) (a)		(1,512,147	)		110,848
Put Sold  USD  81,200,000		04/15/2024	Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) (a)		(4,688,082	)		158,506
				$	(6,367,637	)	$	279,300

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity

Notional Amount

Annual Premium

Implied Credit Spread (1)

Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Buy Protection^:

CDX.EM.38.V1

USD

116,100,000

1.00

%

1.95

%

N/A

12/20/2027

Quarterly

$

11,377,800

$

4,146,395

$(7,231,405)

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount			Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Republic of Nigeria	JPM		USD	9,100,000		5.00%		4.68%		N/A		12/20/2023		Quarterly		182,831		(8,584	)			(191,415	)
Petrobras Global Finance BV	CITI		USD	40,600,000		1.00%		0.54%		N/A		12/20/2024		Quarterly		644,565		(235,273	)			(879,838	)
Republic of Turkey	BCLY		USD	14,000,000		1.00%		2.22%		N/A		12/20/2024		Quarterly		1,744,254		214,306				(1,529,948	)
Republic of Turkey	CITI		USD	19,700,000		1.00%		2.22%		N/A		12/20/2024		Quarterly		1,335,735		301,560				(1,034,175	)
Commonwealth of Bahamas	DB		EUR	14,536,906		1.00%		6.42%		N/A		06/20/2025		Quarterly		1,805,109		1,030,024				(775,085	)
Republic of Brazil	MORD		USD	14,000,000		1.00%		0.54%		N/A		06/20/2025		Quarterly		110,957		(111,220	)			(222,177	)
Republic of Colombia	CITI		USD	4,900,000		1.00%		0.76%		N/A		06/20/2025		Quarterly		66,492		(20,676	)			(87,168	)
Republic of Colombia	CITI		USD	45,000,000		1.00%		0.76%		N/A		06/20/2025		Quarterly		913,315		(189,878	)			(1,103,193	)
Republic of South Africa	BCLY		USD	37,800,000		1.00%		1.24%		N/A		06/20/2025		Quarterly		561,569		155,312				(406,257	)
Republic of Egypt	CITI		USD	2,500,000		1.00%		15.88%		N/A		12/20/2027		Quarterly		712,500		967,244				254,744
Republic of Egypt	JPM		USD	2,800,000		1.00%		15.88%		N/A		12/20/2027		Quarterly		772,800		1,083,313				310,513
Republic of Egypt	JPM		USD	2,800,000		1.00%		15.88%		N/A		12/20/2027		Quarterly		812,000		1,083,313				271,313

15 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Kingdom of Bahrain	MORD	USD	6,000,000		1.00%		2.14%		N/A		06/20/2028		Quarterly		446,557			284,046				(162,511	)
Republic of South Africa	MORD	USD	41,600,000		1.00%		2.45%		N/A		06/20/2028		Quarterly		3,441,730			2,490,088				(951,642	)
Republic of Turkey	MORD	USD	1,800,000		1.00%		3.76%		N/A		06/20/2028		Quarterly		394,493			196,785				(197,708	)
United States of Mexico	BCLY	USD	16,200,000		1.00%		1.00%		N/A		06/20/2028		Quarterly		269,613			(3,123	)			(272,736	)
United States of Mexico	GS	USD	16,200,000		1.00%		1.25%		N/A		06/20/2029		Quarterly		1,287,609			207,371				(1,080,238	)
United States of Mexico	GS	USD	16,200,000		1.00%		1.61%		N/A		09/20/2031		Quarterly		2,138,930			650,677				(1,488,253	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	19,426,321		1.00%		6.41%		19,426,321 USD		06/20/2025		Quarterly		(2,080,154	)		(1,252,318	)			827,836
														$	15,560,905		$	6,842,967			$	(8,717,938	)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of August 31, 2023, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, 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. 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 contract.

⁽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 contract.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)				Net Unrealized Appreciation/ (Depreciation) ($)
0.30%	JPY - TONA - OIS - COMPOUND		JPY	8,570,000,000		12/21/2027		Annually			(62,493	)			259,002				321,495
USD - SOFR -  COMPOUND	4.01%		USD	50,200,000		12/21/2027		Annually			1,257,670				(205,233	)			(1,462,903	)
0.58%	JPY - TONA - OIS - COMPOUND		JPY	4,360,000,000		12/21/2032		Annually			(100,289	)			668,211				768,500
3.00%	6 Month EURIBOR		EUR	21,400,000		09/20/2033		Semi-Annually			8,825				68,738				59,913
USD - SOFR - COMPOUND	3.45%		USD	54,000,000		09/20/2033		Annually			(1,200	)			(1,539,203	)			(1,538,003	)
2.65%	6 Month EURIBOR		EUR	28,400,000		09/20/2053		Semi-Annually			17,189				289,889				272,700
4.00%	GBP - SONIA - COMPOUND		GBP	26,500,000		09/20/2053		Annually			(311,447	)			(171,790	)			139,657
										$	808,255			$	(630,386	)		$	(1,438,641	)

See accompanying notes to the financial statements. 16

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(b) Security is backed by U.S. Treasury Bonds.

(c) Investment valued using significant unobservable inputs (Note 2).

(d) Security is in default.

(e) Security is backed by the United States International Development Finance Corporation.

(f) All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).

(g) The security is restricted as to resale.

(h) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(i) Affiliated company (Note 10).

(j) Private placement security; restricted as to resale. Represents investment in a pool of constitutional obligations of the Colombian government owed to individuals.

(k) Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic.

(l) The rate disclosed is the 7 day net yield as of August 31, 2023.

(m) Reverse repurchase agreements have an open maturity date and can be closed by either party on demand.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 48.

17 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		49.7	%
Debt Obligations		48.3
Swap Contracts		1.7
Forward Currency Contracts		0.9
Futures Contracts		0.1
Written Options		(0.1	)
Other		(0.6	)
		100.0	%

Industry Group Summary¤	% of Investments
Consumer Cyclical		22.6	%
Communications		14.1
Consumer Non-Cyclical		11.8
Energy		10.9
Capital Goods		10.1
Technology		7.4
Electric		4.3
Transportation		3.8
Basic Industry		3.3
Finance Companies		2.8
REITS		2.3
Insurance		1.8
Other Financial		1.4
Cash/Cash Equivalents		1.1
Brokerage/Asset Managers/Exchanges		0.6
Other Industrial		0.6
Government Owned No Guarantee		0.6
Banking		0.5
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table excludes short-term investments and mutual funds, if any. The table includes exposure through the use of certain derivative financial instruments and excludes exposures through certain currency linked derivatives such as forward currency contracts. The table takes in account the market values of securities and the notional amounts of swaps. The table is not normalized, thus the table may not total to 100%.

18

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 48.3%
		Corporate Debt — 18.2%
		Canada — 2.8%
	1,090,000	Air Canada, 144A, 3.88%, due 08/15/26		1,006,529
	450,000	GFL Environmental Inc, 144A, 3.50%, due 09/01/28		397,530
	500,000	Open Text Corp, 144A, 3.88%, due 12/01/29		424,011
	450,000	Parkland Corp, 144A, 4.50%, due 10/01/29		396,503
	450,000	Superior Plus LP / Superior General Partner Inc, 144A, 4.50%, due 03/15/29		395,991
	1,150,000	TransAlta Corp, 7.75%, due 11/15/29		1,190,733
	1,200,000	Videotron Ltd, 144A, 3.63%, due 06/15/29		1,030,512
		Total Canada		4,841,809
		Japan — 0.2%
	400,000	Rakuten Group Inc, 144A, 10.25%, due 11/30/24		401,000
		Macau — 0.5%
	981,000	Sands China Ltd, 5.65%, due 08/08/28		926,006
		Spain — 0.2%
	550,000	Cellnex Finance Co. SA, 144A, 3.88%, due 07/07/41		391,006
		United Kingdom — 0.8%
	1,400,000	Rolls-Royce Plc, 144A, 5.75%, due 10/15/27		1,359,141
		United States — 13.7%
	300,000	Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.38%, due 06/15/29		281,114
	450,000	Builders FirstSource, Inc., 144A, 4.25%, due 02/01/32		382,576
	500,000	Carnival Corp., 144A, 4.00%, due 08/01/28		447,404
	250,000	CCO Holdings LLC / CCO Holdings Capital Corp., 144A, 4.75%, due 03/01/30		214,948
	400,000	CNX Resources Corp., 144A, 7.38%, due 01/15/31		399,256
	450,000	Cogent Communications Group, Inc., 144A, 3.50%, due 05/01/26		416,608
	550,000	Coty, Inc. / HFC Prestige Products, Inc. / HFC Prestige International U.S. LLC, 144A, 4.75%, due 01/15/29		503,937
	450,000	Delek Logistics Partners L.P. / Delek Logistics Finance, 144A, 7.13%, due 06/01/28		418,311
	750,000	Directv Financing LLC / Directv Financing Co., Inc., 144A, 5.88%, due 08/15/27		664,664
	300,000	EQM Midstream Partners L.P., 144A, 6.50%, due 07/01/27		298,102
	400,000	Fair Isaac Corp., 144A, 5.25%, due 05/15/26		388,000
	100,000	Ford Motor Credit Co. LLC, 7.20%, due 06/10/30		101,570

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	750,000	Fortress Transportation and Infrastructure Investors LLC, 144A, 5.50%, due 05/01/28		696,686
	450,000	Gartner, Inc., 144A, 3.63%, due 06/15/29		395,258
	200,000	Genting New York LLC / GENNY Capital, Inc., 144A, 3.30%, due 02/15/26		178,265
	350,000	Hess Midstream Operations LP, 144A, 5.50%, due 10/15/30		327,659
	450,000	Hilton Domestic Operating Co, Inc., 144A, 3.75%, due 05/01/29		396,448
	1,100,000	Howard Hughes Corp. (The), 144A, 5.38%, due 08/01/28		990,377
	300,000	Howard Hughes Corp. (The), 144A, 4.38%, due 02/01/31		239,085
	450,000	Howmet Aerospace, Inc., 3.00%, due 01/15/29		388,098
	400,000	International Game Technology Plc, 144A, 6.25%, due 01/15/27		396,062
	1,525,000	Iron Mountain Information Management Services, Inc., 144A, 5.00%, due 07/15/32		1,316,782
	500,000	Jefferies Finance LLC / JFIN Co.-Issuer Corp., 144A, 5.00%, due 08/15/28		426,936
	500,000	KB Home, 4.80%, due 11/15/29		451,000
	625,000	Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.25%, due 02/01/27		565,217
	450,000	Lamb Weston Holdings, Inc., 144A, 4.13%, due 01/31/30		395,747
	400,000	Las Vegas Sands Corp., 3.50%, due 08/18/26		370,912
	500,000	Las Vegas Sands Corp., 3.90%, due 08/08/29		440,183
	450,000	Live Nation Entertainment Inc., 144A, 3.75%, due 01/15/28		400,707
	400,000	M/I Homes, Inc., 4.95%, due 02/01/28		371,142
	500,000	Match Group Holdings II LLC, 144A, 4.13%, due 08/01/30		428,810
	500,000	Meritage Homes Corp., 144A, 3.88%, due 04/15/29		436,355
	450,000	Mueller Water Products, Inc., 144A, 4.00%, due 06/15/29		398,551
	625,000	Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31		525,750
	450,000	News Corp., 144A, 3.88%, due 05/15/29		395,185
	550,000	NRG Energy, Inc., 144A, 3.88%, due 02/15/32		425,548
	400,000	NuStar Logistics L.P., 6.00%, due 06/01/26		392,032
	400,000	OneMain Finance Corp., 7.13%, due 03/15/26		393,497
	450,000	PG&E Corp., 5.25%, due 07/01/30		399,790
	300,000	Range Resources Corp., 144A, 4.75%, due 02/15/30		270,891
	126,000	Royal Caribbean Cruises Ltd., 144A, 11.50%, due 06/01/25		133,068
	450,000	Sunoco LP/Sunoco Finance Corp., 4.50%, due 05/15/29		406,957
	400,000	Talen Energy Supply LLC, 144A, 8.63%, due 06/01/30		416,484

19 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Corporate Debt — continued
		United States — continued
	400,000	Taylor Morrison Communities, Inc., 144A, 5.75%, due 01/15/28		387,704
	450,000	Tempur Sealy International, Inc., 144A, 4.00%, due 04/15/29		386,542
	450,000	Tenet Healthcare Corp., 4.38%, due 01/15/30		399,752
	228,359	Topaz Solar Farms LLC, 144A, 5.75%, due 09/30/39		215,929
	450,000	TopBuild Corp., 144A, 4.13%, due 02/15/32		374,625
	500,000	TriNet Group, Inc., 144A, 3.50%, due 03/01/29		430,490
	450,000	Twilio, Inc., 3.63%, due 03/15/29		386,070
	225,000	U.S. Cellular Corp., 6.70%, due 12/15/33		219,240
	450,000	United Airlines, Inc., 144A, 4.63%, due 04/15/29		400,118
	500,000	Vector Group Ltd., 144A, 5.75%, due 02/01/29		435,272
	400,000	Vistra Operations Co. LLC, 144A, 4.38%, due 05/01/29		352,680
	500,000	Xerox Holdings Corp., 144A, 5.50%, due 08/15/28		434,981
	400,000	XPO, Inc., 144A, 7.13%, due 06/01/31		402,126
	800,000	Yum! Brands, Inc., 4.63%, due 01/31/32		715,792
		Total United States		23,827,293
		Total Corporate Debt		31,746,255
		U.S. Government — 30.1%
	29,169,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.34%, due 04/30/24 (a)		29,160,738
	5,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.45%, due 07/31/24		5,501,326
	8,025,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.61%, due 01/31/25 (a)		8,036,948
	9,780,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.13%, 5.54%, due 07/31/25 (a)		9,771,466
		Total U.S. Government		52,470,478
		TOTAL DEBT OBLIGATIONS (COST $84,802,175)		84,216,733
		SHORT-TERM INVESTMENTS — 49.7%
		Repurchase Agreements — 25.8%
	45,000,000	Nomura Securities International, Inc. Repurchase Ageement, dated 08/31/23, maturing on 09/01/23 with a maturity value of $45,006,587 and an effective yield of 5.27%, collateralized by a U.S. Treasury Note with maturity date 08/15/26 and a market value of $45,839,345.		45,000,000

Par Value† /  Shares		Description	Value ($)
		Sovereign and Sovereign Agency Issuers — 22.6%
JPY	4,200,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/25/23		28,869,125
JPY	1,530,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/11/23		10,516,100
		Total Sovereign and Sovereign Agency Issuers		39,385,225
		Money Market Funds — 1.3%
	2,336,842	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (b)		2,336,842
		TOTAL SHORT-TERM INVESTMENTS (COST $87,519,349)		86,722,067
		TOTAL INVESTMENTS — 98.0% (Cost $172,321,524)		170,938,800
		Other Assets and Liabilities (net) — 2.0%		3,525,067
		TOTAL NET ASSETS — 100.0%	$	174,463,867

See accompanying notes to the financial statements. 20

GMO High Yield Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Forward Currency Contracts

						Net Unrealized
Settlement	Counter-	Currency		Currency		Appreciation
Date	party	Sold		Purchased		(Depreciation)($)
09/11/2023	BBH	JPY	1,830,000,000	USD	13,307,252			717,719
09/25/2023	BBH	JPY	4,200,000,000	USD	29,733,145			773,975
09/11/2023	BBH	USD	2,059,434	JPY	300,000,000			4,424
							$	1,496,118

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
47	U.S. Treasury Note 10 Yr. (CBT)	December 2023		5,218,469				55,638
37	U.S. Treasury Note 2 Yr. (CBT)	December 2023		7,540,773				19,133
168	U.S. Treasury Note 5 Yr. (CBT)	December 2023		17,962,875				122,565
			$	30,722,117			$	197,336

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
4	U.S. Long Bond (CBT)	December 2023			486,750			(7,704	)
1	U.S. Ultra Bond (CBT)	December 2023			129,469			(2,274	)
				$	616,219		$	(9,978	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

Written Options

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Written Options on Credit Default Swaps – Puts

CDX.NA.HYS.40

JPM

102.00

%

09/20/23

USD (24,248,000)

Fixed Spread

Pay

(78,346

)

CDX.NA.HYS.40

JPM

101.00

%

10/18/23

USD (10,392,000)

Fixed Spread

Pay

(50,213

)

Total Written Options On Credit Default   Swaps — Puts

(128,559

)

TOTAL WRITTEN OPTIONS

(Premiums $294,509)

$

(128,559

)

21 See accompanying notes to the financial statements.

GMO High Yield Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity

Notional Amount

Annual Premium

Implied Credit Spread (1)

Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Sell Protection^:

CDX.NA.HYS.40.V1

USD 29,707,000

5.00

%

4.26

%

29,707,000 USD

06/20/2028

Quarterly

$809,979

$840,916

$30,937

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of August 31, 2023, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, 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. 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 contract.

⁽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 contract.

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iBoxx USD Liquid High Yield Index	BCLY		USD	1,460,000		09/20/2023		Quarterly			(18	)			56,594			56,612
SOFR	Total Return on iBoxx USD Liquid High Yield Index	MSCI		USD	2,010,000		09/20/2023		Quarterly			(25	)			74,350			74,375
SOFR	Total Return on iBoxx USD Liquid High Yield Index	JPM		USD	26,176,000		09/20/2023		Quarterly			(294	)			651,315			651,609
SOFR	Total Return on iBoxx USD Liquid High Yield Index	JPM		USD	27,819,000		09/20/2023		Quarterly			(24	)			642,349			642,373
SOFR	Total Return on iBoxx USD Liquid High Yield Index	MSCI		USD	26,078,000		09/20/2023		Quarterly			(283	)			474,912			475,195
SOFR	Total Return on iBoxx USD Liquid High Yield Index	MSCI		USD	11,140,000		09/20/2023		Quarterly			(120	)			195,203			195,323
											$	(764	)		$	2,094,723		$	2,095,487

See accompanying notes to the financial statements. 22

GMO High Yield Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 48.

23 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		94.2	%
Short-Term Investments		25.6
Futures Contracts		0.4
Swap Contracts		0.3
Loan Assignments		0.1
Rights/Warrants		0.0	^
Investment Funds		0.0	^
Loan Participations		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Forward Currency Contracts		(0.2	)
Other		(20.4	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		105.5	%
Australia		12.9
New Zealand		(1.4	)
Other Developed		(1.4	)‡
Euro Region		(5.4	)§
Sweden		(10.2	)
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration adjusted exposure using a reference security and applying the same methodology to that security. The table is normalized to 100%, therefore the absolute exposure presented for each country may not be representative of the true exposure of the Fund.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

   

24

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 74.4%
		Bermuda — 0.1%
		Corporate Debt — 0.1%
	200,000	Triton Container International Ltd / TAL International Container Corp, 3.25%, due 03/15/32		155,403
		Canada — 0.8%
		Corporate Debt — 0.8%
	300,000	CI Financial Corp, 3.20%, due 12/17/30		231,413
	350,000	CI Financial Corp, 4.10%, due 06/15/51		211,792
	150,000	Fairfax Financial Holdings Ltd, 5.63%, due 08/16/32		144,772
	150,000	Rogers Communications Inc, 4.50%, due 03/15/42		121,280
	150,000	Rogers Communications Inc, 5.00%, due 03/15/44		127,799
	150,000	Rogers Communications Inc, 4.55%, due 03/15/52		116,228
		Total Canada		953,284
		Chile — 0.2%
		Corporate Debt — 0.2%
	200,000	Enel Chile SA, 4.88%, due 06/12/28		190,200
		Japan — 1.4%
		Corporate Debt — 1.4%
	250,000	Mitsubishi UFJ Financial Group Inc, 3.85%, due 03/01/26		240,083
	200,000	Mitsubishi UFJ Financial Group Inc, Variable Rate, 5.48%, due 02/22/31		198,385
	200,000	Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.32%, due 04/19/33		184,215
	200,000	Mizuho Financial Group, Inc., 4.02%, due 03/05/28		188,495
	250,000	Mizuho Financial Group, Inc., Variable Rate, 4.25%, due 09/11/29		233,599
	200,000	Mizuho Financial Group, Inc., Variable Rate, 5.75%, due 05/27/34		198,927
	200,000	Sumitomo Mitsui Financial Group, Inc., 5.46%, due 01/13/26		199,361
	200,000	Sumitomo Mitsui Financial Group, Inc., 5.77%, due 01/13/33		202,863
		Total Japan		1,645,928
		Mexico — 0.2%
		Corporate Debt — 0.2%
	200,000	Southern Copper Corp, 5.88%, due 04/23/45		195,596
		Netherlands — 0.1%
		Corporate Debt — 0.1%
	200,000	ING Groep NV, Variable Rate, 4.02%, due 03/28/28		188,176

Par Value†		Description	Value ($)
		Spain — 0.5%
		Corporate Debt — 0.5%
	200,000	Banco Bilbao Vizcaya Argentaria SA, 1.13%, due 09/18/25		182,454
	200,000	Banco Bilbao Vizcaya Argentaria SA, Variable Rate, 5.86%, due 09/14/26		198,348
	200,000	Banco Bilbao Vizcaya Argentaria SA, Variable Rate, 6.14%, due 09/14/28		200,855
		Total Spain		581,657
		United Kingdom — 0.9%
		Corporate Debt — 0.9%
	200,000	HSBC Holdings Plc, Variable Rate, 4.58%, due 06/19/29		188,816
	500,000	HSBC Holdings Plc, Variable Rate, 3.97%, due 05/22/30		450,104
	250,000	Mead Johnson Nutrition Co., 4.13%, due 11/15/25		243,367
	200,000	Natwest Group Plc, Variable Rate, 4.89%, due 05/18/29		190,600
		Total United Kingdom		1,072,887
		United States — 70.2%
		Corporate Debt — 18.2%
	250,000	Aircastle Ltd., 4.13%, due 05/01/24		245,674
	200,000	Aircastle Ltd., 4.25%, due 06/15/26		189,793
	250,000	Altria Group, Inc., 5.80%, due 02/14/39		243,587
	150,000	Altria Group, Inc., 5.95%, due 02/14/49		139,667
	350,000	Altria Group, Inc., 4.00%, due 02/04/61		236,829
	150,000	Amazon.com, Inc., 3.15%, due 08/22/27		141,051
	150,000	Amcor Finance USA, Inc., 3.63%, due 04/28/26		142,187
	150,000	Arch Capital Group US, Inc., 5.14%, due 11/01/43		133,383
	250,000	Athene Holding Ltd., 4.13%, due 01/12/28		233,511
	200,000	Athene Holding Ltd., 6.15%, due 04/03/30		201,959
	150,000	AutoZone, Inc., 4.00%, due 04/15/30		138,795
	200,000	Baker Hughes Holdings LLC / Baker Hughes Co.-Obligor, Inc., 3.34%, due 12/15/27		185,470
	250,000	Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc., 3.14%, due 11/07/29		222,451
	150,000	Berry Global, Inc., 144A, 5.50%, due 04/15/28		147,467
	50,000	Biogen, Inc., 4.05%, due 09/15/25		48,492
	200,000	Boeing Co. (The), 5.71%, due 05/01/40		194,437
	50,000	Boeing Co. (The), 5.81%, due 05/01/50		48,644
	250,000	Boeing Co. (The), 5.93%, due 05/01/60		241,319
	250,000	Booking Holdings, Inc., 3.65%, due 03/15/25		243,644
	150,000	Booking Holdings, Inc., 3.60%, due 06/01/26		144,309
	200,000	Booking Holdings, Inc., 4.63%, due 04/13/30		195,558
	300,000	Broadcom, Inc., 144A, 3.42%, due 04/15/33		248,588

25 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	300,000	Broadcom, Inc., 144A, 3.19%, due 11/15/36		225,461
	150,000	Broadcom, Inc., 144A, 4.93%, due 05/15/37		135,124
	250,000	Capital One Financial Corp., Variable Rate, 6.31%, due 06/08/29		249,863
	250,000	Capital One Financial Corp., Variable Rate, 6.38%, due 06/08/34		246,944
	200,000	Cardinal Health, Inc., 3.08%, due 06/15/24		195,620
	300,000	Cardinal Health, Inc., 4.37%, due 06/15/47		240,238
	400,000	Carrier Global Corp., 2.72%, due 02/15/30		342,974
	200,000	CBRE Services, Inc., 5.95%, due 08/15/34		197,826
	150,000	CDW LLC / CDW Finance Corp., 4.25%, due 04/01/28		138,646
	250,000	Cencora, Inc., 3.25%, due 03/01/25		241,833
	200,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, due 04/01/38		169,369
	100,000	Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55		92,611
	200,000	DCP Midstream Operating LP, 5.38%, due 07/15/25		198,003
	200,000	DCP Midstream Operating LP, 5.63%, due 07/15/27		200,213
	150,000	Dell International LLC / EMC Corp., 8.10%, due 07/15/36		172,333
	150,000	Dell International LLC / EMC Corp., 8.35%, due 07/15/46		183,969
	250,000	DENTSPLY SIRONA, Inc., 3.25%, due 06/01/30		214,767
	50,000	Dick’s Sporting Goods, Inc., 3.15%, due 01/15/32		39,857
	200,000	Dick’s Sporting Goods, Inc., 4.10%, due 01/15/52		129,898
	100,000	Dow Chemical Co., 6.90%, due 05/15/53		111,319
	250,000	Eagle Materials, Inc., 2.50%, due 07/01/31		201,846
	200,000	Ecolab, Inc., 5.25%, due 01/15/28		202,817
	200,000	Ecolab, Inc., 4.80%, due 03/24/30		198,834
	150,000	Eli Lilly & Co., 4.15%, due 03/15/59		126,957
	200,000	Enstar Group Ltd., 4.95%, due 06/01/29		187,381
	150,000	EQT Corp., 7.00%, due 02/01/30		156,944
	200,000	Equinix Inc., 1.00%, due 09/15/25		182,379
	150,000	FedEx Corp., 4.75%, due 11/15/45		129,328
	200,000	FedEx Corp., 4.55%, due 04/01/46		167,650
	250,000	Fortune Brands Innovations Inc., 3.25%, due 09/15/29		220,480
	200,000	Fortune Brands Innovations, Inc., 5.88%, due 06/01/33		199,205
	150,000	FS KKR Capital Corp., 3.40%, due 01/15/26		137,544
	300,000	FS KKR Capital Corp., 3.13%, due 10/12/28		245,032
	250,000	GE Capital International Funding Co. Unlimited Co., 4.42%, due 11/15/35		231,523
	150,000	GLP Capital LP / GLP Financing II, Inc., 5.75%, due 06/01/28		145,765

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	250,000	GLP Capital LP / GLP Financing II, Inc., 4.00%, due 01/15/31		214,442
	150,000	Hasbro, Inc., 3.55%, due 11/19/26		140,884
	150,000	Hasbro, Inc., 3.90%, due 11/19/29		136,017
	150,000	HCA, Inc., 5.38%, due 02/01/25		149,027
	150,000	HCA, Inc., 5.50%, due 06/15/47		136,562
	200,000	HCA, Inc., 5.25%, due 06/15/49		174,557
	150,000	HEICO Corp., 5.35%, due 08/01/33		148,660
	150,000	JPMorgan Chase & Co., Variable Rate, 3.54%, due 05/01/28		139,983
	150,000	JPMorgan Chase & Co., Variable Rate, 4.91%, due 07/25/33		144,261
	150,000	JPMorgan Chase & Co., Variable Rate, 5.30%, due 07/24/29		149,143
	150,000	Kirby Corp., 4.20%, due 03/01/28		140,797
	250,000	Kyndryl Holdings, Inc., 2.05%, due 10/15/26		220,047
	300,000	Kyndryl Holdings, Inc., 3.15%, due 10/15/31		233,027
	150,000	Linde, Inc., 4.70%, due 12/05/25		148,787
	250,000	Lowe’s Cos, Inc., 5.85%, due 04/01/63		244,485
	250,000	Lowe’s Cos., Inc., 5.80%, due 09/15/62		241,663
	150,000	Marvell Technology, Inc., 2.45%, due 04/15/28		131,552
	150,000	McDonald’s Corp., (MTN), 4.70%, due 12/09/35		143,321
	150,000	McDonald’s Corp., (MTN), 4.45%, due 03/01/47		129,513
	200,000	Meta Platforms, Inc., 3.50%, due 08/15/27		190,609
	150,000	Meta Platforms, Inc., 3.85%, due 08/15/32		137,715
	250,000	Meta Platforms, Inc., 4.65%, due 08/15/62		212,663
	150,000	Morgan Stanley, Variable Rate, 3.62%, due 04/01/31		133,294
	150,000	Motorola Solutions, Inc., 2.30%, due 11/15/30		119,534
	150,000	Motorola Solutions, Inc., 2.75%, due 05/24/31		121,675
	150,000	Motorola Solutions, Inc., 5.60%, due 06/01/32		148,059
	250,000	MPLX LP, 5.50%, due 02/15/49		222,754
	300,000	Mylan, Inc., 5.20%, due 04/15/48		233,467
	250,000	NVIDIA Corp., 2.85%, due 04/01/30		224,373
	250,000	NVIDIA Corp., 3.50%, due 04/01/40		208,100
	200,000	NVIDIA Corp., 3.50%, due 04/01/50		157,498
	250,000	Omega Healthcare Investors, Inc., 5.25%, due 01/15/26		245,805
	200,000	Omega Healthcare Investors, Inc., 3.38%, due 02/01/31		161,542
	150,000	Omega Healthcare Investors, Inc., 3.25%, due 04/15/33		111,955
	300,000	Oracle Corp., 4.13%, due 05/15/45		231,890
	200,000	Oracle Corp., 6.90%, due 11/09/52		217,818
	300,000	Oracle Corp., 3.85%, due 04/01/60		203,887
	250,000	O’Reilly Automotive, Inc., 4.20%, due 04/01/30		234,412

See accompanying notes to the financial statements. 26

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	200,000	O’Reilly Automotive, Inc., 4.70%, due 06/15/32		191,228
	200,000	Otis Worldwide Corp., 2.06%, due 04/05/25		189,514
	250,000	Pacific Gas & Electric Co., 3.75%, due 07/01/28		224,826
	250,000	Pacific Gas & Electric Co., 5.90%, due 06/15/32		239,299
	150,000	Pacific Gas & Electric Co., 4.75%, due 02/15/44		114,692
	200,000	Philip Morris International, Inc., 4.13%, due 03/04/43		158,873
	250,000	Philip Morris International, Inc., 4.88%, due 11/15/43		219,780
	150,000	Philip Morris International, Inc., 4.25%, due 11/10/44		121,699
	150,000	Santander Holdings USA, Inc., Variable Rate, 4.26%, due 06/09/25		147,040
	250,000	Santander Holdings USA, Inc., 3.24%, due 10/05/26		228,909
	150,000	Santander Holdings USA, Inc., Variable Rate, 6.50%, due 03/09/29		149,141
	250,000	T-Mobile USA, Inc., 5.80%, due 09/15/62		243,011
	150,000	Trane Technologies Luxembourg Finance SA, 3.80%, due 03/21/29		139,983
	350,000	Union Pacific Corp., 4.10%, due 09/15/67		277,718
	350,000	Union Pacific Corp., 3.80%, due 04/06/71		257,040
	300,000	Utah Acquisition Sub, Inc., 5.25%, due 06/15/46		237,041
	150,000	VeriSign, Inc., 2.70%, due 06/15/31		122,806
	150,000	Verisk Analytics, Inc., 5.75%, due 04/01/33		153,218
	300,000	Vontier Corp., 2.95%, due 04/01/31		237,747
	300,000	Walmart, Inc., 2.50%, due 09/22/41		214,118
	150,000	Willis North America, Inc., 4.50%, due 09/15/28		142,969
	150,000	Workday, Inc., 3.80%, due 04/01/32		133,151
	150,000	Zimmer Biomet Holdings, Inc., 3.55%, due 04/01/25		145,082
				21,400,031
		Defeased Securities – Asset-Backed (a) — 28.3%
	15,310,000	Citigroup Commercial Mortgage Trust, 144A, 3.34%, due 05/10/36		15,184,388
	14,655,000	Citigroup Commercial Mortgage Trust, 144A, 4.15%, due 01/10/36		14,605,465
	3,380,000	Citigroup Commercial Mortgage Trust, 144A, 3.90%, due 05/10/36		3,356,901
				33,146,754
		U.S. Government — 3.7%
	3,900,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.34%, due 04/30/24 (b)		3,898,895

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	450,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.45%, due 07/31/24 (b)		450,109
				4,349,004
		U.S. Government Agency — 20.0%
	300,000	Federal National Mortgage Association, TBA, 2.00%, due 09/01/53		238,863
	5,300,000	Federal National Mortgage Association, TBA, 2.50%, due 09/01/38		4,766,067
	1,600,000	Federal National Mortgage Association, TBA, 2.50%, due 09/01/53		1,325,375
	4,000,000	Federal National Mortgage Association, TBA, 3.00%, due 09/01/53		3,446,094
	9,100,000	Federal National Mortgage Association, TBA, 5.00%, due 09/14/53		8,823,623
	3,000,000	Federal National Mortgage Association, TBA, 5.50%, due 09/14/53		2,962,031
	2,200,000	Government National Mortgage Association, TBA, 3.00%, due 09/20/53		1,934,195
				23,496,248
		Total United States		82,392,037
		TOTAL DEBT OBLIGATIONS (COST $88,392,770)		87,375,168
		MUTUAL FUNDS — 24.3%
		United States — 24.3%
		Affiliated Issuers — 24.3%
	247,731	GMO Emerging Country Debt Fund, Class VI		4,592,932
	974,867	GMO Opportunistic Income Fund, Class VI		23,913,496
		TOTAL MUTUAL FUNDS (COST $32,367,720)		28,506,428
		SHORT-TERM INVESTMENTS — 20.4%
		Repurchase Agreements — 8.5%
	10,000,000	Nomura Securities International, Inc. Repurchase Agreement, dated, 08/31/23 maturing on 09/01/23 with a maturity value of $10,001,464 and an effective yield of 5.27%, collateralized by a U.S. Treasury Note with maturity date 08/15/26 and a market value of $10,185,636.		10,000,000
		Money Market Funds — 0.7%
	782,388	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (c)		782,388

27 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Sovereign and Sovereign Agency Issuers — 11.2%
JPY	1,920,000,001	Japan Treasury Discount Bill, Zero Coupon, due 09/25/23		13,197,315
		TOTAL SHORT-TERM INVESTMENTS (COST $24,135,800)		23,979,703
		TOTAL INVESTMENTS — 119.1% (Cost $144,896,290)		139,861,299
		Other Assets and Liabilities (net) — (19.1%)		(22,454,239	)
		TOTAL NET ASSETS — 100.0%		$117,407,060

  

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
11/08/2023	MSCI		AUD	5,660,000		USD	3,715,532		39,645
09/29/2023	CITI		CAD	780,000		USD	589,146		11,649
10/12/2023	JPM		CHF	1,080,000		USD	1,230,897		3,392
10/02/2023	MSCI		CLP	280,000,000		USD	328,446		1,032
09/05/2023	JPM		COP	1,773,658,000		USD	433,976		371
09/05/2023	MSCI		COP	280,000,000		USD	69,721		1,270
10/17/2023	MSCI		CZK	5,242,868		USD	245,622		9,800
10/31/2023	CITI		EUR	620,000		USD	678,893		4,788
10/31/2023	GS		EUR	640,000		USD	706,258		10,407
10/31/2023	JPM		EUR	950,000		USD	1,033,031		128
10/31/2023	SSB		EUR	1,860,000		USD	2,048,653		26,337
09/14/2023	CITI		HUF	80,000,000		USD	228,168		1,109
09/14/2023	DB		HUF	100,000,000		USD	287,757		3,934
11/02/2023	MSCI		IDR	2,705,959,000		USD	178,733		1,211
11/29/2023	DB		ILS	836,203		USD	221,600		915
11/15/2023	MSCI		INR	7,000,000		USD	84,467		8
09/25/2023	BBH		JPY	1,920,000,000		USD	13,592,295		353,817
11/02/2023	GS		KRW	200,000,000		USD	151,856		444
10/17/2023	BCLY		NOK	6,100,000		USD	609,646		35,166
11/22/2023	DB		PLN	2,400,000		USD	584,417		4,765
11/22/2023	GS		PLN	400,000		USD	96,941		332
11/22/2023	MSCI		PLN	250,000		USD	60,684		303
09/27/2023	BCLY		RON	200,000		USD	44,125		251
10/10/2023	BCLY		SEK	16,897,350		USD	1,592,397		46,430
10/10/2023	CITI		SEK	5,700,000		USD	550,656		29,153
09/22/2023	BCLY		THB	6,000,000		USD	171,704		70
11/28/2023	MSCI		TWD	29,745,600		USD	944,305		5,144
09/29/2023	BCLY		USD	302,217		CAD	410,000		1,339
09/05/2023	JPM		USD	128,827		CLP	110,000,000		196
10/02/2023	MSCI		USD	291,339		CLP	250,271,500		1,313
09/05/2023	MSCI		USD	644,452		CLP	550,271,500		979
09/05/2023	JPM		USD	432,684		COP	1,773,658,000		920
09/05/2023	MSCI		USD	569,565		COP	2,333,658,000		941
10/17/2023	GS		USD	89,392		CZK	2,000,000		567

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
10/18/2023	DB		USD	390,209		GBP	310,000		2,558
11/02/2023	GS		USD	78,069		IDR	1,200,000,000		656
11/02/2023	SSB		USD	104,465		IDR	1,600,000,000		501
11/15/2023	MSCI		USD	246,283		INR	20,420,556		102
11/15/2023	SSB		USD	132,626		INR	11,000,000		95
10/17/2023	BCLY		USD	760,492		NOK	8,100,000		2,343
09/22/2023	BCLY		USD	176,473		PHP	10,000,000		198
10/10/2023	GS		USD	173,162		SEK	1,900,000		672
09/22/2023	MSCI		USD	194,480		THB	6,877,700		2,261
09/29/2023	GS		ZAR	1,600,000		USD	85,506		961
09/29/2023	MSCI		ZAR	8,400,000		USD	449,640		5,779
11/08/2023	BOA		AUD	710,000		USD	454,249		(6,861)
11/08/2023	SSB		AUD	950,000		USD	616,624		(353)
10/12/2023	SSB		CHF	5,803,976		USD	6,583,159		(13,518)
09/05/2023	JPM		CLP	190,000,000		USD	221,673		(1,183)
09/05/2023	MSCI		CLP	1,130,543,000		USD	1,319,424		(6,625)
10/02/2023	MSCI		COP	1,160,000,000		USD	280,532		(406)
09/05/2023	MSCI		COP	2,053,658,000		USD	500,990		(1,066)
10/31/2023	CITI		EUR	830,000		USD	899,745		(2,686)
09/14/2023	DB		HUF	60,000,000		USD	168,897		(1,397)
11/15/2023	SSB		INR	5,000,000		USD	59,965		(363)
11/02/2023	BCLY		KRW	90,000,000		USD	67,323		(812)
11/02/2023	GS		KRW	140,000,000		USD	105,013		(975)
11/02/2023	JPM		KRW	140,000,000		USD	105,936		(52)
11/02/2023	SSB		KRW	280,000,000		USD	210,094		(1,882)
11/29/2023	CITI		NZD	750,000		USD	443,613		(3,691)
11/29/2023	JPM		NZD	5,590,000		USD	3,312,478		(21,428)
11/28/2023	MSCI		PEN	120,000		USD	32,271		(37)
09/22/2023	MSCI		PHP	7,500,000		USD	132,441		(62)
11/22/2023	CITI		PLN	600,000		USD	144,485		(428)
09/27/2023	MSCI		RON	3,081,041		USD	675,756		(131)
11/22/2023	JPM		SGD	820,686		USD	607,510		(1,899)
11/22/2023	SSB		SGD	190,000		USD	140,606		(480)
09/22/2023	BCLY		THB	5,700,000		USD	161,358		(1,693)

See accompanying notes to the financial statements. 28

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/22/2023	CITI		THB	3,300,000		USD	93,696		(703	)
10/03/2023	JPM		USD	1,006,138		BRL	4,813,667		(38,461	)
09/29/2023	BCLY		USD	734,357		CAD	980,000		(8,783	)
09/29/2023	JPM		USD	5,373,583		CAD	7,107,182		(111,561	)
09/05/2023	JPM		USD	99,502		CLP	80,000,000		(5,668	)
09/05/2023	MSCI		USD	709,195		CLP	580,271,500		(28,577	)
10/02/2023	JPM		USD	430,395		COP	1,773,658,000		(836	)
10/17/2023	GS		USD	207,510		CZK	4,600,000		(603	)
10/18/2023	JPM		USD	647,488		GBP	510,000		(1,324	)
10/18/2023	MSCI		USD	5,900,159		GBP	4,500,000		(198,704	)
09/14/2023	MSCI		USD	397,831		HUF	139,769,900		(1,131	)
11/02/2023	SSB		USD	170,713		IDR	2,600,000,000		(143	)
11/29/2023	CITI		USD	184,837		ILS	700,000		(98	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/21/2023	BCLY		USD	3,658,663		JPY	530,902,084				(433	)
09/21/2023	SSB		USD	710,430		JPY	103,000,000				(700	)
11/02/2023	MSCI		USD	382,255		KRW	485,778,325				(14,493	)
11/02/2023	SSB		USD	116,138		KRW	150,000,000				(2,579	)
10/18/2023	MSCI		USD	909,727		MXN	15,619,101				(666	)
10/17/2023	BCLY		USD	5,034,616		NOK	50,385,429				(289,461	)
10/17/2023	DB		USD	237,841		NOK	2,500,000				(2,398	)
09/27/2023	BCLY		USD	87,862		RON	400,000				(114	)
09/27/2023	CITI		USD	123,172		RON	550,000				(2,519	)
10/10/2023	BCLY		USD	1,943,897		SEK	20,300,000				(86,616	)
09/29/2023	BCLY		USD	148,913		ZAR	2,800,000				(959	)
										$	(251,306	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
58	U.S. Long Bond (CBT)	December 2023			7,057,875			93,656
58	U.S. Treasury Note 10 Yr. (CBT)	December 2023			6,439,812			68,660
30	U.S. Treasury Note 2 Yr. (CBT)	December 2023			6,114,141			15,478
135	U.S. Treasury Note 5 Yr. (CBT)	December 2023			14,434,453			98,648
31	U.S. Treasury Ultra 10 Yr. (CBT)	December 2023			3,599,391			43,838
44	U.S. Ultra Bond (CBT)	December 2023			5,696,625			108,904
				$	43,342,297		$	429,184

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
4.30%	3 Month AUD BBSW	AUD	7,000,000		09/20/2025		Quarterly		—		(18,527	)	(18,527)
4.26%	3 Month AUD BBSW	AUD	31,544,000		09/20/2025		Quarterly		(541)		(68,083	)	(67,542)
CAD - CORRA - OIS - COMPOUND	4.18%	CAD	11,690,000		09/20/2025		Annually		(9,911)		(99,459	)	(89,548)
4.52%	CAD - CORRA - OIS - COMPOUND	CAD	3,000,000		09/20/2025		Annually		—		11,246		11,246
CHF - SARON - OIS - COMPOUND	1.80%	CHF	6,030,000		09/20/2025		Annually		(6,959)		6,381		13,340
CHF - SARON - OIS - COMPOUND	1.85%	CHF	2,000,000		09/20/2025		Annually		—		4,511		4,511

29 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CHF - SARON - OIS - COMPOUND	1.87%		CHF	4,500,000		09/20/2025		Annually		—				12,167			12,167
CHF - SARON - OIS - COMPOUND	1.92%		CHF	3,500,000		09/20/2025		Annually		—				13,426			13,426
3.19%	EUR - EuroSTR - COMPOUND		EUR	10,014,000		09/20/2025		Annually		(2,186	)			31,757			33,943
3.44%	EUR - EuroSTR - COMPOUND		EUR	2,500,000		09/20/2025		Annually		(124	)			(5,090	)		(4,966	)
3.37%	EUR - EuroSTR - COMPOUND		EUR	3,000,000		09/20/2025		Annually		—				(1,639	)		(1,639	)
GBP - SONIA -  COMPOUND	5.09%		GBP	4,463,000		09/20/2025		Annually		242				(40,551	)		(40,793	)
GBP - SONIA - COMPOUND	5.13%		GBP	2,500,000		09/20/2025		Annually		—				(20,242	)		(20,242	)
GBP - SONIA - COMPOUND	5.86%		GBP	3,500,000		09/20/2025		Annually		—				31,182			31,182
GBP - SONIA - COMPOUND	5.87%		GBP	3,000,000		09/20/2025		Annually		—				27,745			27,745
3.59%	3 Month SEK STIBOR		SEK	60,000,000		09/20/2025		Quarterly		—				36,056			36,056
3.82%	3 Month SEK STIBOR		SEK	50,000,000		09/20/2025		Quarterly		—				9,879			9,879
3.81%	3 Month SEK STIBOR		SEK	45,000,000		09/20/2025		Quarterly		—				9,787			9,787
3 Month SEK STIBOR	3.55%		SEK	179,859,000		09/20/2025		Quarterly		(4,614	)			(121,099	)		(116,485	)
3 Month SEK STIBOR	3.92%		SEK	60,000,000		09/20/2025		Quarterly		2,435				(2,132	)		(4,567	)
USD - SOFR - COMPOUND	4.67%		USD	3,500,000		09/20/2025		Annually		—				(3,264	)		(3,264	)
USD - SOFR - COMPOUND	4.76%		USD	2,500,000		09/20/2025		Annually		—				1,514			1,514
4.12%	USD - SOFR - COMPOUND		USD	10,026,000		09/20/2025		Annually		(17,106	)			115,024			132,130
4.03%	USD - SOFR - COMPOUND		USD	3,500,000		09/20/2025		Annually		—				45,769			45,769
4.47%	USD - SOFR - COMPOUND		USD	2,500,000		09/20/2025		Annually		—				12,216			12,216
6 Month AUD BBSW	4.29%		AUD	1,600,000		09/20/2033		Semi-Annually		—				(6,846	)		(6,846	)
6 Month AUD BBSW	4.42%		AUD	7,011,000		09/20/2033		Semi-Annually		(6,019	)			17,605			23,624
6 Month AUD BBSW	4.55%		AUD	20,220,000		09/20/2033		Semi-Annually		(10,175	)			197,272			207,447
6 Month AUD BBSW	4.60%		AUD	2,400,000		09/20/2033		Semi-Annually		—				29,274			29,274
CAD - CORRA - OIS - COMPOUND	3.40%		CAD	700,000		09/20/2033		Annually		—				(14,409	)		(14,409	)
CAD - CORRA - OIS - COMPOUND	3.73%		CAD	1,900,000		09/20/2033		Annually		—				(1,167	)		(1,167	)
3.38%	CAD - CORRA - OIS - COMPOUND		CAD	2,568,000		09/20/2033		Annually		(2,453	)			55,147			57,600
3.58%	CAD - CORRA - OIS - COMPOUND		CAD	1,100,000		09/20/2033		Annually		—				10,709			10,709
3.61%	CAD - CORRA - OIS - COMPOUND		CAD	1,900,000		09/20/2033		Annually		—				14,755			14,755
CHF - SARON - OIS - COMPOUND	1.83%		CHF	7,448,000		09/20/2033		Annually		(26,790	)			102,989			129,779
1.84%	CHF - SARON - OIS - COMPOUND		CHF	1,309,000		09/20/2033		Annually		3,705				(19,141	)		(22,846	)
1.88%	CHF - SARON - OIS - COMPOUND		CHF	1,400,000		09/20/2033		Annually		—				(26,478	)		(26,478	)
1.92%	CHF - SARON - OIS - COMPOUND		CHF	1,400,000		09/20/2033		Annually		—				(32,044	)		(32,044	)
1.73%	CHF - SARON - OIS - COMPOUND		CHF	1,100,000		09/20/2033		Annually		—				(3,310	)		(3,310	)
1.72%	CHF - SARON - OIS - COMPOUND		CHF	800,000		09/20/2033		Annually		—				(1,529	)		(1,529	)
1.77%	CHF - SARON - OIS - COMPOUND		CHF	500,000		09/20/2033		Annually		—				(3,545	)		(3,545	)
1.79%	CHF - SARON - OIS - COMPOUND		CHF	1,000,000		09/20/2033		Annually		—				(9,758	)		(9,758	)
1.82%	CHF - SARON - OIS - COMPOUND		CHF	900,000		09/20/2033		Annually		—				(10,901	)		(10,901	)

See accompanying notes to the financial statements. 30

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)						Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.83%		CHF - SARON - OIS - COMPOUND		CHF	1,300,000		09/20/2033		Annually				—				(16,969	)				(16,969	)
1.85%		CHF - SARON - OIS - COMPOUND		CHF	1,100,000		09/20/2033		Annually				—				(16,833	)				(16,833	)
EUR - EuroSTR  - COMPOUND		2.77%		EUR	2,116,000		09/20/2033		Annually				6,026				(13,416	)				(19,442	)
EUR - EuroSTR -  COMPOUND		2.79%		EUR	700,000		09/20/2033		Annually				582				(2,892	)				(3,474	)
EUR - EuroSTR - COMPOUND		2.88%		EUR	700,000		09/20/2033		Annually				—				2,965					2,965
EUR - EuroSTR - COMPOUND		2.88%		EUR	700,000		09/20/2033		Annually				—				2,603					2,603
EUR - EuroSTR - COMPOUND		3.06%		EUR	1,300,000		09/20/2033		Annually				—				26,833					26,833
2.77%		EUR - EuroSTR - COMPOUND		EUR	5,044,000		09/20/2033		Annually				(12,105	)			34,209					46,314
2.81%		EUR - EuroSTR - COMPOUND		EUR	1,000,000		09/20/2033		Annually				—				2,674					2,674
3.04%		EUR - EuroSTR - COMPOUND		EUR	1,400,000		09/20/2033		Annually				—				(26,067	)				(26,067	)
GBP - SONIA - COMPOUND		4.10%		GBP	2,907,000		09/20/2033		Annually				7,151				(57,303	)				(64,454	)
GBP - SONIA - COMPOUND		4.45%		GBP	1,200,000		09/20/2033		Annually				—				17,983					17,983
4.11%		GBP - SONIA - COMPOUND		GBP	969,000		09/20/2033		Annually				(3,226	)			18,280					21,506
4.12%		GBP - SONIA - COMPOUND		GBP	500,000		09/20/2033		Annually				—				9,158					9,158
4.33%		GBP - SONIA - COMPOUND		GBP	1,300,000		09/20/2033		Annually				—				(3,992	)				(3,992	)
4.34%		GBP - SONIA - COMPOUND		GBP	1,100,000		09/20/2033		Annually				—				(4,310	)				(4,310	)
4.23%		GBP - SONIA - COMPOUND		GBP	800,000		09/20/2033		Annually				—				5,480					5,480
4.19%		GBP - SONIA - COMPOUND		GBP	1,100,000		09/20/2033		Annually				—				12,196					12,196
4.24%		GBP - SONIA - COMPOUND		GBP	1,600,000		09/20/2033		Annually				—				10,162					10,162
4.26%		GBP - SONIA - COMPOUND		GBP	700,000		09/20/2033		Annually				—				2,666					2,666
4.50%		3 Month NZD Bank Bill Rate		NZD	7,982,000		09/20/2033		Quarterly				(1,561	)			77,981					79,542
3 Month NZD Bank Bill Rate		4.41%		NZD	1,500,000		09/20/2033		Quarterly				—				(21,111	)				(21,111	)
3 Month NZD Bank Bill Rate		4.49%		NZD	4,100,000		09/20/2033		Quarterly				—				(42,189	)				(42,189	)
3 Month SEK STIBOR		2.99%		SEK	13,000,000		09/20/2033		Quarterly				—				(19,302	)				(19,302	)
2.93%		3 Month SEK STIBOR		SEK	41,547,000		09/20/2033		Quarterly				4,377				78,434					74,057
3.02%		3 Month SEK STIBOR		SEK	12,000,000		09/20/2033		Quarterly				(348	)			14,427					14,775
3.31%		3 Month SEK STIBOR		SEK	114,000,000		09/20/2033		Quarterly				12,914				(112,219	)				(125,133	)
3.34%		3 Month SEK STIBOR		SEK	6,000,000		09/20/2033		Quarterly				—				(7,514	)				(7,514	)
3 Month SEK STIBOR		3.01%		SEK	11,000,000		09/20/2033		Quarterly				—				(14,209	)				(14,209	)
3 Month SEK STIBOR		3.06%		SEK	10,000,000		09/20/2033		Quarterly				—				(9,405	)				(9,405	)
USD - SOFR - COMPOUND		3.35%		USD	800,000		09/20/2033		Annually				—				(29,103	)				(29,103	)
USD - SOFR - COMPOUND		3.43%		USD	600,000		09/20/2033		Annually				—				(18,062	)				(18,062	)
USD - SOFR - COMPOUND		3.45%		USD	2,296,000		09/20/2033		Annually				14,335				(66,387	)				(80,722	)
3.84%		USD - SOFR - COMPOUND		USD	800,000		09/20/2033		Annually				—				(2,692	)				(2,692	)
3.99%		USD - SOFR - COMPOUND		USD	600,000		09/20/2033		Annually				—				(9,353	)				(9,353	)
												$	(52,351	)		$	109,920				$	162,271

31 See accompanying notes to the financial statements.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

^† Denominated in U.S. Dollar, unless otherwise indicated.

^(a) As of August 31, 2023, the asset-backed securities held are defeased and as such the issuer intends to meet payments of principal and interest to maturity through alternative sources other than asset-backed securities (e.g., U.S. Treasuries).

^(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

^(c) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 48.

See accompanying notes to the financial statements. 32

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Debt Obligations		79.1	%
Short-Term Investments		24.3
Swap Contracts		1.2
Mutual Funds		0.9
Futures Contracts		0.1
Purchased Options		0.0	^
Forward Currency Contracts		0.0	^
Written Options		(0.0	)^
Other		(5.6	)
		100.0	%
Industry Sector Summary	% of Debt Obligations
Commercial Mortgage-Backed Securities		24.7	%
Collateralized Loan Obligations		18.5
Student Loans - Private		13.5
U.S. Government Agency		9.5
Residential Mortgage-Backed Securities — Other		8.7
Small Balance Commercial Mortgages		5.7
U.S. Government		4.8
Residential Mortgage-Backed Securities — Alt-A		3.9
Residential Mortgage-Backed Securities — Prime		3.2
Student Loans - Federal Family Education Loan Program		2.5
Residential Mortgage-Backed Securities — Subprime		2.1
Residential Mortgage-Backed Securities — Performing Loans		1.2
Auto Retail Subprime		0.9
Residential Mortgage-Backed Securities — Agency		0.4
Corporate Debt		0.3
CMBS Collateralized Debt Obligations		0.1
		100.0	%

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

^ Rounds to 0.0%.

33

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 79.1%
		Asset-Backed Securities — 67.5%
		Auto Retail Subprime — 0.7%
	5,000,000	Bank of America Auto Trust, Series 23-1A, Class A3, 144A, 5.53%, due 02/15/28		5,017,664
	4,250,000	GM Financial Consumer Automobile Receivables Trust, Series 23-3, Class A3, 5.45%, due 06/16/28		4,273,557
		Total Auto Retail Subprime		9,291,221
		CMBS Collateralized Debt Obligations — 0.1%
	8,586,000	ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42		1,013,148
	258,043	GS Mortgage Securities Corp. Trust, Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		190,952
		Total CMBS Collateralized Debt Obligations		1,204,100
		Collateralized Loan Obligations — 14.6%
	5,375,441	Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.38%, 6.71%, due 01/20/30		5,360,293
	4,075,000	Crown City CLO III, Series 21-1A, Class A1A, 144A, Variable Rate, 3 mo. SOFR + 1.43%, 6.76%, due 07/20/34		4,035,085
	4,550,000	Fort Washington CLO Ltd., Series 21-2A, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.48%, 6.81%, due 10/20/34		4,521,412
	2,477,104	Gallatin CLO IX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.31%, 6.65%, due 01/21/28		2,474,639
	210,204	Halcyon Loan Advisors Funding CLO Ltd., Series 14-2A, Class C, 144A, Variable Rate, 3 mo. SOFR + 3.76%, 9.13%, due 04/28/25		207,229
	9,965,126	Hayfin US CLO XII Ltd., Series 18-8A, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.38%, 6.71%, due 04/20/31		9,911,972
	5,718,682	JFIN CLO Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. SOFR + 3.46%, 8.77%, due 10/17/26		5,677,936
	4,320,000	JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. SOFR + 2.61%, 7.94%, due 07/20/28		4,275,880
	3,000,000	JFIN CLO Ltd., Series 16-1A, Class DR, 144A, Variable Rate, 3 mo. SOFR + 3.66%, 9.02%, due 10/27/28		2,980,785
	98,367	JMP Credit Advisors CLO IV Ltd., Series 17-1A, Class AR, 144A, Variable Rate, 3 mo. SOFR + 1.54%, 6.85%, due 07/17/29		98,308
	13,655,604	Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. SOFR + 1.40%, 6.73%, due 04/22/30		13,523,936
	4,000,000	Mountain View CLO Ltd., Series 13-1A, Class BRR , 144A, Variable Rate, 3 mo. SOFR + 1.93%, 7.23%, due 10/12/30		3,949,812

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	6,011,523	Northwoods Capital CLO XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.32%, 6.67%, due 04/22/31		5,944,261
	10,000,000	Ocean Trails CLO 8, Series 20-8A, Class A1R, Variable Rate, 3 mo. SOFR + 1.48%, 6.79%, due 07/15/34		9,875,220
	9,800,000	OFSI BSL CLO VIII Ltd., Series 17-1A, Class BR, 144A, Variable Rate, 3 mo. SOFR + 1.76%, 7.07%, due 08/16/29		9,734,859
	1,083,456	OZLM CLO VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26		24,597
	4,135,462	OZLM CLO VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. SOFR + 1.27%, 6.58%, due 07/17/29		4,121,368
	12,996,373	OZLM CLO XVIII Ltd., Series 18-18A, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.28%, 6.59%, due 04/15/31		12,925,296
	2,190,000	OZLM CLO XXII Ltd., Series 18-22A, Class A2, 144A, Variable Rate, 3 mo. SOFR + 1.76%, 7.07%, due 01/17/31		2,153,736
	1,385,363	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 7.12%, due 06/22/30		1,383,773
	3,973,833	Shackleton CLO Ltd., Series 14-5RA, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.36%, 6.73%, due 05/07/31		3,946,426
	1,262,000	Signal Peak CLO 2 LLC, Series 15-1A, Class BR2, 144A, Variable Rate, 3 mo. SOFR + 1.76%, 7.09%, due 04/20/29		1,257,371
	1,439,500	Sound Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.41%, 6.72%, due 04/18/31		1,430,952
	3,417,000	Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.26%, 6.57%, due 04/15/31		3,395,531
	3,595,000	Sound Point CLO XXVIII Ltd., Series 20-3A, Class A1, 144A, Variable Rate, 3 mo. SOFR + 1.54%, 6.89%, due 01/25/32		3,586,304
	8,688,000	Steele Creek CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 6.67%, due 06/15/31		8,622,744
	923,349	Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. SOFR + 2.86%, 8.17%, due 07/17/26		923,432
	5,935,333	Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. SOFR + 1.74%, 7.05%, due 04/17/28		5,907,657
	4,335,500	Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. SOFR + 2.41%, 7.72%, due 04/17/28		4,272,505
	4,993,200	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. SOFR + 1.36%, 6.67%, due 07/18/31		4,953,634
	5,431,200	Venture 34 CLO Ltd., Series 18-34A, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.49%, 6.80%, due 10/15/31		5,383,623
	2,300,366	Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. SOFR + 1.48%, 6.79%, due 10/15/29		2,297,394

See accompanying notes to the financial statements. 34

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	9,000,000	Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. SOFR + 1.76%, 7.09%, due 10/20/28		8,815,590
	6,756,875	Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. SOFR + 1.32%, 6.65%, due 10/20/29		6,722,848
	1,360,000	Whitebox CLO II Ltd., Series 20-2A, Class A1R, 144A, Variable Rate, 3 mo. SOFR + 1.48%, 6.83%, due 10/24/34		1,351,020
	59,108	WhiteHorse CLO X Ltd., Series 15-10A, Class DR, 144A, Variable Rate, 3 mo. SOFR + 3.26%, 8.57%, due 04/17/27		59,110
	7,253,900	Whitehorse CLO XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.51%, 6.82%, due 10/15/31		7,211,073
	10,000,000	Zais CLO Ltd., Series 22-18A, Class A1A, 144A, Variable Rate, 3 mo. SOFR + 1.52%, 6.87%, due 01/25/35		9,842,830
	3,201,771	Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.55%, 6.86%, due 04/15/30		3,186,927
	325,288	Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. SOFR + 1.21%, 6.52%, due 04/15/29		324,371
	4,470,500	Zais CLO 8 Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. SOFR + 1.71%, 7.02%, due 04/15/29		4,437,780
		Total Collateralized Loan Obligations		191,109,519
		Commercial Mortgage-Backed Securities — 19.6%
	5,600,000	BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32		5,100,722
	11,857,600	Barclays Commercial Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. SOFR + 0.92%, 6.23%, due 03/15/37		10,887,323
	11,037,000	Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38		7,426,281
	5,724,139	Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. SOFR + 0.53%, 5.85%, due 07/25/36		5,060,984
	7,760,120	Benchmark Mortgage Trust, Series 18-B8, Class A5, 4.23%, due 01/15/52		7,134,467
	6,240,722	Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52		5,490,224
	17,000,000	Benchmark Mortgage Trust, Series 19-B12, Class A5, 3.12%, due 08/15/52		14,816,821
	3,244,000	Benchmark Mortgage Trust, Series 18-B7, Class A4, Variable Rate, 4.51%, due 05/15/53		3,059,065
	7,400,000	Benchmark Mortgage Trust, Series 19-B10, Class A4, 3.72%, due 03/15/62		6,701,931
	4,693,256	Benchmark Mortgage Trust, Series 19-B14, Class A5, 3.05%, due 12/15/62		4,040,588
	19,000,000	Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72		15,967,691

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	5,500,000	BMW Vehicle Owner Trust, Series 23-A, Class A3, 5.47%, due 02/25/28		5,518,848
	4,950,676	BX Commercial Mortgage Trust, Series 21-VINO, Class A, 144A, Variable Rate, 1 mo. SOFR + 0.77%, 6.08%, due 05/15/38		4,854,312
	6,400,000	BX Commercial Mortgage Trust, Series 21-ACNT, Class A, 144A, Variable Rate, 1 mo. SOFR + 0.96%, 6.27%, due 11/15/38		6,281,603
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		6,641,213
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44		6,444,140
	8,000,000	BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41		6,868,730
	4,895,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		4,175,132
	9,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		7,324,947
	4,446,000	Citigroup Commercial Mortgage Trust, Series 14-GC23, Class B, Variable Rate, 4.18%, due 07/10/47		4,176,381
	9,352,535	Citigroup Commercial Mortgage Trust, Series 14-GC23, Class C, Variable Rate, 4.57%, due 07/10/47		8,656,759
	3,031,837	Commercial Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.42%, due 07/10/50		2,762,048
	13,570,667	Commercial Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51		12,736,399
	58,447	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		58,319
	73,066	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. SOFR + 0.36%, 5.68%, due 04/15/37		73,077
	5,570,000	ELP Commercial Mortgage Trust, Series 21-ELP, Class A, 144A, Variable Rate, 1 mo. SOFR + 0.82%, 6.13%, due 11/15/38		5,451,185
	2,000,000	Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40		1,562,669
	5,000,000	GS Mortgage Securities Corp. II, Series 23-SHIP, Class A, 144A, Variable Rate, 4.47%, due 09/15/38		4,809,278
	5,500,000	ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32		4,530,532
	4,108,246	MHC Commercial Mortgage Trust, Series 21-MHC, Class A, 144A, Variable Rate, 1 mo. SOFR + 0.92%, 6.23%, due 04/15/38		4,046,833
	4,400,000	MHC Trust, Series 21-MHC2, Class A, 144A, Variable Rate, 1 mo. SOFR + 0.96%, 6.27%, due 05/15/38		4,323,167
	10,000,000	MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40		7,105,650

35 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	5,000,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 3.04%, due 02/12/40 (a)		1,724,580
	3,006,000	Morgan Stanley Capital I Trust, Series 19-H6, Class A4, 3.42%, due 06/15/52		2,669,423
	3,000,000	Morgan Stanley Capital I Trust, Series 20-L4, Class A3, 2.70%, due 02/15/53		2,514,315
	11,545,000	SMRT Commercial Mortgage Trust, Series 22-MINI, Class A, 144A, Variable Rate, 1 mo. SOFR + 1.00%, 6.31%, due 01/15/39		11,291,545
	7,130,000	Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, 144A, Variable Rate, 1 mo. SOFR + 2.19%, 7.50%, due 05/15/37		6,960,126
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		4,880,740
	7,933,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		7,318,045
	1,732,793	Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52		1,492,584
	4,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 4.09%, due 11/23/43		4,509,236
	295,724	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 4.96%, due 03/23/45		294,728
	11,594,960	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 4.96%, due 03/23/45		9,940,244
	1,180,000	Wells Fargo Commercial Mortgage Trust, Series 18-C46, Class A4, 4.15%, due 08/15/51		1,102,227
	2,704,000	Wells Fargo Commercial Mortgage Trust, Series 19-C50, Class C, 4.35%, due 05/15/52		2,144,785
	2,030,000	Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52		1,768,331
	2,750,000	Wells Fargo Commercial Mortgage Trust, Series 21-C59, Class A5, 2.63%, due 04/15/54		2,227,984
	1,395,022	Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61		1,318,976
		Total Commercial Mortgage-Backed Securities		256,245,188
		Residential Mortgage-Backed Securities — Agency — 0.3%
	5,230,687	Federal National Mortgage Association, Series 20-5, Class PC, 2.50%, due 01/25/50		4,308,545

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other —6.9%
	793,334	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. SOFR + 0.39%, 5.71%, due 02/25/36		96,396
	17,663,707	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. SOFR + 0.47%, 5.79%, due 02/25/36		397,889
	6,000,000	AMSR Trust, Series 20-SFR5, Class A, 144A, 1.38%, due 11/17/37		5,462,666
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		3,027,822
	4,232,286	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		3,957,061
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		1,054,928
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		396,037
	130,774	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. SOFR + 0.43%, 5.75%, due 02/25/37		133,527
	2,394,563	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		2,292,357
	1,822,032	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		1,741,363
	5,587,638	Conseco Finance Securitizations Corp., Series 02-2, Class M2, Variable Rate, 9.16%, due 03/01/33		5,302,583
	5,565,602	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,199,887
	5,485,939	Conseco Finance Securitizations Corp., Series 02-1, Class M2, Variable Rate, 9.55%, due 12/01/33		5,300,356
	908,433	Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53		812,358
	11,436,914	FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38		10,186,140
	551,048	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. SOFR + 0.61%, 5.93%, due 10/25/34		526,608
	2,027,284	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		1,775,076
	4,328,989	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.55%, due 09/25/35		113,350
	28,480,361	Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. SOFR + 0.37%, 5.69%, due 06/25/36		539,048
	8,640,702	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36		2,819,135
	9,061,884	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37		1,523,948
	3,612,723	Lehman ABS Manufactured Housing Contract Trust, Series 01-B, Class M2, Variable Rate, 7.17%, due 04/15/40		3,034,653

See accompanying notes to the financial statements. 36

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	3,594,586	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. SOFR + 0.43%, 5.75%, due 03/25/36		247,923
	182,161	Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. SOFR + 0.36%, 5.68%, due 02/26/34		160,699
	1,095,065	New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. SOFR + 1.09%, 6.40%, due 10/25/33		1,054,546
	13,593,351	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. SOFR + 0.31%, 5.63%, due 03/25/36		389,738
	7,753,926	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. SOFR + 0.45%, 5.77%, due 03/25/36		222,134
	20,672,821	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. SOFR + 0.51%, 5.83%, due 03/25/36		592,026
	21,181	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. SOFR + 1.01%, 6.33%, due 08/25/35		284,791
	749,740	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		700,080
	938,498	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		886,957
	3,238,843	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		1,894,104
	11,752,084	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		2,550,853
	855,862	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		451,786
	440,599	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		423,439
	1,539,558	Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40		1,312,284
	1,957,434	Towd Point Mortgage Trust, Series 17-5, Class A1, 144A, Variable Rate, 1 mo. SOFR + 0.71%, 5.12%, due 02/25/57		1,961,731
	6,972,000	Towd Point Mortgage Trust, Series 17-5, Class A2, Variable Rate, 1 mo. SOFR + 1.01%, 5.12%, due 02/25/57		6,921,811
	4,585,091	Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38		4,275,341
	5,982,672	Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39		5,091,829

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	5,476,032	Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67		5,036,071
		Total Residential Mortgage-Backed Securities — Other		90,151,331
		Residential Mortgage-Backed Securities — Performing Loans — 1.0%
	2,657,569	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		2,274,601
	6,782,811	CSMC Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66		5,744,911
	5,413,717	Verus Securitization Trust, Series 21-8, Class A1, 144A, Variable Rate, 1.82%, due 11/25/66		4,534,578
		Total Residential Mortgage-Backed Securities — Performing Loans		12,554,090
		Residential Mortgage-Backed Securities — Prime —2.5%
	7,137,641	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. SOFR + 0.32%, 5.64%, due 10/25/46		3,826,071
	465,854	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 7.67%, due 10/25/35		436,431
	3,711,282	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		2,113,754
	1,219,054	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.73%, due 12/25/36		1,049,055
	865,074	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.55%, due 03/25/37		728,942
	7,269,818	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. SOFR + 0.55%, 5.65%, due 04/25/46		6,441,048
	1,611,395	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		732,136
	4,504,173	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 5.83%, due 05/25/35		3,483,658
	694,546	WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 4.76%, due 09/25/35		638,745
	889,070	WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 12 MTA + 1.25%, 5.68%, due 01/25/47		786,281
	2,033,583	Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. SOFR + 0.56%, 5.50%, due 06/25/35		1,681,429

37 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	2,137,796	Washington Mutual Mortgage Pass-Through Certificates, Series 05-10, Class 4CB3, Variable Rate, 1 mo. SOFR + 0.71%, 5.75%, due 12/25/35		1,838,760
	4,124,879	Washington Mutual Mortgage Pass-Through Certificates, Series 06-8, Class A5, Step Up, 4.16%, due 10/25/36		1,486,407
	8,674,178	Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37		7,502,172
		Total Residential Mortgage-Backed Securities — Prime		32,744,889
		Residential Mortgage-Backed Securities — Subprime — 1.6%
	1,078,258	Asset Backed Funding Certificates Trust, Series 05-AQ1, Class A5, Step Up, 4.29%, due 06/25/35		1,011,057
	1,023,680	BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 3.14%, due 05/26/37		984,994
	11,928,239	Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. SOFR + 0.71%, 6.03%, due 07/25/36		10,234,730
	522,668	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. SOFR + 0.25%, 5.57%, due 12/25/36		497,151
	997,030	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 4.41%, due 11/20/34		939,981
	2,585,751	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. SOFR + 0.22%, 5.53%, due 09/25/36		2,339,092
	2,318,335	Home Equity Asset Trust, Series 06-2, Class M1, Variable Rate, 1 mo. SOFR + 0.68%, 6.00%, due 05/25/36		2,231,377
	757,731	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. SOFR + 0.61%, 5.93%, due 08/25/37		688,114
	3,027,546	Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. SOFR + 0.91%, 6.63%, due 01/25/35		2,768,921
		Total Residential Mortgage-Backed Securities — Subprime		21,695,417
		Residential Mortgage-Backed Securities — Alt-A —3.0%
	272,768	Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		263,197
	2,378,092	Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35		2,218,856
	1,531,859	Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. SOFR + 0.81%, 6.00%, due 05/25/36		673,037
	1,596,212	Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. SOFR + 0.81%, 6.13%, due 10/25/36		609,262

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Alt-A — continued
	1,012,686	Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. SOFR + 1.01%, 6.33%, due 11/25/34		989,340
	2,088,212	Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. SOFR + 0.43%, 5.75%, due 01/25/47		1,702,642
	1,722,156	Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		1,577,477
	3,723,212	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 4.43%, due 07/25/36		2,130,060
	4,519,640	Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. SOFR + 2.66%, 7.98%, due 10/25/35		2,900,038
	10,860,132	GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. SOFR + 0.43%, 5.75%, due 06/25/36		2,361,742
	12,110,758	GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 3.40%, due 06/25/47		7,639,617
	6,571,215	HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. SOFR + 0.55%, 5.65%, due 07/19/47		6,179,886
	124,817	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 5.02%, due 02/26/37		122,527
	1,353,003	Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. SOFR + 3.11%, 8.43%, due 10/25/37		1,259,602
	2,735,738	Residential Asset Securitization Trust, Series 25-A8CB, Class A6, 5.00%, due 07/25/35		1,623,363
	15,269,563	Residential Asset Securitization Trust, Series 06-A7CB, Class 3A1, 6.50%, due 07/25/36		4,337,093
	8,097,697	Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. SOFR + 0.65%, 5.97%, due 08/25/37		3,401,926
		Total Residential Mortgage-Backed Securities — Alt-A		39,989,665
		Small Balance Commercial Mortgages — 4.5%
	2,722,272	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. SOFR + 0.58%, 5.89%, due 08/25/35		2,467,382
	1,397,492	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. SOFR + 0.70%, 6.01%, due 01/25/36		1,276,550
	1,882,612	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. SOFR + 0.65%, 5.97%, due 04/25/36		1,692,601
	756,768	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. SOFR + 0.68%, 6.00%, due 04/25/36		677,822

See accompanying notes to the financial statements. 38

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	1,057,619	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. SOFR + 0.46%, 5.77%, due 07/25/36		952,342
	2,163,373	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. SOFR + 0.53%, 5.85%, due 07/25/36		1,953,219
	2,740,119	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. SOFR + 0.49%, 5.68%, due 10/25/36		2,519,505
	8,073,247	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. SOFR + 0.53%, 5.85%, due 01/25/37		7,382,023
	1,583,654	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. SOFR + 0.44%, 5.76%, due 03/25/37		1,416,912
	5,056,054	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. SOFR + 0.38%, 5.70%, due 07/25/37		4,461,395
	2,388,620	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. SOFR + 0.47%, 5.79%, due 07/25/37		2,101,967
	1,615,230	Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. SOFR + 1.61%, 6.93%, due 01/25/38		1,540,221
	86,610,722	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.29%, due 05/25/30		2,806,092
	19,247,484	FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 1.22%, due 03/25/40		596,260
	69,399,412	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.99%, due 06/25/40		1,794,787
	3,500,000	Harvest Commercial Capital Loan Trust, Series 19-1, Class M5, Variable Rate, 5.73%, due 09/25/46		3,018,168
	462,703	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. SOFR + 1.11%, 6.43%, due 04/25/31		460,655
	3,150,000	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-1A, Class M1, Variable Rate, 1 mo. SOFR + 0.61%, 5.93%, due 03/25/37		2,864,248
	2,574,544	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. SOFR + 0.51%, 5.83%, due 06/25/37		2,508,773
	9,411,750	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 5.45%, due 10/25/37		9,084,424
	6,071,282	Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51		4,578,802
	1,695,886	Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51		1,230,305

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	1,696,495	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 5.30%, due 12/27/49		1,666,135
		Total Small Balance Commercial Mortgages		59,050,588
		Student Loans - Federal Family Education Loan Program — 2.0%
	4,563,557	AccessLex Institute, Series 04-2, Class B, Variable Rate, 90-Day Average SOFR + 0.96%, 6.02%, due 01/25/43		4,203,579
	2,701,926	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 5.84%, due 03/28/35		2,386,231
	6,315,725	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 6.45%, due 06/15/21		6,203,920
	7,363,143	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 90-Day Average SOFR + 1.91%, 6.97%, due 07/25/22		7,363,012
	5,654,362	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 90-Day Average SOFR + 1.96%, 7.02%, due 07/25/23		5,658,784
		Total Student Loans - Federal Family Education Loan Program		25,815,526
		Student Loans - Private — 10.7%
	1,340,979	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. SOFR + 1.06%, 6.41%, due 07/25/34		1,303,591
	5,985,704	KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. LIBOR + 1.30%, 6.84%, due 12/27/38		5,708,302
	1,410,601	KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 6.02%, due 12/27/41		1,405,966
	5,398,736	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 6.87%, due 07/28/42		5,039,914
	8,775,000	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuct + 0.00%, 8.64%, due 03/31/38 (b)		2,281,500
	7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, 8.07%, due 03/25/38 (b)		1,925,312
	3,777,752	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 5.74%, due 05/25/32		3,590,707
	2,632,456	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 5.72%, due 01/25/33		2,434,368
	8,672,828	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 5.78%, due 03/25/33		8,142,241

39 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans - Private — continued
	3,273,544	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 5.80%, due 06/25/33		3,102,072
	12,255,361	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 5.73%, due 10/25/33		11,470,579
	3,470,051	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 5.97%, due 12/26/33		3,339,265
	25,000	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 8.93%, due 03/25/38 (a)		19,750
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 8.93%, due 03/25/38 (a)		59,250
	3,803,326	Navient Student Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70		3,320,731
	2,834,455	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		2,537,125
	3,175,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 8.93%, due 06/15/32 (b)		3,159,125
	5,400,349	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 7.15%, due 09/15/32		1,552,607
	1,550,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 8.07%, due 09/15/32 (b)		1,542,250
	4,326,520	SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.40%, 5.95%, due 06/15/33		4,268,754
	9,440,000	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 5.98%, due 09/15/33		9,216,435
	6,235,984	SLM Private Credit Student Loan Trust, Series 05-A, Class A4, Variable Rate, 3 mo. LIBOR + 0.31%, 5.86%, due 12/15/38		6,042,828
	18,947,623	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 5.84%, due 06/15/39		18,184,643
	11,444,980	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 5.88%, due 06/15/39		11,086,292
	1,633,486	SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. LIBOR + 0.20%, 5.75%, due 12/15/39		1,566,541
	9,184,181	SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. LIBOR + 0.27%, 5.82%, due 12/15/39		8,819,776
	2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 5.94%, due 12/15/39		2,449,607
	6,149,816	SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. LIBOR + 0.24%, 5.79%, due 12/16/41		5,950,370
	1,000	SMB Private Education Loan Trust, Series 23-B, Class R, 144A, 0.00, due 10/16/56 (a)		1,063,500
	1,572,404	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. SOFR + 1.61%, 6.93%, due 01/25/36		1,569,193

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans - Private — continued
	8,300,400	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. SOFR + 1.16%, 6.48%, due 01/25/46		8,052,861
		Total Student Loans - Private		140,205,455
		Total Asset-Backed Securities		884,365,534
		Corporate Debt — 0.2%
		Residential REITs — 0.2%
	4,000,000	Hudson Pacific Properties LP, 3.25%, due 01/15/30		2,709,532
		Total Corporate Debt		2,709,532
		U.S. Government — 3.8%
	1,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.45%, due 10/31/23		1,000,099
	1,900,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.34%, due 04/30/24		1,899,462
	47,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.45%, due 07/31/24 (c)		47,011,334
		Total U.S. Government		49,910,895
		U.S. Government Agency — 7.6%
	1,481,250	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - 0.02%, 5.88%, due 02/01/25 (b)		1,466,437
	2,625,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 6.01%, due 10/29/26 (b)		2,588,897
	7,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.40%, due 09/04/24		7,501,061
	330,000	Federal National Mortgage Association, TBA, 4.00%, due 09/01/38		316,826
	330,000	Federal National Mortgage Association, TBA, 4.50%, due 09/01/38		321,466
	1,030,000	Federal National Mortgage Association, TBA, 3.00%, due 09/01/53		887,369
	1,460,000	Federal National Mortgage Association, TBA, 3.50%, due 09/01/53		1,304,932
	1,220,000	Federal National Mortgage Association, TBA, 4.00%, due 09/01/53		1,126,022
	2,720,000	Federal National Mortgage Association, TBA, 4.50%, due 09/01/53		2,578,900
	45,070,000	Federal National Mortgage Association, TBA, 5.00%, due 09/14/53		43,701,175
	34,140,000	Federal National Mortgage Association, TBA, 5.50%, due 09/14/53		33,707,916
	380,000	Government National Mortgage Association, TBA, 3.00%, due 09/20/53		334,088
	600,000	Government National Mortgage Association, TBA, 3.50%, due 09/20/53		544,805
	400,000	Government National Mortgage Association, TBA, 4.00%, due 09/20/53		372,687

See accompanying notes to the financial statements. 40

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value† /  Shares		Description	Value ($)
		U.S. Government Agency — continued
	760,000	Government National Mortgage Association, TBA, 4.50%, due 09/20/53		724,256
	720,000	Government National Mortgage Association, TBA, 5.00%, due 09/20/53		700,608
	610,000	Government National Mortgage Association, TBA, 5.50%, due 09/20/53		603,805
		Total U.S. Government Agency		98,781,250
		TOTAL DEBT OBLIGATIONS (COST $1,137,882,177)		1,035,767,211
		MUTUAL FUNDS — 0.9%
		United States — 0.9%
		Affiliated Issuers — 0.9%
	2,183,242	GMO U.S. Treasury Fund		10,916,211
		TOTAL MUTUAL FUNDS (COST $11,003,541)		10,916,211

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 24.3%
		Repurchase Agreements — 24.0%
	314,159,825	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 08/31/23 maturing on 09/01/23 with a maturity value of $314,206,076 and an effective yield of 5.30%, collateralized by a U.S. Treasury Bill with maturity date 08/08/24 and a market value of $320,642,468.		314,159,825
		Money Market Funds — 0.3%
	4,319,255	State Street Institutional Treasury Money
		Market Fund – Premier Class, 5.22% (d)		4,319,255
		TOTAL SHORT-TERM INVESTMENTS (COST $318,479,080)		318,479,080

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Options on Credit Default Swaps - Puts — 0.0%

CDX.NA.IGS.40

MSCI

70.00%

09/20/23

USD 51,992,000

Fixed Spread

Pay

17,511

CDX.NA.IGS.40

GS

65.00%

10/18/23

USD 77,500,000

Fixed Spread

Pay

131,540

Total Options on Credit Default Swaps - Puts

149,051

TOTAL PURCHASED OPTIONS (COST $232,247)

149,051

TOTAL INVESTMENTS — 104.3% (Cost $1,467,597,045)

1,365,311,553

Other Assets and Liabilities (net) — (4.3)%

(55,707,294

)

TOTAL NET ASSETS — 100.0%

$

1,309,604,259

41 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Forward Currency Contracts

Settlement  Date	Counter-  party	Currency   Sold			Currency  Purchased			Net Unrealized Appreciation (Depreciation)($)
10/17/2023	BOA		EUR	95,000		USD	105,509				2,288
10/17/2023	MSCI		EUR	3,773,200		USD	4,231,911				132,178
10/17/2023	MSCI		USD	102,993		EUR	94,000				(858	)
										$	133,608

 

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
42	U.S. Long Bond (CBT)		December 2023			5,110,875		67,820
1,077	U.S. Treasury Note 2 Yr. (CBT)		December 2023			219,497,649		555,661
715	U.S. Treasury Note 5 Yr. (CBT)		December 2023			76,449,141		521,631
154	U.S. Treasury Ultra 10 Yr. (CBT)		December 2023			17,880,844		217,775
6	U.S. Ultra Bond (CBT)		December 2023			776,812		14,850
					$	319,715,321		$ 1,377,737

Number of Contracts +	Type		Expiration Date		Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
242		U.S. Treasury Note 10 Yr. (CBT)		December 2023		$	26,869,563		$	(252,635	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

Written Options

Principal/

Exercise

Expiration

Notional

Floating

Pay/Receive

Value

Description

Counterparty

Rate

Date

Amount

Rate Index

Floating Rate

($)

Written Options on Credit Default Swaps - Puts

CDX.NA.IGS.40

MSCI

85.00%

09/20/23

USD

(51,992,000)

Fixed Spread

Pay

(4,593)

CDX.NA.IGS.40

GS

95.00%

11/15/23

USD

(47,706,000)

Fixed Spread

Pay

(18,057)

CDX.NA.IGS.40

GS

85.00%

10/18/23

USD

(116,250,000)

Fixed Spread

Pay

(34,024)

Total Written Options On Credit Default Swaps — Puts

(56,674)

TOTAL WRITTEN OPTIONS

(Premiums $127,722)

$(56,674)

See accompanying notes to the financial statements. 42

GMO Opportunistic Income Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity	Notional Amount			Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)				Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
ITRAXX.XO.38.V1		EUR	14,400,000		5.00%		3.65%		N/A		12/20/2027		Quarterly			(294,353	)			(754,281	)				(459,928	)
CDX.NA.IGS.40.V1		USD	103,486,000		1.00%		0.64%		N/A		06/20/2028		Quarterly			(1,126,005	)			(1,610,139	)				(484,134	)
CDX.NA.HYS.39.V2		USD	15,335,100		5.00%		4.09%		N/A		12/20/2027		Quarterly			(291,477	)			(486,721	)				(195,244	)
															$	(1,711,835	)		$	(2,851,141	)			$	(1,139,306	)

OTC Credit Default Swaps

Reference Entity	Counter- party		Notional Amount		Annual Premium		Implied Credit Spread (1)			Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.31		CITI	USD	3,941,000		5.00%		0.38	%		N/A		12/20/2023		Quarterly		(15,370	)		(55,191	)		(39,821	)
CDX.NA.HYS.31		CITI	USD	4,025,000		5.00%		0.38	%		N/A		12/20/2023		Quarterly		41,458			(56,368	)		(97,826	)
CDX.NA.HYS.31		CITI	USD	7,055,000		5.00%		0.38	%		N/A		12/20/2023		Quarterly		44,878			(98,801	)		(143,679	)
CDX.NA.HYS.33		GS	USD	5,355,000		5.00%		4.27	%		N/A		12/20/2024		Quarterly		121,559			(48,799	)		(170,358	)
CMBX.NA.A.7		CGMI	USD	1,420,000		2.00%		41.12	%		N/A		01/17/2047		Monthly		89,177			82,355			(6,822	)
CMBX.NA.A.7		CGMI	USD	10,000,000		2.00%		41.12	%		N/A		01/17/2047		Monthly		593,750			579,965			(13,785	)
CMBX.NA.A.7		GS	USD	2,840,000		2.00%		41.12	%		N/A		01/17/2047		Monthly		156,358			164,710			8,352
CMBX.NA.AS.7		BOA	USD	4,505,000		1.00%		2.44	%		N/A		01/17/2047		Monthly		47,352			6,119			(41,233	)
CMBX.NA.AS.7		DB	USD	7,608,000		1.00%		2.44	%		N/A		01/17/2047		Monthly		(119,899	)		10,334			130,233
CMBX.NA.AS.7		DB	USD	16,677,794		1.00%		2.44	%		N/A		01/17/2047		Monthly		197,705			22,654			(175,051	)
CMBX.NA.AS.7		GS	USD	4,400,000		1.00%		2.44	%		N/A		01/17/2047		Monthly		112,812			5,977			(106,835	)
CMBX.NA.AS.7		MORD	USD	13,270,000		1.00%		2.44	%		N/A		01/17/2047		Monthly		205,782			18,025			(187,757	)
CMBX.NA.AA.11		CGMI	USD	4,000,000		1.50%		2.42	%		N/A		11/18/2054		Monthly		(6,041	)		131,250			137,291
CMBX.NA.AA.11		CGMI	USD	4,626,000		1.50%		2.42	%		N/A		11/18/2054		Monthly		(63,740	)		151,790			215,530
CMBX.NA.AA.11		MORD	USD	4,624,500		1.50%		2.42	%		N/A		11/18/2054		Monthly		(67,279	)		151,741			219,020
CMBX.NA.AA.11		MORD	USD	4,624,500		1.50%		2.42	%		N/A		11/18/2054		Monthly		(61,371	)		151,741			213,112
CMBX.NA.BBB-.11		CGMI	USD	5,752,000		3.00%		9.66	%		N/A		11/18/2054		Monthly		1,213,313			1,189,945			(23,368	)
CMBX.NA.A.8		GS	USD	8,892,000		2.00%		5.86	%		N/A		10/17/2057		Monthly		150,185			346,797			196,612
CMBX.NA.AS.8		CGMI	USD	8,892,000		1.00%		1.17	%		N/A		10/17/2057		Monthly		73,095			15,676			(57,419	)
CMBX.NA.AS.8		MORD	USD	3,384,000		1.00%		1.17	%		N/A		10/17/2057		Monthly		140,432			5,966			(134,466	)
CMBX.NA.BBB-.8		GS	USD	1,444,000		3.00%		23.52	%		N/A		10/17/2057		Monthly		216,864			275,714			58,850
CMBX.NA.BBB-.8		GS	USD	4,224,000		3.00%		23.52	%		N/A		10/17/2057		Monthly		400,908			806,520			405,612
CMBX.NA.BBB-.8		MSCI	USD	2,366,000		3.00%		23.52	%		N/A		10/17/2057		Monthly		458,413			451,758			(6,655	)
CMBX.NA.BBB-.8		MSCI	USD	3,153,000		3.00%		23.52	%		N/A		10/17/2057		Monthly		665,756			602,026			(63,730	)
CMBX.NA.BBB-.9		DB	USD	1,184,200		3.00%		15.54	%		N/A		09/17/2058		Monthly		143,660			251,457			107,797
CMBX.NA.BBB-.9		GS	USD	1,752,000		3.00%		15.54	%		N/A		09/17/2058		Monthly		402,960			372,026			(30,934	)
CMBX.NA.BBB-.9		MORD	USD	5,116,800		3.00%		15.54	%		N/A		09/17/2058		Monthly		584,727			1,086,521			501,794
CMBX.NA.AA.12		GS	USD	6,974,000		1.50%		2.43	%		N/A		08/17/2061		Monthly		(61,732	)		274,638			336,370
CMBX.NA.A.6		CGMI	USD	5,263,276		2.00%		66.09	%		N/A		05/11/2063		Monthly		743,438			835,545			92,107

43 See accompanying notes to the financial statements.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counter- party		Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)					Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.AA.6		GS	USD	4,703,648		1.50%		45.37%		N/A		05/11/2063		Monthly			34,885				83,690				48,805
CMBX.NA.BBB-.6		CGMI	USD	4,274,000		3.00%		39.98%		N/A		05/11/2063		Monthly			1,357,351				300,542				(1,056,809	)
CMBX.NA.A.14		GS	USD	2,682,000		2.00%		4.04%		N/A		12/16/2072		Monthly			349,769				285,595				(64,174	)
CMBX.NA.AA.13		CGMI	USD	2,000,000		1.50%		2.54%		N/A		12/16/2072		Monthly			147,237				103,329				(43,908	)
CMBX.NA.AA.13		CGMI	USD	3,000,000		1.50%		2.54%		N/A		12/16/2072		Monthly			138,948				154,994				16,046
CMBX.NA.BB.14		GS	USD	1,360,000		5.00%		15.75%		N/A		12/16/2072		Monthly			75,915				543,042				467,127
CMBX.NA.BBB-.13		CGMI	USD	2,000,000		3.00%		9.52%		N/A		12/16/2072		Monthly			286,083				535,585				249,502
CMBX.NA.BBB-.13		GS	USD	273,500		3.00%		9.52%		N/A		12/16/2072		Monthly			16,840				73,241				56,401
CMBX.NA.BBB-.13		GS	USD	1,800,000		3.00%		9.52%		N/A		12/16/2072		Monthly			66,662				482,026				415,364
CMBX.NA.BBB-.13		GS	USD	1,860,000		3.00%		9.52%		N/A		12/16/2072		Monthly			360,375				498,094				137,719
Sell Protection^:
CDX.NA.HYS.31.V14-5Y		CITI	USD	2,866,000		5.00%		0.05%		2,866,000 USD		12/20/2023		Quarterly			293,765				43,008				(250,757	)
CDX.NA.HYS.31.V14-5Y		CITI	USD	8,050,000		5.00%		0.05%		8,050,000 USD		12/20/2023		Quarterly			539,350				120,800				(418,550	)
CDX.NA.HYS.31.V15-5Y		CITI	USD	4,657,000		5.00%		0.05%		4,657,000 USD		12/20/2023		Quarterly			492,478				69,884				(422,594	)
CDX.NA.HYS.33.V12-5Y		CITI	USD	4,201,343		5.00%		0.13%		4,201,343 USD		12/20/2024		Quarterly			444,572				257,191				(187,381	)
CDX.NA.HYS.33.V12-5Y		CITI	USD	10,598,036		5.00%		0.13%		10,598,036 USD		12/20/2024		Quarterly			1,827,631				648,773				(1,178,858	)
CDX.NA.HYS.33.V12-5Y		GS	USD	25,937,869		5.00%		0.13%		25,937,869 USD		12/20/2024		Quarterly			5,736,853				1,587,821				(4,149,032	)
CDX.NA.HYS.33.V12-5Y		JPM	USD	10,394,872		5.00%		0.13%		10,394,872 USD		12/20/2024		Quarterly			1,704,759				636,336				(1,068,423	)
CDX.NA.HYS.33.V12-5Y		MORD	USD	2,800,896		5.00%		0.13%		2,800,896 USD		12/20/2024		Quarterly			482,034				171,460				(310,574	)
ITRAXX.XO.38 35		JPM	EUR	25,920,000		5.00%		0.66%		25,920,000 EUR		12/20/2027		Quarterly			4,389,586				4,895,241				505,655
CMBX.NA.AA.7		CGMI	USD	5,000,000		1.50%		34.71%		5,000,000 USD		01/17/2047		Monthly			(125,000	)			(197,384	)			(72,384	)
CMBX.NA.A.9		CGMI	USD	2,500,000		2.00%		6.98%		2,500,000 USD		09/17/2058		Monthly			(74,374	)			(229,438	)			(155,064	)
CMBX.NA.A.9		GS	USD	4,158,800		2.00%		6.98%		4,158,800 USD		09/17/2058		Monthly			54,550				(381,674	)			(436,224	)
CMBX.NA.AAA.10		GS	USD	7,540,000		0.50%		0.71%		7,540,000 USD		11/17/2059		Monthly			68,960				(43,366	)			(112,326	)
CMBX.NA.AAA.15		GS	USD	2,825,000		0.50%		0.94%		2,825,000 USD		11/18/2064		Monthly			(43,465	)			(78,785	)			(35,320	)
CMBX.NA.AAA.14		MORD	USD	10,000,000		0.50%		0.90%		10,000,000 USD		12/16/2072		Monthly			(301,880	)			(228,585	)			73,295
																$	24,733,034			$	18,063,511			$	(6,669,523	)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of August 31, 2023, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, 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. 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 contract.

⁽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 contract.

See accompanying notes to the financial statements. 44

GMO Opportunistic Income Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps

Fund Pays	Fund Receives		Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)				Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on iBoxx USD Liquid High Yield Index	SOFR		JPM		USD	14,312,000		09/20/2023		Quarterly			(28	)			(128,347	)				(128,319	)
Total Return on iBoxx USD Liquid High Yield Index	SOFR		MSCI		USD	12,478,000		09/20/2023		Quarterly			(135	)			(106	)				29
												$	(163	)		$	(128,453	)			$	(128,290	)

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) Investment valued using significant unobservable inputs (Note 2).

(b) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(c) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(d) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 48.

45 See accompanying notes to the financial statements.

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		95.0	%
Debt Obligations		4.6
Other		0.4
		100.0	%

 

46

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 4.6%
		U.S. Government — 4.6%
	20,396,844	U.S. Treasury Inflation-Indexed Notes, 0.63%, due 01/15/24		20,124,621
		TOTAL DEBT OBLIGATIONS (COST $20,138,564)		20,124,621
		SHORT-TERM INVESTMENTS — 95.0%
		U.S. Government — 62.4%
	45,000,000	U.S. Treasury Bills, 5.45%, due 02/01/24 (a)		43,991,634
	50,500,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.17%, 5.58%, due 04/30/25		50,518,058
	70,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.13%, 5.54%, due 07/31/25		69,938,919
	20,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.45%, due 07/31/24		20,004,823
	90,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.61%, due 01/31/25		90,133,994
		Total U.S. Government		274,587,428
		U.S. Government Agency — 11.1%
	15,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.06%, 5.36%, due 09/19/23		15,000,162
	10,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		9,972,746
	20,000,000	Federal Home Loan Banks, 5.55%, due 08/12/24		19,939,314
	4,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.40%, due 09/04/24		4,000,566
		Total U.S. Government Agency		48,912,788
		Repurchase Agreements — 21.4%
	70,010,098	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 08/31/23 maturing on 09/01/23 with a maturity value of $70,020,405 and an effective yield of 5.30%, collateralized by a U.S. Treasury Bill with maturity date 08/08/24 and a market value of $71,454,746.		70,010,098
	23,987,460	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 08/31/23 maturing on 09/01/23 with a maturity value of $23,990,991 and an effective yield of 5.30%, collateralized by a U.S. Treasury Note with maturity date 12/31/24 and a market value of $24,299,227.		23,987,460
		Total Repurchase Agreements		93,997,558

Shares		Description	Value ($)
		Money Market Funds — 0.1%
	418,008	State Street Institutional Treasury Plus Money Market Fund – Premier Class, 5.22% (b)		418,008
		TOTAL SHORT-TERM INVESTMENTS (COST $417,905,079)		417,915,782
		TOTAL INVESTMENTS — 99.6% (Cost $438,043,643)		438,040,403
		Other Assets and Liabilities (net) — 0.4%		1,935,142
		TOTAL NET ASSETS — 100.0%		$439,975,545

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) The rate shown represents yield-to-maturity.

(b) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 48.

47 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

August 31, 2023 (Unaudited)

Portfolio Abbreviations:

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.

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

CORRA - Canadian Overnight Repo Rate Average

EURIBOR - Euro Interbank Offered Rate

EuroSTR - Euro Short-Term Rate

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.

GDP - Gross Domestic Product

IO - Interest Only

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

MTA - Monthly Treasury Average Index

MTN - Medium Term Note

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OIS - Overnight Indexed Swaps

OTC - Over-the-Counter

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

TONA - Tokyo Overnight Average Rate

USBM - U.S. Treasury 3 Month Bill Money Market Yield

XLCA - 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 August 31, 2023, which are subject to change based on the terms of the security.

Counterparty Abbreviations:
BBH - Brown Brothers Harriman & Co	JPM - JPMorgan Chase Bank, N.A.
BCLY - Barclays Bank PLC	MORD - Morgan Stanley Capital
BOA - Bank of America, N.A.	Services LLC
CGMI - Citigroup Global Markets Inc.	MSCI - Morgan Stanley & Co.
CITI - Citibank N.A.	International PLC
DB - Deutsche Bank AG	SSB - State Street Bank and Trust Company
GS - Goldman Sachs International
Currency Abbreviations:
AUD - Australian Dollar	KRW - South Korean Won
BRL - Brazilian Real	MXN - Mexican Peso
CAD - Canadian Dollar	NOK - Norwegian Krone
CHF - Swiss Franc	NZD - New Zealand Dollar
CLP - Chilean Peso	PEN - Peruvian Sol
COP - Colombian Peso	PHP - Philippines Peso
CZK - Czech Republic Koruna	PLN - Polish Zloty
EUR - Euro	RON - Romanian New Leu
GBP - British Pound	SEK - Swedish Krona
HKD - Hong Kong Dollar	SGD - Singapore Dollar
HUF - Hungarian Forint	THB - Thai Baht
IDR - Indonesian Rupiah	TWD - Taiwan New Dollar
ILS - Israeli Shekel	USD - United States Dollar
INR - Indian Rupee	UYU - Uruguay Peso
JPY - Japanese Yen	ZAR - South African Rand

See accompanying notes to the financial statements. 48

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited)

	Asset Allocation Bond Fund		Emerging Country Debt Fund		High Yield Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	—	$	41,093,709	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		7,597,829		2,491,434,792		125,938,800
Repurchase agreements, at value (Note 2)(c)		12,000,000		20,000,000		45,000,000
Foreign currency, at value (Note 2)(d)		—		1,685,895		—
Cash		4		792,694		—
Receivable for investments sold		—		971,429		550,357
Receivable for Fund shares sold		—		4,963		—
Dividends and interest receivable		28,836		45,746,415		650,612
Unrealized appreciation on open forward currency contracts (Note 4)		115,218		4,043,625		1,496,118
Due from broker (Note 2)		—		23,497,572		318
Receivable for variation margin on open futures contracts (Note 4)		84,782		—		28,211
Receivable for open OTC swap contracts (Note 4)		—		8,664,039		2,094,723
Interest receivable for open OTC swap contracts (Note 4)		—		39,769		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		9,498		1,868		1,708
Receivable for options (Note 4)(e)		—		279,300		—
Miscellaneous receivable		—		3,291		—
Total assets		19,836,167		2,638,259,361		175,760,847
Liabilities:
Due to custodian		—		—		612
Payable for investments purchased		—		991,490		—
Accrued foreign capital gains tax payable (Note 2)		—		104,485		—
Payable to affiliate for (Note 5):
Management fee		4,128		766,162		51,259
Shareholder service fee		910		260,184		8,056
Payable for variation margin on open cleared swap contracts (Note 4)		—		138,553		48,779
Unrealized depreciation on open forward currency contracts (Note 4)		—		81,847		—
Interest payable for open OTC swap contracts (Note 4)		—		696,641		998,720
Payable for open OTC swap contracts (Note 4)		—		1,821,072		—
Payable for reverse repurchase agreements (Note 2)		—		31,718,273		—
Payable to Trustees and related expenses		112		15,508		787
Written options outstanding, at value (Note 4)(e)		—		—		128,559
Accrued expenses		71,907		257,818		60,208
Total liabilities		77,057		36,852,033		1,296,980
Net assets	$	19,759,110	$	2,601,407,328	$	174,463,867
(a)   Cost of investments – affiliated issuers:	$	—	$	40,007,455	$	—
(b)   Cost of investments – unaffiliated issuers:	$	7,665,217	$	3,549,486,281	$	127,321,524
(c)   Cost of investments – repurchase agreements:	$	12,000,000	$	20,000,000	$	45,000,000
(d)   Cost of foreign currency:	$	—	$	1,707,089	$	—
(e)   Premiums on options:	$	—	$	6,367,637	$	294,509

49 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Net assets consist of:
Paid-in capital	$	71,105,157		$	4,210,461,933		$	182,240,822
Distributable earnings (accumulated loss)		(51,346,047	)		(1,609,054,605	)		(7,776,955	)
	$	19,759,110		$	2,601,407,328		$	174,463,867
Net assets attributable to:
Class III	$	—		$	1,275,465,956		$	—
Class IV	$	—		$	1,006,583,121		$	—
Class VI	$	19,759,110		$	319,358,251		$	174,457,463
Class I	$	—		$	—		$	6,404
Shares outstanding:
Class III		—			68,628,860			—
Class IV		—			54,252,263			—
Class VI		988,949			17,222,313			9,988,147
Class I		—			—			367
Net asset value per share:
Class III	$	—		$	18.58		$	—
Class IV	$	—		$	18.55		$	—
Class VI	$	19.98		$	18.54		$	17.47
Class I	$	—		$	—		$	17.46

See accompanying notes to the financial statements. 50

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

	Multi-Sector Fixed Income Fund		Opportunistic Income Fund		U.S. Treasury Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	28,506,428	$	10,916,211	$	—
Investments in unaffiliated issuers, at value (Note 2)(b)		101,354,871		1,040,235,517		344,042,845
Repurchase agreements, at value (Note 2)(c)		10,000,000		314,159,825		93,997,558
Foreign currency, at value (Note 2)(d)		15,710		75,486		—
Cash		17		422,594		—
Receivable for investments sold		—		207,667		—
Receivable for Fund shares sold		—		1,130,684		2,000,000
Receivable for closed swap contracts (Note 4)		258,054		—		—
Dividends and interest receivable		503,125		6,113,423		1,553,627
Unrealized appreciation on open forward currency contracts (Note 4)		614,252		134,466		—
Receivable for variation margin on open cleared swap contracts (Note 4)		—		96,778		—
Due from broker (Note 2)		741,891		5,299,929		—
Receivable for variation margin on open futures contracts (Note 4)		86,211		157,567		—
Receivable for open OTC swap contracts (Note 4)		—		19,481,902		—
Interest receivable for open OTC swap contracts (Note 4)		—		1,277,884		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		26,432		47,116		10,988
Total assets		142,106,991		1,399,757,049		441,605,018
Liabilities:
Payable for investments purchased		23,576,555		87,517,491		—
Payable for Fund shares repurchased		—		17,427		5,000
Distributions payable		—		—		2
Payable to affiliate for (Note 5):
Management fee		24,697		434,054		30,486
Shareholder service fee		10,685		134,687		—
Payable for variation margin on open cleared swap contracts (Note 4)		46,930		—		—
Payable for closed swap contracts (Note 4)		83,838		—		—
Dividends payable		—		—		1,543,931
Unrealized depreciation on open forward currency contracts (Note 4)		865,558		858		—
Interest payable for open OTC swap contracts (Note 4)		—		262,038		—
Payable for open OTC swap contracts (Note 4)		—		1,546,844		—
Payable to Trustees and related expenses		419		2,805		687
Written options outstanding, at value (Note 4)(e)		—		56,674		—
Accrued expenses		91,249		179,912		49,367
Total liabilities		24,699,931		90,152,790		1,629,473
Net assets	$	117,407,060	$	1,309,604,259	$	439,975,545
(a)   Cost of investments – affiliated issuers:	$	32,367,720	$	11,003,541	$	—
(b)   Cost of investments – unaffiliated issuers:	$	102,528,570	$	1,142,433,679	$	344,046,085
(c)   Cost of investments – repurchase agreements:	$	10,000,000	$	314,159,825	$	93,997,558
(d)   Cost of foreign currency:	$	2,112	$	58,970	$	—
(e)   Premiums on written options:	$	—	$	127,722	$	—

51 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

	Multi-Sector Fixed Income Fund			Opportunistic Income Fund			U.S. Treasury Fund
Net assets consist of:
Paid-in capital	$	164,744,473		$	1,450,069,457		$	442,183,832
Distributable earnings (accumulated loss)		(47,337,413	)		(140,465,198	)		(2,208,287	)
	$	117,407,060		$	1,309,604,259		$	439,975,545
Net assets attributable to:
Core Class	$	—		$	—		$	439,975,545
Class III	$	19,107,968		$	66,449,448		$	—
Class IV	$	98,299,092		$	—		$	—
Class VI	$	—		$	350,629,669		$	—
Class R6	$	—		$	185,664,219		$	—
Class I	$	—		$	706,860,923		$	—
Shares outstanding:
Core Class		—			—			88,064,183
Class III		1,137,435			2,709,212			—
Class IV		5,822,327			—			—
Class VI		—			14,293,361			—
Class R6		—			7,596,821			—
Class I		—			28,884,195			—
Net asset value per share:
Core Class	$	—		$	—		$	5.00
Class III	$	16.80		$	24.53		$	—
Class IV	$	16.88		$	—		$	—
Class VI	$	—		$	24.53		$	—
Class R6	$	—		$	24.44		$	—
Class I	$	—		$	24.47		$	—

See accompanying notes to the financial statements. 52

GMO Trust Funds

 

 

 

Statements of Operations —Six Months Ended August 31, 2023 (Unaudited)

	Asset Allocation Bond Fund			Emerging Country Debt Fund			High Yield Fund
Investment Income:
Dividends from unaffiliated issuers	$	299,589		$	61,372		$	59,919
Dividends from affiliated issuers (Note 10)		—			912,341			—
Interest		174,249			105,488,679			3,835,483
Other income		—			17,678			—
Total investment income		473,838			106,480,070			3,895,402
Expenses:
Management fee (Note 5)		25,587			4,699,897			338,554
Shareholder service fee – Class III (Note 5)		15	*		935,291			—
Shareholder service fee – Class IV (Note 5)		—			552,840			—
Shareholder service fee – Class VI (Note 5)		5,624			91,553			53,200
Shareholder service fee – Class I (Note 5)		—			—			4	**
Audit and tax fees		44,747			79,542			37,436
Custodian, fund accounting agent and transfer agent fees		10,971			244,681			30,757
Legal fees		665			77,152			3,644
Registration fees		1,591			6,762			16,542
Trustees’ fees and related expenses (Note 5)		575			79,071			6,217
Interest expense (Note 2)		—			244,695			—
Miscellaneous		3,292			33,620			4,015
Total expenses		93,067			7,045,104			490,369
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(59,399	)		—			(44,008	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			(7,355	)		—
Net expenses		33,668			7,037,749			446,361
Net investment income (loss)		440,170			99,442,321			3,449,041
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(46,053	)		(87,927,812	)		(4,571,810	)
Investments in affiliated issuers		—			331,379			—
Bond forward contracts		—			4,269,578			—
Futures contracts		(853,119	)		—			20,336
Options		—			(251,703	)		130,852
Swap contracts		—			14,664,976			5,427,630
Forward currency contracts		89,156			(6,073,034	)		2,879,614
Foreign currency and foreign currency related transactions		(18,726	)		(42,360	)		386,363
Net realized gain (loss)		(828,742	)		(75,028,976	)		4,272,985
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(73,896	)		136,693,796			1,128,583
Investments in affiliated issuers		—			1,317,993			—
Bond forward contracts		—			861,107			—
Futures contracts		445,777			—			189,127
Options		—			229,328			(382,733	)
Swap contracts		—			(15,223,270	)		(1,199,932	)
Forward currency contracts		107,528			1,744,541			1,496,118
Foreign currency and foreign currency related transactions		—			85,620			—
Net change in unrealized appreciation (depreciation)		479,409			125,709,115			1,231,163
Net realized and unrealized gain (loss)		(349,333	)		50,680,139			5,504,148
Net increase (decrease) in net assets resulting from operations	$	90,837		$	150,122,460		$	8,953,189

* Class III liquidated on August 28, 2023.

** Period from April 13, 2023 (commencement of operations) through August 31, 2023.

53 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Operations —Six Months Ended August 31, 2023 (Unaudited) — (Continued)

	Multi-Sector Fixed Income Fund			Opportunistic Income Fund			U.S. Treasury Fund
Investment Income:
Interest	$	1,614,594		$	40,377,935		$	10,823,361
Dividends from affiliated issuers (Note 10)		303,781			278,624			—
Dividends from unaffiliated issuers		19,672			255,461			8,364
Total investment income		1,938,047			40,912,020			10,831,725
Expenses:
Management fee (Note 5)		144,498			2,450,506			167,334
Shareholder service fee – Class III (Note 5)		13,911			38,997			—
Shareholder service fee – Class IV (Note 5)		48,525			—			—
Shareholder service fee – Class VI (Note 5)		—			98,135			—
Shareholder service fee – Class R6 (Note 5)		—			140,764			—
Shareholder service fee – Class I (Note 5)		—			471,537			—
Audit and tax fees		46,636			62,945			17,287
Custodian, fund accounting agent and transfer agent fees		51,196			418,192			33,179
Legal fees		2,084			16,343			4,650
Registration fees		2,712			52,166			1,386
Trustees’ fees and related expenses (Note 5)		3,134			32,048			11,024
Interest expense (Note 2)		—			22,153			—
Miscellaneous		3,127			25,048			3,174
Total expenses		315,823			3,828,834			238,034
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(97,309	)		(206,416	)		(108,738	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(55,682	)		(2,911	)		—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(7,810	)		—			—
Net expenses		155,022			3,619,507			129,296
Net investment income (loss)		1,783,025			37,292,513			10,702,429
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(3,339,302	)		(2,682,767	)		(410,030	)
Futures contracts		(1,946,494	)		(23,154	)		—
Written options		—			659,174			—
Swap contracts		72,466			1,439,357			—
Forward currency contracts		1,906,746			(178,709	)		—
Foreign currency and foreign currency related transactions		133,218			27,123			—
Net realized gain (loss)		(3,173,366	)		(758,976	)		(410,030	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		2,336,406			(2,440,106	)		688,505
Investments in affiliated issuers		637,196			21,833			—
Futures contracts		460,686			1,611,427			—
Written options		—			(27,844	)		—
Swap contracts		195,369			(1,628,848	)		—
Forward currency contracts		(666,132	)		(5,790	)		—
Foreign currency and foreign currency related transactions		38,372			(10,199	)		—
Net change in unrealized appreciation (depreciation)		3,001,897			(2,479,527	)		688,505
Net realized and unrealized gain (loss)		(171,469	)		(3,238,503	)		278,475
Net increase (decrease) in net assets resulting from operations	$	1,611,556		$	34,054,010		$	10,980,904

See accompanying notes to the financial statements. 54

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets

	Asset Allocation Bond Fund										Emerging Country Debt Fund
	Six Months Ended										Six Months Ended
	August 31, 2023					Year Ended					August 31, 2023				Year Ended
	(Unaudited)					February 28, 2023					(Unaudited)				February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)			$	440,170				$	441,165			$	99,442,321			$	210,206,407
Net realized gain (loss)				(828,742	)				(4,991,505	)			(75,028,976	)			(240,628,308	)
Change in net unrealized appreciation (depreciation)				479,409					631,261				125,709,115				(253,280,536	)
Net increase (decrease) in net assets from operations				90,837					(3,919,079	)			150,122,460				(283,702,437	)
Distributions to shareholders:
Class III				(408	)*				—				(11,233,269	)			(99,791,566	)
Class IV				—					—				(8,898,177	)			(167,952,272	)
Class VI				(437,796	)				(157,978	)			(2,963,992	)			(94,556,130	)
Total distributions				(438,204	)				(157,978	)			(23,095,438	)			(362,299,968	)
Net share transactions (Note 9):
Class III				(18,436	)*				—				(8,092,463	)			433,276,064
Class IV				—					—				(216,719,484	)			(104,836,068	)
Class VI				(25,519	)				(13,791,287	)			(89,764,389	)			(628,940,069	)
Increase (decrease) in net assets resulting from net share transactions				(43,955	)				(13,791,287	)			(314,576,336	)			(300,500,073	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III				—					—				1,244,875				1,008,898
Class IV				—					—				1,031,674				1,719,233
Class VI				—					—				318,754				919,077
Increase (decrease) in net assets resulting from purchase premiums and redemption fees				—					—				2,595,303				3,647,208
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees				(43,955	)				(13,791,287	)			(311,981,033	)			(296,852,865	)
Total increase (decrease) in net assets				(391,322	)				(17,868,344	)			(184,954,011	)			(942,855,270	)
Net assets:
Beginning of period				20,150,432					38,018,776				2,786,361,339				3,729,216,609
End of period			$	19,759,110				$	20,150,432			$	2,601,407,328			$	2,786,361,339

* Class III liquidated on August 28, 2023.

55 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

									Multi-Sector
	High Yield								Fixed Income
	Fund								Fund
	Six Months Ended								Six Months Ended
	August 31, 2023				Year Ended				August 31, 2023				Year Ended
	(Unaudited)				February 28, 2023				(Unaudited)				February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	3,449,041			$	4,756,870			$	1,783,025			$	2,971,439
Net realized gain (loss)			4,272,985				(4,357,771	)			(3,173,366	)			(13,470,824	)
Change in net unrealized appreciation (depreciation)			1,231,163				3,490,664				3,001,897				(2,317,510	)
Net increase (decrease) in net assets from operations			8,953,189				3,889,763				1,611,556				(12,816,895	)
Distributions to shareholders:
Class III			—				—				—				(149,319	)
Class IV			—				—				—				(1,851,259	)
Class VI			—				(18,971,313	)			—				—
Class I			—	*			—				—				—
Total distributions			—				(18,971,313	)			—				(2,000,578	)
Net share transactions (Note 9):
Class III			—				—				4,147,824				7,014,922
Class IV			—				—				7,778,369				(13,308,297	)
Class VI			(91,710,694	)			187,710,400				—				—
Class I			6,301	*			—				—				—
Increase (decrease) in net assets resulting from net share transactions			(91,704,393	)			187,710,400				11,926,193				(6,293,375	)
Total increase (decrease) in net assets			(82,751,204	)			172,628,850				13,537,749				(21,110,848	)
Net assets:
Beginning of period			257,215,071				84,586,221				103,869,311				124,980,159
End of period		$	174,463,867			$	257,215,071			$	117,407,060			$	103,869,311

* Period from April 13, 2023 (commencement of operations) through August 31, 2023.

See accompanying notes to the financial statements. 56

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	Opportunistic Income								U.S. Treasury
	Fund								Fund
	Six Months Ended								Six Months Ended
	August 31, 2023				Year Ended				August 31, 2023				Year Ended
	(Unaudited)				February 28, 2023				(Unaudited)				February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	37,292,513			$	43,573,629			$	10,702,429			$	8,732,456
Net realized gain (loss)			(758,976	)			(2,342,156	)			(410,030	)			(1,062,384	)
Change in net unrealized appreciation (depreciation)			(2,479,527	)			(47,249,469	)			688,505				(298,759	)
Net increase (decrease) in net assets from operations			34,054,010				(6,017,996	)			10,980,904				7,371,313
Distributions to shareholders:
Core Class			—				—				(10,702,437	)			(8,732,859	)
Class III			(531,489	)			(353,815	)			—				—
Class VI			(3,820,161	)			(19,571,131	)			—				—
Class R6			(2,010,295	)			(9,882,307	)			—				—
Class I			(6,773,062	)			(20,733,424	)			—				—
Total distributions			(13,135,007	)			(50,540,677	)			(10,702,437	)			(8,732,859	)
Net share transactions (Note 9):
Core Class			—				—				31,239,964				152,052,342
Class III			17,416,183				36,408,292				—				—
Class VI			(45,155,667	)			35,260,297				—				—
Class R6			(3,815,360	)			44,469,462				—				—
Class I			193,083,596				83,699,966				—				—
Increase (decrease) in net assets resulting from net share transactions			161,528,752				199,838,017				31,239,964				152,052,342
Total increase (decrease) in net assets			182,447,755				143,279,344				31,518,431				150,690,796
Net assets:
Beginning of period			1,127,156,504				983,877,160				408,457,114				257,766,318
End of period		$	1,309,604,259			$	1,127,156,504			$	439,975,545			$	408,457,114

57 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statement of Cash Flows —Six Months Ended August 31, 2023

	Emerging
	Country
	Debt Fund
	(Unaudited)
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	150,122,460
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net change in unrealized (appreciation) depreciation		(125,709,115	)
Net realized (gain) loss		75,028,976
Cost of purchase of investments held long		(378,041,669	)
Proceeds from sale of investments held long		561,685,185
Net accretion of discount and amortization of premium		(10,336,176	)
Short-term investments, net		20,573,099
Cash flows related to derivative transactions:
Bond forward contracts		4,269,578
Swap contracts		4,047,348
Forward currency contracts		(6,073,034	)
Foreign currency and foreign currency related transactions		43,260
Change in assets and liabilities:
(Increase) decrease in due from broker		7,807,410
(Increase) decrease in dividends and interest receivable		2,297,671
(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO		(1,868	)
(Increase) decrease in interest receivable for open OTC swap contracts		141,019
(Increase) decrease in miscellaneous receivable		(1,317	)
Increase (decrease) in payable to affiliate for:
Management fee		10,537
Shareholder service fee		33,091
Increase (decrease) in due to custodian		(38,848	)
Increase (decrease) in payable for closed swap contracts		(806,556	)
Increase (decrease) in payable to Trustees and related expenses		3,809
Increase (decrease) in interest payable for OTC swap contracts		(16,098	)
Increase (decrease) in accrued foreign capital gains tax payable		104,485
Increase (decrease) in accrued expenses		(63,113	)
Net cash provided by (used in) operating activities		305,080,134
Cash flows from financing activities:
Proceeds from shares sold		13,805,223
Shares repurchased		(348,557,305	)
Cash distributions paid		(2,953,133	)
Purchase premiums and redemption fees		2,595,303
Increase (decrease) in payable for reverse repurchase agreements		31,718,273
Net cash provided by (used in) financing activities		(303,391,639	)
Net increase (decrease) in cash		1,688,495
Cash, beginning of period		790,094
Cash, end of period	$	2,478,589

See accompanying notes to the financial statements. 58

GMO Trust Funds

 

 

Financial Highlights

(For a share outstanding throughout each period)

ASSET ALLOCATION BOND FUND

	Class VI Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	20.37		$	23.52		$	23.88		$	22.72		$	21.67		$	22.02
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.45			0.40			0.39			0.27			0.56			0.57
Net realized and unrealized gain (loss)				(0.39	)		(3.40	)		(0.31	)		1.18			1.53			0.18
Total from investment operations				0.06			(3.00	)		0.08			1.45			2.09			0.75
Less distributions to shareholders:
From net investment income				(0.45	)		(0.15	)		(0.44	)		(0.29	)		(1.04	)		(1.10	)
Total distributions				(0.45	)		(0.15	)		(0.44	)		(0.29	)		(1.04	)		(1.10	)
Net asset value, end of period			$	19.98		$	20.37		$	23.52		$	23.88		$	22.72		$	21.67
Total Return(b)				0.32	%**		(12.81	)%		0.26	%		6.39	%		9.83	%		3.48	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	19,759		$	20,131		$	37,997		$	58,621		$	192,410		$	305,842
Net operating expenses to average daily net assets				0.33	%(c) *		0.32	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)				—			—			—			—			0.00	%(e)		0.00	%(e)
Total net expenses to average daily net assets				0.33	%(c) *		0.32	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)		0.31	%(c)
Net investment income (loss) to average daily net assets(a)				4.30	%*		1.88	%		1.60	%		1.15	%		2.49	%		2.57	%
Portfolio turnover rate(f)				0	%		95	%		209	%		30	%		16	%		59	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.58	%*		0.61	%		0.17	%(g)		0.08	%(g)		0.06	%(g)		0.04	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	N/A	96%	206%	39%	37%	88%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

59 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND

			Class III Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	17.71		$	21.34		$	25.54		$	27.38		$	26.82		$	28.62
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.67			1.28			1.42			1.56			1.44			1.36
Net realized and unrealized gain (loss)				0.36			(2.52	)		(3.16	)		(0.85	)		0.91			(1.19	)
Total from investment operations				1.03			(1.24	)		(1.74	)		0.71			2.35			0.17
Less distributions to shareholders:
From net investment income				(0.16	)		(2.39	)		(1.82	)		(1.93	)		(1.79	)		(1.97	)
From net realized gains				—			—			(0.64	)		(0.62	)		—			—
Total distributions				(0.16	)		(2.39	)		(2.46	)		(2.55	)		(1.79	)		(1.97	)
Net asset value, end of period			$	18.58		$	17.71		$	21.34		$	25.54		$	27.38		$	26.82
Total Return(b)				5.87	%**		(5.52	)%		(7.83	)%		2.67	%		8.97	%		0.97	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	1,275,466		$	1,222,989		$	942,565		$	1,010,106		$	1,133,945		$	1,294,577
Net operating expenses to average daily net assets(c)				0.54	%*		0.54	%		0.53	%		0.54	%		0.53	%		0.52	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)				0.02	%*		0.00	%(e)		—			0.00	%(e)		0.01	%		0.02	%
Total net expenses to average daily net assets(c)				0.56	%*		0.54	%		0.53	%		0.54	%		0.54	%		0.54	%
Net investment income (loss) to average daily net assets(a)				7.37	%*		6.75	%		5.62	%		6.02	%		5.23	%		4.99	%
Portfolio turnover rate(f)				10	%**		32	%		34	%		56	%		41	%		15	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.00	%(e) (g) *		—			0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			$	0.02		$	0.02		$	0.02		$	0.03		$	0.03		$	0.03

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	10%	32%	33%	55%	40%	15%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 60

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND (continued)

		Class IV Shares
		Six Months Ended August 31,
		2023			Year Ended February 28/29,
		(Unaudited)			2023			2022			2021			2020			2019
Net asset value, beginning of period		$	17.67		$	21.30		$	25.50		$	27.34		$	26.77		$	28.57
Income (loss) from investment operations:
Net investment income (loss)(a)†			0.67			1.28			1.41			1.39			1.43			1.37
Net realized and unrealized gain (loss)			0.37			(2.51	)		(3.14	)		(0.66	)		0.94			(1.19	)
Total from investment operations			1.04			(1.23	)		(1.73	)		0.73			2.37			0.18
Less distributions to shareholders:
From net investment income			(0.16	)		(2.40	)		(1.83	)		(1.95	)		(1.80	)		(1.98	)
From net realized gains			—			—			(0.64	)		(0.62	)		—			—
Total distributions			(0.16	)		(2.40	)		(2.47	)		(2.57	)		(1.80	)		(1.98	)
Net asset value, end of period		$	18.55		$	17.67		$	21.30		$	25.50		$	27.34		$	26.77
Total Return(b)			5.94	%**		(5.48	)%		(7.82	)%		2.73	%		9.08	%		1.02	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,006,583		$	1,170,559		$	1,531,528		$	3,218,116		$	3,219,098		$	2,849,316
Net operating expenses to average daily net assets(c)			0.49	%*		0.49	%		0.48	%		0.49	%		0.48	%		0.47	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.02	%*		0.00	%(e)		—			0.00	%(e)		0.01	%		0.02	%
Total net expenses to average daily net assets(c)			0.51	%*		0.49	%		0.48	%		0.49	%		0.49	%		0.49	%
Net investment income (loss) to average daily net assets(a)			7.42	%*		6.78	%		5.56	%		5.38	%		5.22	%		5.04	%
Portfolio turnover rate(f)			10	%**		32	%		34	%		56	%		41	%		15	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.00	%(e) (g) *		—			0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)		0.00	%(e) (g)
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	0.02		$	0.02		$	0.02		$	0.03		$	0.03		$	0.03

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	10%	32%	33%	55%	40%	15%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

61 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

EMERGING COUNTRY DEBT FUND (continued)

	Class VI Shares
	Six Months Ended August 31,					Year Ended					Period from July 29, 2021 (commencement of operations) through
	2023					February 28,					February 28,
	(Unaudited)					2023					2022
Net asset value, beginning of period			$	17.66				$	21.30				$	25.89
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.67					1.27					0.77
Net realized and unrealized gain (loss)				0.38					(2.51	)				(3.60	)
Total from investment operations				1.05					(1.24	)				(2.83	)
Less distributions to shareholders:
From net investment income				(0.17	)				(2.40	)				(1.55	)
From net realized gains				—					—					(0.21	)
Total distributions				(0.17	)				(2.40	)				(1.76	)
Net asset value, end of period			$	18.54				$	17.66				$	21.30
Total Return(b)				5.95	%**				(5.49	)%				(11.63	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	319,358				$	392,813				$	1,255,123
Net operating expenses to average daily net assets(c)				0.44	%*				0.44	%				0.43	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)				0.02	%*				0.00	%(e)				—
Total net expenses to average daily net assets(c)				0.46	%*				0.44	%				0.43	%*
Net investment income (loss) to average daily net assets(a)				7.46	%*				6.68	%				5.35	%*
Portfolio turnover rate(f)				10	%**				32	%				34	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.00	%(e) (g) *				—					0.00	%(e) (g) *
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			$	0.02				$	0.02				$	0.01

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

		August 31, 2023	February 28, 2023	February 28, 2022
Portfolio turnover rate including transactions in USTF		10%	32%	33%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 62

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

HIGH YIELD FUND

	Class VI Shares
	Six Months Ended August 31, 2023							Year Ended February 28/29,												Period from June 25, 2018 (commencement of operations) through February 28,
	(Unaudited)							2023			2022			2021			2020			2019
Net asset value, beginning of period			$	16.73				$	18.61		$	20.90		$	19.94		$	20.21				$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a) †				0.31					0.32			0.21			0.64			0.48					0.27
Net realized and unrealized gain (loss)				0.43					(0.87	)		0.13			0.77			0.82					0.71
Total from investment operations				0.74					(0.55	)		0.34			1.41			1.30					0.98
Less distributions to shareholders:
From net investment income				—					(1.30	)		(0.68	)		(0.40	)		(1.57	)				(0.61	)
From net realized gains				—					(0.03	)		(1.95	)		(0.05	)		—					(0.16	)
Total distributions				—					(1.33	)		(2.63	)		(0.45	)		(1.57	)				(0.77	)
Net asset value, end of period			$	17.47				$	16.73		$	18.61		$	20.90		$	19.94				$	20.21
Total Return(b)				4.42	%**				(2.90	)%		1.35	%		7.21	%		6.40	%				5.07	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	174,457				$	257,215		$	84,586		$	94,545		$	161,449				$	212,762
Net operating expenses to average daily net assets(c)				0.46	%*				0.46	%		0.51	%		0.52	%(d)		0.52	%(d)				0.51	%(d)*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)				—					0.00	%(f)		0.00	%(f)		0.00	%(f)		0.03	%				0.04	%*
Total net expenses to average daily net assets(c)				0.46	%*				0.46	%		0.51	%		0.52	%(d)		0.55	%(d)				0.55	%(d)*
Net investment income (loss) to average daily net assets(a)				3.57	%*				1.86	%		1.05	%		3.23	%		2.34	%				2.00	%*
Portfolio turnover rate(g)				42	%**				31	%		98	%		288	%		105	%				81	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.05	%*				0.01	%		0.03	%		0.00	%(f)(h)		0.00	%(f)(h)				0.12	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Includes recoupment of past reimbursed and/or waived fees (Note 5).

^(e)  Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f)  Rounds to less than 0.01%.

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	42%	N/A	N/A	317%	214%	159%

^(h)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

63 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout the period)

HIGH YIELD FUND (continued)

	Class I Shares
	Period from April 13, 2023 (commencement of operations) through August 31, 2023
	(Unaudited)
Net asset value, beginning of period			$	17.15
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.22
Net realized and unrealized gain (loss)				0.09
Total from investment operations				0.31
Net asset value, end of period			$	17.46
Total Return(b)				1.81	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	6
Net expenses to average daily net assets(c)				0.59	%*
Net investment income (loss) to average daily net assets(a)				3.36	%*
Portfolio turnover rate(d)				42	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				2.33	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023
Portfolio turnover rate including transactions in USTF	42%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 64

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023				2022				2021				2020				2019
Net asset value, beginning of period			$	16.54			$	18.84			$	20.13			$	22.19			$	20.88			$	20.93
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.26				0.47				0.27				0.43				0.53				0.51
Net realized and unrealized gain (loss)				0.00	(b)			(2.45	)			(0.99	)			(0.24	)(c)			2.01				0.49
Total from investment operations				0.26				(1.98	)			(0.72	)			0.19				2.54				1.00
Less distributions to shareholders:
From net investment income				—				(0.32	)			—				(0.93	)			(0.64	)			(1.05	)
From net realized gains				—				—				(0.57	)			(1.32	)			(0.59	)			—
Total distributions				—				(0.32	)			(0.57	)			(2.25	)			(1.23	)			(1.05	)
Net asset value, end of period			$	16.80			$	16.54			$	18.84			$	20.13			$	22.19			$	20.88
Total Return(d)				1.57	%**			(10.54	)%			(3.74	)%			0.59	%			12.38	%			4.88	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	19,108			$	14,757			$	8,803			$	31,602			$	80,639			$	84,163
Net operating expenses to average daily net assets(e)				0.31	%*			0.29	%			0.31	%			0.30	%			0.29	%			0.29	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)				—				0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)			0.00	%(g)
Total net expenses to average daily net assets(e)				0.31	%*			0.29	%			0.31	%			0.30	%			0.29	%			0.29	%
Net investment income (loss) to average daily net assets(a)				3.06	%*			2.70	%			1.33	%			1.98	%			2.43	%			2.41	%
Portfolio turnover rate(h)				183	%**			326	%			256	%			262	%			215	%			201	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(i)				0.28	%*			0.33	%			0.24	%			0.19	%			0.16	%			0.16	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Rounds to less than $0.01.

^(c)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(d)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(g)  Rounds to less than 0.01%.

^(h)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	183%	329%	263%	335%	285%	250%

⁽ⁱ⁾  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

65 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

MULTI-SECTOR FIXED INCOME FUND (continued)

	Class IV Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	16.61		$	18.93		$	20.20		$	22.26		$	20.94		$	20.98
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.26			0.47			0.28			0.35			0.54			0.48
Net realized and unrealized gain (loss)				0.01	(b)		(2.46	)		(0.98	)		(0.16	)(b)		2.02			0.53
Total from investment operations				0.27			(1.99	)		(0.70	)		0.19			2.56			1.01
Less distributions to shareholders:
From net investment income				—			(0.33	)		—			(0.93	)		(0.65	)		(1.05	)
From net realized gains				—			—			(0.57	)		(1.32	)		(0.59	)		—
Total distributions				—			(0.33	)		(0.57	)		(2.25	)		(1.24	)		(1.05	)
Net asset value, end of period			$	16.88		$	16.61		$	18.93		$	20.20		$	22.26		$	20.94
Total Return(c)				1.63	%**		(10.56	)%		(3.63	)%		0.59	%		12.44	%		4.93	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	98,299		$	89,113		$	116,178		$	133,862		$	449,655		$	580,456
Net operating expenses to average daily net assets(d)				0.26	%*		0.24	%		0.25	%		0.24	%		0.24	%		0.24	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)				—			0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)
Total net expenses to average daily net assets(d)				0.26	%*		0.24	%		0.25	%		0.24	%		0.24	%		0.24	%
Net investment income (loss) to average daily net assets(a)				3.09	%*		2.70	%		1.39	%		1.57	%		2.47	%		2.29	%
Portfolio turnover rate(g)				183	%**		326	%		256	%		262	%		215	%		201	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)				0.28	%*		0.33	%		0.25	%		0.19	%		0.16	%		0.15	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f)  Rounds to less than 0.01%.

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	183%	329%	263%	335%	285%	250%

^(h)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 66

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28,					Period from February 1, 2022 (commencement of operations through February 28,					Period from July 21, 2021 (commencement of operations) through December 28,
	(Unaudited)					2023					2022					2021
Net asset value, beginning of period			$	24.11				$	25.56				$	25.66				$	25.88
Income (loss) from investment operations:
Net investment income (loss)(a)†				0.76					1.05					0.07					0.44
Net realized and unrealized gain (loss)				(0.07	)				(1.23	)				(0.17	)				(0.33	)
Total from investment operations				0.69					(0.18	)				(0.10	)				0.11
Less distributions to shareholders:
From net investment income				(0.27	)				(0.90	)				—					(0.42	)
From net realized gains				—					(0.37	)				—					—
Total distributions				(0.27	)				(1.27	)				—					(0.42	)
Net asset value, end of period			$	24.53				$	24.11				$	25.56				$	25.57
Total Return(b)				2.86	%**				(0.66	)%				(0.39	)%**				0.43	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	66,449				$	48,101				$	12,281				$	13,847
Net operating expenses to average daily net assets(c)				0.57	%*				0.56	%				0.70	%*				0.56	%*
Interest and/or dividend expenses to average daily net assets(d)				0.00	%(e)*				0.00	%(e)				0.00	%(e)*				0.00	%(e)*
Total net expenses to average daily net assets(c)				0.57	%*				0.56	%				0.70	%*				0.56	%*
Net investment income (loss) to average daily net assets(a)				6.13	%*				4.19	%				3.92	%*				3.84	%*
Portfolio turnover rate(f)				55	%**				73	%				95	%**				95	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.03	%(g)*				0.06	%				0.08	%*				0.04	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e)  Rounds to less than 0.01%.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023			February 28, 2023			February 28, 2022			February 28, 2021
Portfolio turnover rate including transactions in USTF		55	%		72	%		94	%		45	%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

67 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class VI Shares
	Six Months Ended August 31, 2023				Year Ended February 28/29,
	(Unaudited)				2023				2022				2021				2020				2019
Net asset value, beginning of period		$	24.10			$	25.56			$	25.84			$	26.15			$	26.21			$	26.41
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.76				1.11				0.81				1.06				1.46				1.32
Net realized and unrealized gain (loss)			(0.06	)			(1.27	)			(0.55	)			(0.31	)			(0.06	)			(0.38	)
Total from investment operations			0.70				(0.16	)			0.26				0.75				1.40				0.94
Less distributions to shareholders:
From net investment income			(0.27	)			(0.93	)			(0.54	)			(1.06	)			(1.46	)			(1.14	)
From net realized gains			—				(0.37	)			—				—				—				—
Total distributions			(0.27	)			(1.30	)			(0.54	)			(1.06	)			(1.46	)			(1.14	)
Net asset value, end of period		$	24.53			$	24.10			$	25.56			$	25.84			$	26.15			$	26.21
Total Return(b)			2.92	%**			(0.58	)%			1.00	%			2.95	%			5.45	%			3.58	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	350,630			$	389,295			$	375,117			$	477,457			$	825,876			$	1,001,146
Net operating expenses to average daily net assets(c)			0.48	%*			0.47	%			0.47	%			0.47	%			0.47	%			0.49	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.00	%(e)*			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)
Total net expenses to average daily net assets(c)			0.48	%*			0.47	%			0.47	%			0.47	%			0.47	%			0.49	%
Net investment income (loss) to average daily net assets(a)			6.19	%*			4.52	%			3.13	%			4.12	%			5.50	%			4.99	%
Portfolio turnover rate(f)			55	%**			73	%			95	%			43	%			47	%			75	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%(g)*			0.05	%			0.05	%(g)			0.05	%(g)			0.04	%(g)			0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—			$	—			$	—			$	0.01			$	0.05

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e) Rounds to less than 0.01%.

^(f) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023			February 28, 2023			February 28, 2022			February 28, 2021			February 29, 2020			February 28, 2019
Portfolio turnover rate including transactions in USTF		55	%		72	%		94	%		45	%		48	%		83	%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 68

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2023 (Unaudited)				Year Ended February 28, 2023				Period from May 19, 2021 (commencement of operations) through February 28, 2022
Net asset value, beginning of period		$	24.02			$	25.48			$	25.86
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.75				1.08				0.67
Net realized and unrealized gain (loss)			(0.07	)			(1.27	)			(0.51	)
Total from investment operations			0.68				(0.19	)			0.16
Less distributions to shareholders:
From net investment income			(0.26	)			(0.90	)			(0.54	)
From net realized gains			—				(0.37	)			—
Total distributions			(0.26	)			(1.27	)			(0.54	)
Net asset value, end of period		$	24.44			$	24.02			$	25.48
Total Return(b)			2.86	%**			(0.68	)%			0.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	185,664			$	186,230			$	152,877
Net operating expenses to average daily net assets(c)			0.57	%*			0.56	%			0.58	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.00	%(e)*			0.00	%(e)			0.00	%(e)*
Total net expenses to average daily net assets(c)			0.57	%*			0.56	%			0.58	%*
Net investment income (loss) to average daily net assets(a)			6.10	%*			4.42	%			3.29	%*
Portfolio turnover rate(f)			55	%**			73	%			95	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%(g)*			0.05	%			0.05	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e) Rounds to less than 0.01%.

^(f) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022
Portfolio turnover rate including transactions in USTF	55%	72%	94%

^(g) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

69 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

OPPORTUNISTIC INCOME FUND (continued)

	Class I Shares
	Six Months Ended																Period from November 5, 2019 (commencement of operations)
	August 31,				Year Ended												through
	2023				February 28,												February 29,
	(Unaudited)				2023				2022				2021				2020
Net asset value, beginning of period		$	24.06			$	25.51			$	25.80			$	26.12			$	26.85
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.74				1.06				0.77				0.89				0.54
Net realized and unrealized gain (loss)			(0.07	)			(1.26	)			(0.57	)			(0.18	)			(0.08	)
Total from investment operations			0.67				(0.20	)			0.20				0.71				0.46
Less distributions to shareholders:
From net investment income			(0.26	)			(0.88	)			(0.49	)			(1.03	)			(1.19	)
From net realized gains			—				(0.37	)			—				—				—
Total distributions			(0.26	)			(1.25	)			(0.49	)			(1.03	)			(1.19	)
Net asset value, end of period		$	24.47			$	24.06			$	25.51			$	25.80			$	26.12
Total Return(b)			2.78	%**			(0.73	)%			0.77	%			2.79	%			1.80	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	706,861			$	503,531			$	443,602			$	417,150			$	22,684
Net operating expenses to average daily net assets(c)			0.66	%*			0.66	%			0.67	%			0.68	%			0.66	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.00	%(e)*			0.00	%(e)			0.00	%(e)			0.00	%(e)			0.00	%(e)*
Total net expenses to average daily net assets(c)			0.66	%*			0.66	%			0.67	%			0.68	%			0.66	%*
Net investment income (loss) to average daily net assets(a)			6.02	%*			4.33	%			2.97	%			3.47	%			6.55	%*
Portfolio turnover rate(f)			55	%**			73	%			95	%			43	%			47	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%(g)*			0.05	%			0.05	%(g)			0.07	%(g)			0.07	%(g)*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e) Rounds to less than 0.01%.

^(f) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020
Portfolio turnover rate including transactions in USTF	55%	72%	94%	45%	48%

^(g) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 70

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

U.S. TREASURY FUND

	Core Shares
	Six Months Ended August 31,
	2023				Year Ended February 28/29,
	(Unaudited)				2023				2022				2021				2020				2019(a)
Net asset value, beginning of period		$	4.99			$	5.01			$	5.04			$	5.02			$	5.00			$	5.00
Income (loss) from investment operations:
Net investment income (loss)†			0.13				0.13				0.01				0.01				0.10				0.10
Net realized and unrealized gain (loss)			0.01				(0.03	)			(0.04	)			0.02				0.02				0.01
Total from investment operations			0.14				0.10				(0.03	)			0.03				0.12				0.11
Less distributions to shareholders:
From net investment income			(0.13	)			(0.12	)			(0.00	)(b)			(0.01	)			(0.10	)			(0.11	)
From net realized gains			—				—				(0.00	)(b)			(0.00	)(b)			—				—
Total distributions			(0.13	)			(0.12	)			(0.00	)(b)			(0.01	)			(0.10	)			(0.11	)
Net asset value, end of period		$	5.00			$	4.99			$	5.01			$	5.04			$	5.02			$	5.00
Total Return(c)			2.79	%**			2.00	%			(0.37	)%			0.63	%			2.47	%			2.16	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	439,976			$	408,457			$	257,766			$	382,455			$	222,762			$	635,777
Net expenses to average daily net assets			0.06	%*			0.01	%			0.02	%			0.08	%			0.06	%			0.00	%(d)
Net investment income (loss) to average daily net assets			5.12	%*			2.60	%			0.13	%			0.20	%			2.03	%			1.97	%
Portfolio turnover rate(e)			0	%**			0	%			0	%			0	%			0	%			0	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.12	%			0.10	%			0.03	%			0.05	%			0.10	%

^(a) Per share amounts were adjusted to reflect an approximate 5 for 1 stock split effective December 6, 2018.

^(b) Rounds to less than $0.01.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Rounds to less than 0.01%.

^(e) Portfolio turnover rate calculation excludes short-term investments.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

71 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Notes to Financial Statements

August 31, 2023 (Unaudited)

1. Organization

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund, Opportunistic Income Fund and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest without limitation in other GMO Funds (“underlying funds”). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission (“SEC”), some of the Funds may invest in Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Asset Allocation Bond Fund	FTSE 3-Month Treasury Bill Index	Total return in excess of its benchmark
Emerging Country Debt Fund	J.P. Morgan EMBI Global Diversified	Total return in excess of its benchmark
High Yield Fund	Markit iBoxx USD Liquid High Yield Index	Total return in excess of its benchmark
Multi-Sector Fixed Income Fund	Bloomberg U.S. Aggregate Index	Total return in excess of its benchmark
Opportunistic Income Fund	Not Applicable	Capital appreciation and current income
U.S. Treasury Fund	Not Applicable	Liquidity and safety of principal with current income as a secondary objective

Asset Allocation Bond Fund currently limits subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Portfolio valuation

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO 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 source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates

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August 31, 2023 (Unaudited)

its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities 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. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2023, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

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

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

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

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity

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August 31, 2023 (Unaudited)

securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; certain investment funds whose valuations are based on monthly net asset value statements; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2023:

Description	Level 1		Level 2		Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	5,007,444	$	—	$	—	$	5,007,444
TOTAL DEBT OBLIGATIONS		5,007,444		—		—		5,007,444
Short-Term Investments		734,638		13,855,747		—		14,590,385
Total Investments		5,742,082		13,855,747		—		19,597,829
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		115,218		—		115,218
Futures Contracts
Interest Rate Risk		430,628		—		—		430,628
Total	$	6,172,710	$	13,970,965	$	—	$	20,143,675
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	7,185,001	$	—	$	7,185,001
Corporate Debt		—		126,032,083		15,549,557		141,581,640
Sovereign and Sovereign Agency Issuers		—		2,059,499,114		218,756,146		2,278,255,260
U.S. Government		8,932,930		—		—		8,932,930
TOTAL DEBT OBLIGATIONS		8,932,930		2,192,716,198		234,305,703		2,435,954,831
Loan Assignments		—		—		25,887,655		25,887,655
Loan Participations		—		—		11,526,637		11,526,637
Investment Funds		—		—		13,509,252		13,509,252
Mutual Funds		27,584,457		—		—		27,584,457
Rights/Warrants		—		11,726,503		5,603,773		17,330,276
Short-Term Investments		735,393		20,000,000		—		20,735,393
Total Investments		37,252,780		2,224,442,701		290,833,020		2,552,528,501

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August 31, 2023 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Emerging Country Debt Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	4,043,625		$	—	$	4,043,625
Options
Credit Risk		—			—			279,300		279,300
Swap Contracts
Credit Risk		—			12,810,434			—		12,810,434
Interest Rate Risk		—			1,285,840			—		1,285,840
Total	$	37,252,780		$	2,242,582,600		$	291,112,320	$	2,570,947,700
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(81,847	)	$	—	$	(81,847	)
Swap Contracts
Credit Risk		—			(1,821,072	)		—		(1,821,072	)
Interest Rate Risk		—			(1,916,226	)		—		(1,916,226	)
Total	$	—		$	(3,819,145	)	$	—	$	(3,819,145	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—		$	31,746,255		$	—	$	31,746,255
U.S. Government		52,470,478			—			—		52,470,478
TOTAL DEBT OBLIGATIONS		52,470,478			31,746,255			—		84,216,733
Short-Term Investments		2,336,842			84,385,225			—		86,722,067
Total Investments		54,807,320			116,131,480			—		170,938,800
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,496,118			—		1,496,118
Futures Contracts
Interest Rate Risk		197,336			—			—		197,336
Swap Contracts
Credit Risk		—			840,916			—		840,916
Interest Rate Risk		—			2,094,723			—		2,094,723
Total	$	55,004,656		$	120,563,237		$	—	$	175,567,893
Liability Valuation Inputs
Derivatives^
Futures Contracts
Interest Rate Risk	$	(9,978	)	$	—		$	—	$	(9,978	)
Written Options
Credit Risk		—			(128,559	)		—		(128,559	)
Total	$	(9,978	)	$	(128,559	)	$	—	$	(138,537	)

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August 31, 2023 (Unaudited)

Description	Level 1		Level 2			Level 3		Total
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	26,383,162		$	—	$	26,383,162
Defeased Securities – Asset-Backed		—		33,146,754			—		33,146,754
U.S. Government		4,349,004		—			—		4,349,004
U.S. Government Agency		—		23,496,248			—		23,496,248
TOTAL DEBT OBLIGATIONS		4,349,004		83,026,164			—		87,375,168
Mutual Funds		28,506,428		—			—		28,506,428
Short-Term Investments		782,388		23,197,315			—		23,979,703
Total Investments		33,637,820		106,223,479			—		139,861,299
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		614,252			—		614,252
Futures Contracts
Interest Rate Risk		429,184		—			—		429,184
Swap Contracts
Interest Rate Risk		—		1,112,462			—		1,112,462
Total	$	34,067,004	$	107,950,193		$	—	$	142,017,197
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(865,558	)	$	—	$	(865,558	)
Swap Contracts
Interest Rate Risk		—		(1,002,542	)		—		(1,002,542	)
Total	$	—	$	(1,868,100	)	$	—	$	(1,868,100	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	872,590,267		$	11,775,267	$	884,365,534
Corporate Debt		—		2,709,532			—		2,709,532
U.S. Government		49,910,895		—			—		49,910,895
U.S. Government Agency		7,501,061		87,224,855			4,055,334		98,781,250
TOTAL DEBT OBLIGATIONS		57,411,956		962,524,654			15,830,601		1,035,767,211
Mutual Funds		10,916,211		—			—		10,916,211
Short-Term Investments		4,319,255		314,159,825			—		318,479,080
Purchased Options		—		149,051			—		149,051
Total Investments		72,647,422		1,276,833,530			15,830,601		1,365,311,553
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		134,466			—		134,466
Futures Contracts
Interest Rate Risk		1,377,737		—			—		1,377,737

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August 31, 2023 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Opportunistic Income Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^ (continued)
Swap Contracts
Credit Risk	$	—		$	19,481,902		$	—	$	19,481,902
Total	$	74,025,159		$	1,296,449,898		$	15,830,601	$	1,386,305,658
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(858	)	$	—	$	(858	)
Futures Contracts
Interest Rate Risk		(252,635	)		—			—		(252,635	)
Written Options
Credit Risk		—			(56,674	)		—		(56,674	)
Swap Contracts
Credit Risk		—			(4,269,532	)		—		(4,269,532	)
Interest Rate Risk		—			(128,453	)		—		(128,453	)
Total	$	(252,635	)	$	(4,455,517	)	$	—	$	(4,708,152	)
U.S. Treasury Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	—		$	20,124,621		$	—	$	20,124,621
TOTAL DEBT OBLIGATIONS		—			20,124,621			—		20,124,621
Short-Term Investments		323,918,224			93,997,558			—		417,915,782
Total Investments		323,918,224			114,122,179			—		438,040,403
Total	$	323,918,224		$	114,122,179		$	—	$	438,040,403

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

As of August 31, 2023, under U.S. GAAP the following Funds require additional disclosures about fair value measurements for Level 3 securities and derivatives, if any (determined by each category or asset or liability as compared to a Fund’s net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on the average of a selection of comparable bonds and applying a 200 basis point discount for liquidity considerations and Meridiam Eastern Europe Investment S.à.r.1. Loan Agreement, due 6/23/28, which is valued based on a more liquid loan participation’s price discounted by 2 points. Opportunistic Income Fund’s Level 3 holdings also consists of one asset-backed security that was priced based on market trades.

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August 31, 2023 (Unaudited)

The following is a reconciliation of securities and derivatives, if any, for Funds in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2023			Purchases			Sales				Accrued Discounts/ Premiums				Total Realized Gain/ (Loss)				Change in Unrealized Appreciation (Depreciation)				Transfer into Level 3			Transfer out of Level 3			Balances as of August 31, 2023			Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2023
Emerging Country Debt Fund
Debt Obligations
Corporate Debt		$	15,471,486		$	—		$	—			$	(863	)		$	—			$	78,934			$	—		$	—		$	15,549,557		$	78,934
Sovereign and Sovereign Agency Issuers			197,198,523			—			(4,080,577	)			2,543,019				(3,860,496	)			26,955,677				—			—			218,756,146			26,955,677
Investment Funds			7,035,403			9,300,000			(3,756,797	)			—				468,646				462,000				—			—			13,509,252			462,000
Loan Assignments			32,811,159			—			(8,181,887	)			423,071				(438,005	)			1,273,317				—			—			25,887,655			1,273,317
Loan Participations			21,513,110			3,374,918			(9,411,221	)			(3,135,659	)			(1,494,612	)			680,101				—			—			11,526,637			(1,154,527	)
Rights/Warrants			3,216,316			50,928			—				10,910				—				2,325,619				—			—			5,603,773			2,325,619
Total Investments			277,245,997			12,725,846			(25,430,482	)			(159,522	)			(5,324,467	)			31,775,648				—			—			290,833,020			29,941,020
Derivatives
Options			301,675			—			—				—				(251,703	)			229,328				—			—			279,300			229,328
Total		$	277,547,672		$	12,725,846		$	(25,430,482	)#		$	(159,522	)		$	(5,576,170	)		$	32,004,976			$	—		$	—		$	291,112,320		$	30,170,348
Opportunistic Income Fund
Debt Obligations
Asset-Backed Securities		$	10,846,895		$	2,648,281		$	(1,570,750	)		$	99,547			$	(290,212	)		$	41,506			$	—		$	—		$	11,775,267		$	(290,833	)
U.S. Government Agency			5,263,033			—			(1,221,250	)			—				16,405				(2,854	)			—			—			4,055,334			1,749
Total		$	16,109,928		$	2,648,281		$	(2,792,000	)##		$	99,547			$	(273,807	)		$	38,652			$	—		$	—		$	15,830,601		$	(289,084	)

# Includes $14,461,922 of proceeds received from partial calls and/or principal paydowns as applicable.

## Includes $1,221,250 of proceeds received from partial calls and/or principal paydowns as applicable.

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The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended August 31, 2023.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation  Methodology	Unobservable Inputs	Range (Weighted Average)
Emerging Country Debt Fund
Sovereign and Sovereign Agency Issuers	40,372,418		Fair Value	Discount for lack of liquidity/marketability	1.40% - 1.60% (1.42%)
Sovereign and Sovereign Agency Issuers	9,435		Fair Value	Discount for lack of liquidity/marketability	99% (N/A)
Corporate Debt	15,549,557		Fair Value	Discount for lack of liquidity/marketability	2.00% (N/A)
Loan Assignments and Participations	1,832,268		Fair Value	Discount for lack of liquidity/marketability	5.00%-6.00% (5.00%)
Loan Assignments and Participations	14,910,595		Fair Value	Discount for lack of liquidity/marketability	$2.00 (N/A)
Warrants	259,343		Fair Value	Discount for lack of liquidity/marketability	50% (N/A)
Options	279,300		Fair Value	Probability of CDS threshold event	<5% (N/A)
Investment Funds	13,509,252		Fair Value	Net asset value statement	(N/A)
Opportunistic Income Fund
Asset-Backed Securities	8,908,187		Fair Value	Broker mark of comparable bond	N/A
Government Agency	4,055,334		Fair Value	Discount for lack of liquidity/marketability	1.25% (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2023, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $204,390,152 and $2,867,080, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated.

Cash

Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include marked-to-market amounts related to foreign currency or cash owed.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Indexed investments

Each Fund may invest in various transactions and instruments that are designed to track the performance of an index (including, but not limited to, securities indices and credit default indices). Indexed securities are securities the redemption values and/or coupons of which are indexed to a specific instrument, group of instruments, index, or other statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities or inflation indices, currencies, precious metals or other commodities, or other financial indicators. For example, the maturity value of gold-indexed securities depends on the price of gold and, therefore, their price tends to rise and fall with gold prices.

Loan assignments and participations

The Funds (except U.S. Treasury Fund) may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other

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receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds 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 set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” in Note 4 “Derivative financial instruments”. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and 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/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities.

As of August 31, 2023, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at period end. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Fund Name	Counterparty	Value ($)		Value (with  associated collateral) ($)	Weighted Average  Maturity (days)
Asset Allocation Bond Fund	Nomura Securities International, Inc.		12,000,000	12,221,370	1.0
Emerging Country Debt Fund	Nomura Securities International, Inc.		20,000,000	20,370,277	1.0
High Yield Fund	Nomura Securities International, Inc.		45,000,000	45,839,345	1.0
Multi-Sector Fixed Income Fund	Nomura Securities International, Inc.		10,000,000	10,185,636	1.0
Opportunistic Income Fund	Daiwa Capital Markets America, Inc.		314,159,825	320,642,468	1.0
U.S. Treasury Fund	Daiwa Capital Markets America, Inc.		93,997,558	95,753,973	1.0

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A 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 may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of August 31, 2023, the Funds listed below had entered into reverse repurchase agreements.

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Fund Name	Received from  reverse repurchase  agreements ($)	Market value of securities plus  accrued interest ($)
Emerging Country Debt Fund	31,718,273	32,657,056

As of August 31, 2023, Emerging Country Debt Fund had investments in reverse repurchase agreements with Barclays Bank Plc and Nomura International Plc with a gross value of $31,718,273. The value of related collateral on reverse repurchase agreements exceeded the value at period end. As of August 31, 2023, the reverse repurchase agreements held by Emerging Country Debt Fund had open maturity dates.

Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The following is a summary of the gross value of reverse repurchase agreements categorized by class of collateral pledged and maturity date:

	August 31, 2023
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous			Up to 30 days			Between 30-90 days			Greater Than 90 days			On Demand			Total
Emerging Country Debt Fund
Reverse Repurchase Agreements
Sovereign and Sovereign Agency Issuers		$	—		$	—		$	—		$	—		$	31,718,273		$	31,718,273
Total borrowings		$	—		$	—		$	—		$	—		$	31,718,273		$	31,718,273

Inflation-indexed bonds

The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.

The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e. stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Delayed delivery commitments and when-issued securities

The Funds (except U.S. Treasury Fund) may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The purchase of when-issued or delayed delivery securities can cause a Fund’s portfolio to be leveraged. Investments in when-issued securities also present the risk that the security will not be issued or delivered. Delayed delivery commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the dividend and/or interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

With the exception of U.S. Treasury Fund, the policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. The policy of U.S. Treasury Fund is to declare dividends daily, to the extent net investment income is available. U.S. Treasury Fund will generally pay dividends on the first business day following the end of each month in which dividends were declared. Accrued dividends in respect of a shareholder’s partial redemption of U.S. Treasury Fund shares redeemed between monthly payment dates will be paid on the first business day following the end of the month in which redemptions are made. Accrued dividends in respect of a shareholder’s complete redemption of U.S. Treasury Fund shares between monthly payment dates will be paid with the redemption proceeds. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2023, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.

As of February 28, 2023, certain Funds elected to defer to March 1, 2023 late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year Ordinary Loss  Deferral ($)	Post-October Capital Losses  Deferral ($)
Asset Allocation Bond Fund	—	(3,419,578)
Emerging Country Debt Fund	—	(29,465,764)

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Fund Name	Late-Year   Ordinary Loss   Deferral ($)	Post-October   Capital  Losses   Deferral ($)
High Yield Fund	(1,676,312)	—
Multi-Sector Fixed Income Fund	(3,435,086)	(873,980)
Opportunistic Income Fund	—	—
U.S. Treasury Fund	—	(207,004)

As of February 28, 2023, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2023, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

Fund Name	Short-Term ($)	Long-Term ($)
Asset Allocation Bond Fund	(27,614,560)	(20,399,239)
Emerging Country Debt Fund	(14,075,236)	(74,261,802)
High Yield Fund	(6,436,296)	(2,580,749)
Multi-Sector Fixed Income Fund	(5,818,749)	(29,543,362)
Opportunistic Income Fund	—	(55,222,241)
U.S. Treasury Fund	(1,588,005)	—

As of August 31, 2023, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments, for U.S. federal income tax purposes were as follows:

	Total Investments				Outstanding Financial Instruments
Fund Name	Aggregate  Cost ($)	Gross Unrealized  Appreciation ($)	Gross Unrealized  (Depreciation) ($)	Net Unrealized Appreciation  (Depreciation) ($)	Net Unrealized Appreciation  (Depreciation) ($)
Asset Allocation Bond Fund	19,665,217	5,827	(73,215)	(67,388)	545,846
Emerging Country Debt Fund	3,912,330,609	23,527,366	(1,383,329,474)	(1,359,802,108)	(11,366,617)
High Yield Fund	174,920,471	121,435	(4,103,106)	(3,981,671)	3,941,252
Multi-Sector Fixed Income Fund	146,453,940	277,679	(6,870,320)	(6,592,641)	340,149
Opportunistic Income Fund	1,475,014,137	8,720,064	(118,422,648)	(109,702,584)	(6,607,361)
U.S. Treasury Fund	438,043,643	109,968	(113,208)	(3,240)	—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings

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may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of August 31, 2023, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/deflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (see Note 5).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund directly or indirectly (e.g., through investments in underlying funds) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Purchase premiums and redemption fees are paid to and retained by a Fund for the benefit of non-transacting shareholders. Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or modify existing purchase premium and redemption fees at any time.

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.

GMO also may waive or reduce the purchase premium or redemption fee for a purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs. For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

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As of August 31, 2023, the premium on cash purchases and the fee on cash redemptions were as follows:

	Asset Allocation Bond Fund	Emerging Country Debt Fund(1)	High Yield Fund	Multi- Sector Fixed Income Fund(2)	Opportunistic Income Fund(1)	U.S. Treasury Fund
Purchase Premium	—	0.75%	—	—	—	—
Redemption Fee	—	0.75%	—	—	—	—

⁽¹⁾ For the periods from July 31, 2020 to May 18, 2021, May 8, 2020 to July 31, 2020, March 25, 2020 to May 8, 2020, March 16, 2020 to March 25, 2020, February 1, 2016 to March 16, 2020 the premiums on purchases and the fee on redemptions were each 1.00%, 1.50%, 2.00%, 1.15% and 0.75%, respectively, of the amount invested or redeemed.

⁽²⁾ Prior to June 30, 2019, the premiums on purchases and the fee on redemptions were each 0.40% of the amount invested or redeemed.

Recently-issued accounting guidance

In June 2022, the Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update 2022-03, “Fair Value Measurement (Topic 820) – Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions” (“ASU 2022-03”). The amendments in ASU 2022-03 apply to all entities that have investments in equity securities measured at fair value that are subject to a contractual sale restriction. The amendments in ASU 2022-03 clarify guidance for fair value measurement of an equity security subject to a contractual sale restriction and establish new disclosure requirements for such equity securities. The amendments in ASU 2022-03 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023 with early adoption permitted. GMO is currently evaluating the impact, if any, of the new disclosure requirements on the financial statements.

3. Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

Credit Risk	X	X	X	X	X	X
Market Risk – Fixed Income	X	X	X	X	X	X
Illiquidity Risk	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X
Counterparty Risk	X	X	X	X	X	X
Market Risk – Asset-Backed Securities	X			X	X
Focused Investment Risk	X	X	X	X	X

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	Asset  Allocation  Bond Fund	Emerging  Country Debt Fund	High Yield  Fund	Multi-Sector  Fixed Income Fund	Opportunistic  Income Fund	U.S.  Treasury  Fund
Currency Risk	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X
Leveraging Risk	X	X	X	X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X
Large Shareholder Risk	X	X	X	X	X	X
Futures Contracts Risk			X	X	X
Fund of Funds Risk	X		X	X
Commodities Risk	X
Smaller Company Risk	X			X	X
Market Risk – Equities	X
Non-Diversified Funds			X	X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds or other investment companies (collectively, “Underlying Funds”) are exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly and indirectly by the Fund.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner or at all. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such a failure. Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a U.S. credit default would decrease, the value of a Fund’s investments and increase the volatility of a Fund’s portfolio. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and are subject to substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to their issuers’ payment defaults and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which

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the issuer might not make any interest or other payments, and the Fund may incur additional expenses in its effort to be repaid. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the Fund may lose a substantial portion or all of its original investment or may be required to accept cash or instruments worth less than its original investment.

• MARKET RISK — FIXED INCOME. The market price of a fixed income investment can decline due to market-related factors, including rising interest or inflation rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market prices of emerging country sovereign and quasi-sovereign debt investments can decline due to uncertainty about their credit quality and the reliability of their payment streams.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size, or legal restrictions increase the risk that a Fund or an underlying fund is limited or prevented from selling particular securities or closing derivative positions at desirable prices.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, leveraging risk, commodities risk and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant index or underlying securities. A Fund typically creates short investment exposure by selling securities short or taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. Specifically, the net asset value of a Fund’s shares will be adversely affected if the equities or other assets that are the subject of a Fund’s short exposures appreciate in value. The risk of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• MANAGEMENT AND OPERATIONAL RISK. A Fund runs the risk that GMO’s investment techniques will fail to produce intended results. For many funds, GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. A Fund also runs the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s collateral or otherwise honor its obligations.

• MARKET RISK— ASSET BACKED SECURITIES. The market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including investor uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure and creditworthiness of any credit-support provider), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. The liquidity of asset-backed securities (particularly below investment grade asset-backed securities) may change over time. During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, for asset-backed securities whose underlying assets consist of loans, sales contracts, receivables and other obligations.

• FOCUSED INVESTMENT RISK. Investments focused in countries, regions, asset classes, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

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• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. securities markets are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, non-U.S. securities issuers often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund is subject to taxation by countries other than the United States, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, the Fund needs a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of a Fund’s investments. The risks above (such as substantial price fluctuations and market instability, illiquidity and lack of regulation) and other risks (e.g. nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

• LEVERAGING RISK. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, a Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by a Fund and the time the Fund liquidates assets to meet that request.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) often disrupt securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds’ investments.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by that shareholder group will require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• FUTURES CONTRACTS RISK. The loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of the Fund’s net asset value. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that contract. When a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are subject to the hedge. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, including the risk that those underlying funds will not perform as expected.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the value of a Fund’s shares to decline or fluctuate significantly.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.

• MARKET RISK—EQUITIES. The market price of an equity in a Fund’s portfolio may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, the Fund runs the risk that the market price of the equity will

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not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations and interest rates than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• NON-DIVERSIFIED FUNDS. High Yield Fund and Multi-Sector Fixed Income Fund are non-diversified investment companies under the 1940 Act and therefore a decline in the market price of a particular security held by the Funds may affect the Funds’ performance more than if the Funds were a diversified investment company.

4. Derivative financial instruments

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps, options, or other derivatives on an index, an ETF, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer or may use a bond futures contract to short the bond market of a particular country. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, ETFs, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO may 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 versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a 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.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, a Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s (other than U.S. Treasury Fund) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.

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For Funds that held derivatives during the period ended August 31, 2023, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Asset Allocation Bond Fund	Emerging Country Debt Fund	High Yield  Fund	Multi-Sector Fixed Income  Fund	Opportunistic  Income Fund
Bond forward contracts
Substitute for direct investment in securities		X
Forward currency contracts
Adjust currency exchange rate risk		X	X	X	X
Adjust exposure to foreign currencies	X	X		X
Futures contracts
Adjust interest rate exposure	X		X	X	X
Maintain the diversity and liquidity of the portfolio			X	X	X
Options (Purchased)
Achieve exposure to a reference entity’s credit					X
Adjust exposure to foreign currencies				X
Provide a measure of protection against default loss					X
Options (Written)
Achieve exposure to a reference entity’s credit			X		X
Provide a measure of protection against default loss					X
Adjust exposure to foreign currencies				X
Options (Credit linked)
Achieve exposure to a reference entity’s credit		X
Swap contracts
Achieve exposure to a reference entity’s credit		X	X		X
Adjust exposure to certain markets		X			X
Adjust interest rate exposure		X		X
Adjust portfolio beta		X
Generate long risk exposure to an index			X
Provide a measure of protection against default loss		X	X		X
Provide exposure to the Fund’s benchmark			X	X

Bond forward contracts

The Funds may enter into bond forward contracts. A bond forward may be a contractual agreement between the Fund and another party to cash settle the difference between the final price of an underlying asset and the forward price, calculated at inception of the contract. In a bond forward transaction, no cash premium is paid when the parties enter into the bond forward. If the transaction is collateralized, an exchange of margin collateral will take place according to an agreed-upon schedule. Otherwise, no asset of any kind changes hands until the bond forward matures (typically in 30 days) or is rolled over for another agreed upon period. Generally, the value of the bond forward will change based on changes in the value of the underlying asset. Bond forwards are subject to market risk (the risk that the market value of the underlying bond may change), non-correlation risk (the risk that the market value of the bond forward might move independently of the market value of the underlying bond) and counterparty credit risk (the risk that a counterparty will be unable to meet its obligation under the contract). If there is no cash exchanged at the time the Fund enters into the bond forward, counterparty risk may be limited to the loss of any marked-to market profit on the contract and any delays or limitations on the Fund’s ability to sell or otherwise use the investments posted as collateral for the bond forward. Bond forward contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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Forward currency contracts

The Funds (except U.S. Treasury 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 price 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 each 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 settled.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market 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 collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds 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 at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a 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 (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). 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 each 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 as recorded in the Statements of Assets and Liabilities. 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 Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put 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. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a 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. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, 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. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e. sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that 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, based on a formula price. When a 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, a 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 a 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. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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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 in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract 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 contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

Total return swap contracts 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, basket of securities, or futures contract), 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 contract, 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 periodic 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 contracts 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 on a reference security, 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 contracts 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.

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Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

Variance swap contracts 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.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a 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 contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

****

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure.

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2023 and the Statements of Operations for the period ended August 31, 2023^:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

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	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Asset Allocation Bond Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	115,218		$	—		$	115,218
Unrealized Appreciation on Futures Contracts¤		—			—			430,628			430,628
Total	$	—		$	115,218		$	430,628		$	545,846
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	(853,119	)	$	(853,119	)
Forward Currency Contracts		—			89,156			—			89,156
Total	$	—		$	89,156		$	(853,119	)	$	(763,963	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	445,777		$	445,777
Forward Currency Contracts		—			107,528			—			107,528
Total	$	—		$	107,528		$	445,777		$	553,305
Emerging Country Debt Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	4,043,625		$	—		$	4,043,625
Options, at value		279,300			—			—			279,300
Swap Contracts, at value¤		12,810,434			—			1,285,840			14,096,274
Total	$	13,089,734		$	4,043,625		$	1,285,840		$	18,419,199
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(81,847	)	$	—		$	(81,847	)
Swap Contracts, at value¤		(1,821,072	)		—			(1,916,226	)		(3,737,298	)
Total	$	(1,821,072	)	$	(81,847	)	$	(1,916,226	)	$	(3,819,145	)
Net Realized Gain (Loss) on
Bond forward contracts	$	—		$	—		$	4,269,578		$	4,269,578
Options		(251,703	)		—			—			(251,703	)
Swap Contracts		(2,588,512	)		—			17,253,488			14,664,976
Forward Currency Contracts		—			(6,073,034	)		—			(6,073,034	)
Total	$	(2,840,215	)	$	(6,073,034	)	$	21,523,066		$	12,609,817
Change in Net Appreciation (Depreciation) on
Bond forward contracts	$	—		$	—		$	861,107		$	861,107
Options		229,328			—			—			229,328
Swap Contracts		(6,127,196	)		—			(9,096,074	)		(15,223,270	)
Forward Currency Contracts		—			1,744,541			—			1,744,541
Total	$	(5,897,868	)	$	1,744,541		$	(8,234,967	)	$	(12,388,294	)

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August 31, 2023 (Unaudited)

	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
High Yield Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	1,496,118		$	—		$	1,496,118
Unrealized Appreciation on Futures Contracts¤		—			—			197,336			197,336
Swap Contracts, at value¤		840,916			—			2,094,723			2,935,639
Total	$	840,916		$	1,496,118		$	2,292,059		$	4,629,093
Liability Derivatives
Unrealized Depreciation on Futures Contracts¤	$	—		$	—		$	(9,978	)	$	(9,978	)
Written Options, at value		(128,559	)		—			—			(128,559	)
Total	$	(128,559	)	$	—		$	(9,978	)	$	(138,537	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	20,336		$	20,336
Written Options		130,852			—			—			130,852
Swap Contracts		1,293,695			—			4,133,935			5,427,630
Forward Currency Contracts		—			2,879,614			—			2,879,614
Total	$	1,424,547		$	2,879,614		$	4,154,271		$	8,458,432
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	189,127		$	189,127
Written Options		(382,733	)		—			—			(382,733	)
Swap Contracts		284,134			—			(1,484,066	)		(1,199,932	)
Forward Currency Contracts		—			1,496,118			—			1,496,118
Total	$	(98,599	)	$	1,496,118		$	(1,294,939	)	$	102,580
Multi-Sector Fixed Income Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	614,252		$	—		$	614,252
Unrealized Appreciation on Futures Contracts¤		—			—			429,184			429,184
Swap Contracts, at value¤		—			—			1,112,462			1,112,462
Total	$	—		$	614,252		$	1,541,646		$	2,155,898
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(865,558	)	$	—		$	(865,558	)
Swap Contracts, at value¤		—			—			(1,002,542	)		(1,002,542	)
Total	$	—		$	(865,558	)	$	(1,002,542	)	$	(1,868,100	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	(1,946,494	)	$	(1,946,494	)
Swap Contracts		—			—			72,466			72,466
Forward Currency Contracts		—			1,906,746			—			1,906,746
Total	$	—		$	1,906,746		$	(1,874,028	)	$	32,718
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	460,686		$	460,686
Swap Contracts		—			—			195,369			195,369
Forward Currency Contracts		—			(666,132	)		—			(666,132	)
Total	$	—		$	(666,132	)	$	656,055		$	(10,077	)

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August 31, 2023 (Unaudited)

	Credit Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Opportunistic Income Fund
Asset Derivatives
Investments, at value (purchased options)	$	149,051		$	—		$	—		$	149,051
Unrealized Appreciation on Forward Currency Contracts		—			134,466			—			134,466
Unrealized Appreciation on Futures Contracts¤		—			—			1,377,737			1,377,737
Swap Contracts, at value¤		19,481,902			—			—			19,481,902
Total	$	19,630,953		$	134,466		$	1,377,737		$	21,143,156
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	(858	)	$	—		$	(858	)
Unrealized Depreciation on Futures Contracts¤		—			—			(252,635	)		(252,635	)
Written Options, at value		(56,674	)		—			—			(56,674	)
Swap Contracts, at value¤		(4,269,532	)		—			(128,453	)		(4,397,985	)
Total	$	(4,326,206	)	$	(858	)	$	(381,088	)	$	(4,708,152	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	757,337		$	—		$	—		$	757,337
Futures Contracts		—			—			(23,154	)		(23,154	)
Written Options		659,174			—			—			659,174
Swap Contracts		1,221,404			—			217,953			1,439,357
Forward Currency Contracts		—			(178,709	)		—			(178,709	)
Total	$	2,637,915		$	(178,709	)	$	194,799		$	2,654,005
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	(229,406	)	$	—		$	—		$	(229,406	)
Futures Contracts		—			—			1,611,427			1,611,427
Written Options		(27,844	)		—			—			(27,844	)
Swap Contracts		(1,408,985	)		—			(219,863	)		(1,628,848	)
Forward Currency Contracts		—			(5,790	)		—			(5,790	)
Total	$	(1,666,235	)	$	(5,790	)	$	1,391,564		$	(280,461	)

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

¤ The table includes cumulative unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

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August 31, 2023 (Unaudited)

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at August 31, 2023, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2023:

Asset Allocation Bond Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements					Collateral Received			Derivative Assets/Liabilities Available for Offset					Net Amount   of Derivative   Assets
Citibank N.A.			$	115,218			$	—			$	—			$	115,218
Total			$	115,218			$	—			$	—			$	115,218

Emerging Country Debt Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements					Collateral Received				Derivative Assets/Liabilities Available for Offset				Net Amount   of Derivative   Assets
Barclays Bank PLC			$	372,635			$	(369,512	)		$	(3,123	)		$	—	*
Citibank N.A.				1,268,804				(710,000	)			(445,827	)			112,977
Deutsche Bank AG				1,309,324				—				(1,252,318	)			57,006
Goldman Sachs International				858,048				(829,231	)			—				28,817
JPMorgan Chase Bank, N.A.				2,431,522				(2,098,573	)			(32,204	)			300,745
Morgan Stanley & Co. International PLC				3,775,712				(1,467,000	)			(58,227	)			2,250,485
Morgan Stanley Capital Services LLC				2,970,919				(2,660,000	)			(111,220	)			199,699
Total			$	12,986,964			$	(8,134,316	)		$	(1,902,919	)		$	2,949,729

Counterparty	Gross Derivative Liabilities Subject to Master Agreement						Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount   of Derivative   Liabilities
Barclays Bank PLC			$	(3,123	)			$	—		$	3,123		$	—
Citibank N.A.				(445,827	)				—			445,827			—
Deutsche Bank AG				(1,252,318	)				—			1,252,318			—
JPMorgan Chase Bank, N.A.				(32,204	)				—			32,204			—
Morgan Stanley & Co. International PLC				(58,227	)				—			58,227			—
Morgan Stanley Capital Services LLC				(111,220	)				—			111,220			—
Total			$	(1,902,919	)			$	—		$	1,902,919		$	—

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August 31, 2023 (Unaudited)

High Yield Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements					Collateral Received				Derivative Assets/Liabilities Available for Offset						Net Amount of Derivative Assets
Barclays Bank PLC			$	56,594			$	(56,594	)			$	—				$	—	*
Brown Brothers Harriman & Co.				1,496,118				—					—					1,496,118
JPMorgan Chase Bank, N.A.				1,293,664				(679,420	)				(128,559	)				485,685
Morgan Stanley & Co. International PLC				744,465				(321,000	)				—					423,465
Total			$	3,590,841			$	(1,057,014	)			$	(128,559	)			$	2,405,268

Counterparty	Gross Derivative Liabilities Subject to Master Agreement						Collateral Pledged			Derivative Assets/Liabilities Available for Offset					Net Amount of Derivative Liabilities
JPMorgan Chase Bank, N.A.			$	(128,559	)			$	—			$	128,559			$	—
Total			$	(128,559	)			$	—			$	128,559			$	—

Multi-Sector Fixed Income Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements						Collateral Received				Derivative Assets/Liabilities Available for Offset						Net Amount of Derivative Assets
Barclays Bank PLC			$	85,797				$	—				$	(85,797	)			$	—
Brown Brothers Harriman & Co.				353,817					—					—					353,817
Citibank N.A.				46,699					—					(10,125	)				36,574
Deutsche Bank AG				12,172					—					(3,795	)				8,377
Goldman Sachs International				14,039					(12,461	)				(1,578	)				—	*
JPMorgan Chase Bank, N.A.				5,007					—					(5,007	)				—
Morgan Stanley & Co. International PLC				69,788					—					(69,788	)				—
State Street Bank and Trust Company				26,933					—					(20,018	)				6,915
Total			$	614,252				$	(12,461	)			$	(196,108	)			$	405,683
Counterparty	Gross Derivative Liabilities Subject to Master Agreement						Collateral Pledged				Derivative Assets/ Liabilities Available for Offset						Net Amount of Derivative Liabilities
Bank of America, N.A.			$	(6,861	)			$	—				$	—				$	(6,861	)
Barclays Bank PLC				(388,871	)				303,074					85,797					—	*
Citibank N.A.				(10,125	)				—					10,125					—
Deutsche Bank AG				(3,795	)				—					3,795					—
Goldman Sachs International				(1,578	)				—					1,578					—
JPMorgan Chase Bank, N.A.				(182,412	)				—					5,007					(177,405	)
Morgan Stanley & Co. International PLC				(251,898	)				182,110					69,788					—	*
State Street Bank and Trust Company				(20,018	)				—					20,018					—
Total			$	(865,558	)			$	485,184				$	196,108				$	(184,266	)

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August 31, 2023 (Unaudited)

Opportunistic Income Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements					Collateral Received				Derivative Assets/Liabilities Available for Offset				Net Amount   of Derivative   Assets
Bank of America, N.A.			$	8,407			$	(8,407	)		$	—			$	—	*
Citibank N.A.				1,139,656				(929,296	)			(210,360	)			—	*
Citigroup Global Markets Inc.				4,080,976				(3,580,000	)			(426,822	)			74,154
Deutsche Bank AG				284,445				(284,445	)			—				—	*
Goldman Sachs International				5,931,431				(5,326,726	)			(604,705	)			—	*
JPMorgan Chase Bank, N.A.				5,531,577				(5,403,230	)			(128,347	)			—	*
Morgan Stanley & Co. International PLC				1,203,473				(1,197,916	)			(5,557	)			—	*
Morgan Stanley Capital Services LLC				1,585,454				(1,356,869	)			(228,585	)			—	*
Total			$	19,765,419			$	(18,086,889	)		$	(1,604,376	)		$	74,154

Counterparty	Gross Derivative Liabilities Subject to Master Agreement						Collateral Pledged			Derivative Assets/Liabilities Available for Offset			Net Amount   of Derivative   Liabilities
Citibank N.A.			$	(210,360	)			$	—		$	210,360		$	—
Citigroup Global Markets Inc.				(426,822	)				—			426,822			—
Goldman Sachs International				(604,705	)				—			604,705			—
JPMorgan Chase Bank, N.A.				(128,347	)				—			128,347			—
Morgan Stanley & Co. International PLC				(5,557	)				—			5,557			—
Morgan Stanley Capital Services LLC				(228,585	)				—			228,585			—
Total			$	(1,604,376	)			$	—		$	1,604,376		$	—

* The actual collateral received and/or pledged is more than the amount shown.

The average derivative activity of notional amounts (bond forward contracts, forward currency contracts, futures contracts and swap contracts) and principal amounts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2023:

Fund Name	Bond Forward Contracts ($)		Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Swap Contracts ($)
Asset Allocation Bond Fund		—		1,939,199		34,070,913		—		—
Emerging Country Debt Fund		17,944,625		432,826,086		—		130,343,000		934,265,509
High Yield Fund		—		55,636,207		27,920,630		24,058,333		143,945,404
Multi-Sector Fixed Income Fund		—		90,595,060		46,285,116		4,360,000		220,452,344
Opportunistic Income Fund		—		8,713,077		797,877,492		312,515,138		551,123,008

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August 31, 2023 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Asset Allocation  Bond Fund	Emerging Country  Debt Fund	High Yield  Fund	Multi-Sector   Fixed Income  Fund	Opportunistic  Income Fund	U.S. Treasury  Fund
Management Fee	0.25%	0.35%	0.35%	0.25%	0.40%	0.08%(a)

^(a)  From April 9, 2021 to May 1, 2023 and prior to June 30, 2019, GMO voluntarily waived the Fund’s entire management fee.

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class III	Class IV	Class V	Class VI	Class R6	Class I
Asset Allocation Bond Fund	0.15%*			0.055%
Emerging Country Debt Fund	0.15%	0.10%		0.055%
High Yield Fund	0.15%*	0.10%*	0.085%*	0.055%	0.15%*	0.15%
Multi-Sector Fixed Income Fund	0.15%	0.10%			0.15%*	0.15%*
Opportunistic Income Fund	0.15%			0.055%	0.15%	0.15%

* Class is offered but has no shareholders as of August 31, 2023.

For Asset Allocation Bond Fund, Multi-Sector Fixed Income Fund and Opportunistic Income Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceeds 0.02% of the Fund’s average daily net assets. Any such reimbursements are paid to a Fund concurrently with the Fund’s payment of management fees to GMO.

“Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

With respect to High Yield Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.55% for Class III shares; 0.50% for Class IV shares; 0.485% for Class V shares; 0.455% for Class VI shares; 0.55% for Class R6 shares; and 0.55% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (“Excluded

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits in effect at the time GMO seeks to recover expenses.

For the period ended August 31, 2023, GMO did not recoup any previously recorded waivers and/or reimbursements.

On August 31, 2023, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 29, 2024	Expiring the year ending February 28, 2025	Expiring the year ending February 28, 2026	Expiring the year ending February 28, 2027
High Yield Fund, Class VI	—	—	$30,232	$43,944
High Yield Fund, Class I	—	—	—	$     1

GMO has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust. Management fees and shareholder service fees will not be waived below zero.

For Opportunistic Income Fund and Multi-Setor Fixed Income Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares to the extent that amounts paid by the Fund out of net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.10% of the Fund’s average daily net assets attributable to Class I shares.

For High Yield Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares to the extent amounts paid out of net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.04% of the Fund’s average daily net assets attributable to Class I shares.

These contractual waivers and reimbursements will continue through at least June 30, 2024 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

Sub-Transfer Agent/Recordkeeping Payments

Class III, IV, V, VI, and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class III, IV, V, VI, or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

101

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August 31, 2023 (Unaudited)

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2023 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and  their legal counsel ($)
Asset Allocation Bond Fund		575
Emerging Country Debt Fund		79,071
High Yield Fund		6,217
Multi-Sector Fixed Income Fund		3,134
Opportunistic Income Fund		32,048
U.S. Treasury Fund		11,024

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2023, the Funds below had annualized indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expense
Multi-Sector Fixed Income Fund		0.117	%

The Funds are permitted to purchase or sell securities from or to other GMO Trust funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another GMO Trust fund complies with rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2023, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the period ended August 31, 2023 are noted in the table below:

	Purchases ($)	Purchases ($)	Sales ($)	Sales ($)
Fund Name	U.S. Government  Securities	Investments (Non-U.S.  Government Securities)	U.S. Government  Securities	Investments (Non-U.S.  Government Securities)
Asset Allocation Bond Fund	—	—	—	—
Emerging Country Debt Fund	—	265,067,913	13,214,141	435,819,297
High Yield Fund	11,106,894	28,753,942	28,780,494	47,247,088
Multi-Sector Fixed Income Fund	176,481,086	42,406,642	175,506,586	12,198,189
Opportunistic Income Fund	459,076,233	218,992,089	367,712,723	179,351,787
U.S. Treasury Fund	—	—	—	—

7. Guarantees

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

102

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

8. Principal shareholders as of August 31, 2023

Fund Name	Number of shareholders that held more than 10% of the outstanding shares of the Fund	Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund
Asset Allocation Bond Fund	1‡	99.82%
Emerging Country Debt Fund	1	10.05%
High Yield Fund	3#	95.42%
Multi-Sector Fixed Income Fund	4#	83.52%
Opportunistic Income Fund	4‡	63.70%
U.S. Treasury Fund	3#	56.02%

‡ One of the shareholders is another fund of the Trust.

# Two of the shareholders are other funds of the Trust.

9. Share transactions

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Asset Allocation Bond Fund
Class III:(a)
Shares issued to shareholders in reinvestment of distributions		20		$	408			—		$	—
Shares repurchased		(957	)		(18,844	)		—			—
Net increase (decrease)		(937	)	$	(18,436	)		—		$	—
Class VI:
Shares sold		962		$	18,844			155,762		$	3,316,859
Shares issued to shareholders in reinvestment of distributions		21,978			437,795			7,321			157,978
Shares repurchased		(22,335	)		(482,158	)		(790,590	)		(17,266,124	)
Net increase (decrease)		605		$	(25,519	)		(627,507	)	$	(13,791,287	)
Emerging Country Debt Fund
Class III:
Shares sold		324,427		$	5,758,000			27,396,992		$	489,332,221
Shares issued to shareholders in reinvestment of distributions		548,783			9,943,950			5,278,003			92,976,565
Shares repurchased		(1,303,377	)		(23,794,413	)		(7,788,631	)		(149,032,722	)
Purchase premiums		—			19,080			—			197,867
Redemption fees		—			1,225,795			—			811,031
Net increase (decrease)		(430,167	)	$	(6,847,588	)		24,886,364		$	434,284,962

103

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Emerging Country Debt Fund (continued)
Class IV:
Shares sold		377,156		$	7,000,000			18,090,621		$	327,661,582
Shares issued to shareholders in reinvestment of distributions		408,730			7,393,930			7,663,996			134,759,630
Shares repurchased		(12,762,664	)		(231,113,414	)		(31,422,672	)		(567,257,280	)
Purchase premiums		—			17,928			—			329,215
Redemption fees		—			1,013,746			—			1,390,018
Net increase (decrease)		(11,976,778	)	$	(215,687,810	)		(5,668,055	)	$	(103,116,835	)
Class VI:
Shares sold		59,475		$	1,052,186			7,804,106		$	150,598,679
Shares issued to shareholders in reinvestment of distributions		155,112			2,804,425			5,224,631			92,257,553
Shares repurchased		(5,230,147	)		(93,621,000	)		(49,730,237	)(b)		(871,796,301	)(b)
Purchase premiums		—			4,992			—			145,763
Redemption fees		—			313,762			—			773,314
Net increase (decrease)		(5,015,560	)	$	(89,445,635	)		(36,701,500	)	$	(628,020,992	)
High Yield Fund
Class VI:
Shares sold		295,577		$	5,030,460			15,284,882		$	267,516,111
Shares issued to shareholders in reinvestment of distributions		—			—			1,134,916			18,886,074
Shares repurchased		(5,685,914	)		(96,741,154	)		(5,586,053	)		(98,691,785	)
Net increase (decrease)		(5,390,337	)	$	(91,710,694	)		10,833,745		$	187,710,400
Class I:(c)
Shares sold		455		$	7,800			—		$	—
Shares repurchased		(88	)		(1,499	)		—			—
Net increase (decrease)		367		$	6,301			—		$	—
Multi-Sector Fixed Income Fund
Class III:
Shares sold		245,127		$	4,150,000			416,640		$	6,870,403
Shares issued to shareholders in reinvestment of distributions		—			—			8,883			149,319
Shares repurchased		(128	)		(2,176	)		(280	)		(4,800	)
Net increase (decrease)		244,999		$	4,147,824			425,243		$	7,014,922
Class IV:
Shares sold		483,530		$	8,200,001			1,483,036		$	26,065,009
Shares issued to shareholders in reinvestment of distributions		—			—			92,314			1,559,194
Shares repurchased		(24,675	)		(421,632	)		(2,350,022	)		(40,932,500	)
Net increase (decrease)		458,855		$	7,778,369			(774,672	)	$	(13,308,297	)

104

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Opportunistic Income Fund
Class III:
Shares sold		894,022		$	21,800,000			1,794,231		$	43,302,785
Shares issued to shareholders in reinvestment of distributions		13,415			324,922			14,595			353,815
Shares repurchased		(193,616	)		(4,708,739	)		(293,945	)		(7,248,308	)
Net increase (decrease)		713,821		$	17,416,183			1,514,881		$	36,408,292
Class VI:
Shares sold		561,749		$	13,684,404			5,356,095		$	131,084,685
Shares issued to shareholders in reinvestment of distributions		100,747			2,440,089			621,773			15,001,411
Shares repurchased		(2,520,939	)		(61,280,160	)		(4,501,883	)		(110,825,799	)
Net increase (decrease)		(1,858,443	)	$	(45,155,667	)		1,475,985		$	35,260,297
Class R6:
Shares sold		435,736		$	10,595,146			3,049,542		$	76,297,993
Shares issued to shareholders in reinvestment of distributions		29,827			719,737			171,371			4,129,997
Shares repurchased		(622,263	)		(15,130,243	)		(1,468,340	)		(35,958,528	)
Net increase (decrease)		(156,700	)	$	(3,815,360	)		1,752,573		$	44,469,462
Class I:
Shares sold		9,501,866		$	230,824,023			8,137,722		$	196,826,521
Shares issued to shareholders in reinvestment of distributions		226,748			5,480,503			628,046			15,108,991
Shares repurchased		(1,776,879	)		(43,220,930	)		(5,221,139	)		(128,235,546	)
Net increase (decrease)		7,951,735		$	193,083,596			3,544,629		$	83,699,966
U.S. Treasury Fund
Core Class:
Shares sold		413,164,978		$	2,064,346,281			498,976,199		$	2,489,337,437
Shares issued to shareholders in reinvestment of distributions		523,231			2,615,270			426,512			2,126,219
Shares repurchased		(407,482,227	)		(2,035,721,587	)		(468,958,957	)		(2,339,411,314	)
Net increase (decrease)		6,205,982		$	31,239,964			30,443,754		$	152,052,342

^(a)  Class III liquidated on August 28, 2023.

^(b)  29,602,866 shares and $515,977,959 were redeemed in-kind by an affiliate.

^(c)  The period under the heading “Six Months Ended August 31, 2023” represents the period from April 13, 2023 (commencement of operations) through August 31, 2023.

105

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

10. Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 2023 is set forth below:

Affiliate	Value, beginning of period			Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Emerging Country Debt Fund
Bona Fide Investment Holdings II LLC	$	—		$	9,300,000	$	—	$	—	$	—	$	—		$	(15,913	)	$	9,284,087
Bona Fide Investments Feeder LLC		—	#		—		3,756,796		—		—		468,646			1,141,470			4,225,165
GMO U.S. Treasury Fund		67,529,288			—		40,000,000		912,341		—		(137,267	)		192,436			27,584,457
Totals	$	67,529,288		$	9,300,000	$	43,756,796	$	912,341	$	—	$	331,379		$	1,317,993		$	41,093,709
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class VI	$	4,374,928		$	—	$	—	$	41,346	$	—	$	—		$	218,004		$	4,592,932
GMO Opportunistic Income Fund, Class VI		23,494,304			—		—		262,435		—		—			419,192			23,913,496
Totals	$	27,869,232		$	—	$	—	$	303,781	$	—	$	—		$	637,196		$	28,506,428
Opportunistic Income Fund
GMO U.S. Treasury Fund	$	10,894,378		$	—	$	—	$	278,624	$	—	$	—		$	21,833		$	10,916,211

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2023 through August 31, 2023. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2024.

# Security was not an affiliate at the beginning of the period.

106

GMO Trust Funds

 

 

Board Review of Investment Management Agreements

August 31, 2023 (Unaudited)

GMO Asset Allocation Bond Fund

Approval of renewal of management agreement for GMO Asset Allocation Bond Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that pay management fees, GMO offsets against the fees it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those underlying GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

107

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Emerging Country Debt Fund

Approval of renewal of management agreement for GMO Emerging Country Debt Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service and to the fees shown on GMO’s fee schedule for its other pooled investment vehicles and separately managed account with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to those other vehicles and that other account, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing those other vehicles and that other account. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

108

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that pay management fees, GMO offsets against the fees it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those underlying GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO High Yield Fund

Approval of renewal of management agreement for GMO High Yield Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

109

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Multi-Sector Fixed Income Fund

Approval of renewal of management agreement for GMO Multi-Sector Fixed Income Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

110

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that pay management fees, GMO offsets against the fees it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those underlying GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Opportunistic Income Fund

Approval of renewal of management agreement for GMO Opportunistic Income Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting

111

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO U.S. Treasury Fund

Approval of renewal of management agreement for GMO U.S. Treasury Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”)

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

112

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management agreement. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

113

GMO Trust Funds

 

 

Liquidity Risk Management Program

August 31, 2023 (Unaudited)

Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:

• Monitoring of factors material to liquidity risk for each Fund;

• Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid;

• Oversight of third parties providing services in support of the Program;

• Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments;

• A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments;

• Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness.

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 15, 2023 addressing the Program’s operation, adequacy and effectiveness.

114

GMO Trust Funds

 

 

Fund Expenses

August 31, 2023 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2023.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including purchase premium and redemption fees, if applicable; and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2023 through August 31, 2023.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premium and redemption fees. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value March 1, 2023	Ending Account Value August 31, 2023	Expenses Paid During the Period*				Beginning Account Value March 1, 2023		Ending Account Value August 31, 2023		Expenses Paid During the Period*				Annualized Expense Ratio
Asset Allocation Bond Fund
Class VI	$1,000.00	$1,003.20		$1.66				$1,000.00		$1,023.48		$1.68				0.33%
Emerging Country Debt Fund
Class III	$1,000.00	$1,058.70		$2.90				$1,000.00		$1,022.32		$2.85				0.56%
Class IV	$1,000.00	$1,059.40		$2.64				$1,000.00		$1,022.57		$2.59				0.51%
Class VI	$1,000.00	$1,059.50		$2.38				$1,000.00		$1,022.82		$2.34				0.46%
High Yield Fund
Class VI	$1,000.00	$1,044.20		$2.36				$1,000.00		$1,022.82		$2.34				0.46%
Class I(a)	$1,000.00	$1,018.10		$2.29				$1,000.00		$1,022.17		$3.00				0.59%
Multi-Sector Fixed Income Fund
Class III	$1,000.00	$1,015.70		$2.18				$1,000.00		$1,022.98		$2.19				0.43%
Class IV	$1,000.00	$1,016.30		$1.93				$1,000.00		$1,023.23		$1.93				0.38%
Opportunistic Income Fund
Class III	$1,000.00	$1,028.60		$2.91				$1,000.00		$1,022.27		$2.90				0.57%
Class VI	$1,000.00	$1,029.20		$2.45				$1,000.00		$1,022.72		$2.44				0.48%
Class R6	$1,000.00	$1,028.60		$2.91				$1,000.00		$1,022.27		$2.90				0.57%
Class I	$1,000.00	$1,027.80		$3.36				$1,000.00		$1,021.82		$3.35				0.66%

115

GMO Trust Funds

 

 

Fund Expenses — (Continued)

August 31, 2023 (Unaudited)

Actual

Hypothetical

Beginning Account Value March 1, 2023

Ending Account Value August 31, 2023

Expenses Paid During the Period*

Beginning Account Value March 1, 2023

Ending Account Value August 31, 2023

Expenses Paid During the Period*

Annualized Expense Ratio

U.S. Treasury Fund

Core Class

$1,000.00

$1,027.90

$0.31

$1,000.00

$1,024.84

$0.31

0.06%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2023, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

^(a)  For the period April 13, 2023 (commencement of operations) through August 31, 2023, expenses were calculated using the class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2023, multiplied by the average account value over the period, multiplied by 140 days in the period, divided by 366 days in the year.

116

SR-083123-FI

GMO Trust

Semiannual Report

August 31, 2023

Alternative Allocation Fund

Benchmark-Free Allocation Fund

Benchmark-Free Fund

Global Asset Allocation Fund

Global Developed Equity Allocation Fund

Global Equity Allocation Fund

Implementation Fund

International Developed Equity Allocation Fund

International Equity Allocation Fund

SGM Major Markets Fund

Strategic Opportunities Allocation Fund

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT which is available on the Commission’s website at www.sec.gov. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, market risk-asset backed securities, credit risk, non-U.S. investment risk, small company risk and derivatives risk.

The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.

TABLE OF CONTENTS

Alternative Allocation Fund
Investment Concentration Summary	1
Schedule of Investments	2
Benchmark-Free Allocation Fund
Investment Concentration Summary	18
Schedule of Investments	19
Benchmark-Free Fund
Investment Concentration Summary	20
Schedule of Investments	21
Global Asset Allocation Fund
Investment Concentration Summary	42
Schedule of Investments	43
Global Developed Equity Allocation Fund
Investment Concentration Summary	44
Schedule of Investments	45
Global Equity Allocation Fund
Investment Concentration Summary	46
Schedule of Investments	47
Implementation Fund
Investment Concentration Summary	48
Schedule of Investments	49
International Developed Equity Allocation Fund
Investment Concentration Summary	77
Schedule of Investments	78
International Equity Allocation Fund
Investment Concentration Summary	79
Schedule of Investments	80
SGM Major Markets Fund
Investment Concentration Summary	81
Schedule of Investments	82
Strategic Opportunities Allocation Fund
Investment Concentration Summary	85
Schedule of Investments	86
Portfolio, Counterparty and Currency Abbreviations	94
Fund Financial Statements:
Statements of Assets and Liabilities	95
Statements of Operations	101
Statements of Changes in Net Assets	104
Statements of Cash Flow	110
Financial Highlights	111
Notes to Financial Statements	137
Board Review of Investment Management Agreements	188
Liquidity Risk Management Program	201
Fund Expenses	202

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		69.6	%
Debt Obligations		55.2
Short-Term Investments		25.1
Investment Funds		1.2
Preferred Stocks		0.6
Rights/Warrants		0.3
Swap Contracts		0.1
Purchased Options		0.0	^
Forward Currency Contracts		0.0	^
Written Options		(0.3	)
Futures Contracts		(0.6	)
Securities Sold Short		(33.9	)
Other		(17.3	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
Australia		5.7	%
Germany		(1.4	)
Other Developed		(1.7	)‡
Euro Region		(2.1	)§
United States		(2.2	)
Sweden		(4.4	)
		(6.1	)%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		22.1	%
Japan		7.5
United Kingdom		4.5
France		4.1
Germany		2.8
Other Developed		2.6	‡
Sweden		2.6
Other Emerging		1.4	†
Italy		1.2
Israel		1.1
Hong Kong		(1.1	)
Switzerland		(3.7	)
Canada		(3.8	)
		41.3	%

(a) GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of GMO Alternative Allocation Fund. As such, the holdings of GMO Alternative Allocation SPC Ltd. have been included with GMO Alternative Allocation Fund.

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

^ Rounds to 0.0%.

1

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 67.0%
	Australia — 3.8%
4,143	Aurizon Holdings Ltd (a)		9,765
681	BHP Group Ltd (a)		19,578
22,701	BlueScope Steel Ltd (a)		306,907
32,748	Brambles Ltd (a)		317,131
15,970	Fortescue Metals Group Ltd (a)		219,865
47,960	GPT Group (The) (REIT) (a)		129,857
128,580	Mirvac Group (REIT) (a)		200,470
97,427	Newcrest Mining Ltd (a)		1,623,781
732,254	Origin Energy Ltd (a)		4,117,873
71,129	Scentre Group (REIT) (a)		126,080
64,932	Stockland (REIT) (a)		177,339
	Total Australia		7,248,646
	Belgium — 0.4%
8,168	Ageas SA/NV (a)		324,844
592	Sofina SA (a)		133,003
4,348	UCB SA		390,003
	Total Belgium		847,850
	Brazil — 0.1%
7,100	Banco do Brasil SA		67,530
9,628	Petroleo Brasileiro SA Sponsored ADR (a)		135,273
3,000	Telefonica Brasil SA ADR (a)		25,320
	Total Brazil		228,123
	Canada — 2.3%
4,300	Alimentation Couche-Tard Inc (a)		224,865
285,891	Canaccord Genuity Group Inc (a)		1,800,572
2,700	Canadian Tire Corp Ltd – Class A (a)		320,315
900	iA Financial Corp Inc		56,463
3,700	Magna International Inc		217,641
12,100	Manulife Financial Corp (a) (b)		223,608
10,600	Manulife Financial Corp (a) (b)		195,965
3,200	Onex Corp (a)		197,727
9,800	Quebecor Inc – Class B (a)		224,039
176,256	Resolute Forest Products Inc * (c)		352,512
6,700	Teck Resources Ltd – Class B (a) (b)		277,084
1,742	Teck Resources Ltd – Class B (a) (b)		71,979
3,900	West Fraser Timber Co Ltd (a) (b)		294,809
900	West Fraser Timber Co Ltd (a) (b)		68,040
	Total Canada		4,525,619
	China — 0.4%
111,000	Bank of Communications Co Ltd – Class H		63,531
21,500	Beijing Enterprises Holdings Ltd		80,550
22,500	China Conch Venture Holdings Ltd		22,107
266,000	China Construction Bank Corp – Class H		142,324
60,500	China Overseas Land & Investment Ltd		127,539
212,000	China Railway Group Ltd – Class H		112,154
308,000	China Zhongwang Holdings Ltd * (d)		—
146,000	CITIC Ltd		144,890

Shares	Description	Value ($)
	China — continued
48,000	COSCO Shipping Holdings Co Ltd – Class H		49,223
80,000	Dongfeng Motor Group Co Ltd – Class H		29,346
13,000	Kingboard Holdings Ltd		29,500
8,500	Shanghai Pharmaceuticals Holding Co Ltd – Class H		13,975
6,000	Sinopharm Group Co Ltd – Class H		17,412
	Total China		832,551
	Denmark — 0.7%
64	AP Moller – Maersk A/S – Class A (a)		114,373
143	AP Moller – Maersk A/S – Class B (a)		259,597
16,439	Danske Bank A/S		368,995
4,205	Pandora A/S (a)		435,463
268	Rockwool A/S – B Shares (a)		68,399
	Total Denmark		1,246,827
	Finland — 0.3%
93,344	Nokia Oyj (a)		373,289
8,951	Stora Enso Oyj – R Shares (a)		113,835
	Total Finland		487,124
	France — 0.8%
13,281	ArcelorMittal SA		352,805
4,396	BNP Paribas SA (a)		284,279
496	Cie de Saint-Gobain SA (a)		32,266
2,480	Publicis Groupe SA (a)		193,509
5,392	Renault SA		217,563
13,520	Societe Generale SA		383,037
11,885	Vivendi SE (a)		108,247
	Total France		1,571,706
	Germany — 0.3%
468	Bayerische Motoren Werke AG (a)		49,224
1,380	Continental AG		102,366
3,106	Fresenius SE & Co KGaA (a)		99,576
982	Heidelberg Materials AG (a)		78,959
3,425	Mercedes-Benz Group AG (a)		250,624
	Total Germany		580,749
	Hong Kong — 0.0%
6,000	Orient Overseas International Ltd (a)		80,468
	India — 0.5%
98,843	GAIL India Ltd		137,625
5,934	Hindalco Industries Ltd		32,991
12,965	Hindustan Petroleum Corp Ltd *		38,832
34,683	Indian Oil Corp Ltd		37,262
60,215	NTPC Ltd		159,365
163,159	Oil & Natural Gas Corp Ltd		342,593
176,426	Tata Steel Ltd		263,132
	Total India		1,011,800

See accompanying notes to the financial statements. 2

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Israel — 1.7%
340	Check Point Software Technologies Ltd *		45,761
4,074	Teva Pharmaceutical Industries Ltd *		39,631
41,190	Teva Pharmaceutical Industries Ltd
	Sponsored ADR *		402,014
96,525	Tower Semiconductor Ltd * (e)		2,866,792
	Total Israel		3,354,198
	Italy — 0.4%
23,538	Stellantis NV (a)		436,942
788,777	Telecom Italia SPA * (a)		244,703
	Total Italy		681,645
	Japan — 9.9%
10,500	Amano Corp		228,877
13,700	Credit Saison Co Ltd (a)		214,129
16,400	Daiwabo Holdings Co Ltd		332,427
16,400	Denka Co Ltd		309,138
7,300	EXEO Group Inc		155,310
14,800	Fuji Corp		243,970
7,600	FUJIFILM Holdings Corp (a)		449,133
200	Fujitsu Ltd (a)		24,998
19,300	H.U. Group Holdings Inc (a)		349,027
6,300	Haseko Corp		78,220
14,000	Honda Motor Co Ltd (a)		452,429
851	Honda Motor Co Ltd Sponsored ADR (a)		27,513
32,900	Inpex Corp (a)		460,726
11,800	ITOCHU Corp (a)		442,846
92,604	JSR Corp (a)		2,584,673
13,700	Kanematsu Corp		192,840
9,400	Kawasaki Kisen Kaisha Ltd (a)		315,005
21,500	Kirin Holdings Co Ltd (a)		301,844
21,500	K’s Holdings Corp (a)		198,188
10,100	Kyudenko Corp		310,784
8,500	Maruichi Steel Tube Ltd		220,890
2,800	Mitsubishi Corp (a)		138,110
30,600	Mitsubishi Electric Corp (a)		398,659
14,000	Mitsui OSK Lines Ltd (a)		387,673
6,100	Morinaga & Co Ltd (a)		221,689
5,300	MS&AD Insurance Group Holdings Inc (a)		190,332
9,400	NEC Corp (a)		495,482
12,900	NH Foods Ltd (a)		400,206
15,200	Nippon Yusen KK (a)		404,387
27,200	Obayashi Corp (a)		246,343
36,500	Penta-Ocean Construction Co Ltd		216,931
800	Renesas Electronics Corp * (a)		13,328
7,300	Sankyu Inc (a)		254,519
3,300	Secom Co Ltd		230,960
20,000	Sekisui House Ltd (a)		407,588
16,700	Shimizu Corp (a)		112,357
3,600	Shionogi & Co Ltd		158,109
16,700	Stanley Electric Co Ltd		292,966
9,500	Subaru Corp (a)		182,622
29,500	SUMCO Corp (a)		393,994

Shares	Description	Value ($)
	Japan — continued
20,600	Sumitomo Corp (a)		423,668
8,200	Sumitomo Mitsui Financial Group Inc (a)		374,875
7,200	Sumitomo Mitsui Trust Holdings Inc		269,703
31,600	T&D Holdings Inc (a)		500,842
5,800	Taisei Corp (a)		195,205
3,900	TDK Corp (a)		141,949
18,900	Teijin Ltd		191,911
17,200	THK Co Ltd		314,110
36,000	Tokai Carbon Co Ltd		284,337
5,900	Tokyo Seimitsu Co Ltd (a)		324,937
9,000	Toppan Inc (a)		217,403
66,988	Toshiba Corp (a)		2,117,024
12,700	Tosoh Corp (a)		164,335
3,100	Toyota Industries Corp (a)		218,886
800	Toyota Tsusho Corp (a)		47,623
6,200	Yamaha Motor Co Ltd		160,433
6,500	Zenkoku Hosho Co Ltd (a)		225,199
	Total Japan		19,211,662
	Netherlands — 1.1%
68,269	Aegon NV (a)		349,878
1,494	AerCap Holdings NV *		91,911
3,938	EXOR NV (a)		348,501
4,045	ING Groep NV (a)		57,314
7,699	JDE Peet’s NV (a)		214,297
8,155	Koninklijke Ahold Delhaize NV (a)		266,750
19,392	Koninklijke Philips NV * (a)		435,769
7,850	NN Group NV (a)		302,190
	Total Netherlands		2,066,610
	New Zealand — 0.0%
18,129	Meridian Energy Ltd (a)		57,991
	Norway — 0.1%
8,511	Equinor ASA (a)		261,383
	Poland — 0.1%
13,780	ORLEN SA		210,377
	Portugal — 0.1%
28,250	EDP – Energias de Portugal SA		128,710
	South Africa — 0.1%
10,709	Bidvest Group Ltd (The)		161,573
	South Korea — 0.7%
1,311	E-MART Inc		73,109
1,471	GS Holdings Corp		41,751
120	Hyundai Mobis Co Ltd		20,950
305	Hyundai Motor Co		43,580
5,957	Kia Corp		361,078
1,661	LG Corp		103,046
2,076	LG Electronics Inc		154,499

3 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	South Korea — continued
3,561	POSCO Holdings Inc Sponsored ADR (a)		390,855
4,827	SK Square Co Ltd *		164,455
	Total South Korea		1,353,323
	Spain — 0.5%
58,028	Banco Bilbao Vizcaya Argentaria SA (a)		457,834
116,598	Banco Santander SA (a)		455,153
	Total Spain		912,987
	Sweden — 0.4%
44,077	Fastighets AB Balder – B Shares* (a)		210,671
6,731	Investor AB – B Shares (a)		129,557
14,880	Kinnevik AB – Class B* (a)		174,725
5,073	Skanska AB – B Shares (a)		74,261
3,739	Svenska Cellulosa AB SCA – Class B (a)		49,774
3,867	Telefonaktiebolaget LM Ericsson – B Shares (a)		19,845
5,685	Volvo Car AB – Class B* (a)		21,584
	Total Sweden		680,417
	Switzerland — 0.6%
9,748	Adecco Group AG (Registered) (a)		419,311
6,071	Logitech International SA (Registered) (a)		420,007
1,316	Roche Holding AG – Genusschein (a)		386,231
	Total Switzerland		1,225,549
	Taiwan — 0.4%
15,800	Silicon Motion Technology Corp ADR * (a) (e)		858,098
	Thailand — 0.2%
43,900	Kasikornbank Pcl NVDR		163,533
397,000	Krung Thai Bank Pcl NVDR		218,698
7,600	Thai Oil Pcl NVDR		11,178
	Total Thailand		393,409
	Turkey — 0.2%
23,280	Aselsan Elektronik Sanayi Ve Ticaret AS		33,464
70,001	Haci Omer Sabanci Holding AS		156,515
343,812	Yapi ve Kredi Bankasi AS		204,199
	Total Turkey		394,178
	United Kingdom — 1.1%
8,224	3i Group Plc (a)		207,092
18,998	Abcam Plc ADR Sponsored ADR*		429,735
4,506	Berkeley Group Holdings Plc (The)		231,501
239,284	BT Group Plc (a)		350,051
3,664	Coca-Cola HBC AG (a)		105,549
77,864	Kingfisher Plc (a)		230,749
95,202	Taylor Wimpey Plc		137,586
38,063	Vodafone Group Plc Sponsored ADR (a)		354,747
	Total United Kingdom		2,047,010

Shares	Description	Value ($)
	United States — 39.8%
3,093	3M Co. (a)		329,930
80,942	Activision Blizzard, Inc. (a)		7,445,855
344	Akamai Technologies, Inc. * (a)		36,151
119,452	Albertsons Cos., Inc. – Class A (a) (e)		2,675,725
12,900	Ally Financial, Inc. (a)		357,201
1,273	Alphabet, Inc. – Class A* (a)		173,344
1,554	Alphabet, Inc. – Class C* (a)		213,442
27,989	Amedisys, Inc. * (a)		2,623,969
32,434	American Equity Investment Life Holding Co. *		1,741,057
3,000	Arrow Electronics, Inc. *		400,290
200	Aspen Technology, Inc. * (a)		38,800
2,356	AT&T, Inc. (a)		34,845
2,628	Best Buy Co., Inc. (a)		200,911
916	Bio-Rad Laboratories, Inc. – Class A*		366,583
8,287	BorgWarner, Inc.		337,695
2,699	Builders FirstSource, Inc. * (a)		391,463
4,000	Capital One Financial Corp. (a)		409,560
24,921	Capri Holdings Ltd. * (a)		1,308,103
5,639	Carrier Global Corp. (a)		323,961
3,076	CBRE Group, Inc. – Class A* (a)		261,614
4,968	Centene Corp. * (a)		306,277
4,218	Chesapeake Energy Corp. (a)		372,070
9,120	Citigroup, Inc. (a)		376,565
22,066	Cleveland-Cliffs, Inc. * (a)		337,389
6,300	Cognizant Technology Solutions Corp. – Class A (a)		451,143
10,200	Comcast Corp. – Class A (a)		476,952
208	Cummins, Inc. (a)		47,848
5,634	CVS Health Corp. (a)		367,168
2,939	Dell Technologies, Inc. – Class C (a)		165,289
29,048	Denbury, Inc. * (a)		2,660,216
3,625	Discover Financial Services (a)		326,504
139,774	DISH Network Corp. – Class A* (a)		838,644
1,972	DR Horton, Inc. (a)		234,707
8,100	eBay, Inc. (a)		362,718
3,380	Expedia Group, Inc. * (a)		366,358
119	FedEx Corp. (a)		31,061
10,000	Fidelity National Financial, Inc. (a)		414,000
32,700	Ford Motor Co. (a)		396,651
2,750	Fortune Brands Innovations, Inc. (a)		189,805
12,900	Fox Corp. – Class B (a)		393,708
12,300	Franklin Resources, Inc. (a)		328,902
95,635	GCI Liberty, Inc. * (c) (f)		—
800	Generac Holdings, Inc. * (a)		95,048
11,300	General Motors Co. (a)		378,663
30,600	Globus Medical, Inc. – Class A* (e)		1,655,460
634	Goldman Sachs Group, Inc. (The) (a)		207,768
7,008	HEICO Corp. – Class A (a)		949,093
5,417	Hewlett Packard Enterprise Co. (a)		92,035
12,436	Horizon Therapeutics Plc * (a)		1,402,035
13,100	HP, Inc. (a)		389,201
5,071	Incyte Corp. *		327,232
13,489	Intel Corp. (a)		474,004

See accompanying notes to the financial statements. 4

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United States — continued
3,000	International Business Machines Corp. (a)		440,490
8,500	Invesco Ltd. (a)		135,320
2,056	Jazz Pharmaceuticals Plc *		294,748
22,000	Kinder Morgan, Inc. (a)		378,840
10,562	Kraft Heinz Co. (The) (a)		349,497
2,519	Kroger Co. (The) (a)		116,856
1,500	Laboratory Corp. of America Holdings (a)		312,150
1,937	Lennar Corp. – Class A (a)		230,677
45,762	Liberty Broadband Corp. – Class C* (a)		4,281,493
147,869	Liberty Global Plc – Class A* (a)		2,726,704
3,342	Liberty Global Plc – Class C*		66,305
7,919	Liberty Media Corp.-Liberty Formula One – Class A* (a)		480,287
338	Liberty Media Corp.-Liberty Live – Class A* (a)		11,259
3,800	LyondellBasell Industries NV – Class A (a)		375,326
631	Marathon Petroleum Corp. (a)		90,088
7,871	Match Group, Inc. * (a)		368,914
1,493	Meta Platforms, Inc. – Class A* (a)		441,764
6,663	Micron Technology, Inc. (a)		466,010
3,497	Moderna, Inc. *		395,406
2,800	Mohawk Industries, Inc. * (a)		283,892
2,231	Molson Coors Brewing Co. – Class B (a)		141,646
7,100	Mosaic Co. (The) (a)		275,835
4,620	National Instruments Corp.		275,352
25,725	New Relic, Inc. * (a)		2,189,455
2,840	NRG Energy, Inc. (a)		106,642
2,600	Nucor Corp. (a)		447,460
8,903	Ovintiv, Inc. (a)		418,085
2,107	PACCAR, Inc. (a)		173,385
21,894	Paramount Global – Class B (a)		330,381
5,948	PayPal Holdings, Inc. * (a)		371,810
153,945	Pershing Square Tontine Holdings Ltd. * (c)		15,395
11,012	Pfizer, Inc. (a)		389,605
1,125	Pinterest, Inc. – Class A* (a)		30,926
108,356	PNM Resources, Inc. (a)		4,801,254
3,091	PulteGroup, Inc. (a)		253,647
3,195	QUALCOMM, Inc. (a)		365,923
565	Regeneron Pharmaceuticals, Inc. * (a)		466,967
33,427	RPT Realty (REIT)		379,062
17,818	Seagen, Inc. * (a)		3,671,755
2,521	Skyworks Solutions, Inc. (a)		274,134
120,900	Spirit Airlines, Inc. (a) (e)		1,994,850
24,198	Sportsman’s Warehouse Holdings, Inc. *		116,392
3,500	Steel Dynamics, Inc. (a)		373,065
12,200	Synchrony Financial (a)		393,816
39,865	Syneos Health, Inc. *		1,703,431
3,400	Textron, Inc. (a)		264,214
40,451	Triton International Ltd		3,394,243
6,893	Tyson Foods, Inc. – Class A (a)		367,190
132	United Rentals, Inc. (a)		62,903
1,464	Universal Health Services, Inc. – Class B (a)		197,201
319	Valero Energy Corp. (a)		41,438
12,170	Verizon Communications, Inc. (a)		425,707

Shares /  Par Value†	Description	Value ($)
	United States — continued
2,802	VF Corp. (a)		55,368
36,500	Viatris, Inc.		392,375
16,759	VMware, Inc. – Class A* (a)		2,828,584
10,037	Walgreens Boots Alliance, Inc. (a)		254,037
7,634	Western Digital Corp. *		343,530
2,900	Westlake Corp. (a)		379,842
1,215	Whirlpool Corp. (a)		170,051
5,400	Zoom Video Communications, Inc. – Class A* (a)		383,562
	Total United States		76,851,557
	TOTAL COMMON STOCKS (COST $129,658,453)		129,512,140
	PREFERRED STOCKS (g) — 0.4%
	Brazil — 0.1%
19,700	Petroleo Brasileiro SA Sponsored ADR (a)		254,918
	Germany — 0.3%
1,763	Bayerische Motoren Werke AG (a)		169,392
1,186	Porsche Automobil Holding SE (a)		63,613
2,638	Volkswagen AG (a)		322,845
	Total Germany		555,850
	TOTAL PREFERRED STOCKS (COST $766,055)		810,768
	RIGHTS/WARRANTS — 0.2%
	United States — 0.2%
195,149	Bristol-Myers Squibb Co. CVR * (c)		439,086
13,635	Contra Abiomed, Inc. * (c)		23,861
	TOTAL RIGHTS/WARRANTS (COST $298,336)		462,947
	INVESTMENT FUNDS — 1.2%
	United States — 1.2%
1,000,824	Altaba, Inc.* (c)		2,301,895
	TOTAL INVESTMENT FUNDS (COST $1,660,089)		2,301,895
	DEBT OBLIGATIONS — 55.2%
	United States — 55.2%
	Asset-Backed Securities — 2.7%
5,134,242	OZLM VI Ltd, Series 14-6A, Class A1S, 144A, Variable Rate, 3 mo. SOFR + 1.34%, 6.65%, due 04/17/31		5,102,943
	U.S. Government — 24.1%
5,700,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.17%, 5.58%, due 04/30/25 (a) (h)		5,702,038

5 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value† /  Shares	Description	Value ($)
	United States — continued
	U.S. Government — continued
3,500,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.45%, due 10/31/23		3,500,347
10,650,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.45%, due 07/31/24 (a)		10,652,568
26,750,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.61%, due 01/31/25 (a) (h)		26,789,826
	Total U.S. Government		46,644,779
	U.S. Government Agency — 28.4%
3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.40%, due 10/06/23		3,000,191
5,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 5.37%, due 12/14/23		5,000,123
3,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.42%, due 03/06/24		3,001,791
5,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		4,986,373
37,500,000	Federal National Mortgage Association, TBA, 5.00%, due 09/14/53		36,361,084
2,500,000	Federal National Mortgage Association, TBA, 5.50%, due 09/14/53		2,468,360
	Total U.S. Government Agency		54,817,922
	Total United States		106,565,644
	TOTAL DEBT OBLIGATIONS (COST $106,510,966)		106,565,644
	MUTUAL FUNDS — 2.9%
	United States — 2.9%
	Affiliated Issuers — 2.9%
396,920	GMO Emerging Markets ex-China Fund, Class VI		5,572,761
	TOTAL MUTUAL FUNDS (COST $5,576,730)		5,572,761

Par Value† /  Shares	Description	Value ($)
	SHORT-TERM INVESTMENTS — 25.0%
	Sovereign and Sovereign Agency Issuers — 7.1%
JPY 2,000,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/02/23		13,747,574
	Money Market Funds — 0.8%
1,462,014	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (i)		1,462,014
	Repurchase Agreements — 17.1%
33,093,988	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 08/31/23, maturing on 09/01/23 with a maturity value of $33,098,860 and an effective yield of 5.30%, collateralized by a U.S. Treasury Bill with maturity date 08/08/24 and a market value of $33,776,877.		33,093,988
	U.S. Government Agency — 0.0%
25,000	U.S. Treasury Bill, 5.36%, due 11/21/23 (h) (j)		24,703
	TOTAL SHORT-TERM INVESTMENTS (COST $48,442,757)		48,328,279

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Options on Credit Default Swaps - Puts — 0.0%

CDX.NA.IGS.40

MSCI

70.00%

09/20/23

USD 14,685,000

Fixed Spread

Pay

4,946

CDX.NA.IGS.40

GS

65.00%

10/18/23

USD 22,275,000

Fixed Spread

Pay

37,807

Total Options on Credit Default Swaps - Puts

42,753

TOTAL PURCHASED OPTIONS (COST $66,235)

42,753

TOTAL INVESTMENTS — 151.9% (Cost $292,979,621)

293,597,187

See accompanying notes to the financial statements. 6

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	SECURITIES SOLD SHORT — (33.9)%
	Common Stocks — (33.7)%
	Australia — (0.6)%
(5,304)	ASX Ltd		(197,390	)
(944)	Cochlear Ltd		(165,695	)
(12,178)	IDP Education Ltd		(193,677	)
(119,007)	Pilbara Minerals Ltd		(356,785	)
(5,511)	Ramsay Health Care Ltd		(182,877	)
(1,505)	WiseTech Global Ltd		(67,513	)
	Total Australia		(1,163,937	)
	Austria — (0.1)%
(3,462)	Verbund AG		(283,328	)
	Belgium — (0.2)%
(6,860)	Anheuser-Busch InBev SA/NV		(389,387	)
	Canada — (1.6)%
(6,189)	Agnico Eagle Mines Ltd		(300,228	)
(8,700)	Algonquin Power & Utilities Corp		(65,772	)
(18,300)	AltaGas Ltd		(357,820	)
(501)	Brookfield Asset Management Ltd – Class A		(17,310	)
(8,832)	Brookfield Infrastructure Corp – Class A		(343,123	)
(713)	Brookfield Renewable Corp – Class A		(19,928	)
(2,280)	Cameco Corp		(84,360	)
(10,800)	Enbridge Inc		(378,864	)
(2,900)	Franco-Nevada Corp		(417,484	)
(8,737)	GFL Environmental Inc		(283,079	)
(11,896)	Pembina Pipeline Corp		(369,728	)
(5,600)	Restaurant Brands International Inc		(388,920	)
	Total Canada		(3,026,616	)
	Denmark — (0.2)%
(1,619)	Coloplast A/S – Class B		(184,397	)
(8,336)	Tryg A/S		(159,045	)
	Total Denmark		(343,442	)
	Finland — (0.1)%
(2,457)	Elisa Oyj		(120,617	)
(361)	Kone Oyj – Class B		(16,421	)
	Total Finland		(137,038	)
	France — (0.8)%
(10,681)	Accor SA		(381,988	)
(1,851)	Aeroports de Paris		(243,606	)
(52)	Euronext NV		(3,754	)
(20,306)	Getlink SE		(339,869	)
(207)	Hermes International SCA		(425,734	)
(248)	Sartorius Stedim Biotech		(70,335	)
	Total France		(1,465,286	)

Shares	Description	Value ($)
	Germany — (0.9)%
(392)	adidas AG		(78,232	)
(9,195)	Delivery Hero SE*		(335,412	)
(1,323)	Deutsche Boerse AG		(234,864	)
(1,385)	MTU Aero Engines AG		(323,287	)
(1,248)	Puma SE		(83,639	)
(265)	Rational AG		(201,864	)
(2,851)	Symrise AG		(297,202	)
(98,860)	Telefonica Deutschland Holding AG		(187,948	)
(2,716)	Zalando SE*		(84,428	)
	Total Germany		(1,826,876	)
	Ireland — (0.0)%
(433)	Flutter Entertainment Plc*		(78,847	)
	Israel — (0.2)%
(2,500)	CyberArk Software Ltd*		(415,100	)
	Italy — (0.7)%
(9,432)	Amplifon SPA		(306,289	)
(1,278)	Ferrari NV (b)		(405,205	)
(85)	Ferrari NV (b)		(27,008	)
(25,221)	FinecoBank Banca Fineco SPA		(344,706	)
(26,970)	Infrastrutture Wireless Italiane SPA		(333,683	)
	Total Italy		(1,416,891	)
	Japan — (2.6)%
(16,900)	Aeon Co Ltd		(350,239	)
(14,700)	ANA Holdings Inc*		(331,854	)
(11,000)	Asahi Intecc Co Ltd		(223,141	)
(3,500)	GMO Payment Gateway Inc		(221,631	)
(17,200)	Japan Airlines Co Ltd		(354,212	)
(9,600)	Japan Exchange Group Inc		(167,498	)
(4,900)	Keio Corp		(169,543	)
(3,700)	Keisei Electric Railway Co Ltd		(141,680	)
(1,300)	Kintetsu Group Holdings Co Ltd		(41,148	)
(2,900)	Kobe Bussan Co Ltd		(72,251	)
(2,600)	Lasertec Corp		(404,143	)
(11,500)	M3 Inc		(229,227	)
(20,300)	MonotaRO Co Ltd		(239,749	)
(1,000)	Nidec Corp		(52,035	)
(13,900)	Nippon Paint Holdings Co Ltd		(107,399	)
(14,100)	Odakyu Electric Railway Co Ltd		(209,661	)
(11,500)	Oriental Land Co Ltd		(414,244	)
(81,900)	Rakuten Group Inc		(318,676	)
(3,600)	Shiseido Co Ltd		(146,085	)
(32,400)	SoftBank Corp		(371,586	)
(5,000)	Tobu Railway Co Ltd		(137,071	)
(17,500)	Tokyu Corp		(221,141	)
	Total Japan		(4,924,214	)
	Netherlands — (0.5)%
(381)	Adyen NV*		(318,143	)
(1,023)	IMCD NV		(140,900	)

7 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Netherlands — continued
(8,366)	Just Eat Takeaway.com NV*		(117,509	)
(16,608)	Universal Music Group NV		(411,765	)
	Total Netherlands		(988,317	)
	New Zealand — (0.2)%
(4,977)	Xero Ltd*		(402,856	)
	Peru — (0.2)%
(4,900)	Southern Copper Corp		(395,234	)
	Singapore — (0.4)%
(88,584)	Grab Holdings Ltd – Class A*		(333,962	)
(2,900,600)	Sembcorp Marine Ltd*		(310,932	)
(28,300)	Singapore Exchange Ltd		(201,465	)
	Total Singapore		(846,359	)
	Spain — (0.4)%
(10,930)	Cellnex Telecom SA*		(418,023	)
(13,142)	Ferrovial SE		(416,828	)
	Total Spain		(834,851	)
	Sweden — (0.2)%
(3,408)	Beijer Ref AB		(39,063	)
(3,961)	EQT AB		(79,621	)
(1,987)	Evolution AB		(214,908	)
(4,819)	H & M Hennes & Mauritz AB – Class B		(73,577	)
	Total Sweden		(407,169	)
	Switzerland — (0.3)%
(6)	Chocoladefabriken Lindt & Spruengli AG		(71,716	)
(156)	Partners Group Holding AG		(168,153	)
(1,629)	Straumann Holding AG (Registered)		(246,288	)
	Total Switzerland		(486,157	)
	United Kingdom — (1.4)%
(2,364)	Admiral Group Plc		(74,475	)
(36,828)	Auto Trader Group Plc		(282,414	)
(18,955)	Hargreaves Lansdown Plc		(182,408	)
(44,111)	Informa Plc		(407,563	)
(5,268)	InterContinental Hotels Group Plc		(396,234	)
(4,140)	London Stock Exchange Group Plc		(428,300	)
(49,048)	M&G Plc		(118,468	)
(1,284)	Prudential Plc		(15,638	)
(168,517)	Rolls-Royce Holdings Plc*		(472,744	)
(1,054)	Severn Trent Plc		(32,008	)
(793)	Spirax-Sarco Engineering Plc		(101,620	)
(14,611)	Wise Plc – Class A*		(118,268	)
	Total United Kingdom		(2,630,140	)
	United States — (22.1)%
(199)	AECOM		(17,462	)
(19,660)	AES Corp. (The)		(352,504	)

Shares	Description	Value ($)
	United States — continued
(2,000)	Alnylam Pharmaceuticals, Inc.*		(395,640	)
(8,500)	Altria Group, Inc.		(375,870	)
(1,000)	American Tower Corp. (REIT)		(181,320	)
(4,259)	Ares Management Corp. – Class A		(440,551	)
(2,100)	Arthur J Gallagher & Co.		(484,008	)
(1,772)	Axon Enterprise, Inc.*		(377,277	)
(3,251)	Bills Holdings, Inc.*		(374,840	)
(383)	BioMarin Pharmaceutical, Inc.*		(34,999	)
(4,200)	Bio-Techne Corp.		(329,280	)
(2,100)	Boeing Co. (The)*		(470,463	)
(2,567)	Broadcom, Inc.		(2,369,059	)
(2,207)	Burlington Stores, Inc.*		(358,108	)
(7,700)	Caesars Entertainment, Inc.*		(425,502	)
(1,412)	Catalent, Inc.*		(70,558	)
(5,500)	Ceridian HCM Holding, Inc.*		(398,860	)
(10,914)	Charter Communications, Inc. – Class A*		(4,781,642	)
(216)	Chipotle Mexican Grill, Inc.*		(416,154	)
(9,786)	Clarivate Plc*		(72,710	)
(6,113)	Cloudflare, Inc. – Class A*		(397,528	)
(152)	CoStar Group, Inc.*		(12,462	)
(800)	Crown Castle, Inc. (REIT)		(80,400	)
(3,350)	Dexcom, Inc.*		(338,283	)
(47,975)	EchoStar Corp. – Class A*		(833,805	)
(503)	Ecolab, Inc.		(92,456	)
(2,500)	Equity LifeStyle Properties, Inc. (REIT)		(167,400	)
(100)	Erie Indemnity Co. – Class A		(27,873	)
(3,993)	Essential Utilities, Inc.		(147,342	)
(4,429)	Exact Sciences Corp.*		(370,574	)
(24,404)	Exxon Mobil Corp.		(2,713,481	)
(194)	Fair Isaac Corp.*		(175,490	)
(1,625)	Fastenal Co.		(93,567	)
(4,067)	Fortinet, Inc.*		(244,874	)
(1,102)	Gartner, Inc.*		(385,347	)
(1)	Globus Medical, Inc. – Class A* (e)		(54	)
(5,649)	HEICO Corp.		(953,043	)
(26)	Hershey Co. (The)		(5,586	)
(2,857)	Hess Corp.		(441,406	)
(816)	HubSpot, Inc.*		(445,960	)
(541)	IDEXX Laboratories, Inc.*		(276,673	)
(1,739)	Insulet Corp.*		(333,384	)
(1,900)	IQVIA Holdings, Inc.*		(422,997	)
(3,700)	Iron Mountain, Inc. (REIT)		(235,098	)
(20,219)	Kimco Realty Corp.		(382,948	)
(3,700)	Lamb Weston Holdings, Inc.		(360,417	)
(1,349)	Lattice Semiconductor Corp.*		(131,204	)
(136,383)	Liberty Global Plc – Class C*		(2,705,839	)
(12,840)	Liberty Media Corp.-Liberty Formula One – Class C*		(883,264	)
(303)	Liberty Media Corp.-Liberty Live – Class C*		(10,196	)
(1,200)	Linde Plc		(464,448	)
(4,544)	Live Nation Entertainment, Inc.*		(384,104	)
(1,200)	MarketAxess Holdings, Inc.		(289,116	)
(1,100)	Mastercard, Inc. – Class A		(453,904	)

See accompanying notes to the financial statements. 8

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United States — continued
(171)	McKesson Corp.		(70,507	)
(143)	MercadoLibre, Inc.*		(196,247	)
(1,100)	MongoDB, Inc.*		(419,430	)
(31)	Monolithic Power Systems, Inc.		(16,158	)
(856)	Moody’s Corp.		(288,301	)
(74)	Motorola Solutions, Inc.		(20,984	)
(800)	MSCI, Inc.		(434,896	)
(48,372)	Newmont Corp.		(1,906,824	)
(13,100)	NiSource, Inc.		(350,556	)
(11,091)	Novocure Ltd.*		(244,667	)
(5,200)	Okta, Inc.*		(434,252	)
(5,900)	ONEOK, Inc.		(384,680	)
(23,699)	Palantir Technologies, Inc. – Class A*		(355,011	)
(3,700)	Paychex, Inc.		(452,251	)
(424)	Paylocity Holding Corp.*		(85,012	)
(3,900)	Philip Morris International, Inc.		(374,634	)
(961)	PTC, Inc.*		(141,430	)
(1,603)	Repligen Corp.*		(278,778	)
(8,216)	Rivian Automotive, Inc. – Class A*		(186,750	)
(12,768)	ROBLOX Corp. – Class A*		(361,207	)
(5,070)	Roku, Inc.*		(411,684	)
(9,211)	Rollins, Inc.		(364,479	)
(4,407)	Royal Caribbean Cruises Ltd.*		(436,029	)
(486)	RPM International, Inc.		(48,474	)
(417)	ServiceNow, Inc.*		(245,542	)
(1,317)	Sherwin-Williams Co. (The)		(357,855	)
(1,600)	Simon Property Group, Inc. (REIT)		(181,584	)
(2,569)	Snowflake, Inc. – Class A*		(402,948	)
(57,637)	Sovos Brands, Inc.*		(1,291,069	)
(4,077)	Starbucks Corp.		(397,263	)
(81)	Sysco Corp.		(5,642	)

Shares	Description	Value ($)
	United States — continued
(1,802)	Tesla, Inc.*		(465,060	)
(15,931)	Toast, Inc. – Class A*		(353,190	)
(949)	Trade Desk, Inc. (The) – Class A*		(75,948	)
(500)	TransDigm Group, Inc.*		(451,925	)
(1,284)	Twilio, Inc. – Class A*		(81,804	)
(13)	Uber Technologies, Inc.*		(614	)
(4,200)	UDR, Inc. (REIT)		(167,580	)
(1,500)	Vail Resorts, Inc.		(339,480	)
(783)	Watsco, Inc.		(285,443	)
(13,500)	Williams Cos., Inc. (The)		(466,155	)
(7,660)	Wolfspeed, Inc.*		(366,301	)
(918)	Zillow Group, Inc. – Class C*		(47,883	)
(2,714)	Zscaler, Inc.*		(423,520	)
	Total United States		(42,657,377	)
	TOTAL COMMON STOCKS (PROCEEDS $64,481,127)		(65,119,422	)
	PREFERRED STOCKS (g) — (0.2)%
	Germany — (0.2)%
(977)	Sartorius AG		(399,521	)
	TOTAL PREFERRED STOCKS (PROCEEDS $429,279)		(399,521	)
	TOTAL SECURITIES SOLD SHORT (PROCEEDS $64,910,406)		(65,518,943	)
	Other Assets and Liabilities (net) — (18.0%)		(34,842,062	)
	TOTAL NET ASSETS — 100.0%		$193,236,182

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/25/2023	BCLY		AUD	8,424,174		USD	5,760,998		298,527
11/08/2023	MSCI		AUD	6,182,772		USD	4,057,010		41,609
09/29/2023	CITI		CAD	560,000		USD	422,976		8,363
11/06/2023	JPM		CAD	3,100,376		USD	2,324,196		27,556
10/31/2023	BCLY		CHF	140,851		USD	161,864		1,454
10/31/2023	JPM		CHF	9,890,315		USD	11,613,306		349,605
10/12/2023	JPM		CHF	970,000		USD	1,105,528		3,046
09/29/2023	SSB		CHF	9,465,087		USD	11,073,386		330,577
10/31/2023	SSB		CHF	269,738		USD	308,950		1,756
10/02/2023	MSCI		CLP	220,000,000		USD	258,065		811
09/05/2023	JPM		COP	1,375,101,500		USD	336,457		288
09/05/2023	MSCI		COP	240,000,000		USD	59,761		1,088
10/17/2023	MSCI		CZK	4,170,976		USD	195,405		7,796
10/17/2023	BOA		EUR	29,000		USD	32,208		698

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/29/2023	BCLY		EUR	148,900		USD	166,076		4,431
10/31/2023	CITI		EUR	490,000		USD	536,544		3,784
10/31/2023	GS		EUR	520,000		USD	573,835		8,456
10/31/2023	JPM		EUR	720,000		USD	782,929		97
09/29/2023	JPM		EUR	372,701		USD	407,110		2,505
10/17/2023	MSCI		EUR	1,165,800		USD	1,307,527		40,839
10/31/2023	SSB		EUR	1,440,000		USD	1,585,853		20,189
09/29/2023	SSB		EUR	216,536		USD	236,059		987
09/14/2023	CITI		HUF	60,000,000		USD	171,126		832
09/14/2023	DB		HUF	80,000,000		USD	230,206		3,147
11/02/2023	MSCI		IDR	1,985,857,000		USD	131,169		889
11/29/2023	DB		ILS	667,605		USD	176,920		730
11/15/2023	MSCI		INR	6,000,000		USD	72,400		7
09/07/2023	BOA		JPY	627,000		USD	4,409		98

9 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/07/2023	CITI		JPY	478,640,010		USD	3,448,575		157,814
10/02/2023	MSCI		JPY	2,000,000,000		USD	14,018,054		212,372
09/07/2023	MSCI		JPY	248,084,850		USD	1,736,062		30,421
10/23/2023	MSCI		JPY	82,986,440		USD	574,848		93
11/02/2023	GS		KRW	150,000,000		USD	113,892		333
09/18/2023	UBSA		KRW	124,101,894		USD	98,420		4,705
10/03/2023	JPM		MXN	1,861,078		USD	110,710		2,097
09/25/2023	BOA		NOK	106,902		USD	10,413		351
10/17/2023	BCLY		NOK	4,500,000		USD	449,739		25,942
09/25/2023	BCLY		NOK	8,746,546		USD	870,173		46,951
09/25/2023	GS		NOK	3,412,771		USD	341,978		20,769
09/25/2023	JPM		NOK	1,774,035		USD	175,012		8,040
09/25/2023	MSCI		NOK	5,272,233		USD	523,596		27,376
09/29/2023	UBSA		NZD	88,653		USD	55,456		2,589
11/22/2023	DB		PLN	1,850,000		USD	450,517		3,703
11/22/2023	GS		PLN	300,000		USD	72,705		249
11/22/2023	MSCI		PLN	250,000		USD	60,684		303
09/27/2023	BCLY		RON	200,000		USD	44,125		251
10/10/2023	BCLY		SEK	12,944,479		USD	1,219,906		35,593
10/10/2023	CITI		SEK	4,300,000		USD	415,407		21,993
10/16/2023	JPM		SEK	1,585,907		USD	146,347		1,212
10/16/2023	SSB		SEK	6,587,261		USD	619,402		16,565
09/22/2023	BCLY		THB	4,800,000		USD	137,367		60
11/28/2023	MSCI		TWD	23,143,349		USD	734,709		4,002
09/25/2023	DB		USD	359,168		AUD	559,525		3,643
09/29/2023	BCLY		USD	243,248		CAD	330,000		1,078
09/18/2023	BCLY		USD	481,745		CAD	652,208		1,061
09/05/2023	JPM		USD	105,404		CLP	90,000,000		160
10/02/2023	MSCI		USD	225,946		CLP	194,096,500		1,018
09/05/2023	MSCI		USD	484,971		CLP	414,096,500		736
09/05/2023	JPM		USD	335,456		COP	1,375,101,500		713
09/05/2023	MSCI		USD	452,764		COP	1,855,101,500		751
10/17/2023	GS		USD	71,514		CZK	1,600,000		454
10/18/2023	DB		USD	289,510		GBP	230,000		1,898
11/02/2023	GS		USD	52,046		IDR	800,000,000		437
11/02/2023	SSB		USD	78,349		IDR	1,200,000,000		376
11/15/2023	MSCI		USD	193,850		INR	16,073,064		80
11/15/2023	SSB		USD	108,512		INR	9,000,000		78
10/17/2023	BCLY		USD	600,883		NOK	6,400,000		1,851
09/29/2023	BCLY		USD	455,392		NZD	764,562		541
09/29/2023	MSCI		USD	337,865		NZD	570,117		2,114
09/22/2023	BCLY		USD	132,355		PHP	7,500,000		148
10/10/2023	GS		USD	136,707		SEK	1,500,000		531
09/22/2023	MSCI		USD	151,218		THB	5,347,749		1,758
09/29/2023	GS		ZAR	1,200,000		USD	64,130		721
09/29/2023	MSCI		ZAR	6,600,000		USD	353,288		4,541
11/08/2023	BOA		AUD	590,000		USD	377,474		(5,701	)
11/08/2023	MSCI		AUD	376,247		USD	243,637		(717	)
11/08/2023	SSB		AUD	1,422,599		USD	920,553		(3,354	)
10/03/2023	MSCI		BRL	170,858		USD	34,103		(244	)
10/12/2023	SSB		CHF	4,437,275		USD	5,032,978		(10,335	)
09/05/2023	JPM		CLP	160,000,000		USD	186,693		(977	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/05/2023	MSCI		CLP	848,193,000		USD	990,007		(4,864	)
10/02/2023	MSCI		COP	880,000,000		USD	212,817		(308	)
09/05/2023	MSCI		COP	1,615,101,500		USD	394,004		(838	)
10/31/2023	CITI		EUR	660,000		USD	715,460		(2,136	)
09/14/2023	DB		HUF	45,000,000		USD	126,694		(1,027	)
11/15/2023	SSB		INR	4,000,000		USD	47,972		(290	)
10/23/2023	DB		JPY	1,062,969,431		USD	7,337,956		(24,049	)
10/23/2023	MSCI		JPY	325,347,892		USD	2,246,278		(7,045	)
11/02/2023	BCLY		KRW	70,000,000		USD	52,363		(631	)
11/02/2023	GS		KRW	100,000,000		USD	75,009		(697	)
11/02/2023	JPM		KRW	110,000,000		USD	83,235		(41	)
11/02/2023	SSB		KRW	220,000,000		USD	165,073		(1,479	)
11/29/2023	CITI		NZD	610,000		USD	360,805		(3,002	)
09/29/2023	DB		NZD	24,588		USD	14,642		(20	)
11/29/2023	JPM		NZD	4,350,000		USD	2,577,688		(16,675	)
11/28/2023	MSCI		PEN	80,000		USD	21,514		(24	)
09/22/2023	MSCI		PHP	6,000,000		USD	105,953		(49	)
11/22/2023	CITI		PLN	450,000		USD	108,364		(321	)
09/27/2023	MSCI		RON	2,341,896		USD	513,641		(99	)
11/22/2023	JPM		SGD	635,848		USD	470,684		(1,471	)
11/22/2023	SSB		SGD	150,000		USD	111,004		(380	)
09/22/2023	BCLY		THB	4,500,000		USD	127,388		(1,337	)
09/22/2023	CITI		THB	2,400,000		USD	68,143		(511	)
09/25/2023	JPM		USD	1,419,345		AUD	2,151,122		(24,497	)
09/25/2023	MSCI		USD	1,134,745		AUD	1,660,283		(58,171	)
09/25/2023	SSB		USD	212,244		AUD	324,661		(1,725	)
10/03/2023	JPM		USD	2,166,320		BRL	10,364,324		(82,811	)
10/03/2023	MSCI		USD	1,408,331		BRL	6,725,204		(56,384	)
09/18/2023	BOA		USD	157,896		CAD	208,462		(3,579	)
09/29/2023	BCLY		USD	681,060		CAD	910,000		(7,314	)
09/18/2023	BCLY		USD	1,633,200		CAD	2,154,627		(38,207	)
09/29/2023	JPM		USD	4,069,427		CAD	5,382,285		(84,486	)
09/18/2023	JPM		USD	1,540,422		CAD	2,041,027		(29,526	)
09/18/2023	MSCI		USD	882,782		CAD	1,162,270		(22,396	)
10/31/2023	SSB		USD	20,119		CHF	17,524		(161	)
10/31/2023	UBSA		USD	5,262		CHF	4,594		(30	)
09/05/2023	JPM		USD	87,065		CLP	70,000,000		(4,959	)
09/05/2023	MSCI		USD	530,629		CLP	434,096,500		(21,464	)
10/02/2023	JPM		USD	333,682		COP	1,375,101,500		(648	)
10/17/2023	GS		USD	162,378		CZK	3,600,000		(451	)
09/29/2023	BCLY		USD	238,870		EUR	218,053		(2,151	)
09/29/2023	DB		USD	279,775		EUR	254,150		(3,869	)
10/17/2023	MSCI		USD	29,583		EUR	27,000		(247	)
09/25/2023	JPM		USD	1,191,075		GBP	923,077		(21,610	)
10/18/2023	JPM		USD	609,401		GBP	480,000		(1,246	)
10/18/2023	MSCI		USD	4,523,455		GBP	3,450,000		(152,340	)
09/25/2023	SSB		USD	5,251,041		GBP	4,065,737		(100,080	)
09/14/2023	MSCI		USD	311,731		HUF	109,520,539		(886	)
11/02/2023	SSB		USD	131,318		IDR	2,000,000,000		(110	)
11/29/2023	CITI		USD	145,229		ILS	550,000		(77	)
09/07/2023	BOA		USD	105,921		JPY	15,039,900		(2,518	)
09/21/2023	BCLY		USD	2,859,349		JPY	414,915,155		(339	)

See accompanying notes to the financial statements. 10

GMO Alternative Allocation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Forward Currency Contracts — continued

							Net Unrealized
Settlement	Counter-	Currency		Currency			Appreciation
Date	party	Sold		Purchased			(Depreciation)($)
09/21/2023	SSB	USD	572,483		JPY	83,000,000		(564	)
09/18/2023	MSCI	USD	277,199		KRW	356,197,056		(8,219	)
11/02/2023	MSCI	USD	290,229		KRW	368,830,175		(11,004	)
11/02/2023	SSB	USD	92,910		KRW	120,000,000		(2,063	)
10/03/2023	BCLY	USD	1,451,849		MXN	24,515,929		(21,087	)
10/18/2023	MSCI	USD	711,674		MXN	12,218,725		(521	)
10/03/2023	MSCI	USD	1,453,787		MXN	24,515,929		(23,024	)
10/17/2023	BCLY	USD	3,809,805		NOK	38,127,768		(219,041	)
09/25/2023	BCLY	USD	1,513,481		NOK	15,892,041		(17,728	)
10/24/2023	BCLY	USD	454,351		NOK	4,815,827		(728	)
10/17/2023	DB	USD	294,923		NOK	3,100,000		(2,974	)
10/24/2023	GS	USD	438,286		NOK	4,626,806		(2,467	)
10/24/2023	SSB	USD	1,173,381		NOK	12,408,273		(4,593	)

								Net Unrealized
Settlement	Counter-	Currency			Currency			Appreciation
Date	party	Sold			Purchased			(Depreciation)($)
09/25/2023	UBSA		USD	8,114,566		NOK	80,916,427			(498,742	)
10/24/2023	UBSA		USD	7,664,863		NOK	80,916,427			(42,996	)
09/29/2023	SSB		USD	110,600		NZD	181,556			(2,332	)
09/27/2023	BCLY		USD	65,896		RON	300,000			(86	)
09/27/2023	CITI		USD	89,580		RON	400,000			(1,832	)
10/10/2023	BCLY		USD	1,484,029		SEK	15,500,000			(65,908	)
10/16/2023	BCLY		USD	231,362		SEK	2,517,194			(999	)
10/16/2023	SSB		USD	191,539		SEK	2,088,103			(445	)
10/16/2023	UBSA		USD	260,188		SEK	2,835,752			(673	)
09/29/2023	BCLY		USD	117,003		ZAR	2,200,000			(754	)
09/29/2023	GS		USD	730,815		ZAR	12,888,921			(49,757	)
									$	19,196

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
97	CAC40 10 Euro		September 2023			7,688,210			(4,060	)
11	CBOE Volatility Index(h)		September 2023			165,482			(26,631	)
12	Coffee(h)		December 2023			695,250			6,928
407	Corn(h)		December 2023			9,732,387			(874,621	)
19	Cotton(h)		December 2023			834,290			61,216
15	DAX Index		September 2023			6,495,794			(126,820	)
11	E-mini Russell 2000 Index		September 2023			1,045,880			(29,332	)
99	FTSE 100 Index		September 2023			9,338,867			(179,341	)
19	FTSE MIB Index		September 2023			2,966,918			122,211
108	Iron Ore(h)		October 2023			1,232,928			104,304
6	Live Cattle Futures(h)		October 2023			433,980			(869	)
76	MSCI Singapore		September 2023			1,596,367			29,339
10	NYMEX Platinum Futures(h)		October 2023			487,200			15,816
237	OMX Stockholm 30 Index		September 2023			4,729,504			(2,165	)
27	RBOB Gasoline(h)		September 2023			2,909,731			(47,680	)
92	Soybean(h)		November 2023			6,296,250			633,940
1	TOPIX Index		September 2023			159,762			(727	)
13	U.S. Long Bond (CBT)		December 2023			1,581,937			20,992
1	U.S. Ultra Bond (CBT)		December 2023			129,469			2,477
					$	58,520,206		$	(295,023	)

Number of Contracts +	Type	Expiration Date		Notional Amount ($)			Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
8	Canadian Government Bond 10 Yr.		December 2023			706,394			(2,876	)
53	Cocoa(h)		December 2023			1,928,140			(117,690	)
29	Copper(h)		December 2023			2,770,950			(6,515	)
62	Eurex Swiss Market New Index		September 2023			7,783,431			10,940
12	Euro Bund		September 2023			1,733,096			436
8	Euro Bund		December 2023			1,150,539			(4,592	)
54	FTSE Taiwan Index		September 2023			3,086,534			(19,797	)
19	Gold 100 OZ(h)		December 2023			3,735,210			58,837
19	Hang Seng Index		September 2023			2,214,164			(44,005	)
63	IFSC NIFTY 50 Index		September 2023			2,450,574			(3,979	)
20	KOSPI 200 Index		September 2023			1,265,290			26,282
8	Lean Hogs(h)		October 2023			264,160			(3,881	)
50	Natural Gas(h)		September 2023			1,384,000			39,522
16	NY Harbor ULSD Futures(h)		September 2023			2,092,003			(20,982	)
24	S&P 500 E-Mini		September 2023			5,419,200			(113,279	)
49	S&P/TSX 60		September 2023			8,820,145			25,505
38	Silver(h)		December 2023			4,714,280			(309,658	)
215	Soybean Oil(h)		December 2023			8,059,920			(161,342	)
38	SPI 200 Futures		September 2023			4,452,563			(28,858	)
37	Sugar(h)		September 2023			1,038,486			(1,833	)
45	U.S. Treasury Note 10 Yr. (CBT)		December 2023			4,996,406			(35,285	)
116	U.S. Treasury Note 2 Yr. (CBT)		December 2023			23,641,344			(65,493	)
142	U.S. Treasury Note 5 Yr. (CBT)		December 2023			15,182,906			(103,189	)
53	U.S. Treasury Ultra 10 Yr. (CBT)		December 2023			6,153,797			(82,105	)
35	WCE Canola Futures(h)		November 2023			418,954			(15,183	)
84	Wheat(h)		December 2023			2,528,400			264,903
44	WTI Crude(h)		September 2023			3,679,720			(141,982	)
					$	121,670,606		$	(856,099	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

11 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Written Options

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Value ($)
Equity Options – Calls
Globus Medical, Inc.(e)		62.50		09/15/23		(142	)	USD	(768,220	)		(28,400	)
Globus Medical, Inc.(e)		60.00		09/15/23		(84	)	USD	(454,440	)		(2,940	)
Globus Medical, Inc.(e)		55.00		09/15/23		(80	)	USD	(432,800	)		(9,600	)
Spirit Airlines, Inc.(e)		17.50		09/15/23		(679	)	USD	(1,120,350	)		(15,617	)
Albertsons Cos., Inc.(e)		22.00		01/19/24		(72	)	USD	(161,280	)		(10,656	)
Spirit Airlines, Inc.(e)		17.50		01/19/24		(530	)	USD	(1,120,350	)		(139,390	)
Tower Semiconductor Ltd.(e)		32.00		01/19/24		(250	)	USD	(742,500	)		(50,000	)
Silicon Motion Technology Corp.(e)		60.00		03/15/24		(158	)	USD	(858,098	)		(80,580	)
						Total Equity Options – Calls						(337,183	)
Index Options – Puts
S&P 500 Index		4,475.00		09/01/23		(8	)	USD	(3,606,128	)		(1,944	)
S&P 500 Index		4,465.00		09/08/23		(8	)	USD	(3,606,128	)		(8,000	)
S&P 500 Index		4,365.00		09/15/23		(8	)	USD	(3,606,128	)		(5,280	)
S&P 500 Index		4,405.00		09/22/23		(8	)	USD	(3,606,128	)		(14,040	)
						Total Index Options – Puts						(29,264	)

Description	Counterparty	Exercise Rate		Expiration Date		Principal/ Notional Amount				Floating Rate Index		Pay/Receive Floating Rate		Value ($)
Written Options on Credit Default Swaps – Puts
CDX.NA.HYS.40	JPM		102.00%		09/20/23		USD	(26,915,000	)		Fixed Spread		Pay		(86,963	)
CDX.NA.HYS.40	JPM		101.00%		10/18/23		USD	(11,535,000	)		Fixed Spread		Pay		(55,736	)
CDX.NA.IGS.40	MSCI		85.00%		09/20/23		USD	(14,685,000	)		Fixed Spread		Pay		(1,297	)
CDX.NA.IGS.40	GS		95.00%		11/15/23		USD	(15,618,000	)		Fixed Spread		Pay		(5,912	)
CDX.NA.IGS.40	GS		85.00%		10/18/23		USD	(33,412,000	)		Fixed Spread		Pay		(9,779	)
							Total Written Options On Credit Default Swaps — Puts								(159,687	)
											TOTAL WRITTEN OPTIONS
											(Premiums $1,091,889)			$	(526,134	)

Swap Contracts

Centrally Cleared Credit Default Swaps

							Maximum
							Potential
							Amount of
							Future
							Payments by
					Implied		the Fund				Periodic		Premiums										Net Unrealized
	Notional		Annual		Credit		Under the		Expiration		Payment		Paid/										Appreciation/
Reference Entity	Amount		Premium		Spread (1)		Contract (2)		Date		Frequency		(Received) ($)						Value ($)				(Depreciation) ($)
Buy Protection^:
ITRAXX.XO.38.V1	EUR	4,455,000		5.00%		3.65%		N/A		12/20/2027		Quarterly				(91,065	)				(233,356	)				(142,291	)
CDX.NA.HYS.40.V1	USD	9,761,000		5.00%		4.26%		N/A		06/20/2028		Quarterly				(193,239	)				(276,305	)				(83,066	)
CDX.NA.IGS.40.V1	USD	75,681,000		1.00%		0.64%		N/A		06/20/2028		Quarterly				(802,192	)				(1,177,521	)				(375,329	)
CDX.NA.HYS.39.V2	USD	4,410,450		5.00%		4.09%		N/A		12/20/2027		Quarterly				(88,179	)				(139,983	)				(51,804	)
															$	(1,174,675	)			$	(1,827,165	)			$	(652,490	)

See accompanying notes to the financial statements. 12

GMO Alternative Allocation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps

											Maximum
											Potential
											Amount of
											Future
											Payments by
								Implied			the Fund				Periodic		Premiums								Net Unrealized
	Counter-	Notional			Annual			Credit			Under the		Expiration		Payment		Paid/								Appreciation/
Reference Entity	party	Amount			Premium			Spread (1)			Contract (2)		Date		Frequency		(Received) ($)				Value ($)				(Depreciation) ($)
Buy Protection^:
CDX.NA.HYS.31	CITI		USD	1,631,000		5.00	%		0.38	%		N/A		12/20/2023		Quarterly			(6,361	)			(22,841	)			(16,480	)
CDX.NA.HYS.31	CITI		USD	1,780,000		5.00	%		0.38	%		N/A		12/20/2023		Quarterly			18,334				(24,928	)			(43,262	)
CMBX.NA.BBB-.11	CGMI		USD	1,886,000		3.00	%		9.66	%		N/A		11/18/2054		Monthly			397,828				390,166				(7,662	)
CMBX.NA.BBB-.9	MLCS		USD	2,640,000		3.00	%		15.54	%		N/A		09/17/2058		Monthly			212,244				560,588				348,344
CMBX.NA.BBB-.13	GS		USD	576,500		3.00	%		9.52	%		N/A		12/16/2072		Monthly			35,496				154,382				118,886
Sell Protection^:
CDX.NA.HYS.31.V14-5Y	CITI		USD	1,187,000		5.00	%		0.05	%		1,187,000 USD		12/20/2023		Quarterly			121,668				17,812				(103,856	)
CDX.NA.HYS.31.V14-5Y	CITI		USD	3,560,000		5.00	%		0.05	%		3,560,000 USD		12/20/2023		Quarterly			238,520				53,422				(185,098	)
CDX.NA.HYS.31.V15-5Y	CITI		USD	1,928,000		5.00	%		0.05	%		1,928,000 USD		12/20/2023		Quarterly			203,886				28,932				(174,954	)
CDX.NA.HYS.33.V12-5Y	CITI		USD	4,388,727		5.00	%		0.13	%		4,388,727 USD		12/20/2024		Quarterly			756,836				268,662				(488,174	)
ITRAXX.XO.38 35	JPM		EUR	8,019,000		5.00	%		0.66	%		8,019,000 EUR		12/20/2027		Quarterly			1,357,928				1,434,985				77,057
CMBX.NA.A.9	CGMI		USD	1,112,500		2.00	%		6.98	%		1,112,500 USD		09/17/2058		Monthly			(33,096	)			(102,100	)			(69,004	)
CMBX.NA.A.9	CGMI		USD	1,780,000		2.00	%		6.98	%		1,780,000 USD		09/17/2058		Monthly			(44,602	)			(163,360	)			(118,758	)
CMBX.NA.A.9	MLCS		USD	4,750,000		2.00	%		6.98	%		4,750,000 USD		09/17/2058		Monthly			9,294				(435,931	)			(445,225	)
CMBX.NA.AAA.10	GS		USD	4,610,000		0.50	%		0.71	%		4,610,000 USD		11/17/2059		Monthly			42,163				(26,514	)			(68,677	)
CMBX.NA.AAA.15	GS		USD	1,730,000		0.50	%		0.94	%		1,730,000 USD		11/18/2064		Monthly			(26,617	)			(48,247	)			(21,630	)
CMBX.NA.AAA.14	CGMI		USD 11,125,000			0.50	%		0.90	%		11,125,000 USD		12/16/2072		Monthly			(218,419	)			(132,272	)			86,147
																		$	3,065,102			$	1,952,756			$	(1,112,346	)

^ Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

  Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

⁽¹⁾  As of August 31, 2023, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, 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. 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 contract.

⁽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 contract.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
4.30%	3 Month AUD BBSW		AUD	5,000,000		09/20/2025		Quarterly		—			(13,233	)		(13,233	)
4.26%	3 Month AUD BBSW		AUD	22,466,000		09/20/2025		Quarterly		(386	)		(48,489	)		(48,103	)
CAD - CORRA - OIS - COMPOUND	4.18%		CAD	8,445,000		09/20/2025		Annually		(7,160	)		(71,850	)		(64,690	)
4.52%	CAD -CORRA -OIS - COMPOUND		CAD	2,500,000		09/20/2025		Annually		—			9,371			9,371

13 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CHF - SARON - OIS - COMPOUND	1.80%		CHF	4,020,000		09/20/2025		Annually		(4,639	)			4,254			8,893
CHF - SARON - OIS - COMPOUND	1.85%		CHF	2,000,000		09/20/2025		Annually		—				4,511			4,511
CHF - SARON - OIS - COMPOUND	1.87%		CHF	3,500,000		09/20/2025		Annually		—				9,463			9,463
CHF - SARON - OIS - COMPOUND	1.92%		CHF	2,500,000		09/20/2025		Annually		—				9,590			9,590
3.19%	EUR - EuroSTR -COMPOUND		EUR	7,005,000		09/20/2025		Annually		(1,529	)			22,215			23,744
3.44%	EUR - EuroSTR -COMPOUND		EUR	2,500,000		09/20/2025		Annually		(124	)			(5,090	)		(4,966	)
3.37%	EUR - EuroSTR - COMPOUND		EUR	2,500,000		09/20/2025		Annually		—				(1,366	)		(1,366	)
GBP - SONIA - COMPOUND	5.09%		GBP	3,477,000		09/20/2025		Annually		189				(31,592	)		(31,781	)
GBP - SONIA - COMPOUND	5.13%		GBP	2,000,000		09/20/2025		Annually		—				(16,193	)		(16,193	)
GBP - SONIA - COMPOUND	5.86%		GBP	2,500,000		09/20/2025		Annually		—				22,273			22,273
GBP - SONIA - COMPOUND	5.87%		GBP	2,000,000		09/20/2025		Annually		—				18,497			18,497
3.59%	3 Month SEK STIBOR		SEK	45,000,000		09/20/2025		Quarterly		—				27,042			27,042
3.82%	3 Month SEK STIBOR		SEK	35,000,000		09/20/2025		Quarterly		—				6,915			6,915
3.81%	3 Month SEK STIBOR		SEK	35,000,000		09/20/2025		Quarterly		—				7,612			7,612
3 Month SEK STIBOR	3.55%		SEK	147,131,000		09/20/2025		Quarterly		(3,774	)			(99,063	)		(95,289	)
3 Month SEK STIBOR	3.92%		SEK	35,000,000		09/20/2025		Quarterly		1,421				(1,244	)		(2,665	)
USD - SOFR - COMPOUND	4.67%		USD	2,500,000		09/20/2025		Annually		—				(2,332	)		(2,332	)
USD - SOFR - COMPOUND	4.76%		USD	1,500,000		09/20/2025		Annually		—				908			908
4.12%	USD - SOFR - COMPOUND		USD	7,518,000		09/20/2025		Annually		(12,827	)			86,251			99,078
4.03%	USD - SOFR - COMPOUND		USD	3,000,000		09/20/2025		Annually		—				39,230			39,230
4.47%	USD - SOFR - COMPOUND		USD	2,000,000		09/20/2025		Annually		—				9,773			9,773
6 Month AUD BBSW	4.29%		AUD	1,100,000		09/20/2033		Semi-Annually		—				(4,706	)		(4,706	)
6 Month AUD BBSW	4.42%		AUD	5,350,000		09/20/2033		Semi-Annually		(4,593	)			13,434			18,027
6 Month AUD BBSW	4.55%		AUD	15,690,000		09/20/2033		Semi-Annually		(7,895	)			153,076			160,971
6 Month AUD BBSW	4.60%		AUD	2,100,000		09/20/2033		Semi-Annually		—				25,615			25,615
CAD - CORRA - OIS - COMPOUND	3.40%		CAD	500,000		09/20/2033		Annually		—				(10,292	)		(10,292	)
CAD - CORRA - OIS - COMPOUND	3.73%		CAD	1,400,000		09/20/2033		Annually		—				(860	)		(860	)
3.38%	CAD - CORRA - OIS - COMPOUND		CAD	1,956,000		09/20/2033		Annually		(1,868	)			42,005			43,873
3.58%	CAD - CORRA - OIS - COMPOUND		CAD	800,000		09/20/2033		Annually		—				7,788			7,788
3.61%	CAD - CORRA - OIS - COMPOUND		CAD	1,500,000		09/20/2033		Annually		—				11,648			11,648
CHF - SARON - OIS - COMPOUND	1.83%		CHF	5,651,000		09/20/2033		Annually		(20,326	)			78,140			98,466
1.84%	CHF - SARON - OIS - COMPOUND		CHF	1,007,000		09/20/2033		Annually		2,850				(14,725	)		(17,575	)
1.88%	CHF - SARON - OIS - COMPOUND		CHF	1,000,000		09/20/2033		Annually		—				(18,913	)		(18,913	)
1.92%	CHF - SARON - OIS - COMPOUND		CHF	1,000,000		09/20/2033		Annually		—				(22,888	)		(22,888	)
1.73%	CHF - SARON - OIS - COMPOUND		CHF	900,000		09/20/2033		Annually		—				(2,708	)		(2,708	)
1.72%	CHF - SARON - OIS - COMPOUND		CHF	600,000		09/20/2033		Annually		—				(1,146	)		(1,146	)
1.77%	CHF - SARON - OIS - COMPOUND		CHF	400,000		09/20/2033		Annually		—				(2,836	)		(2,836	)

See accompanying notes to the financial statements. 14

GMO Alternative Allocation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)				Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1.79%	CHF - SARON - OIS - COMPOUND		CHF	800,000		09/20/2033		Annually		—				(7,806	)		(7,806	)
1.82%	CHF - SARON - OIS - COMPOUND		CHF	700,000		09/20/2033		Annually		—				(8,478	)		(8,478	)
1.83%	CHF - SARON - OIS - COMPOUND		CHF	1,000,000		09/20/2033		Annually		—				(13,053	)		(13,053	)
1.85%	CHF - SARON - OIS - COMPOUND		CHF	900,000		09/20/2033		Annually		—				(13,773	)		(13,773	)
EUR - EuroSTR - COMPOUND	2.77%		EUR	1,614,000		09/20/2033		Annually		4,597				(10,233	)		(14,830	)
EUR - EuroSTR - COMPOUND	2.79%		EUR	500,000		09/20/2033		Annually		415				(2,065	)		(2,480	)
EUR - EuroSTR - COMPOUND	2.88%		EUR	600,000		09/20/2033		Annually		—				2,542			2,542
EUR - EuroSTR - COMPOUND	2.88%		EUR	600,000		09/20/2033		Annually		—				2,231			2,231
EUR - EuroSTR - COMPOUND	3.06%		EUR	900,000		09/20/2033		Annually		—				18,577			18,577
2.77%	EUR - EuroSTR - COMPOUND		EUR	3,818,000		09/20/2033		Annually		(9,162	)			25,894			35,056
2.81%	EUR - EuroSTR - COMPOUND		EUR	800,000		09/20/2033		Annually		—				2,139			2,139
3.04%	EUR - EuroSTR - COMPOUND		EUR	1,100,000		09/20/2033		Annually		—				(20,482	)		(20,482	)
GBP - SONIA - COMPOUND	4.10%		GBP	2,205,000		09/20/2033		Annually		5,424				(43,465	)		(48,889	)
GBP - SONIA - COMPOUND	4.45%		GBP	900,000		09/20/2033		Annually		—				13,487			13,487
4.11%	GBP - SONIA - COMPOUND		GBP	676,000		09/20/2033		Annually		(2,250	)			12,752			15,002
4.12%	GBP - SONIA - COMPOUND		GBP	500,000		09/20/2033		Annually		—				9,158			9,158
4.33%	GBP - SONIA - COMPOUND		GBP	1,000,000		09/20/2033		Annually		—				(3,071	)		(3,071	)
4.34%	GBP - SONIA - COMPOUND		GBP	800,000		09/20/2033		Annually		—				(3,135	)		(3,135	)
4.23%	GBP - SONIA - COMPOUND		GBP	600,000		09/20/2033		Annually		—				4,110			4,110
4.19%	GBP - SONIA - COMPOUND		GBP	900,000		09/20/2033		Annually		—				9,979			9,979
4.24%	GBP - SONIA - COMPOUND		GBP	1,200,000		09/20/2033		Annually		—				7,622			7,622
4.26%	GBP - SONIA - COMPOUND		GBP	500,000		09/20/2033		Annually		—				1,904			1,904
4.50%	3 Month NZD Bank Bill Rate		NZD	6,255,000		09/20/2033		Quarterly		(1,224	)			61,109			62,333
3 Month NZD Bank Bill Rate	4.41%		NZD	1,400,000		09/20/2033		Quarterly		—				(19,704	)		(19,704	)
3 Month NZD Bank Bill Rate	4.49%		NZD	3,000,000		09/20/2033		Quarterly		—				(30,870	)		(30,870	)
3 Month SEK STIBOR	2.99%		SEK	10,000,000		09/20/2033		Quarterly		—				(14,848	)		(14,848	)
2.93%	3 Month SEK STIBOR		SEK	31,653,000		09/20/2033		Quarterly		3,335				59,756			56,421
3.02%	3 Month SEK STIBOR		SEK	9,000,000		09/20/2033		Quarterly		(261	)			10,820			11,081
3.31%	3 Month SEK STIBOR		SEK	88,000,000		09/20/2033		Quarterly		9,968				(86,625	)		(96,593	)
3.34%	3 Month SEK STIBOR		SEK	6,000,000		09/20/2033		Quarterly		—				(7,514	)		(7,514	)
3 Month SEK STIBOR	3.01%		SEK	8,000,000		09/20/2033		Quarterly		—				(10,334	)		(10,334	)
3 Month SEK STIBOR	3.06%		SEK	7,000,000		09/20/2033		Quarterly		—				(6,583	)		(6,583	)
USD - SOFR - COMPOUND	3.35%		USD	600,000		09/20/2033		Annually		—				(21,827	)		(21,827	)
USD - SOFR - COMPOUND	3.43%		USD	500,000		09/20/2033		Annually		—				(15,052	)		(15,052	)
USD - SOFR - COMPOUND	3.45%		USD	1,695,000		09/20/2033		Annually		10,582				(49,009	)		(59,591	)
3.84%	USD - SOFR - COMPOUND		USD	600,000		09/20/2033		Annually		—				(2,019	)		(2,019	)
3.99%	USD - SOFR - COMPOUND		USD	400,000		09/20/2033		Annually		—				(6,235	)		(6,235	)
									$	(39,237	)		$	85,984		$	125,221

15 See accompanying notes to the financial statements.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)					Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iBoxx USD Liquid High Yield Index	JPM		USD	3,800,000		09/20/2023	Quarterly			(43	)			94,552					94,595
Total Return on iBoxx USD Liquid High Yield Index	SOFR	JPM		USD	4,685,000		09/20/2023	Quarterly			(9	)			(42,014	)				(42,005	)
Total Return on iBoxx USD Liquid High Yield Index	SOFR	MSCI		USD	3,560,000		09/20/2023	Quarterly			(39	)			(30	)				9
1 Month Federal Funds Rate minus 0.02%	Total Return on MSCI World Daily Total Return Net Value Index	JPM		USD	1,324,194		12/15/2023	Monthly			—				11,410					11,410
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.07%	JPM		USD	1,556,955		12/15/2023	Monthly			—				(2,840	)				(2,840	)
1 Month Federal Funds Rate plus 0.03%	Total Return on MSCI World Daily Total Return Net Value Index	GS		USD	3,441,439		04/30/2024	Monthly			—				(5,490	)				(5,490	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS		USD	3,365,568		04/30/2024	Monthly			—				(18,242	)				(18,242	)
1 Month Federal Funds Rate minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	2,945,101		05/13/2024	Monthly			—				16,924					16,924
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA		USD	2,906,301		05/13/2024	Monthly			—				(15,026	)				(15,026	)
1 Month Federal Funds Rate minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	1,055,384		05/22/2024	Monthly			—				23,332					23,332
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA		USD	859,455		05/22/2024	Monthly			—				17,137					17,137
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.40%	GS		USD	1,649,398		06/18/2024	Monthly			—				(4,138	)				(4,138	)
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	2,646,093		06/24/2024	Monthly			—				(57,585	)				(57,585	)
											$(91)			$	17,990				$	18,081

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

See accompanying notes to the financial statements. 16

GMO Alternative Allocation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) Securities are traded on separate exchanges for the same entity.

(c) Investment valued using significant unobservable inputs (Note 2).

(d) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(e) All or a portion of this investment is held in connection with one or more holdings within the Fund.

(f) All or a portion of this security is out on loan (Note 2).

(g) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(h) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Allocation Fund.

(i) The rate disclosed is the 7 day net yield as of August 31, 2023.

(j) The rate shown represents yield-to-maturity.

(k) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(l) The following table represents the individual long and/or short positions within the custom equity basket swap as of August 31, 2023:

Shares	Description	% of Equity Basket		Value ($)
(164,000)	Air China Ltd – Class H		4.5%		(121,396	)
(95,600)	Airports Of Thailand PC NVDR		7.3%		(197,849	)
(46,000)	Alibaba Health Information Technology Ltd		1.0%		(27,158	)
(78,000)	China Molybdenum Co Ltd – Class H		1.7%		(46,532	)
(36,000)	China Southern Airlines Co Ltd – Class H		0.7%		(19,124	)
(100,000)	Genscript Biotech Corp		8.6%		(233,414	)
(206,700)	Gulf Energy Development Pcl NVDR		10.5%		(283,221	)
(376)	Hanmi Pharm Co Ltd		3.1%		(83,734	)
(3,653)	Hotel Shilla Co Ltd		9.0%		(243,342	)
(2,341)	Kakao Corp		3.1%		(84,960	)
(139,000)	Kingdee International Software Group Co Ltd		7.9%		(214,771	)
(7,405)	Korea Aerospace Industries Ltd		10.4%		(282,823	)
(9,200)	Nongfu Spring Co Lttd – Class H		1.9%		(51,671	)
(460)	POSCO Chemical Co Ltd		5.8%		(156,126	)
(571)	Samsung Biologics Co Ltd		11.8%		(318,117	)
(40,355)	Samsung Heavy Industries Co Ltd		9.9%		(268,724	)
(350)	SK IE Technology Co Ltd		0.9%		(23,865	)
(32,000)	Zijin Mining Group Co Ltd – Class H		1.9%		(50,123	)
	TOTAL COMMON STOCKS			$	(2,706,950	)

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 94.

17 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		74.9	%
Debt Obligations		35.6
Short-Term Investments		5.6
Preferred Stocks		1.8
Investment Funds		0.3
Swap Contracts		0.1
Rights/Warrants		0.1
Loan Assignments		0.0	^
Loan Participations		0.0	^
Purchased Options		0.0	^
Forward Currency Contracts		(0.0	)^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.1	)
Futures Contracts		(0.1	)
Securities Sold Short		(19.5	)
Other		1.3
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		7.8	%
Other Emerging		3.4	†
Australia		1.2
Euro Region		(0.7	)§
Other Developed		(1.8	)‡
		9.9	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
Japan		11.0	%
United States		10.5
Other Developed		4.5	‡
United Kingdom		4.3
France		3.9
Other Emerging		2.8	†
China		2.6
South Korea		2.3
Taiwan		2.3
Brazil		2.0
India		1.9
Netherlands		1.5
Germany		1.4
South Africa		1.4
Spain		1.3
Italy		1.2
Sweden		1.1
Mexico		1.0
		57.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

^ Rounds to 0.0%.

18

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 100.0%
	Affiliated Issuers — 100.0%
9,912,780	GMO Emerging Country Debt Fund, Class VI		183,782,941
2,603,966	GMO High Yield Fund, Class VI		45,491,295
288,043,583	GMO Implementation Fund		3,649,512,196
8,534,102	GMO Opportunistic Income Fund, Class VI		209,341,516
1,201,196	GMO SGM Major Markets Fund, Class VI		28,180,047
	TOTAL MUTUAL FUNDS (COST $4,214,178,396)		4,116,307,995
	SHORT-TERM INVESTMENTS — 0.1%
	Money Market Funds — 0.1%
3,855,113	State Street Institutional Treasury Money
	Market Fund – Premier Class, 5.22% (a)		3,855,113
	TOTAL SHORT-TERM INVESTMENTS (COST $3,855,113)		3,855,113
	TOTAL INVESTMENTS — 100.1% (Cost $4,218,033,509)		4,120,163,108
	Other Assets and Liabilities (net) — (0.1%)		(2,948,754	)
	TOTAL NET ASSETS — 100.0%	$	4,117,214,354

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 94.

19 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		81.7	%
Debt Obligations		30.8
Short-Term Investments		7.1
Preferred Stocks		2.2
Swap Contracts		0.1
Loan Assignments		0.1
Futures Contracts		0.1
Rights/Warrants		0.0	^
Investment Funds		0.0	^
Loan Participations		0.0	^
Forward Currency Contracts		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.1	)
Securities Sold Short		(18.8	)
Other		(3.2	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		10.6	%
Other Emerging		4.1	†
Other Developed		(0.1	)‡
Euro Region		(0.2	)§
		14.4	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
Japan		12.9	%
United States		9.6
Other Developed		5.1	‡
United Kingdom		3.7
Other Emerging		3.6	†
France		3.3
Taiwan		3.3
China		3.2
South Korea		3.0
India		2.7
Brazil		2.4
Canada		2.1
Netherlands		1.7
South Africa		1.7
Spain		1.6
Mexico		1.2
Switzerland		1.2
Italy		1.1
Australia		1.0
		64.4	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

20

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 78.4%
	Australia — 1.4%
61,183	Accent Group Ltd		80,931
4,848	Ampol Ltd		110,433
42,107	ANZ Group Holdings Ltd		687,486
17,872	Aurizon Holdings Ltd (a)		42,123
7,380	Austal Ltd		9,310
104,607	BHP Group Ltd (a)		3,007,255
134,385	BlueScope Steel Ltd		1,816,823
189,258	Brambles Ltd (a)		1,832,769
4,868	Brickworks Ltd		85,935
33,209	CSR Ltd		126,209
23,740	Dexus (REIT) (a)		118,631
135,202	Fortescue Metals Group Ltd (a)		1,861,378
285,264	GPT Group (The) (REIT) (a)		772,383
79,976	GrainCorp Ltd – Class A		376,678
95,164	Grange Resources Ltd		27,927
92,272	Helia Group Ltd		231,337
43,009	HomeCo Daily Needs (REIT) (a)		33,982
8,993	JB Hi-Fi Ltd		265,267
15,471	Lendlease Corp Ltd		77,905
8,334	McMillan Shakespeare Ltd		95,935
520,893	Mirvac Group (REIT) (a)		812,128
26,151	Nufarm Ltd		87,440
59,370	Perenti Ltd * (b)		40,672
21,540	Rio Tinto Ltd (a)		1,560,065
304,181	Scentre Group (REIT) (a)		539,179
24,820	Southern Cross Media Group Ltd		12,423
252,565	Stockland (REIT) (a)		689,792
32,339	Super Retail Group Ltd		270,744
4,621	Westpac Banking Corp		65,375
	Total Australia		15,738,515
	Austria — 0.1%
8,851	Erste Group Bank AG		315,749
15,576	OMV AG (b)		721,293
2,102	Raiffeisen Bank International AG *		30,170
737	Strabag SE		31,425
	Total Austria		1,098,637
	Belgium — 0.8%
62,758	Ageas SA/NV		2,495,903
7,968	Bekaert SA		377,815
722	Cie d’Entreprises CFE		6,314
12,432	KBC Group NV		815,665
452	Melexis NV (b)		42,624
963	Orange Belgium SA *		14,105
106,777	Proximus SADP		807,022
2,307	Sofina SA		518,308
15,038	Solvay SA		1,741,364
22,096	UCB SA		1,981,946
	Total Belgium		8,801,066

Shares	Description	Value ($)
	Brazil — 0.8%
1,872	Alupar Investimento SA		10,694
33,800	Ambev SA		94,464
188,583	Banco do Brasil SA		1,793,653
3,300	Banco Santander Brasil SA		18,066
63,187	BB Seguridade Participacoes SA		387,642
7,700	Cia Energetica de Minas Gerais		30,616
16,117	CPFL Energia SA		111,145
37,700	EDP - Energias do Brasil SA *		183,321
70,027	Enauta Participacoes SA		221,873
10,800	Engie Brasil Energia SA		91,860
32,402	Itau Unibanco Holding SA		152,521
112,440	JBS SA		417,786
29,400	Lojas Renner SA		95,169
1,500	Odontoprev SA		3,132
146,300	Petroleo Brasileiro SA Sponsored ADR		2,055,515
43,100	Ser Educacional SA *		53,787
7,467	Telefonica Brasil SA ADR (a)		63,022
697,733	TIM SA		2,030,338
10,100	TIM SA ADR		148,066
3,538	Transmissora Alianca de Energia Eletrica SA		24,434
137,490	Ultrapar Participacoes SA		504,199
7,852	Vale SA		103,191
	Total Brazil		8,594,494
	Canada — 2.9%
2,600	Algoma Steel Group Inc		19,896
24,900	Alimentation Couche-Tard Inc (a)		1,302,127
14,500	ARC Resources Ltd		221,170
47,324	B2Gold Corp		146,231
6,094	Bank of Montreal		524,632
17,259	Bank of Nova Scotia (The)		818,767
7,426	Brookfield Asset Management Ltd –Class A (a)		256,568
30,833	Brookfield Corp – Class A (a)		1,051,714
306	BRP Inc		23,354
6,700	Canaccord Genuity Group Inc		42,197
13,524	Canadian Imperial Bank of Commerce		535,686
4,807	Canadian Solar Inc *		134,644
14,000	Canadian Tire Corp Ltd – Class A (b)		1,660,894
6,700	Canfor Corp *		103,039
3,700	Cascades Inc (b)		34,804
45,300	Celestica Inc * (b) (c)		1,056,061
13,897	Celestica Inc * (c)		323,939
743	CGI Inc * (a)		77,376
15,700	China Gold International Resources Corp Ltd		65,710
2,903	Cogeco Inc (b)		107,423
2,900	DREAM Unlimited Corp – Class A		45,608
34,600	Dundee Precious Metals Inc		223,292
3,500	Empire Co Ltd – Class A (b)		91,178
3,900	Enerflex Ltd (b)		24,072
600	EQB Inc		34,543
300	Fairfax Financial Holdings Ltd (b)		247,396

21 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Canada — continued
25,800	Finning International Inc (b)		810,164
1,600	George Weston Ltd		177,442
3,142	Gildan Activewear Inc		93,694
18,700	Great-West Lifeco Inc (a)		537,390
900	Hydro One Ltd (a)		23,392
8,700	iA Financial Corp Inc		545,810
7,900	Imperial Oil Ltd (b) (c)		448,614
5,707	Imperial Oil Ltd (c)		325,071
9,700	Interfor Corp * (b)		163,677
6,585	International Petroleum Corp *		62,031
1,100	Linamar Corp (b)		57,727
22,500	Magna International Inc (b)		1,323,490
108,200	Manulife Financial Corp (a) (c)		2,000,323
80,083	Manulife Financial Corp (a) (c)		1,479,934
10,300	Martinrea International Inc		104,128
1,227	Methanex Corp		52,209
20,146	Nutrien Ltd (a) (c)		1,275,645
19,400	Nutrien Ltd (a) (c)		1,228,868
12,300	OceanaGold Corp		26,581
16,800	Onex Corp		1,038,064
2,393	Open Text Corp (a)		96,342
16,500	Parex Resources Inc		312,245
35,900	Power Corp of Canada		980,395
48,200	Quebecor Inc – Class B (b)		1,101,908
7,900	Resolute Forest Products Inc * (d)		15,800
4,600	Rogers Sugar Inc		19,575
13,700	Russel Metals Inc (b)		407,492
5,900	Sleep Country Canada Holdings Inc (b)		108,027
2,300	Spin Master Corp (b)		61,194
10,800	Stella-Jones Inc		524,254
13,832	Sun Life Financial Inc (a)		674,725
12,300	Suncor Energy Inc (b)		416,645
52,100	Teck Resources Ltd – Class B (c)		2,154,639
23,442	Teck Resources Ltd – Class B (a) (c)		968,623
4,495	Teekay Tankers Ltd – Class A		182,857
13,172	Toronto-Dominion Bank (The)		803,624
7,000	Tourmaline Oil Corp (b)		358,962
1,200	Wajax Corp		24,973
22,200	West Fraser Timber Co Ltd (b) (c)		1,678,144
4,227	West Fraser Timber Co Ltd (c)		319,561
	Total Canada		32,156,560
	Chile — 0.1%
242,540	Cencosud SA		519,181
37,376	Cencosud Shopping SA		62,690
1,696,576	Colbun SA		266,178
28,340	Empresas CMPC SA		51,457
7,664	Enel Chile SA ADR		25,291
142,381	Falabella SA		350,723
28,643	Inversiones La Construccion SA		181,017
	Total Chile		1,456,537

Shares	Description	Value ($)
	China — 3.1%
116,000	361 Degrees International Ltd		61,038
449,500	3SBio Inc		375,904
6,932,000	Agricultural Bank of China Ltd – Class H		2,375,974
103,169	Alibaba Group Holding Ltd *		1,197,393
449,000	BAIC Motor Corp Ltd – Class H		124,146
810,000	Bank of China Ltd – Class H		274,523
426,091	Bank of Communications Co Ltd – Class H		243,873
87,000	Beijing Enterprises Holdings Ltd		325,945
214,000	China BlueChemical Ltd – Class H		53,179
2,561,000	China Cinda Asset Management Co Ltd – Class H		251,143
404,000	China Communications Services Corp Ltd – Class H		181,885
168,500	China Conch Venture Holdings Ltd		165,557
6,704,000	China Construction Bank Corp – Class H		3,586,981
116,000	China Dongxiang Group Co Ltd		3,987
780,000	China Energy Engineering Corp Ltd – Class H		90,377
601,000	China Everbright Environment Group Ltd		218,922
1,058,000	China Greenfresh Group Co Ltd * (e)		—
206,500	China Hongqiao Group Ltd (b)		205,555
294,000	China Lesso Group Holdings Ltd		161,689
233,645	China Medical System Holdings Ltd		336,510
236,000	China Overseas Grand Oceans Group Ltd		92,462
299,500	China Overseas Land & Investment Ltd		631,372
4,432,000	China Petroleum & Chemical Corp – Class H		2,591,417
2,237,042	China Railway Group Ltd – Class H		1,183,463
693,000	China Reinsurance Group Corp – Class H		45,011
654,500	China Resources Pharmaceutical Group Ltd		436,908
24,000	China Shineway Pharmaceutical Group Ltd		23,701
322,000	China State Construction International Holdings Ltd		358,142
72,000	China Traditional Chinese Medicine Holdings Co Ltd		28,145
1,776,400	China Zhongwang Holdings Ltd * (e)		—
1,181,000	CITIC Ltd		1,172,024
358,000	COSCO Shipping Holdings Co Ltd – Class H		367,123
630,000	CRRC Corp Ltd – Class H		310,194
1,444,000	CSPC Pharmaceutical Group Ltd		1,085,322
846,000	Dongfeng Motor Group Co Ltd – Class H		310,330
116,000	Dongyue Group Ltd		99,539
5,200	ENN Energy Holdings Ltd		40,797
35,000	Fosun International Ltd		21,878
219,000	Fufeng Group Ltd		116,330
46,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		129,015
409,000	Haier Smart Home Co Ltd – Class H		1,266,787
7,000	Hisense Home Appliances Group Co Ltd – Class H		18,475
99,750	Kingboard Holdings Ltd		226,357
93,800	Legend Holdings Corp – Class H		83,847
2,364,000	Lenovo Group Ltd		2,672,090

See accompanying notes to the financial statements. 22

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	China — continued
30,281	Livzon Pharmaceutical Group Inc – Class H		96,121
249,000	Lonking Holdings Ltd		44,402
147,500	Luye Pharma Group Ltd * (b)		54,164
593,000	Metallurgical Corp of China Ltd – Class H		129,253
23,500	NetDragon Websoft Holdings Ltd		45,547
141,000	Nexteer Automotive Group Ltd		90,740
2,974,000	PetroChina Co Ltd – Class H		2,145,342
1,978,000	PICC Property & Casualty Co Ltd – Class H		2,274,618
177,000	Ping An Insurance Group Co of China Ltd – Class H		1,059,725
245,000	Poly Property Group Co Ltd		56,891
248,300	Shanghai Pharmaceuticals Holding Co Ltd – Class H		408,240
124,000	Shougang Fushan Resources Group Ltd		35,734
616,000	Sino-Ocean Group Holding Ltd *		28,651
147,500	Sinopec Engineering Group Co Ltd – Class H		68,262
400,000	Sinopharm Group Co Ltd – Class H		1,160,769
300,000	Sinotruk Hong Kong Ltd		556,739
350,000	Skyworth Group Ltd		128,063
58,000	SSY Group Ltd		30,874
151,000	TCL Electronics Holdings Ltd * (b)		59,040
44,670	Tencent Holdings Ltd		1,851,140
28,000	Tianjin Port Development Holdings Ltd		1,960
164,000	Tianneng Power International Ltd (b)		174,708
42,400	Tongcheng-Elong Holdings Ltd *		95,021
148,000	Yadea Group Holdings Ltd		284,552
	Total China		34,425,866
	Colombia — 0.0%
13,360	Ecopetrol SA Sponsored ADR		156,045
	Czech Republic — 0.0%
55,773	Moneta Money Bank AS		207,749
212	Philip Morris CR AS		166,129
	Total Czech Republic		373,878
	Denmark — 0.7%
433	AP Moller – Maersk A/S – Class A (a)		773,805
1,014	AP Moller – Maersk A/S – Class B (a)		1,840,779
69,525	Danske Bank A/S		1,560,581
44,805	H Lundbeck A/S		226,968
7,240	ISS A/S		128,514
857	Matas A/S		13,255
24,191	Pandora A/S		2,505,178
1,288	Rockwool A/S – B Shares		328,723
2,359	Scandinavian Tobacco Group A/S		35,831
	Total Denmark		7,413,634
	Egypt — 0.1%
19,325	Abou Kir Fertilizers & Chemical Industries		33,039
172,573	Commercial International Bank Egypt SAE		318,328

Shares	Description	Value ($)
	Egypt — continued
249,818	Eastern Co SAE		164,296
24,934	Misr Fertilizers Production Co SAE		192,686
	Total Egypt		708,349
	Finland — 0.5%
10,767	Kemira Oyj		170,421
22,816	Neste Oyj		834,679
629,358	Nokia Oyj		2,516,845
116,766	Outokumpu Oyj		543,994
75,711	Stora Enso Oyj – R Shares		962,860
980	TietoEVRY Oyj (a)		23,961
27,206	UPM-Kymmene Oyj		931,058
1,264	Valmet Oyj		32,142
	Total Finland		6,015,960
	France — 3.9%
20,586	ALD SA (a)		199,004
8,819	APERAM SA		249,527
59,802	ArcelorMittal SA		1,588,616
5,688	Arkema SA		594,391
47,942	AXA SA (a)		1,440,412
470	Axway Software SA (a)		12,077
1,768	Beneteau SA		26,881
40,591	BNP Paribas SA		2,624,924
599	Boiron SA		33,713
52,380	Cie de Saint-Gobain SA		3,407,431
39,624	Cie Generale des Etablissements Michelin SCA		1,239,675
32,381	Coface SA		433,472
7,661	Credit Agricole SA		96,569
4,187	Derichebourg SA		22,857
24,505	Elis SA		467,678
5,667	Etablissements Maurel et Prom SA		27,105
52	HEXAOM *		862
12,898	Ipsen SA		1,670,863
7,970	IPSOS		398,846
1,716	Kering SA (a)		917,597
1,915	LVMH Moet Hennessy Louis Vuitton SE (a)		1,619,434
890	Mersen SA		40,448
3,149	Metropole Television SA		43,147
80,692	Orange SA (a)		905,902
31,096	Publicis Groupe SA		2,426,358
7,323	Quadient SA		150,793
31,970	Renault SA		1,289,966
27,886	Rexel SA		653,844
1,304	Rothschild & Co		54,624
13,560	Safran SA (a)		2,173,196
33,399	Sanofi		3,557,125
3,971	SMCP SA *		25,822
3,386	Societe BIC SA		216,418
112,277	Societe Generale SA		3,180,938
34,732	STMicroelectronics NV		1,641,434

23 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	France — continued
30,971	Technip Energies NV		716,782
43,773	Television Francaise 1		355,068
108,702	TotalEnergies SE (a)		6,818,756
12,681	Valeo SE		246,497
124,668	Vivendi SE		1,135,459
	Total France		42,704,511
	Germany — 1.2%
4,034	1&1 AG		59,932
109	Amadeus Fire AG		13,300
1,599	Aurubis AG		132,219
25,017	Bayer AG (Registered)		1,368,744
15,657	Bayerische Motoren Werke AG		1,646,789
9,737	Beiersdorf AG (a)		1,274,916
5,814	Continental AG		431,272
20,198	Deutz AG		94,767
141	Draegerwerk AG & Co KGaA		5,809
1,126	Elmos Semiconductor SE		81,394
31,244	Fresenius SE & Co KGaA (a)		1,001,658
1,621	Hamburger Hafen und Logistik AG		17,819
4,590	Heidelberg Materials AG		369,066
6,744	Henkel AG & Co KGaA (a)		466,066
427	Hornbach Holding AG & Co KGaA		33,578
1,847	HUGO BOSS AG		139,043
25,970	Kloeckner & Co SE		221,684
942	Krones AG		102,004
46,634	Mercedes-Benz Group AG (a)		3,412,433
56,212	ProSiebenSat.1 Media SE		445,561
1,106	RTL Group SA *		40,858
3,875	SAF-Holland SE		48,250
3,939	Salzgitter AG		115,896
1,641	Siemens AG (Registered) (a)		246,529
1,585	Siltronic AG		126,365
9,605	Suedzucker AG		154,945
8,362	Talanx AG *		562,121
686	Volkswagen AG		98,033
	Total Germany		12,711,051
	Greece — 0.1%
12,055	FF Group * (e)		—
14,100	Jumbo SA		435,540
15,172	Mytilineos SA		615,303
3,294	OPAP SA		55,621
5,900	Terna Energy SA		106,201
	Total Greece		1,212,665
	Hong Kong — 0.7%
104,400	ASMPT Ltd		1,044,721
26,600	Bank of East Asia Ltd (The)		37,883
95,500	BOC Hong Kong Holdings Ltd		265,327
29,000	Chow Sang Sang Holdings International Ltd		34,700
272,000	CITIC Telecom International Holdings Ltd		105,726

Shares	Description	Value ($)
	Hong Kong — continued
43,500	CK Asset Holdings Ltd		240,023
68,000	CK Hutchison Holdings Ltd		370,600
22,400	Dah Sing Financial Holdings Ltd		49,223
108,000	E-Commodities Holdings Ltd		19,380
214,000	First Pacific Co Ltd		91,106
116,573	Galaxy Entertainment Group Ltd *		770,513
104,000	Giordano International Ltd		39,905
34,500	Health & Happiness H&H International Holdings Ltd		44,951
14,000	Henderson Land Development Co Ltd		38,446
212,000	HKT Trust & HKT Ltd – Class SS		225,921
206,000	IGG Inc *		96,604
66,500	Johnson Electric Holdings Ltd		89,049
50,000	K Wah International Holdings Ltd		15,043
9,500	Kerry Logistics Network Ltd		8,925
68,500	Kerry Properties Ltd		126,572
31,800	Luk Fook Holdings International Ltd		78,798
38,000	New World Development Co Ltd		80,688
64,000	NWS Holdings Ltd		72,873
26,500	Orient Overseas International Ltd (a)		355,399
140,000	Pacific Basin Shipping Ltd		37,913
160,000	Pacific Textiles Holdings Ltd		34,045
234,000	Shun Tak Holdings Ltd *		32,761
98,000	SITC International Holdings Co Ltd		182,781
42,000	SmarTone Telecommunications Holdings Ltd		23,405
32,000	Sun Hung Kai Properties Ltd (a)		360,213
110,000	Swire Pacific Ltd – Class A		906,992
13,800	Swire Properties Ltd		28,839
28,000	Techtronic Industries Co Ltd		276,155
49,500	Texhong International Group Ltd		26,487
46,000	Texwinca Holdings Ltd		6,908
200,000	VSTECS Holdings Ltd		103,976
29,800	VTech Holdings Ltd		181,914
1,664,500	WH Group Ltd		857,209
36,000	Xinyi Glass Holdings Ltd		53,107
71,000	Yue Yuen Industrial Holdings Ltd		88,980
	Total Hong Kong		7,504,061
	Hungary — 0.3%
34,909	MOL Hungarian Oil & Gas Plc		263,983
53,491	OTP Bank Nyrt		2,181,221
18,704	Richter Gedeon Nyrt		468,337
	Total Hungary		2,913,541
	India — 2.7%
13,771	ACC Ltd		333,645
22,203	Apollo Tyres Ltd		104,044
42,762	Arvind Ltd		90,585
122	AU Small Finance Bank Ltd		1,063
24,692	Aurobindo Pharma Ltd		247,765
385	Bajaj Auto Ltd		21,420
7,274	Bandhan Bank Ltd		20,169

See accompanying notes to the financial statements. 24

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	India — continued
9,617	Cochin Shipyard Ltd		105,111
2,218	Colgate-Palmolive India Ltd		51,847
3,518	Coromandel International Ltd		46,376
191	Cummins India Ltd		3,922
2,077	Deepak Fertilisers & Petrochemicals Corp Ltd		15,191
9,928	Dhampur Bio Organics Ltd		19,746
2,992	Dr Reddy’s Laboratories Ltd		202,833
8,714	Dr Reddy’s Laboratories Ltd ADR		592,378
25,437	Engineers India Ltd		47,410
94,060	Exide Industries Ltd		303,993
1,326,421	GAIL India Ltd		1,846,856
4,013	GHCL Ltd		30,281
4,013	GHCL Textiles Ltd * (d)		3,694
36,752	Glenmark Pharmaceuticals Ltd		340,968
4,212	Great Eastern Shipping Co Ltd (The)		38,851
718	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		5,279
166,029	Gujarat State Fertilizers & Chemicals Ltd		352,360
64,369	HCL Technologies Ltd		912,820
38,112	HDFC Bank Ltd		724,236
15,538	HDFC Bank Ltd ADR		968,173
206,394	Hindalco Industries Ltd		1,147,477
1	Hindustan Aeronautics Ltd		47
34,735	Hindustan Petroleum Corp Ltd *		104,036
17,007	Hindustan Zinc Ltd		65,353
191,710	Indiabulls Housing Finance Ltd *		458,127
151,367	Indian Oil Corp Ltd		162,622
37,696	Infosys Ltd		653,718
17,800	Infosys Ltd Sponsored ADR (a)		309,186
84,119	IRCON International Ltd		115,804
809,759	ITC Ltd		4,296,535
14,776	Jio Financial Services Ltd *		42,836
83,713	Karnataka Bank Ltd (The)		224,181
4,676	L&T Finance Holdings Ltd		7,054
39,139	Mahindra & Mahindra Ltd		745,262
81,506	Manappuram Finance Ltd		151,788
4,122	Muthoot Finance Ltd		62,703
182,203	National Aluminium Co Ltd		206,922
61,090	NBCC India Ltd		37,997
26,883	NCC Ltd		55,967
476,705	NMDC Ltd		708,794
129,776	NMDC Steel Ltd *		88,669
244,971	NTPC Ltd		648,339
2,095,746	Oil & Natural Gas Corp Ltd		4,400,536
26,420	Oil India Ltd		86,925
869	Oracle Financial Services Software Ltd		43,063
108,799	Petronet LNG Ltd		282,763
423,629	Power Finance Corp Ltd		1,320,446
2,286	Rajesh Exports Ltd		13,798
24,064	Rashtriya Chemicals & Fertilizers Ltd		35,350
600,014	REC Ltd		1,723,550
41,191	Redington Ltd		78,188
14,776	Reliance Industries Ltd		429,436

Shares	Description	Value ($)
	India — continued
6,490	RITES Ltd		39,176
410	Shriram Finance Ltd		9,527
60,511	Sun Pharmaceutical Industries Ltd		812,370
21,574	Sun TV Network Ltd		160,937
4,576	Tata Consultancy Services Ltd		185,578
781,636	Tata Steel Ltd		1,165,779
19,615	Vardhman Textiles Ltd *		92,577
110,645	Vedanta Ltd		309,898
8,866	Welspun Corp Ltd		35,004
8,613	Wipro Ltd		42,587
54,109	Zydus Lifesciences Ltd		408,436
	Total India		29,400,357
	Indonesia — 0.4%
984,400	AKR Corporindo Tbk PT		90,443
411,700	Aneka Tambang Tbk		53,711
1,603,700	Astra International Tbk PT		678,533
2,659,400	Bank Central Asia Tbk PT		1,600,973
1,201,192	Bank Mandiri Persero Tbk PT		474,997
548,400	Bank Negara Indonesia Persero Tbk PT		330,250
2,588,500	Bank Pembangunan Daerah Jawa Timur Tbk PT		111,335
2,310,000	Bank Rakyat Indonesia Persero Tbk PT		841,524
492,700	Global Mediacom Tbk PT *		9,896
530,200	Indofood Sukses Makmur Tbk PT		247,033
2,482,700	Kalbe Farma Tbk PT		295,370
2,116,700	Media Nusantara Citra Tbk PT		72,961
1,026,800	Perusahaan Gas Negara Tbk PT		92,633
	Total Indonesia		4,899,659
	Ireland — 0.4%
9,210	AIB Group Plc		41,920
152,358	Bank of Ireland Group Plc		1,517,146
7,337	CRH Plc		422,124
12,774	Glanbia Plc		212,335
1,187	Kingspan Group Plc		100,295
15,644	Origin Enterprises Plc		55,634
9,611	Permanent TSB Group Holdings Plc *		21,798
16,307	Ryanair Holdings Plc Sponsored ADR * (a)		1,618,470
19,169	Smurfit Kappa Group Plc		804,149
	Total Ireland		4,793,871
	Israel — 0.2%
1,265	Check Point Software Technologies Ltd *		170,256
87,044	Oil Refineries Ltd		28,348
14,260	Teva Pharmaceutical Industries Ltd *		138,718
180,580	Teva Pharmaceutical Industries Ltd Sponsored ADR *		1,762,461
	Total Israel		2,099,783
	Italy — 1.6%
13,898	Anima Holding SPA		57,136
37,768	Assicurazioni Generali SPA (a)		782,288

25 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Italy — continued
17,128	Banca IFIS SPA		300,604
491,192	Banco BPM SPA		2,343,599
244,278	BPER Banca		735,588
15,729	CIR SPA-Compagnie Industriali *		6,733
22,116	Credito Emiliano SPA		184,726
200,699	Eni SPA		3,103,209
900	Eni SPA Sponsored ADR		27,864
6,234	Esprinet SPA		39,214
100,299	Intesa Sanpaolo SPA		267,839
125,299	Leonardo SPA		1,803,424
17,431	Mediobanca Banca di Credito Finanziario SPA		227,554
72,418	MFE-MediaForEurope NV – Class A		36,645
23,573	OVS SPA		58,932
28,928	Piaggio & C SPA		110,397
11,533	Poste Italiane SPA		128,027
204,648	Stellantis NV		3,798,932
3,613,805	Telecom Italia SPA * (b)		1,121,117
4,075	Tenaris SA ADR		130,115
27,887	UniCredit SPA		679,414
2,017	Unieuro SPA (b)		22,519
225,749	Unipol Gruppo SPA		1,257,004
	Total Italy		17,222,880
	Japan — 14.9%
5,100	Aichi Corp		33,384
1,000	Amada Co Ltd (b)		10,583
59,100	Amano Corp		1,288,249
3,400	AOKI Holdings Inc		24,362
1,900	Asahi Group Holdings Ltd (a)		73,920
2,700	Asahi Kasei Corp		17,428
22,900	Astellas Pharma Inc		346,485
6,800	Bandai Namco Holdings Inc		157,742
3,600	Bando Chemical Industries Ltd		37,943
11,700	Bridgestone Corp (a)		454,261
24,800	Brother Industries Ltd		419,704
32,000	Canon Inc (a)		787,650
4,400	Canon Marketing Japan Inc		115,442
2,900	Central Glass Co Ltd		58,363
1,600	Chiyoda Integre Co Ltd		30,727
26,400	Chugoku Marine Paints Ltd		258,404
69,400	Citizen Watch Co Ltd (b)		425,054
152,100	Credit Saison Co Ltd		2,377,299
1,100	Dai Nippon Toryo Co Ltd		7,307
42,800	Daicel Corp		357,288
1,500	Dai-Dan Co Ltd		30,743
5,400	Daido Steel Co Ltd (b)		223,218
1,300	Daiichi Jitsugyo Co Ltd		47,662
1,100	Daito Trust Construction Co Ltd		121,313
17,500	Daiwa House Industry Co Ltd		486,076
155,000	Daiwabo Holdings Co Ltd		3,141,842
154,800	Denka Co Ltd (b)		2,917,961
1,600	DTS Corp (a)		35,426
62,900	EXEO Group Inc		1,338,220

Shares	Description	Value ($)
	Japan — continued
115,200	Fuji Corp		1,899,009
12,600	Fuji Media Holdings Inc		131,540
50,200	FUJIFILM Holdings Corp		2,966,641
2,200	Fujitsu Ltd (a)		274,982
142,200	H.U. Group Holdings Inc		2,571,590
4,200	Hanwa Co Ltd		133,601
94,100	Haseko Corp (b)		1,168,329
24,500	Hitachi Construction Machinery Co Ltd		761,807
9,600	Hitachi Ltd (a)		638,037
52,100	Hogy Medical Co Ltd		1,143,143
63,900	Honda Motor Co Ltd (a)		2,065,016
10,838	Honda Motor Co Ltd Sponsored ADR (a)		350,392
4,200	Horiba Ltd		218,363
9,000	Hosiden Corp		111,931
30,200	Idemitsu Kosan Co Ltd		642,847
12,300	Inabata & Co Ltd		267,389
300,200	Inpex Corp		4,203,949
21,200	Isuzu Motors Ltd		271,393
107,000	ITOCHU Corp (a) (b)		4,015,637
500	Itochu-Shokuhin Co Ltd		21,037
8,000	Itoki Corp		76,034
17,200	J Front Retailing Co Ltd (b)		181,140
4,500	Jaccs Co Ltd		156,506
1,200	Japan Aviation Electronics Industry Ltd		25,263
15,300	Japan Petroleum Exploration Co Ltd		503,174
20,400	Japan Post Holdings Co Ltd (a)		156,400
129,800	Japan Tobacco Inc (a)		2,842,137
6,300	Kaga Electronics Co Ltd		285,907
59,300	Kajima Corp		990,473
3,500	Kamei Corp		35,305
10,500	Kandenko Co Ltd		96,193
200,100	Kanematsu Corp		2,816,584
7,700	Kao Corp		297,433
34,600	Kawasaki Kisen Kaisha Ltd (a)		1,159,486
74,800	KDDI Corp (a)		2,223,611
164,500	Kirin Holdings Co Ltd		2,309,456
22,900	Komatsu Ltd (a)		651,693
521	Komeri Co Ltd		11,001
61,000	Konoike Transport Co Ltd		854,055
117,100	K’s Holdings Corp		1,079,432
3,000	Kyokuto Kaihatsu Kogyo Co Ltd		37,317
51,300	Kyudenko Corp		1,578,539
1,400	Lawson Inc (b)		66,823
1,600	Life Corp		39,893
7,900	Macnica Holdings Inc		369,630
207,600	Macromill Inc		1,047,532
170,000	Mandom Corp		1,676,396
95,600	Marubeni Corp (a)		1,561,970
87,600	Maruichi Steel Tube Ltd		2,276,472
1,000	Maruzen Showa Unyu Co Ltd		27,170
1,300	Matsuda Sangyo Co Ltd		20,055
95,200	Maxell Ltd		1,031,768
93,000	Mazda Motor Corp		968,959
1,100	Melco Holdings Inc		24,261

See accompanying notes to the financial statements. 26

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Japan — continued
25,400	Mirarth Holdings Inc		81,582
42,900	Mitsubishi Corp (a)		2,116,039
246,800	Mitsubishi Electric Corp (a)		3,215,328
42,500	Mitsubishi Motors Corp		166,240
1,800	Mitsubishi Research Institute Inc (a)		62,007
490,200	Mitsubishi UFJ Financial Group Inc		3,910,658
46,300	Mitsui & Co Ltd (a)		1,724,458
3,100	Mitsui DM Sugar Holdings Co Ltd		63,584
67,000	Mitsui OSK Lines Ltd (a)		1,855,293
3,800	Mitsui-Soko Holdings Co Ltd		108,301
11,100	MIXI Inc		185,269
69,000	Mizuho Financial Group Inc		1,137,052
45,900	Morinaga & Co Ltd		1,668,118
28,900	MS&AD Insurance Group Holdings Inc		1,037,846
49,300	NEC Corp (a)		2,598,646
96,900	NH Foods Ltd		3,006,200
6,900	Nichias Corp		144,314
2,200	Nichiha Corp		47,143
5,200	Nichireki Co Ltd		74,370
2,000	Nippon Densetsu Kogyo Co Ltd		29,290
6,100	Nippon Soda Co Ltd		225,609
17,900	Nippon Steel Corp (a)		423,305
916,500	Nippon Telegraph & Telephone Corp (a)		1,058,223
14,500	Nippon Television Holdings Inc		135,093
108,200	Nippon Yusen KK (a)		2,878,595
92,900	Nissan Motor Co Ltd		395,031
900	Nisshin Oillio Group Ltd (The)		25,817
1,500	Nissin Corp		26,558
5,800	Niterra Co Ltd		134,598
600	Nittetsu Mining Co Ltd		21,019
3,600	Nitto Denko Corp (a) (b)		245,601
9,100	Nojima Corp		79,876
4,100	Nomura Real Estate Holdings Inc		103,170
1,600	Noritake Co Ltd		66,195
109,500	Obayashi Corp		991,714
3,800	Okamura Corp		56,647
400	Omron Corp (b)		19,301
17,200	Ono Pharmaceutical Co Ltd		324,941
18,100	ORIX Corp (a)		337,469
2,400	Osaka Soda Co Ltd		114,981
19,400	Otsuka Holdings Co Ltd		737,039
136,200	Pacific Industrial Co Ltd		1,332,871
14,400	PAL GROUP Holdings Co Ltd		203,096
107,700	Panasonic Holdings Corp (a)		1,239,632
197,700	Penta-Ocean Construction Co Ltd		1,174,995
2,200	Prima Meat Packers Ltd		38,234
6,900	Renesas Electronics Corp * (a)		114,952
500	Restar Holdings Corp		8,287
10,000	Ricoh Co Ltd		81,464
700	Rohm Co Ltd		58,385
800	Roland DG Corp		18,997
1,800	Ryobi Ltd (b)		35,002
15,600	San-A Co Ltd		526,215
2,900	Sangetsu Corp		60,109

Shares	Description	Value ($)
	Japan — continued
8,800	Sanki Engineering Co Ltd		97,371
3,200	Sankyo Co Ltd		139,353
69,100	Sankyu Inc		2,409,212
3,800	Santen Pharmaceutical Co Ltd		35,267
22,300	Sanwa Holdings Corp		339,326
25,500	Secom Co Ltd (a)		1,784,688
72,500	Seiko Epson Corp		1,135,234
25,500	Sekisui Chemical Co Ltd		391,103
143,500	Sekisui House Ltd		2,924,443
2,900	Sekisui Jushi Corp		50,063
5,800	Shimamura Co Ltd		597,828
74,800	Shimizu Corp		503,250
24,500	Shionogi & Co Ltd		1,076,023
2,100	Shizuoka Gas Co Ltd (a)		14,743
800	Sinanen Holdings Co Ltd		22,026
1,500	Sinko Industries Ltd		20,744
13,600	SKY Perfect JSAT Holdings Inc		61,826
104,960	Sojitz Corp (b)		2,255,024
3,300	Sompo Holdings Inc		143,608
136,800	Stanley Electric Co Ltd		2,399,865
1,200	Star Micronics Co Ltd		15,484
57,500	Subaru Corp		1,105,344
190,000	SUMCO Corp		2,537,591
52,600	Sumitomo Chemical Co Ltd		145,614
109,200	Sumitomo Corp		2,245,851
13,800	Sumitomo Electric Industries Ltd		168,944
78,900	Sumitomo Forestry Co Ltd		2,220,337
2,800	Sumitomo Heavy Industries Ltd		70,082
74,000	Sumitomo Mitsui Financial Group Inc		3,383,018
67,700	Sumitomo Mitsui Trust Holdings Inc		2,535,961
800	Sumitomo Seika Chemicals Co Ltd		24,830
5,100	Suzuki Motor Corp		200,391
205,300	T&D Holdings Inc		3,253,886
25,400	Taisei Corp		854,862
200	Takasago Thermal Engineering Co Ltd		4,023
2,000	Tamron Co Ltd		61,750
2,900	TBS Holdings Inc		51,264
26,200	TDK Corp		953,604
144,600	Teijin Ltd		1,468,273
136,000	THK Co Ltd		2,483,664
5,500	Toho Holdings Co Ltd (b)		110,062
215,300	Tokai Carbon Co Ltd		1,700,491
94,000	Tokyo Gas Co Ltd (a)		2,175,212
43,800	Tokyo Seimitsu Co Ltd		2,412,246
68,300	Toppan Inc (a)		1,649,848
152,400	Tosei Corp		1,917,479
64,300	Tosoh Corp		832,029
5,300	Toyo Construction Co Ltd		40,351
1,600	Toyo Ink SC Holdings Co Ltd		24,922
18,000	Toyota Industries Corp		1,270,952
28,300	Toyota Tsusho Corp		1,684,660
3,700	TV Asahi Holdings Corp		42,079
4,100	Wacoal Holdings Corp		90,170
9,100	YAMABIKO Corp		91,972

27 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Japan — continued
123,400	Yamaha Motor Co Ltd		3,193,131
5,300	Yamazen Corp		41,539
2,800	Yellow Hat Ltd		36,277
57,600	Yokogawa Bridge Holdings Corp		1,091,360
2,900	Yuasa Trading Co Ltd		85,115
49,400	Zenkoku Hosho Co Ltd		1,711,510
	Total Japan		163,870,691
	Kuwait — 0.0%
12,821	Humansoft Holding Co KSC		134,209
	Malaysia — 0.1%
74,400	AMMB Holdings Bhd		59,853
40,100	Hartalega Holdings Bhd		16,889
39,400	IOI Corp Bhd		34,232
116,300	Kossan Rubber Industries Bhd		32,339
93,700	KPJ Healthcare Bhd		23,457
54,600	MISC Bhd		84,641
140,900	Petronas Chemicals Group Bhd		216,230
28,800	PPB Group Bhd		97,562
107,700	Telekom Malaysia Bhd		118,460
612,100	Top Glove Corp Bhd *		100,979
	Total Malaysia		784,642
	Mexico — 1.2%
124,453	Arca Continental SAB de CV		1,215,297
63,400	Banco del Bajio SA		199,602
7,021	Cemex SAB de CV Sponsored ADR*		55,957
4,845	Coca-Cola Femsa SAB de CV Sponsored ADR		410,565
495,200	Credito Real SAB de CV SOFOM ER * (e)		—
28,310	El Puerto de Liverpool SAB de CV – Class C1		176,065
196,524	Fomento Economico Mexicano SAB de CV		2,200,313
2,461	Fomento Economico Mexicano SAB de CV Sponsored ADR		276,912
35,200	Gentera SAB de CV		42,879
5,339	Grupo Aeroportuario del Centro Norte SAB de CV		61,921
400	Grupo Aeroportuario del Centro Norte SAB de CV ADR		37,040
10,788	Grupo Aeroportuario del Sureste SAB de CV – Class B		293,672
524	Grupo Aeroportuario del Sureste SAB de CV ADR		142,675
14,700	Grupo Bimbo SAB de CV – Series A		72,325
470,436	Grupo Financiero Banorte SAB de CV – Class O		3,993,208
403,388	Grupo Mexico SAB de CV – Series B		1,928,162
36,600	Qualitas Controladora SAB de CV		287,940
16,500	Regional SAB de CV		121,564
8,151	Unifin Financiera SAB de CV * (e)		—
301,423	Wal-Mart de Mexico SAB de CV		1,188,332
	Total Mexico		12,704,429

Shares	Description	Value ($)
	Netherlands — 2.1%
155,421	ABN AMRO Bank NV CVA GDR		2,286,228
337,063	Aegon NV (b)		1,727,445
5,333	AerCap Holdings NV *		328,086
2,034	Akzo Nobel NV (a)		165,127
4,117	ASR Nederland NV		180,014
52,207	EXOR NV		4,620,162
9,049	ForFarmers NV (b)		24,015
41,188	ING Groep NV		583,593
35,666	JDE Peet’s NV (b)		992,744
122,447	Koninklijke Ahold Delhaize NV (a)		4,005,242
124,283	Koninklijke Philips NV * (a)		2,792,835
14,347	Koninklijke Vopak NV		517,263
49,699	NN Group NV (b)		1,913,188
25,544	Randstad NV (a)		1,499,052
23,035	Signify NV		651,138
11,652	TomTom NV * (a)		92,468
4,376	Van Lanschot Kempen NV		129,583
	Total Netherlands		22,508,183
	New Zealand — 0.0%
83,962	Meridian Energy Ltd (a)		268,579
	Norway — 0.5%
18,759	BW LPG Ltd		227,272
11,602	DNB Bank ASA		229,331
168,264	Elkem ASA		347,475
124,698	Equinor ASA (a)		3,829,627
47,115	Europris ASA		268,119
23,601	Hoegh Autoliners ASA		164,479
18,539	Odfjell Drilling Ltd *		62,982
3,159	Selvaag Bolig ASA		8,830
4,613	Stolt-Nielsen Ltd		114,708
24,753	Wallenius Wilhelmsen ASA		200,228
	Total Norway		5,453,051
	Pakistan — 0.0%
48,525	Oil & Gas Development Co Ltd		14,909
108,203	Pakistan Petroleum Ltd		23,441
	Total Pakistan		38,350
	Panama — 0.0%
297,879	BAC Holding International Corp		15,584
	Philippines — 0.0%
233,080	Megaworld Corp		8,190
	Poland — 0.4%
5,274	Asseco Poland SA		93,687
37,173	Bank Polska Kasa Opieki SA		970,440
2,969	Budimex SA		323,014
30,033	Cyfrowy Polsat SA		98,697
15,419	Orange Polska SA		26,743
140,540	ORLEN SA		2,145,605

See accompanying notes to the financial statements. 28

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Poland — continued
21,746	PGE Polska Grupa Energetyczna SA *		44,638
35,043	Powszechny Zaklad Ubezpieczen SA		350,950
613	Santander Bank Polska SA *		55,151
	Total Poland		4,108,925
	Portugal — 0.1%
120,207	EDP – Energias de Portugal SA		547,675
43,766	Navigator Co SA (The)		160,142
521,625	Sonae SGPS SA		549,497
	Total Portugal		1,257,314
	Qatar — 0.0%
70,560	Ooredoo QPSC		209,363
3,634	Qatar Gas Transport Co Ltd		3,699
14,520	Qatar National Cement Co QSC		13,952
	Total Qatar		227,014
	Russia — 0.0%
3,038,020	Alrosa PJSC * (e) (f)		25,797
10,190	Detsky Mir PJSC * (e)		73
160,792,062	Federal Grid Co Unified Energy System PJSC * (e)		2,210
68,395	Fix Price Group Plc GDR* (e)		1,531
180,610	Gazprom Neft PJSC (e)		12,283
2,050,858	Gazprom PJSC * (e)		38,102
7,736	Globaltrans Investment Plc Sponsored GDR (Registered) * (e)		260
6,310,100	Inter RAO UES PJSC (e)		2,758
19,776	LSR Group PJSC (e)		1,543
1	LSR Group PJSC GDR (Registered) * (e)		—
74,944	LUKOIL PJSC (e)		53,389
423	Magnit PJSC (e)		268
1,863,335	Magnitogorsk Iron & Steel Works PJSC * (e) (f)		10,807
25,400	Mechel PJSC * (e)		547
4,554	MMC Norilsk Nickel PJSC * (e)		8,005
1	MMC Norilsk Nickel PJSC ADR * (e)		—
16,770	Mobile TeleSystems PJSC (e)		497
20,400	Mobile TeleSystems PJSC ADR* (e)		1,207
361,420	Moscow Exchange MICEX-RTS PJSC (e)		6,491
3,294,000	Mosenergo PJSC (e)		1,046
75,720	Novatek PJSC (e)		13,325
1,212,010	Novolipetsk Steel PJSC * (e)		25,559
3,466	PhosAgro PJSC (e)		2,642
67	PhosAgro PJSC GDR * (e) (f)		17
10,215	Polyus PJSC * (e) (f)		12,435
1	Polyus PJSC GDR (Registered) * (e) (f)		1
5,248	Ros Agro Plc GDR (Registered) * (e)		678
24,471,200	RusHydro PJSC (e)		2,529
3,677,652	Sberbank of Russia PJSC (e) (f)		101,613
425	Severstal PAO * (e) (f)		63
91,185	Severstal PJSC GDR (Registered) * (e) (f)		13,496
11,580	SFI PJSC * (e)		658

Shares	Description	Value ($)
	Russia — continued
5,940,620	Surgutneftegas PJSC (e)		19,422
332,388	Tatneft PJSC (e)		20,451
1,300,440	Unipro PJSC * (e)		324
50,950	United Co Rusal International PJSC * (e)		223
8,456	X5 Retail Group NV GDR (Registered) * (e)		879
	Total Russia		381,129
	Saudi Arabia — 0.2%
20,844	Almarai Co JSC		352,026
3,465	Co for Cooperative Insurance (The)		107,110
85,105	Emaar Economic City *		190,829
4,013	Etihad Etisalat Co		48,277
23,344	Jarir Marketing Co		91,852
4,026	Saudi Basic Industries Corp		94,817
82,481	Saudi Telecom Co		875,238
	Total Saudi Arabia		1,760,149
	Singapore — 0.6%
26,700	AIMS APAC (REIT)		24,889
39,000	Bumitama Agri Ltd		15,861
265,400	ComfortDelGro Corp Ltd		249,186
20,735	DBS Group Holdings Ltd		510,364
35,500	First Real Estate Investment Trust (b)		6,696
84,500	First Resources Ltd		96,791
1,013,400	Golden Agri-Resources Ltd		187,291
159,400	Japfa Ltd		27,706
281,000	Keppel Corp Ltd		1,441,580
73,300	Oversea-Chinese Banking Corp Ltd		680,100
40,900	Sasseur Real Estate Investment Trust		21,172
41,100	Sembcorp Industries Ltd		162,628
37,700	Sheng Siong Group Ltd		42,390
74,700	StarHub Ltd		56,355
22,500	United Overseas Bank Ltd		472,666
6,200	UOL Group Ltd		30,439
17,200	Venture Corp Ltd		166,712
37,700	Wilmar International Ltd		105,382
110,999	Yangzijiang Financial Holding Ltd (b)		29,949
1,622,599	Yangzijiang Shipbuilding Holdings Ltd		2,027,854
134,400	Yanlord Land Group Ltd *		67,089
	Total Singapore		6,423,100
	South Africa — 1.6%
222,717	Absa Group Ltd		2,147,331
9,322	African Rainbow Minerals Ltd		88,033
43,268	Anglo American Platinum Ltd		1,508,941
16,389	AngloGold Ashanti Ltd Sponsored ADR		278,613
29,816	Aspen Pharmacare Holdings Ltd		272,033
9,346	Astral Foods Ltd		84,610
46,951	AVI Ltd		179,640
26,342	Barloworld Ltd		118,152
1,582	Bid Corp Ltd		35,522
47,683	Bidvest Group Ltd (The)		719,423

29 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	South Africa — continued
466	Capitec Bank Holdings Ltd		39,082
8,620	Clicks Group Ltd		124,798
7,300	DRDGOLD Ltd Sponsored ADR		74,606
499,471	FirstRand Ltd		1,940,652
83,822	Foschini Group Ltd (The)		462,636
34,466	Gold Fields Ltd Sponsored ADR		435,306
234,115	Impala Platinum Holdings Ltd		1,205,254
37,005	Investec Ltd		217,094
60,507	Kumba Iron Ore Ltd		1,324,998
17,129	Lewis Group Ltd		33,762
10,032	Metair Investments Ltd *		9,839
32,649	Motus Holdings Ltd		175,323
71,980	Mr Price Group Ltd		503,773
22,078	MTN Group Ltd		140,397
52,600	MultiChoice Group		218,546
2,138	Naspers Ltd – N Shares		362,892
45,212	Nedbank Group Ltd		517,524
14,456	Ninety One Ltd		30,574
291,452	Old Mutual Ltd		195,197
76,723	Pepkor Holdings Ltd		66,167
25,065	Pick n Pay Stores Ltd		46,277
8,062	Raubex Group Ltd		11,035
3,872	Remgro Ltd		32,474
20,426	Reunert Ltd		64,869
257,788	RMB Holdings Ltd		6,546
47,894	Sanlam Ltd		172,178
183,803	Sappi Ltd		389,631
16,274	Shoprite Holdings Ltd		227,124
311,146	Sibanye Stillwater Ltd		469,469
110,273	Sibanye Stillwater Ltd ADR		667,152
15,815	SPAR Group Ltd (The)		86,322
35,859	Tiger Brands Ltd		309,739
209,332	Truworths International Ltd		803,378
43,815	Vodacom Group Ltd		249,916
199,764	Woolworths Holdings Ltd		785,073
37,545	Zeda Ltd *		23,614
	Total South Africa		17,855,515
	South Korea — 2.8%
407	BGF retail Co Ltd		48,124
69,146	BNK Financial Group Inc		356,446
11,193	Cheil Worldwide Inc		159,556
4,640	CJ Corp		246,788
9,260	Coway Co Ltd		302,367
10,450	Daou Data Corp		117,312
3,404	DB Insurance Co Ltd		210,222
49,509	Dongwon Development Co Ltd		129,159
13,998	E-MART Inc		780,613
2,329	Fila Holdings Corp		66,687
17,177	GS Holdings Corp		487,533
1,832	GS Retail Co Ltd		32,760
28,506	Hana Financial Group Inc		851,834
1,994	Handsome Co Ltd		28,601

Shares	Description	Value ($)
	South Korea — continued
22,521	Hankook Tire & Technology Co Ltd		659,215
25,723	HDC Hyundai Development Co-Engineering & Construction		200,604
53,144	Humasis Co Ltd *		100,984
183	Hyundai Department Store Co Ltd		9,600
4,986	Hyundai Glovis Co Ltd		650,132
874	Hyundai Home Shopping Network Corp		28,833
9,849	Hyundai Mobis Co Ltd		1,719,487
619	Hyundai Motor Co		88,445
3,096	Industrial Bank of Korea		25,187
1,388	INTOPS Co Ltd		30,994
25,673	JB Financial Group Co Ltd		188,408
1,733	KB Financial Group Inc ADR		69,961
2,746	KC Co Ltd		36,440
75	KCC Corp		12,381
1,095	KCC Glass Corp		34,654
70,100	Kia Corp		4,249,043
564	KIWOOM Securities Co Ltd		44,018
187	Korea Investment Holdings Co Ltd		7,346
20,967	KT Skylife Co Ltd		100,695
67,749	KT&G Corp		4,451,195
4,274	Kumho Petrochemical Co Ltd		402,978
2,360	LF Corp		26,014
7,326	LG Corp		454,492
33,268	LG Electronics Inc		2,475,855
6,660	LOTTE Fine Chemical Co Ltd		304,026
9,056	LX International Corp		207,643
7,480	Mirae Asset Securities Co Ltd		37,649
687	NH Investment & Securities Co Ltd		5,349
80	NongShim Co Ltd		27,727
1,972	Orion Corp		181,616
1,287	POSCO Holdings Inc		562,732
27,109	POSCO Holdings Inc Sponsored ADR (a)		2,975,484
2,741	PSK Inc		38,793
62,034	Samsung Electronics Co Ltd		3,137,447
560	Samsung Electronics Co Ltd GDR (Registered) (a)		705,817
49	Samyang Foods Co Ltd		7,199
7,823	SD Biosensor Inc		73,990
10,771	SK Networks Co Ltd		58,716
23,447	SK Square Co Ltd *		798,836
1,986	SL Corp		53,704
115,886	Woori Financial Group Inc		1,042,572
12,429	Woori Technology Investment Co Ltd *		32,882
4,938	Youngone Corp		200,412
	Total South Korea		30,337,557
	Spain — 1.9%
130,509	Acerinox SA		1,310,620
22,724	Amadeus IT Group SA (a)		1,559,172
17,671	Atresmedia Corp de Medios de Comunicacion SA		70,197
709,871	Banco Bilbao Vizcaya Argentaria SA		5,600,804
2,496,139	Banco de Sabadell SA		2,886,936

See accompanying notes to the financial statements. 30

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Spain — continued
1,002,086	Banco Santander SA		3,911,751
18,156	Cia de Distribucion Integral Logista Holdings SA		492,030
596	Grupo Catalana Occidente SA		19,765
68,337	Industria de Diseno Textil SA (a)		2,618,083
13,089	Prosegur Cia de Seguridad SA		22,842
131,445	Repsol SA		2,031,627
	Total Spain		20,523,827
	Sweden — 0.7%
19,484	Betsson AB – Class B* (a)		218,011
36,684	Fabege AB (b)		313,983
193,706	Fastighets AB Balder – B Shares* (b)		925,841
19,479	Investor AB – B Shares (a)		374,928
3,854	JM AB		50,738
61,439	Kinnevik AB – Class B* (b)		721,432
48,529	Nordea Bank Abp		531,648
1,476	Peab AB – Class B		5,990
11,683	Skandinaviska Enskilda Banken AB –Class A		135,448
25,714	Skanska AB – B Shares		376,414
190,166	SSAB AB – A Shares		1,090,864
38,967	SSAB AB – B Shares		215,667
13,784	Svenska Cellulosa AB SCA – Class B		183,492
98,017	Svenska Handelsbanken AB – A Shares		817,859
246,870	Telefonaktiebolaget LM Ericsson – B Shares		1,266,933
4,640	Volvo AB – A Shares		94,906
20,405	Volvo AB – B Shares (a)		411,234
24,175	Volvo Car AB – Class B*		91,784
	Total Sweden		7,827,172
	Switzerland — 1.4%
2,320	ABB Ltd (Registered) (a)		88,225
56,182	Adecco Group AG (Registered) (a)		2,416,674
393	Bobst Group SA (Registered)		31,588
314	Cembra Money Bank AG		22,862
556	Galenica AG		44,124
1,751	Holcim Ltd (a)		115,794
33,603	Logitech International SA (Registered) (c)		2,324,740
911	Logitech International SA (Registered) (c)		62,695
2,157	Mobilezone Holding AG (Registered)		33,650
13,239	Novartis AG (Registered) (a)		1,332,396
24,609	Novartis AG Sponsored ADR		2,472,712
1,009	Roche Holding AG		314,463
18,105	Roche Holding AG – Genusschein (a)		5,313,604
260	Swiss Life Holding AG (Registered)		162,829
284	Swisscom AG (Registered) (a)		172,924
1,974	u-blox Holding AG		175,974
5,147	UBS Group AG (Registered) (a)		136,327
134	Zurich Insurance Group AG (a)		62,832
	Total Switzerland		15,284,413

Shares	Description	Value ($)
	Taiwan — 3.4%
114,560	Acer Inc		131,352
3,414	Acter Group Corp Ltd		16,754
328,650	AmTRAN Technology Co Ltd		125,751
68,475	ASE Technology Holding Co Ltd ADR		562,865
101,035	Asustek Computer Inc		1,272,939
19,000	Aten International Co Ltd		48,806
8,400	Aurora Corp		20,019
434,000	Catcher Technology Co Ltd		2,455,551
177,000	Chicony Electronics Co Ltd		573,926
231,000	Chipbond Technology Corp		505,669
25,000	ChipMOS Technologies Inc		30,068
1,000	Chlitina Holding Ltd		5,943
9,280	Chong Hong Construction Co Ltd		21,043
307,000	Compal Electronics Inc		306,523
41,440	Coretronic Corp		102,654
87,000	Delta Electronics Inc		940,200
13,640	Elan Microelectronics Corp		51,338
559,200	Evergreen Marine Corp Taiwan Ltd		1,867,464
91,000	Farglory Land Development Co Ltd		158,750
174,960	First Financial Holding Co Ltd		144,398
42,701	FLEXium Interconnect Inc		121,659
80,000	Formosa Plastics Corp		199,713
144,821	Foxconn Technology Co Ltd		252,730
305,765	Fubon Financial Holding Co Ltd		609,745
12,080	Fusheng Precision Co Ltd		75,052
11,560	Getac Technology Corp		25,473
237,000	Grand Pacific Petrochemical		124,950
2,000	Grape King Bio Ltd		9,652
7,000	Holtek Semiconductor Inc		13,822
1,177,318	Hon Hai Precision Industry Co Ltd		3,930,761
69,000	Huaku Development Co Ltd		193,890
30,279	Innodisk Corp		265,732
44,000	Inventec Corp		77,513
47,000	King’s Town Bank Co Ltd		54,479
31,000	Kung Long Batteries Industrial Co Ltd		129,396
30,000	Largan Precision Co Ltd		1,926,874
108,000	Lite-On Technology Corp ADR		461,707
1,807	Makalot Industrial Co Ltd		18,955
59,000	MediaTek Inc		1,301,154
5,408	Merry Electronics Co Ltd		14,609
246,000	Micro-Star International Co Ltd		1,230,137
194,000	Mitac Holdings Corp		245,941
45,280	Nan Ya Plastics Corp		93,973
77,903	Nantex Industry Co Ltd		88,934
17,000	Nichidenbo Corp		28,313
5,800	Nien Made Enterprise Co Ltd		54,358
110,000	Novatek Microelectronics Corp		1,375,098
9,000	Phison Electronics Corp		119,338
460,000	Pou Chen Corp		412,743
40,000	Primax Electronics Ltd		83,073
223,472	Radiant Opto-Electronics Corp		837,517
1,000	Raydium Semiconductor Corp		10,080
83,400	Ruentex Industries Ltd		162,943
31,760	Shin Zu Shing Co Ltd		82,345

31 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Taiwan — continued
50,000	Shinkong Insurance Co Ltd		90,099
48,900	Simplo Technology Co Ltd		471,594
6,945	Sinmag Equipment Corp		26,464
28,080	Syncmold Enterprise Corp		53,040
11,000	T3EX Global Holdings Corp		25,677
19,000	TaiDoc Technology Corp *		102,369
223,000	Taiwan Semiconductor Manufacturing Co Ltd		3,831,798
15,364	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		1,437,609
12,000	Taiwan Union Technology Corp		46,963
22,400	Teco Electric and Machinery Co Ltd		35,057
7,360	Test Research Inc		13,818
36,681	TOPBI International Holdings Ltd *		12,729
40,000	Transcend Information Inc		90,856
76,000	Tripod Technology Corp		450,124
12,000	TTY Biopharm Co Ltd		28,506
20,000	Tung Ho Steel Enterprise Corp		37,590
39,624	United Integrated Services Co Ltd		269,908
196,000	United Microelectronics Corp		279,839
15,400	United Microelectronics Corp Sponsored ADR		110,418
148,000	Universal Inc		105,379
339,850	Wan Hai Lines Ltd		482,402
81,000	Win Semiconductors Corp		345,909
727,000	Wistron Corp		2,657,805
4,000	Yageo Corp		60,765
1,224,000	Yang Ming Marine Transport Corp		1,621,238
804,895	Yuanta Financial Holding Co Ltd		615,884
6,000	Yulon Nissan Motor Co Ltd		35,070
9,669	Zeng Hsing Industrial Co Ltd		30,490
32,000	Zhen Ding Technology Holding Ltd		96,875
	Total Taiwan		37,440,947
	Thailand — 0.9%
1,583,100	AP Thailand Pcl NVDR		573,925
65,600	Bangchak Corp Pcl NVDR		72,541
457,700	Bangkok Bank Pcl NVDR		2,214,278
58,000	Bangkok Dusit Medical Services Pcl NVDR		46,362
136,900	Carabao Group Pcl NVDR		336,215
69,100	GFPT Pcl NVDR		21,507
150,500	Kasikornbank Pcl NVDR		560,633
6,042,400	Krung Thai Bank Pcl NVDR		3,328,612
53,632	Pruksa Holding Pcl NVDR		20,512
218,100	PTT Exploration & Production Pcl NVDR		987,388
36,600	Regional Container Lines Pcl NVDR		22,563
5,420,900	Sansiri Pcl NVDR		315,588
12,800	Siam Cement Pcl NVDR (The)		114,353
91,100	Somboon Advance Technology Pcl NVDR		49,401
196,600	Sri Trang Agro-Industry Pcl NVDR		81,922
154,700	Sri Trang Gloves Thailand Pcl NVDR		32,015
235,700	Srisawad Corp Pcl NVDR		343,277
23,760	Supalai Pcl (Foreign Registered)		14,717

Shares	Description	Value ($)
	Thailand — continued
105,700	Supalai Pcl NVDR		65,471
91,100	Thai Oil Pcl NVDR		133,986
136,500	Thai Union Group Pcl NVDR		55,728
88,000	Thai Vegetable Oil Pcl NVDR		58,787
	Total Thailand		9,449,781
	Turkey — 0.7%
2,346,575	Akbank TAS		2,524,323
15,510	Anadolu Efes Biracilik Ve Malt Sanayii AS		62,558
289,450	Aselsan Elektronik Sanayi Ve Ticaret AS		416,073
14,933	Dogus Otomotiv Servis ve Ticaret AS		159,424
324,739	Haci Omer Sabanci Holding AS		726,084
76,580	Is Yatirim Menkul Degerler AS		121,666
228,140	KOC Holding AS		1,210,546
232,535	Qua Granite Hayal *		60,466
1,665	Turk Traktor ve Ziraat Makineleri AS		56,688
376,428	Turkcell Iletisim Hizmetleri AS *		785,011
2,602,844	Yapi ve Kredi Bankasi AS		1,545,896
	Total Turkey		7,668,735
	United Arab Emirates — 0.0%
266,430	Abu Dhabi National Oil Co for Distribution PJSC		276,304
47,718	Emirates NBD Bank PJSC		212,334
	Total United Arab Emirates		488,638
	United Kingdom — 4.2%
217,582	3i Group Plc		5,479,029
54,388	Aberdeen Plc		113,457
3,173	AG Barr Plc		19,590
13,289	Anglo American Plc		353,377
91,851	Balfour Beatty Plc		380,288
4,859	Bank of Georgia Group Plc		214,354
352,294	Barclays Plc		656,203
51,436	Barclays Plc Sponsored ADR		386,284
356,497	Barratt Developments Plc		2,043,609
29,519	Bellway Plc		797,707
38,337	Berkeley Group Holdings Plc (The)		1,969,607
35,145	BP Plc Sponsored ADR (a)		1,306,691
73,501	British American Tobacco Plc (a)		2,434,672
44,318	British American Tobacco Plc Sponsored ADR (a)		1,471,358
1,985,636	BT Group Plc (a)		2,904,809
11,371	Burberry Group Plc		313,949
33,447	Centamin Plc		37,148
8,656	Central Asia Metals Plc		21,921
695,596	Centrica Plc (a)		1,335,102
79,864	Coca-Cola HBC AG		2,300,634
74,943	Compass Group Plc (a)		1,889,816
26,649	Crest Nicholson Holdings Plc		60,834
23,265	Evraz Plc * (e)		603
155,723	Ferrexpo Plc *		152,500
1,720	Galliford Try Holdings Plc		4,270

See accompanying notes to the financial statements. 32

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United Kingdom — continued
19,945	GSK Plc		349,355
39,549	GSK Plc Sponsored ADR		1,389,356
336,226	HSBC Holdings Plc		2,480,409
3,564	HSBC Holdings Plc Sponsored ADR (a)		133,009
32,450	IG Group Holdings Plc		277,744
42,030	Imperial Brands Plc		951,626
17,373	International Personal Finance Plc		27,401
19,168	Investec Plc		113,219
533,873	ITV Plc		477,417
370,814	J Sainsbury Plc		1,268,092
4,789	Keller Group Plc		46,669
494,884	Kingfisher Plc		1,466,585
722,413	Lloyds Banking Group Plc		385,958
24,872	Marks & Spencer Group Plc *		71,338
4,385	Mondi Plc		72,838
62,388	Moneysupermarket.com Group plc		196,154
7,241	Morgan Advanced Materials Plc		24,085
6,762	Morgan Sindall Group Plc		168,683
77,520	OSB Group Plc		334,499
9,042	Paragon Banking Group Plc		60,268
40,562	Persimmon Plc		546,827
24,382	Plus500 Ltd		440,958
32,369	Premier Foods Plc		50,574
35,451	Redde Northgate Plc		144,133
71,034	Redrow Plc		426,990
11,124	Rio Tinto Plc (a)		685,067
6,783	Serica Energy Plc		21,461
58,612	Shell Plc (a)		1,792,077
15,165	Spirent Communications Plc		30,124
43,564	Standard Chartered Plc		391,976
405,705	Taylor Wimpey Plc		586,324
3,340	TBC Bank Group Plc		120,290
92,067	Tesco Plc		309,739
5,809	Unilever Plc Sponsored ADR (a)		296,375
22,253	Vesuvius Plc		124,117
940,967	Vodafone Group Plc (a)		872,326
224,574	Vodafone Group Plc Sponsored ADR (a)		2,093,030
1,218	Whitbread Plc		52,975
55,689	WPP Plc (a)		539,816
	Total United Kingdom		46,467,696
	United States — 18.5%
22,222	3M Co. (a)		2,370,421
1,987	Academy Sports & Outdoors, Inc.		108,431
151	Acuity Brands, Inc.		24,353
972	Adtalem Global Education, Inc. * (a)		42,622
1,494	Affiliated Managers Group, Inc.		200,211
2,248	Aflac, Inc. (a)		167,633
2,439	AGCO Corp.		315,924
1,231	Akamai Technologies, Inc. * (a)		129,366
1,117	Allison Transmission Holdings, Inc.		67,523
67,348	Ally Financial, Inc.		1,864,866
29,027	Alphabet, Inc. – Class A* (a)		3,952,607

Shares	Description	Value ($)
	United States — continued
16,025	Alphabet, Inc. – Class C* (a)		2,201,034
15,198	American Express Co. (a)		2,401,132
5,698	Archer-Daniels-Midland Co. (a)		451,851
15,037	Arrow Electronics, Inc. *		2,006,387
900	Aspen Technology, Inc. * (a)		174,600
52,600	AT&T, Inc. (a)		777,954
474	Atkore, Inc. *		72,982
798	AutoNation, Inc. *		125,358
4,000	Avnet, Inc.		203,000
62,918	Bank of America Corp. (a)		1,803,859
13,737	Bank of New York Mellon Corp. (The) (a)		616,379
17,432	Best Buy Co., Inc.		1,332,676
2,206	Biogen, Inc. *		589,796
3,938	Bio-Rad Laboratories, Inc. – Class A*		1,575,988
738	Booking Holdings, Inc. * (a)		2,291,512
80,151	BorgWarner, Inc.		3,266,153
20,832	Bristol-Myers Squibb Co. (a)		1,284,293
2,888	Brunswick Corp.		228,499
10,790	Builders FirstSource, Inc. *		1,564,982
23,552	Capital One Financial Corp. (a)		2,411,489
8,949	CarMax, Inc. *		730,954
25,688	Carrier Global Corp. (a)		1,475,776
1,200	Carter’s, Inc.		85,884
580	Caterpillar, Inc. (a)		163,055
17,651	CBRE Group, Inc. – Class A* (a)		1,501,218
21,650	Centene Corp. * (a)		1,334,723
19,015	Chesapeake Energy Corp.		1,677,313
15,210	Chevron Corp. (a)		2,450,331
3,550	Cigna Group (The) (a)		980,723
29,138	Cisco Systems, Inc. (a)		1,671,064
59,184	Citigroup, Inc. (a)		2,443,707
94,438	Cleveland-Cliffs, Inc. *		1,443,957
35,055	Cognizant Technology Solutions Corp. – Class A (a)		2,510,289
84,055	Comcast Corp. – Class A (a)		3,930,412
1,300	Commercial Metals Co.		73,177
1,358	ConocoPhillips (a)		161,643
1,638	Crane NXT Co.		97,232
3,556	Cummins, Inc. (a)		818,022
38,096	CVS Health Corp. (a)		2,482,716
23,366	Darling Ingredients, Inc. *		1,443,084
12,601	Dell Technologies, Inc. – Class C (a)		708,680
2,492	Devon Energy Corp.		127,316
295	Dick’s Sporting Goods, Inc.		34,320
21,393	Discover Financial Services (a)		1,926,868
8,503	DISH Network Corp. – Class A*		51,018
9,210	DR Horton, Inc. (a)		1,096,174
51,854	eBay, Inc. (a)		2,322,022
2,428	Elevance Health, Inc. (a)		1,073,200
1,077	Encore Wire Corp.		177,500
19,189	EOG Resources, Inc.		2,468,089
14,349	Expedia Group, Inc. * (a)		1,555,288
19,148	Exxon Mobil Corp. (a)		2,129,066
502	FedEx Corp. (a)		131,032

33 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United States — continued
1,767	Ferguson Plc (a)		285,477
44,697	Fidelity National Financial, Inc.		1,850,456
1,025	FMC Corp. (a)		88,386
2,191	Foot Locker, Inc.		42,987
195,381	Ford Motor Co. (a)		2,369,972
11,693	Fortune Brands Innovations, Inc.		807,051
9,430	Fox Corp. – Class A (a)		311,756
55,682	Fox Corp. – Class B (a)		1,699,415
55,342	Franklin Resources, Inc. (a)		1,479,845
4,100	Gap, Inc. (The)		47,478
833	Garmin Ltd.		88,315
4,094	Generac Holdings, Inc. *		486,408
5,098	General Electric Co. (a)		583,517
62,812	General Motors Co. (a)		2,104,830
6,023	General Mills, Inc. (a)		407,516
10,361	Gilead Sciences, Inc. (a)		792,409
6,444	Goldman Sachs Group, Inc. (The) (a)		2,111,763
100	Graham Holdings Co. – Class B (a)		58,633
15,879	Green Plains, Inc. *		492,884
640	Group 1 Automotive, Inc.		169,229
10,000	H&R Block, Inc. (a)		399,800
1,741	Harley-Davidson, Inc.		58,759
5,633	Hartford Financial Services Group, Inc. (The)		404,562
3,147	Hasbro, Inc.		226,584
58,298	Hewlett Packard Enterprise Co.		990,483
9,149	Hilton Worldwide Holdings, Inc. (a)		1,359,999
700	HNI Corp.		22,932
82,189	HP, Inc. (a)		2,441,835
756	Humana, Inc. (a)		348,992
2,300	Huntsman Corp.		64,101
24,348	Incyte Corp. *		1,571,176
107,304	Intel Corp. (a)		3,770,663
14,992	Intercontinental Exchange, Inc. (a)		1,768,906
23,420	International Business Machines Corp. (a)		3,438,759
49,321	Invesco Ltd. (a)		785,190
11,004	Janus Henderson Group Plc		302,280
8,632	Jazz Pharmaceuticals Plc *		1,237,484
4,261	Johnson & Johnson (a)		688,918
303	Jones Lang LaSalle, Inc. *		52,358
17,849	JPMorgan Chase & Co. (a)		2,611,844
1,717	Kellogg Co. (a)		104,771
10,353	Kenvue, Inc. (a)		238,637
676	Keysight Technologies, Inc. *		90,111
96,470	Kinder Morgan, Inc.		1,661,213
4,561	Kohl’s Corp.		121,505
60,407	Kraft Heinz Co. (The) (a)		1,998,868
21,555	Kroger Co. (The) (a)		999,936
244	Kulicke & Soffa Industries, Inc.		12,622
6,580	Laboratory Corp. of America Holdings (a)		1,369,298
2,230	Lam Research Corp. (a)		1,566,352
23,673	Las Vegas Sands Corp. (a)		1,298,701
1,773	La-Z-Boy, Inc.		54,697
2,222	Lear Corp.		320,168

Shares	Description	Value ($)
	United States — continued
9,555	Lennar Corp. – Class A (a)		1,137,905
6,357	Liberty Global Plc – Class A*		117,223
21,764	Liberty Global Plc – Class C*		431,798
20,080	LyondellBasell Industries NV – Class A (a)		1,983,302
1,100	M&T Bank Corp.		137,555
15,667	Macy’s, Inc.		191,607
4,240	ManpowerGroup, Inc.		334,409
6,773	Marathon Petroleum Corp.		966,981
1,010	Markel Group, Inc. *		1,493,709
35,162	Match Group, Inc. *		1,648,043
500	Matson, Inc. (a)		43,940
16,827	Merck & Co., Inc. (a)		1,833,806
18,272	Meta Platforms, Inc. – Class A* (a)		5,406,502
10,273	MetLife, Inc. (a)		650,692
14,311	MGIC Investment Corp.		251,587
48,038	Micron Technology, Inc. (a)		3,359,778
15,493	Moderna, Inc. *		1,751,794
13,500	Mohawk Industries, Inc. *		1,368,765
11,466	Molson Coors Brewing Co. – Class B (a)		727,976
378	Morgan Stanley (a)		32,187
32,460	Mosaic Co. (The) (a)		1,261,071
346	NetApp, Inc.		26,538
916	Northern Trust Corp. (a)		69,680
13,717	NRG Energy, Inc. (a)		515,073
13,087	Nucor Corp. (a)		2,252,273
971	OneMain Holdings, Inc.		40,306
1,642	Oracle Corp. (a)		197,680
9,895	Otis Worldwide Corp. (a)		846,517
41,733	Ovintiv, Inc.		1,959,782
3,139	Owens Corning		451,733
12,771	PACCAR, Inc. (a)		1,050,926
94,453	Paramount Global – Class B		1,425,296
27,175	PayPal Holdings, Inc. * (a)		1,698,709
96,169	Pfizer, Inc. (a)		3,402,459
6,290	Phillips 66		718,066
6,967	Phinia, Inc. *		193,683
4,789	Pinterest, Inc. – Class A*		131,650
864	PNC Financial Services Group, Inc.		104,311
2,273	Principal Financial Group, Inc.		176,635
2,787	Procter & Gamble Co. (a)		430,146
14,280	PulteGroup, Inc.		1,171,817
3,452	PVH Corp.		288,587
25,326	QUALCOMM, Inc. (a)		2,900,587
14,759	Radian Group, Inc.		399,674
2,972	Regeneron Pharmaceuticals, Inc. * (a)		2,456,328
8,827	Regions Financial Corp.		161,887
969	Reliance Steel & Aluminum Co. (a)		276,126
1,264	Robert Half, Inc. (a)		93,485
13,349	RTX Corp. (a)		1,148,548
1,309	Schneider National, Inc. – Class B		37,843
555	Sensata Technologies Holding Plc		20,879
11,964	Skyworks Solutions, Inc.		1,300,965
7,039	State Street Corp. (a)		483,861
19,777	Steel Dynamics, Inc.		2,108,030

See accompanying notes to the financial statements. 34

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United States — continued
1,782	Stewart Information Services Corp.		82,542
66,724	Synchrony Financial (a)		2,153,851
232	T. Rowe Price Group, Inc. (a)		26,037
700	Tapestry, Inc.		23,324
553	Target Corp. (a)		69,982
1,364	Taylor Morrison Home Corp. *		64,654
3,985	Texas Instruments, Inc. (a)		669,719
13,364	Textron, Inc.		1,038,516
602	Timken Co. (The)		46,005
1,400	TRI Pointe Homes, Inc. *		43,540
36,868	Tyson Foods, Inc. – Class A (a)		1,963,958
718	UFP Industries, Inc.		74,923
500	United Rentals, Inc. (a)		238,270
370	UnitedHealth Group, Inc. (a)		176,335
1,067	Universal Corp.		50,811
6,068	Universal Health Services, Inc. – Class B (a)		817,360
7,142	Unum Group		351,315
45,354	US Bancorp		1,656,782
1,440	Valero Energy Corp.		187,056
94,372	Verizon Communications, Inc. (a)		3,301,133
25,740	VF Corp.		508,622
182,838	Viatris, Inc.		1,965,509
55,469	Walgreens Boots Alliance, Inc.		1,403,920
35,920	Wells Fargo & Co. (a)		1,483,137
8,076	Western Union Co. (The)		99,739
32,809	Western Digital Corp. *		1,476,405
12,100	Westlake Corp.		1,584,858
5,791	Whirlpool Corp.		810,508
768	Williams-Sonoma, Inc.		108,442
3,200	Xerox Holdings Corp.		50,848
26,100	Zoom Video Communications, Inc. –Class A* (a)		1,853,883
	Total United States		202,613,259
	Vietnam — 0.2%
241,400	Duc Giang Chemicals JSC		875,134
21,900	IDICO Corp JSC		43,314
67,464	Saigon - Hanoi Commercial Joint Stock Bank *		34,801
62,300	Saigon Thuong Tin Commercial JSB *		84,326
122,100	SSI Securities Corp		168,928
128,300	Vietnam Dairy Products JSC		414,282
153,700	Vietnam Joint Stock Commercial Bank for Industry and Trade *		206,809
794,000	VNDirect Securities Corp *		772,719
	Total Vietnam		2,600,313
	TOTAL COMMON STOCKS (COST $918,923,663)		860,903,312
	PREFERRED STOCKS (g) — 1.9%
	Brazil — 1.3%
286,359	Bradespar SA		1,301,093

Shares	Description	Value ($)
	Brazil — continued
2,200	Cia de Ferro Ligas da Bahia		20,560
165,195	Cia Energetica de Minas Gerais		411,315
156,022	Gerdau SA		814,444
463,034	Gerdau SA Sponsored ADR		2,412,407
297,417	Itausa SA		554,949
165,495	Metalurgica Gerdau SA		395,019
663,213	Petroleo Brasileiro SA		4,277,627
296,555	Petroleo Brasileiro SA Sponsored ADR		3,837,422
4,000	Unipar Carbocloro SA – Class B		62,439
	Total Brazil		14,087,275
	Colombia — 0.0%
1,311	Bancolombia SA Sponsored ADR		35,004
297,879	Grupo Aval Acciones y Valores SA		37,139
	Total Colombia		72,143
	Germany — 0.4%
11,682	Bayerische Motoren Werke AG		1,122,425
1,760	Draegerwerk AG & Co KGaA		85,064
10,110	Henkel AG & Co KGaA (a)		774,737
5,007	Porsche Automobil Holding SE		268,561
15,592	Schaeffler AG		92,548
512	Villeroy & Boch AG		9,328
10,097	Volkswagen AG (a)		1,235,695
	Total Germany		3,588,358
	Russia — 0.0%
12,924	Bashneft PJSC (e)		1,917
56,000	Nizhnekamskneftekhim PJSC (e)		512
20,810	Sberbank of Russia PJSC (e) (f)		575
9,254,300	Surgutneftegas PJSC (e)		48,093
161	Transneft PJSC (e)		2,228
	Total Russia		53,325
	South Korea — 0.2%
2,160	Hyundai Motor Co GDR (Registered)		81,580
293	Hyundai Motor Co Ltd		22,549
2,725	LG Electronics Inc		96,464
51,889	Samsung Electronics Co Ltd		2,118,107
89	Samsung Electronics Co Ltd GDR (Registered) (a)		90,440
	Total South Korea		2,409,140
	TOTAL PREFERRED STOCKS (COST $24,385,171)		20,210,241

35 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares /   Par Value†	Description	Value ($)
	RIGHTS/WARRANTS — 0.0%
	Brazil — 0.0%
BRL4,136	Itausa SA *		2,289
	TOTAL RIGHTS/WARRANTS (COST $0)		2,289
	DEBT OBLIGATIONS — 19.4%
	United States — 19.4%
	U.S. Government — 15.1%
120,424,640	U.S. Treasury Inflation-Indexed Notes, 1.25%, due 04/15/28 (a)		115,922,829
20,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.34%, due 04/30/24		19,994,335
30,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.45%, due 07/31/24 (a)		30,007,234
	Total U.S. Government		165,924,398
	U.S. Government Agency — 4.3%
3,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.40%, due 10/06/23		3,500,223
3,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.42%, due 03/06/24		3,502,090
16,000,000	Federal Home Loan Banks, 5.23%, due 03/22/24		15,956,393
15,000,000	Federal Home Loan Banks, 5.55%, due 08/12/24		14,954,486
9,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.40%, due 09/04/24		9,501,343
	Total U.S. Government Agency		47,414,535
	Total United States		213,338,933
	TOTAL DEBT OBLIGATIONS (COST $214,027,380)		213,338,933
	MUTUAL FUNDS — 19.8%
	United States — 19.8%
	Affiliated Issuers — 19.8%
3,150,599	GMO Emerging Country Debt Fund, Class VI		58,412,100
1,643,661	GMO High Yield Fund, Class VI		28,714,751
2,847,951	GMO Opportunistic Income Fund, Class VI		69,860,248
1,693,171	GMO Resources Fund, Class VI		39,823,394
4,055,330	GMO U.S. Treasury Fund (h)		20,276,649
	Total Affiliated Issuers		217,087,142
	TOTAL MUTUAL FUNDS (COST $232,417,037)		217,087,142
	SHORT-TERM INVESTMENTS — 2.4%
	Money Market Funds — 0.2%
1,927,593	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (i)		1,927,593

Shares	Description	Value ($)
	Repurchase Agreements — 2.2%
24,000,000	Nomura Securities International, Inc. Repurchase Agreement, dated 08/31/23, maturing on 09/01/23 with a maturity value of $24,003,513 and an effective yield of 5.27%, collateralized by a U.S. Treasury Note with maturity date 08/15/26 and a market value of $24,448,713.		24,000,000
	TOTAL SHORT-TERM INVESTMENTS (COST $25,927,593)		25,927,593
	TOTAL INVESTMENTS — 121.9% (Cost $1,415,680,844)		1,337,469,510
	SECURITIES SOLD SHORT — (18.8)%
	Common Stocks — (18.6)%
	Australia — (0.5)%
(26,691)	ASX Ltd		(993,314	)
(3,504)	Cochlear Ltd		(615,037	)
(52,035)	IDP Education Ltd		(827,557	)
(515,964)	Pilbara Minerals Ltd		(1,546,869	)
(24,654)	Ramsay Health Care Ltd		(818,119	)
(6,844)	WiseTech Global Ltd		(307,014	)
	Total Australia		(5,107,910	)
	Austria — (0.1)%
(15,009)	Verbund AG		(1,228,325	)
	Belgium — (0.1)%
(29,792)	Anheuser-Busch InBev SA/NV		(1,691,053	)
	Canada — (1.1)%
(30,547)	Agnico Eagle Mines Ltd		(1,481,835	)
(37,282)	Algonquin Power & Utilities Corp		(281,852	)
(83,200)	AltaGas Ltd		(1,626,809	)
(3,407)	Brookfield Renewable Corp – Class A		(95,226	)
(11,846)	Cameco Corp		(438,302	)
(48,253)	Enbridge Inc		(1,692,715	)
(12,046)	Franco-Nevada Corp		(1,734,142	)
(35,352)	GFL Environmental Inc		(1,145,405	)
(51,500)	Pembina Pipeline Corp		(1,600,620	)
(25,001)	Restaurant Brands International Inc		(1,736,319	)
	Total Canada		(11,833,225	)
	Denmark — (0.1)%
(5,893)	Coloplast A/S – Class B		(671,187	)
(33,766)	Tryg A/S		(644,231	)
	Total Denmark		(1,315,418	)
	Finland — (0.0)%
(9,156)	Elisa Oyj		(449,478	)
(2,435)	Kone Oyj – Class B		(110,766	)
	Total Finland		(560,244	)

See accompanying notes to the financial statements. 36

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	France — (0.6)%
(44,832)	Accor SA		(1,603,340	)
(8,095)	Aeroports de Paris		(1,065,364	)
(291)	Euronext NV		(21,007	)
(95,313)	Getlink SE		(1,595,291	)
(893)	Hermes International SCA		(1,836,620	)
(1,109)	Sartorius Stedim Biotech		(314,525	)
(1,880)	Worldline SA*		(61,187	)
	Total France		(6,497,334	)
	Germany — (0.7)%
(1,735)	adidas AG		(346,254	)
(39,864)	Delivery Hero SE*		(1,454,143	)
(5,277)	Deutsche Boerse AG		(936,794	)
(6,536)	MTU Aero Engines AG		(1,525,636	)
(3,783)	Puma SE		(253,531	)
(1,091)	Rational AG		(831,068	)
(12,363)	Symrise AG		(1,288,779	)
(396,823)	Telefonica Deutschland Holding AG		(754,423	)
(8,932)	Zalando SE*		(277,656	)
	Total Germany		(7,668,284	)
	Ireland — (0.0)%
(983)	Flutter Entertainment Plc*		(178,999	)
	Israel — (0.2)%
(10,713)	CyberArk Software Ltd*		(1,778,786	)
	Italy — (0.6)%
(41,860)	Amplifon SPA		(1,359,334	)
(6,007)	Ferrari NV (c)		(1,904,592	)
(100)	Ferrari NV (c)		(31,774	)
(102,165)	FinecoBank Banca Fineco SPA		(1,396,333	)
(126,540)	Infrastrutture Wireless Italiane SPA		(1,565,601	)
	Total Italy		(6,257,634	)
	Japan — (2.0)%
(68,100)	Aeon Co Ltd		(1,411,316	)
(62,400)	ANA Holdings Inc*		(1,408,688	)
(42,900)	Asahi Intecc Co Ltd		(870,248	)
(1,400)	BayCurrent Consulting Inc		(48,122	)
(15,200)	GMO Payment Gateway Inc		(962,510	)
(200)	Ibiden Co Ltd		(12,050	)
(77,300)	Japan Airlines Co Ltd		(1,591,894	)
(43,100)	Japan Exchange Group Inc		(751,998	)
(23,800)	Keio Corp		(823,496	)
(14,100)	Keisei Electric Railway Co Ltd		(539,916	)
(8,700)	Kintetsu Group Holdings Co Ltd		(275,377	)
(11,800)	Kobe Bussan Co Ltd		(293,987	)
(11,000)	Lasertec Corp		(1,709,835	)
(53,000)	M3 Inc		(1,056,438	)
(90,500)	MonotaRO Co Ltd		(1,068,830	)
(1,800)	Nidec Corp		(93,662	)
(60,500)	Nippon Paint Holdings Co Ltd		(467,457	)

Shares	Description	Value ($)
	Japan — continued
(63,300)	Odakyu Electric Railway Co Ltd		(941,245	)
(50,100)	Oriental Land Co Ltd		(1,804,663	)
(379,900)	Rakuten Group Inc		(1,478,206	)
(15,700)	Shiseido Co Ltd		(637,094	)
(155,900)	SoftBank Corp		(1,787,971	)
(24,800)	Tobu Railway Co Ltd		(679,874	)
(71,800)	Tokyu Corp		(907,309	)
	Total Japan		(21,622,186	)
	Netherlands — (0.4)%
(1,631)	Adyen NV*		(1,361,920	)
(4,435)	IMCD NV		(610,842	)
(35,687)	Just Eat Takeaway.com NV*		(501,258	)
(76,335)	Universal Music Group NV		(1,892,588	)
	Total Netherlands		(4,366,608	)
	New Zealand — (0.2)%
(21,578)	Xero Ltd*		(1,746,601	)
	Peru — (0.2)%
(21,651)	Southern Copper Corp		(1,746,370	)
	Singapore — (0.3)%
(363,548)	Grab Holdings Ltd – Class A*		(1,370,576	)
(11,730,000)	Sembcorp Marine Ltd*		(1,257,409	)
(115,500)	Singapore Exchange Ltd		(822,233	)
	Total Singapore		(3,450,218	)
	Spain — (0.3)%
(45,420)	Cellnex Telecom SA*		(1,737,109	)
(57,729)	Ferrovial SE		(1,831,005	)
	Total Spain		(3,568,114	)
	Sweden — (0.1)%
(15,639)	Beijer Ref AB		(179,257	)
(14,017)	EQT AB		(281,760	)
(8,613)	Evolution AB		(931,556	)
(14,339)	H & M Hennes & Mauritz AB – Class B		(218,928	)
	Total Sweden		(1,611,501	)
	Switzerland — (0.2)%
(3)	Chocoladefabriken Lindt & Spruengli AG		(35,858	)
(2)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(235,639	)
(676)	Partners Group Holding AG		(728,664	)
(7,062)	Straumann Holding AG (Registered)		(1,067,700	)
	Total Switzerland		(2,067,861	)
	United Kingdom — (1.0)%
(10,994)	Admiral Group Plc		(346,355	)
(168,597)	Auto Trader Group Plc		(1,292,879	)
(85,730)	Hargreaves Lansdown Plc		(824,996	)

37 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United Kingdom — continued
(191,239)	Informa Plc		(1,766,952	)
(23,006)	InterContinental Hotels Group Plc		(1,730,404	)
(17,994)	London Stock Exchange Group Plc		(1,861,554	)
(195,267)	M&G Plc		(471,636	)
(4,042)	Prudential Plc		(49,228	)
(749,593)	Rolls-Royce Holdings Plc*		(2,102,848	)
(4,716)	Severn Trent Plc		(143,215	)
(3,763)	Spirax-Sarco Engineering Plc		(482,214	)
(2,230)	Whitbread Plc		(96,990	)
(46,419)	Wise Plc – Class A*		(375,737	)
	Total United Kingdom		(11,545,008	)
	United States — (9.9)%
(80,144)	AES Corp. (The)		(1,436,982	)
(9,068)	Alnylam Pharmaceuticals, Inc.*		(1,793,832	)
(39,414)	Altria Group, Inc.		(1,742,887	)
(5,100)	American Tower Corp. (REIT)		(924,732	)
(353)	Amgen, Inc.		(90,488	)
(18,466)	Ares Management Corp. – Class A		(1,910,123	)
(9,000)	Arthur J Gallagher & Co.		(2,074,320	)
(728)	Automatic Data Processing, Inc.		(185,356	)
(6,726)	Axon Enterprise, Inc.*		(1,432,033	)
(14,094)	Bills Holdings, Inc.*		(1,625,038	)
(1,941)	BioMarin Pharmaceutical, Inc.*		(177,369	)
(18,926)	Bio-Techne Corp.		(1,483,798	)
(9,053)	Boeing Co. (The)*		(2,028,144	)
(2,150)	Broadcom, Inc.		(1,984,213	)
(9,593)	Burlington Stores, Inc.*		(1,556,560	)
(34,724)	Caesars Entertainment, Inc.*		(1,918,848	)
(8,426)	Carnival Corp.*		(133,299	)
(3,927)	Catalent, Inc.*		(196,232	)
(25,100)	Ceridian HCM Holding, Inc.*		(1,820,252	)
(2,334)	Charles Schwab Corp. (The)		(138,056	)
(3,518)	Chewy, Inc. – Class A*		(84,362	)
(935)	Chipotle Mexican Grill, Inc.*		(1,801,408	)
(27,576)	Clarivate Plc*		(204,890	)
(26,501)	Cloudflare, Inc. – Class A*		(1,723,360	)
(681)	CoStar Group, Inc.*		(55,835	)
(2,900)	Crown Castle, Inc. (REIT)		(291,450	)
(14,523)	Dexcom, Inc.*		(1,466,533	)
(1,025)	Dominion Energy, Inc.		(49,754	)
(2,894)	Ecolab, Inc.		(531,946	)
(12,300)	Equity LifeStyle Properties, Inc. (REIT)		(823,608	)
(500)	Erie Indemnity Co. – Class A		(139,365	)
(17,965)	Essential Utilities, Inc.		(662,909	)
(19,201)	Exact Sciences Corp.*		(1,606,548	)
(791)	Fair Isaac Corp.*		(715,531	)
(8,812)	Fastenal Co.		(507,395	)
(1,642)	Fiserv, Inc.*		(199,322	)
(18,382)	Fortinet, Inc.*		(1,106,780	)
(5,005)	Gartner, Inc.*		(1,750,148	)
(11,814)	Hess Corp.		(1,825,263	)
(3,519)	HubSpot, Inc.*		(1,923,204	)

Shares	Description	Value ($)
	United States — continued
(2,328)	IDEXX Laboratories, Inc.*		(1,190,562	)
(6,823)	Insulet Corp.*		(1,308,037	)
(7,800)	IQVIA Holdings, Inc.*		(1,736,514	)
(15,325)	Iron Mountain, Inc. (REIT)		(973,751	)
(640)	Jack Henry & Associates, Inc.		(100,339	)
(16,505)	Lamb Weston Holdings, Inc.		(1,607,752	)
(4,350)	Lattice Semiconductor Corp.*		(423,081	)
(24,254)	Liberty Media Corp.-Liberty Formula One – Class C*		(1,668,433	)
(5,224)	Linde Plc		(2,021,897	)
(19,702)	Live Nation Entertainment, Inc.*		(1,665,410	)
(4,554)	MarketAxess Holdings, Inc.		(1,097,195	)
(4,440)	Mastercard, Inc. – Class A		(1,832,122	)
(189)	McDonald’s Corp.		(53,137	)
(732)	McKesson Corp.		(301,818	)
(465)	MercadoLibre, Inc.*		(638,147	)
(4,819)	MongoDB, Inc.*		(1,837,485	)
(119)	Monolithic Power Systems, Inc.		(62,024	)
(3,708)	Moody’s Corp.		(1,248,854	)
(401)	Motorola Solutions, Inc.		(113,712	)
(3,600)	MSCI, Inc.		(1,957,032	)
(40,526)	Newmont Corp.		(1,597,535	)
(56,200)	NiSource, Inc.		(1,503,912	)
(49,622)	Novocure Ltd.*		(1,094,661	)
(154)	NVIDIA Corp.		(76,007	)
(22,906)	Okta, Inc.*		(1,912,880	)
(25,000)	ONEOK, Inc.		(1,630,000	)
(92,266)	Palantir Technologies, Inc. – Class A*		(1,382,145	)
(1,059)	Palo Alto Networks, Inc.*		(257,655	)
(15,900)	Paychex, Inc.		(1,943,457	)
(1,474)	Paylocity Holding Corp.*		(295,537	)
(17,706)	Philip Morris International, Inc.		(1,700,838	)
(3,668)	PTC, Inc.*		(539,820	)
(6,206)	Repligen Corp.*		(1,079,285	)
(29,145)	Rivian Automotive, Inc. – Class A*		(662,466	)
(47,948)	ROBLOX Corp. – Class A*		(1,356,449	)
(21,379)	Roku, Inc.*		(1,735,975	)
(40,799)	Rollins, Inc.		(1,614,416	)
(18,829)	Royal Caribbean Cruises Ltd.*		(1,862,941	)
(2,172)	RPM International, Inc.		(216,635	)
(1,797)	ServiceNow, Inc.*		(1,058,128	)
(5,730)	Sherwin-Williams Co. (The)		(1,556,956	)
(7,196)	Simon Property Group, Inc. (REIT)		(816,674	)
(10,303)	Snowflake, Inc. – Class A*		(1,616,026	)
(17,421)	Starbucks Corp.		(1,697,502	)
(422)	STERIS Plc		(96,887	)
(7,498)	Tesla, Inc.*		(1,935,084	)
(63)	Texas Pacific Land Corp.		(118,739	)
(74,457)	Toast, Inc. – Class A*		(1,650,712	)
(5,076)	Trade Desk, Inc. (The) – Class A*		(406,232	)
(2,274)	TransDigm Group, Inc.*		(2,055,355	)
(5,565)	Twilio, Inc. – Class A*		(354,546	)
(19,497)	UDR, Inc. (REIT)		(777,930	)
(6,645)	Vail Resorts, Inc.		(1,503,896	)

See accompanying notes to the financial statements. 38

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United States — continued
(2,873)	Watsco, Inc.		(1,047,352	)
(58,300)	Williams Cos., Inc. (The)		(2,013,099	)
(32,766)	Wolfspeed, Inc.*		(1,566,870	)
(465)	Yum! Brands, Inc.		(60,162	)
(4,105)	Zillow Group, Inc. – Class C*		(214,117	)
(11,770)	Zscaler, Inc.*		(1,836,709	)
	Total United States		(108,805,065	)
	TOTAL COMMON STOCKS (PROCEEDS $193,279,947)		(204,646,744	)
	PREFERRED STOCKS (g) — (0.2)%
	Germany — (0.2)%
(4,174)	Sartorius AG		(1,706,858	)
(675)	Dr Ing hc F Porsche AG		(74,445	)
	TOTAL PREFERRED STOCKS (PROCEEDS $1,733,329)		(1,781,303	)
	TOTAL SECURITIES SOLD SHORT (PROCEEDS $195,013,276)		(206,428,047	)
	Other Assets and Liabilities (net) — (3.1%)		(33,464,690	)
	TOTAL NET ASSETS — 100.0%	$	1,097,576,773

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of August 31, 2023
Alrosa PJSC		12/06/17	$	4,239,436	0.0%	$	25,797
Magnitogorsk Iron & Steel Works PJSC		09/08/17		1,550,653	0.0%		10,807
PhosAgro PJSC GDR		12/03/20		1,365	0.0%		17
Polyus PJSC		07/22/20		2,148,976	0.0%		12,435
Polyus PJSC GDR (Registered)		02/24/23		0	0.0%		1
Sberbank of Russia PJSC		09/09/20		12,774,954	0.0%		101,613
Sberbank of Russia PJSC		01/10/22		77,024	0.0%		575
Severstal PAO		02/02/21		7,249	0.0%		63
Severstal PJSC GDR (Registered)		03/16/20		1,679,360	0.0%		13,496

 

39 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/29/2023	CITI		CAD	450,000		USD	339,892		6,720
09/29/2023	SSB		CAD	4,379,172		USD	3,324,388		82,133
09/05/2023	JPM		CLP	4,112,500		USD	5,040		216
09/05/2023	MSCI		CLP	210,000,000		USD	257,195		10,880
10/10/2023	BCLY		SEK	4,893,154		USD	449,197		1,515
09/05/2023	JPM		USD	4,816		CLP	4,112,500		7
09/05/2023	MSCI		USD	245,942		CLP	210,000,000		374
10/12/2023	SSB		CHF	3,572,004		USD	4,051,545		(8,320	)
09/05/2023	JPM		CLP	50,000,000		USD	58,558		(89	)
09/05/2023	MSCI		CLP	164,112,500		USD	192,201		(292	)
09/27/2023	MSCI		RON	1,884,153		USD	413,246		(80	)
09/29/2023	BCLY		USD	375,965		CAD	500,000		(5,775	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/29/2023	JPM		USD	3,273,191		CAD	4,329,172			(67,955	)
10/12/2023	SSB		USD	60,869		CHF	52,004			(1,762	)
10/12/2023	UBSA		USD	4,097,344		CHF	3,520,000			(96,587	)
09/05/2023	JPM		USD	62,189		CLP	50,000,000			(3,542	)
09/05/2023	MSCI		USD	202,611		CLP	164,112,500			(10,118	)
09/27/2023	BCLY		USD	62,632		RON	284,153			(297	)
09/27/2023	GS		USD	358,908		RON	1,600,000			(7,917	)
10/10/2023	SSB		USD	9,093		SEK	93,154			(570	)
10/10/2023	UBSA		USD	464,534		SEK	4,800,000			(25,374	)
										$(126,833)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
191	U.S. Treasury Note 10 Yr. (CBT)	December 2023		21,206,969		226,104
283	U.S. Treasury Note 5 Yr. (CBT)	December 2023		30,258,890		206,464
			$	51,465,859	$	432,568

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)					Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	GS	USD	6,200,319		06/24/2024	Monthly				—			(3,906	)			(3,906	)
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	12,098,436		06/18/2024	Monthly				—			(225,771	)			(225,771	)
										$	—		$	(229,677	)		$	(229,677	)

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

See accompanying notes to the financial statements. 40

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) All or a portion of this security is out on loan (Note 2).

(c) Securities are traded on separate exchanges for the same entity.

(d) Investment valued using significant unobservable inputs (Note 2).

(e) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(f) The security is restricted as to resale.

(g) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(h) All or a portion of this security is purchased with collateral from securities loaned (Note 2).

(i) The rate disclosed is the 7 day net yield as of August 31, 2023.

(j) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(k) The following table represents the individual long and/or short positions within the custom equity basket swap as of August 31, 2023:

Shares	Description	% of Equity Basket			Value ($)
(786,000)	Air China Ltd – Class H		4.7	%		(581,810	)
(414,300)	Airports Of Thailand PC NVDR		6.9	%		(857,414	)
(146,000)	Alibaba Health Information Technology Ltd		0.7	%		(86,197	)
(327,000)	China Molybdenum Co Ltd – Class H		1.5	%		(195,077	)
(106,000)	China Southern Airlines Co Ltd – Class H		0.4	%		(56,309	)
(1,692)	Elisa Oyj		0.7	%		(83,062	)
(410,000)	Genscript Biotech Corp		7.7	%		(956,999	)
(892,500)	Gulf Energy Development Pcl NVDR		9.9	%		(1,222,908	)
(2,386)	Hanmi Pharm Co Ltd		4.3	%		(531,356	)
(16,042)	Hotel Shilla Co Ltd		8.7	%		(1,068,626	)
(8,341)	Kakao Corp		2.5	%		(302,712	)
(584,000)	Kingdee International Software Group Co Ltd		7.3	%		(902,346	)
(38,839)	Korea Aerospace Industries Ltd		12.0	%		(1,483,400	)
(83,100)	Microport Scientific Corp		1.2	%		(142,301	)
49,606	Nokia Oyj		(1.6	%)		198,378
(39,600)	Nongfu Spring Co Lttd – Class H		1.8	%		(222,410	)
(1,876)	POSCO Chemical Co Ltd		5.2	%		(636,723	)
(21,900)	Rede D’Or Sao Luiz SA		1.0	%		(126,746	)
(2,625)	Samsung Biologics Co Ltd		11.9	%		(1,462,445	)
(212,948)	Samsung Heavy Industries Co Ltd		11.5	%		(1,418,022	)
38,077	Stora Enso Oyj – R Shares		(3.9	%)		484,247
(7,549)	Yuhan Corp		3.4	%		(415,540	)
(172,000)	Zijin Mining Group Co Ltd – Class H		2.2	%		(269,413	)
	TOTAL COMMON STOCKS					$(12,339,191	)

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 94.

41 See accompanying notes to the financial statements.

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		69.3	%
Debt Obligations		25.6
Short-Term Investments		13.4
Preferred Stocks		1.6
Investment Funds		0.2
Swap Contracts		0.1
Futures Contracts		0.1
Rights/Warrants		0.1
Loan Assignments		0.0	^
Loan Participations		0.0	^
Forward Currency Contracts		0.0	^
Purchased Options		0.0	^
Written Options/Credit Linked Options		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(4.7	)
Other		(5.7	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		17.9	%
Other Emerging		2.7	†
Australia		2.1
Other Developed		(0.5	)‡
Euro Region		(1.0	)§
Sweden		(1.7	)
		19.5	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		24.1	%
Japan		10.0
Other Developed		4.4	‡
France		3.9
United Kingdom		3.5
Taiwan		3.2
China		2.1
Other Emerging		1.8	†
South Korea		1.8
South Africa		1.6
Germany		1.5
Brazil		1.4
Netherlands		1.4
Spain		1.4
Mexico		1.2
India		1.1
Australia		1.0
Italy		1.0
European Union		0.1
		66.5	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

^ Rounds to 0.0%.

42

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 99.8%
	Affiliated Issuers — 99.8%
2,575,818	GMO Alternative Allocation Fund, Class VI		48,373,867
987,139	GMO Asset Allocation Bond Fund, Class VI		19,723,041
598,275	GMO Emerging Country Debt Fund, Class VI		11,092,022
1,718,439	GMO Emerging Markets ex-China Fund, Class VI		24,126,888
1,214,628	GMO Emerging Markets Fund, Class VI		26,782,551
1,989,578	GMO International Equity Fund, Class IV		45,123,638
1,772,284	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		24,634,744
778,087	GMO-Usonian Japan Value Creation Fund, Class VI		14,355,711
2,423,920	GMO Multi-Sector Fixed Income Fund, Class IV		40,915,771
410,567	GMO Opportunistic Income Fund, Class VI		10,071,195
479,897	GMO Quality Cyclicals Fund, Class VI		10,586,521
379,694	GMO Quality Fund, Class VI		10,699,771
461,333	GMO Small Cap Quality Fund, Class VI		11,427,216
1,396,885	GMO U.S. Equity Fund, Class VI		17,740,440
1,161,936	GMO U.S. Opportunistic Value Fund, Class VI		23,749,969
408,691	GMO U.S. Small Cap Value Fund, Class VI		7,168,433
31,917	GMO U.S. Treasury Fund		159,586
	TOTAL MUTUAL FUNDS (COST $385,245,179)		346,731,364
	SHORT-TERM INVESTMENTS — 0.2%
	Money Market Funds — 0.2%
541,653	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (a)		541,653
	TOTAL SHORT-TERM INVESTMENTS (COST $541,653)		541,653
	TOTAL INVESTMENTS — 100.0% (Cost $385,786,832)		347,273,017
	Other Assets and Liabilities (net) — 0.0%		164,757
	TOTAL NET ASSETS — 100.0%		$347,437,774

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 94.

43 See accompanying notes to the financial statements.

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		97.0	%
Short-Term Investments		3.2
Preferred Stocks		1.2
Debt Obligations		0.2
Rights/Warrants		0.0	^
Futures Contracts		(0.0	)^
Other		(1.6	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		44.0	%
Japan		14.0
France		7.0
United Kingdom		6.2
Other Emerging		4.7	†
Other Developed		4.3	‡
Switzerland		2.8
Spain		2.7
Netherlands		2.6
Germany		2.5
Taiwan		2.5
Italy		1.7
Australia		1.6
Canada		1.3
South Korea		1.1
Mexico		1.0
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

44

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 100.0%
	Affiliated Issuers — 100.0%
395,791	GMO Emerging Markets ex-China Fund, Class VI		5,556,902
923,074	GMO International Equity Fund, Class IV		20,935,324
514,533	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		7,152,010
159,129	GMO-Usonian Japan Value Creation Fund, Class VI		2,935,926
175,405	GMO Quality Cyclicals Fund, Class VI		3,869,445
395,717	GMO Quality Fund, Class VI		11,151,310
168,457	GMO Small Cap Quality Fund, Class VI		4,172,674
347,972	GMO U.S. Equity Fund, Class VI		4,419,238
510,279	GMO U.S. Opportunistic Value Fund, Class VI		10,430,109
107,687	GMO U.S. Small Cap Value Fund, Class VI		1,888,832
	TOTAL MUTUAL FUNDS (COST $70,544,177)		72,511,770
	SHORT-TERM INVESTMENTS — 0.1%
	Money Market Funds — 0.1%
63,763	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (a)		63,763
	TOTAL SHORT-TERM INVESTMENTS (COST $63,763)		63,763
	TOTAL INVESTMENTS — 100.1% (Cost $70,607,940)		72,575,533
	Other Assets and Liabilities (net) — (0.1%)		(39,339	)
	TOTAL NET ASSETS — 100.0%		$72,536,194

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 94.

45 See accompanying notes to the financial statements.

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		95.8	%
Short-Term Investments		2.9
Preferred Stocks		2.3
Debt Obligations		0.2
Rights/Warrants		0.0	^
Investment Funds		0.0	^
Futures Contracts		(0.0	)^
Other		(1.2	)
		100.0	%

Country/Region Summary¤	% of Investments
United States		37.1	%
Japan		12.2
France		5.9
Taiwan		5.5
United Kingdom		5.1
Other Developed		3.7	‡
Other Emerging		3.7	†
China		3.4
South Korea		2.6
South Africa		2.4
Switzerland		2.3
Spain		2.2
Brazil		2.1
Netherlands		2.1
Germany		2.0
India		1.9
Mexico		1.8
Italy		1.4
Australia		1.3
Canada		1.3
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

46

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 100.0%
	Affiliated Issuers — 100.0%
4,482,017	GMO Emerging Markets ex-China Fund, Class VI		62,927,517
3,306,985	GMO Emerging Markets Fund, Class VI		72,919,028
6,117,567	GMO International Equity Fund, Class IV		138,746,413
4,522,736	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		62,866,031
1,389,593	GMO-Usonian Japan Value Creation Fund, Class VI		25,637,982
1,396,699	GMO Quality Cyclicals Fund, Class VI		30,811,177
2,720,089	GMO Quality Fund, Class VI		76,652,114
1,351,425	GMO Small Cap Quality Fund, Class VI		33,474,802
2,506,670	GMO U.S. Equity Fund, Class VI		31,834,709
3,654,758	GMO U.S. Opportunistic Value Fund, Class VI		74,703,254
1,067,271	GMO U.S. Small Cap Value Fund, Class VI		18,719,931
	TOTAL MUTUAL FUNDS (COST $699,118,518)		629,292,958
	SHORT-TERM INVESTMENTS — 0.0%
	Money Market Funds — 0.0%
200,591	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (a)		200,591
	TOTAL SHORT-TERM INVESTMENTS (COST $200,591)		200,591
	TOTAL INVESTMENTS — 100.0% (Cost $699,319,109)		629,493,549
	Other Assets and Liabilities (net) — (0.0%)		(109,145	)
	TOTAL NET ASSETS — 100.0%		$629,384,404

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 94.

47 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		84.5	%
Debt Obligations		29.9
Short-Term Investments		2.4
Preferred Stocks		2.1
Mutual Funds		0.3
Investment Funds		0.3
Rights/Warrants		0.0	^
Swap Contracts		0.0	^
Written Options		(0.0	)^
Forward Currency Contracts		(0.1	)
Futures Contracts		(0.1	)
Securities Sold Short		(22.0	)
Other		2.7
		100.0	%

Country/Region Summary¤	Debt Obligations as a %     of Total Net Assets
United States		6.9	%
Australia		1.3
Euro Region		(0.6	)§
Other Developed		(0.8	)‡
Sweden		(1.0	)
		5.8	%

Country/Region Summary¤	Equity Investments as a %       of Total Net Assets
Japan		12.4	%
United States		12.0
Other Developed		5.4‡
United Kingdom		4.7
France		4.2
Other Emerging		3.1†
China		2.9
Taiwan		2.7
South Korea		2.6
Brazil		2.3
India		2.2
Netherlands		1.6
South Africa		1.6
Spain		1.5
Germany		1.4
Italy		1.4
Sweden		1.3
Mexico		1.1
		64.4	%

Industry Group Summary	% of Equity Investments#
Banks		13.5	%
Materials		10.9
Energy		10.1
Capital Goods		10.0
Technology Hardware & Equipment		8.0
Pharmaceuticals, Biotechnology & Life Sciences		6.2
Automobiles & Components		5.8
Financial Services		5.8
Food, Beverage & Tobacco		4.9
Consumer Durables & Apparel		4.5
Insurance		4.2
Semiconductors & Semiconductor Equipment		4.0
Media & Entertainment		3.5
Consumer Discretionary Distribution & Retail		2.3
Telecommunication Services		2.1
Consumer Staples Distribution & Retail		2.1
Transportation		1.5
Utilities		1.4
Real Estate Management & Development		1.3
Health Care Equipment & Services		1.3
Household & Personal Products		0.6
Commercial & Professional Services		0.4
Equity Real Estate Investment Trusts (REITs)		(0.2	)
Software & Services		(1.0	)
Consumer Services		(1.5	)
Diversified Financials		(1.7	)
		100.0	%

(a) GMO Implementation SPC Ltd. is a 100% owned subsidiary of GMO Implementation Fund. As such, the holdings of GMO Implementation SPC Ltd. have been included with GMO Implementation Fund.

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.

^ Rounds to 0.0%.

48

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 84.5%
	Argentina — 0.0%
122,685	Adecoagro SA		1,408,424
	Australia — 1.9%
202,507	Accent Group Ltd		267,871
9,493	Ampol Ltd		216,241
127,242	ANZ Group Holdings Ltd		2,077,494
65,991	Aurizon Holdings Ltd (a)		155,538
658,144	Beach Energy Ltd		659,188
326,893	BHP Group Ltd (a)		9,397,561
453,761	BlueScope Steel Ltd		6,134,639
689,239	Brambles Ltd (a)		6,674,570
12,359	Brickworks Ltd		218,175
94,160	CSR Ltd		357,849
74,995	Dexus (REIT) (a)		374,758
465,918	Fortescue Metals Group Ltd (a)		6,414,474
1,070,271	GPT Group (The) (REIT) (a)		2,897,872
232,668	GrainCorp Ltd – Class A		1,095,842
391,714	Grange Resources Ltd		114,954
307,463	Helia Group Ltd		770,846
66,858	HomeCo Daily Needs (REIT) (a)		52,825
28,885	JB Hi-Fi Ltd (b)		852,021
449,614	Jupiter Mines Ltd		59,502
48,872	Lendlease Corp Ltd		246,096
22,644	McMillan Shakespeare Ltd (a)		260,661
1,824,744	Mirvac Group (REIT) (a)		2,844,971
291,568	Newcrest Mining Ltd		4,859,460
51,617	Nufarm Ltd		172,589
2,070,179	Origin Energy Ltd (a)		11,641,773
491,529	Perenti Ltd *		336,725
66,112	Rio Tinto Ltd (a)		4,788,255
1,133,073	Scentre Group (REIT) (a)		2,008,439
79,010	Southern Cross Media Group Ltd		39,548
1,000,924	Stockland (REIT) (a)		2,733,672
154,510	Sunrise Energy Metals Ltd *		95,250
134,832	Super Retail Group Ltd		1,128,821
15,720	Westpac Banking Corp		222,397
	Total Australia		70,170,877
	Austria — 0.1%
28,051	Erste Group Bank AG		1,000,687
73,223	OMV AG (b)		3,390,808
2,197	Raiffeisen Bank International AG *		31,534
1,869	Strabag SE		79,693
	Total Austria		4,502,722
	Belgium — 0.8%
218,563	Ageas SA/NV		8,692,311
27,105	Bekaert SA		1,285,224
3,217	Cie d’Entreprises CFE		28,134
11,958	Econocom Group SA (a)		36,115
39,624	KBC Group NV		2,599,734
2,021	Melexis NV		190,583

Shares	Description	Value ($)
	Belgium — continued
1,544	Orange Belgium SA *		22,615
330,729	Proximus SADP		2,499,655
8,696	Sofina SA		1,953,710
46,524	Solvay SA		5,387,366
79,480	UCB SA		7,129,121
	Total Belgium		29,824,568
	Brazil — 0.9%
122,200	Ambev SA		341,525
619,500	Banco do Brasil SA		5,892,196
4,700	Banco Santander Brasil SA		25,730
202,600	BB Seguridade Participacoes SA		1,242,917
71,100	CPFL Energia SA		490,315
63,700	EDP - Energias do Brasil SA *		309,750
249,035	Enauta Participacoes SA		789,039
45,200	Engie Brasil Energia SA		384,452
57,900	Itau Unibanco Holding SA		272,543
314,200	JBS SA		1,167,452
63,100	Lojas Renner SA		204,257
605,019	Petroleo Brasileiro SA Sponsored ADR		8,500,517
20,200	PRIO SA *		189,353
95,926	Sao Martinho SA		699,873
134,800	Ser Educacional SA *		168,226
37,260	SLC Agricola SA		302,622
85,200	Suzano SA		862,831
28,933	Telefonica Brasil SA ADR (a)		244,194
2,216,400	TIM SA		6,449,516
17,950	TIM SA ADR		263,147
21,500	Transmissora Alianca de Energia Eletrica SA		148,484
460,057	Ultrapar Participacoes SA		1,687,106
147,744	Vale SA		1,941,656
	Total Brazil		32,577,701
	Canada — 3.3%
17,000	Algoma Steel Group Inc (b)		130,092
87,600	Alimentation Couche-Tard Inc (a)		4,580,977
58,000	Anaergia Inc * (b)		16,097
56,200	ARC Resources Ltd		857,225
149,496	B2Gold Corp		461,943
18,884	Bank of Montreal		1,625,724
53,598	Bank of Nova Scotia (The)		2,542,689
24,407	Brookfield Asset Management Ltd – Class A (a)		843,262
96,273	Brookfield Corp – Class A (a)		3,283,872
967	BRP Inc		73,801
850,857	Canaccord Genuity Group Inc (b)		5,358,787
42,024	Canadian Imperial Bank of Commerce		1,664,571
200	Canadian Natural Resources Ltd		12,940
39,282	Canadian Solar Inc *		1,100,289
49,200	Canadian Tire Corp Ltd – Class A		5,836,856
20,900	Canfor Corp *		321,419
18,900	Cascades Inc		177,782

49 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Canada — continued
146,300	Celestica Inc * (b) (c)		3,410,635
43,900	Celestica Inc * (c)		1,023,309
1,835	CGI Inc * (a)		191,097
75,100	China Gold International Resources Corp Ltd		314,320
10,200	Cogeco Inc		377,442
5,500	DREAM Unlimited Corp – Class A (b)		86,497
141,800	Dundee Precious Metals Inc		915,110
10,900	Empire Co Ltd – Class A		283,955
36,266	Enerflex Ltd		223,844
16,100	Enerplus Corp		275,471
1,900	EQB Inc		109,385
1,000	Fairfax Financial Holdings Ltd (a)		824,652
80,900	Finning International Inc		2,540,399
71,700	First Quantum Minerals Ltd		1,926,221
2,200	George Weston Ltd (a)		243,983
9,925	Gildan Activewear Inc		295,963
60,000	Great-West Lifeco Inc (a)		1,724,245
5,100	Hydro One Ltd (a)		132,558
23,900	iA Financial Corp Inc		1,499,410
21,200	Imperial Oil Ltd (b) (c)		1,203,875
11,958	Imperial Oil Ltd (c)		681,128
22,000	Interfor Corp *		371,226
17,212	International Petroleum Corp *		162,137
502,400	Ivanhoe Mines Ltd – Class A*		4,469,248
110,972	Largo Inc *		363,008
109,600	Li-Cycle Holdings Corp * (a)		486,624
3,500	Linamar Corp		183,677
28,061	Logan Energy Corp *		21,598
75,400	Magna International Inc		4,435,163
488,200	Manulife Financial Corp (a) (c)		9,025,485
169,309	Manulife Financial Corp (a) (c)		3,128,830
38,100	Martinrea International Inc		385,173
1,423	Methanex Corp		60,549
71,627	Nutrien Ltd (a) (c)		4,535,422
59,100	Nutrien Ltd (a) (c)		3,743,612
8,200	OceanaGold Corp		17,721
53,100	Onex Corp		3,281,024
39,400	Parex Resources Inc		745,602
109,500	Power Corp of Canada (a)		2,990,342
167,200	Quebecor Inc – Class B (b)		3,822,386
724,783	Resolute Forest Products Inc * (d)		1,449,566
46,900	Russel Metals Inc		1,394,990
19,200	Sleep Country Canada Holdings Inc (b)		351,545
7,861	Spartan Delta Corp		24,551
32,300	Stella-Jones Inc		1,567,908
45,639	Sun Life Financial Inc (a)		2,226,270
34,800	Suncor Energy Inc (b)		1,178,801
178,600	Teck Resources Ltd – Class B (c)		7,386,152
90,628	Teck Resources Ltd – Class B (a) (c)		3,744,749
12,559	Teekay Tankers Ltd – Class A		510,900
43,483	Toronto-Dominion Bank (The)		2,652,898
21,500	Tourmaline Oil Corp		1,102,527
38,900	Vermilion Energy Inc		565,995

Shares	Description	Value ($)
	Canada — continued
4,000	Wajax Corp		83,244
78,700	West Fraser Timber Co Ltd (c)		5,949,096
16,500	West Fraser Timber Co Ltd (c)		1,247,400
24,200	Whitecap Resources Inc (b)		197,906
	Total Canada		121,035,150
	Chile — 0.1%
711,001	Cencosud SA		1,521,968
28,782	Cencosud Shopping SA		48,276
700	Cia Cervecerias Unidas SA Sponsored ADR		10,311
4,846,082	Colbun SA		760,308
33,544	Empresas CMPC SA		60,906
2,067,697	Enel Chile SA		139,331
391,927	Falabella SA		965,423
61,053	Inversiones La Construccion SA		385,840
	Total Chile		3,892,363
	China — 3.0%
282,000	361 Degrees International Ltd		148,387
1,436,000	3SBio Inc		1,200,885
21,174,000	Agricultural Bank of China Ltd – Class H		7,257,484
322,181	Alibaba Group Holding Ltd *		3,739,276
1,471,000	BAIC Motor Corp Ltd – Class H		406,724
2,158,000	Bank of China Ltd – Class H		731,383
1,979,871	Bank of Communications Co Ltd – Class H		1,133,180
338,000	Beijing Enterprises Holdings Ltd		1,266,314
684,000	China BlueChemical Ltd – Class H		169,975
6,460,000	China Cinda Asset Management Co Ltd – Class H		633,497
1,218,000	China Communications Services Corp Ltd – Class H		548,357
404,500	China Conch Venture Holdings Ltd		397,436
19,670,000	China Construction Bank Corp – Class H		10,524,450
1,741,000	China Dongxiang Group Co Ltd		59,840
2,342,000	China Energy Engineering Corp Ltd – Class H		271,364
1,907,000	China Everbright Environment Group Ltd		694,648
3,659,000	China Greenfresh Group Co Ltd * (e)		—
835,000	China High Speed Transmission Equipment Group Co Ltd *		271,230
975,000	China Hongqiao Group Ltd (b)		970,539
927,000	China Lesso Group Holdings Ltd		509,814
825,925	China Medical System Holdings Ltd		1,189,547
581,000	China Overseas Grand Oceans Group Ltd		227,628
1,011,000	China Overseas Land & Investment Ltd		2,131,276
13,338,000	China Petroleum & Chemical Corp – Class H		7,798,808
7,627,000	China Railway Group Ltd – Class H		4,034,915
468,000	China Railway Signal & Communication Corp Ltd – Class H		155,020
1,039,000	China Reinsurance Group Corp – Class H		67,484
2,056,000	China Resources Pharmaceutical Group Ltd		1,372,471
125,000	China Shineway Pharmaceutical Group Ltd		123,444

See accompanying notes to the financial statements. 50

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	China — continued
390,000	China South City Holdings Ltd * (b)		23,078
898,000	China State Construction International Holdings Ltd		998,795
280,000	China Water Affairs Group Ltd		214,677
4,237,600	China Zhongwang Holdings Ltd * (b) (e)		1
4,257,158	CITIC Ltd		4,224,803
1,281,500	COSCO Shipping Holdings Co Ltd – Class H		1,314,158
1,817,000	CRRC Corp Ltd – Class H		894,638
4,252,000	CSPC Pharmaceutical Group Ltd		3,195,836
2,732,313	Dongfeng Motor Group Co Ltd – Class H		1,002,267
176,000	Dongyue Group Ltd		151,025
6,700	ENN Energy Holdings Ltd		52,566
102,500	Fosun International Ltd		64,071
587,000	Fufeng Group Ltd		311,807
169,800	Goldwind Science & Technology Co Ltd		89,069
138,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H		387,045
1,200,200	Haier Smart Home Co Ltd – Class H		3,717,353
171,000	Henan Shenhuo Coal & Power Co Ltd – Class A		372,169
323,788	Kingboard Holdings Ltd		734,755
292,800	Legend Holdings Corp – Class H		261,731
7,104,000	Lenovo Group Ltd		8,029,835
90,400	Livzon Pharmaceutical Group Inc – Class H		286,957
760,000	Lonking Holdings Ltd		135,525
230,500	Luye Pharma Group Ltd * (b)		84,643
1,784,000	Metallurgical Corp of China Ltd – Class H		388,850
55,000	NetDragon Websoft Holdings Ltd		106,600
290,000	Nexteer Automotive Group Ltd		186,629
8,922,000	PetroChina Co Ltd – Class H		6,436,026
5,962,000	PICC Property & Casualty Co Ltd – Class H		6,856,052
547,500	Ping An Insurance Group Co of China Ltd – Class H		3,277,962
400,000	Poly Property Group Co Ltd		92,883
98,000	Road King Infrastructure Ltd *		23,972
797,200	Shanghai Pharmaceuticals Holding Co Ltd – Class H		1,310,707
1,787,500	Sino-Ocean Group Holding Ltd *		83,139
462,500	Sinopec Engineering Group Co Ltd – Class H		214,042
1,286,000	Sinopharm Group Co Ltd – Class H		3,731,873
1,070,000	Sinotruk Hong Kong Ltd		1,985,701
1,052,000	Skyworth Group Ltd		384,919
50,000	SSY Group Ltd		26,615
490,000	TCL Electronics Holdings Ltd *		191,586
137,738	Tencent Holdings Ltd		5,707,909
844,000	Tianjin Port Development Holdings Ltd		59,092
208,000	Tianneng Power International Ltd (b)		221,581
127,200	Tongcheng-Elong Holdings Ltd *		285,062
440,300	Western Mining Co Ltd – Class A		769,627
412,000	Yadea Group Holdings Ltd		792,131
	Total China		107,715,138

Shares	Description	Value ($)
	Colombia — 0.0%
31,647	Ecopetrol SA Sponsored ADR		369,637
	Czech Republic — 0.0%
159,950	Moneta Money Bank AS		595,797
627	Philip Morris CR AS		491,334
	Total Czech Republic		1,087,131
	Denmark — 0.8%
1,794	AP Moller – Maersk A/S – Class A (a)		3,206,019
3,302	AP Moller – Maersk A/S – Class B (a)		5,994,331
261,854	Danske Bank A/S		5,877,662
142,145	H Lundbeck A/S		720,060
20,111	ISS A/S (a)		356,980
5,433	Matas A/S		84,033
81,164	Pandora A/S		8,405,204
4,681	Rockwool A/S – B Shares		1,194,684
56,897	Vestas Wind Systems A/S *		1,314,611
	Total Denmark		27,153,584
	Egypt — 0.1%
50,854	Abou Kir Fertilizers & Chemical Industries		86,944
584,564	Commercial International Bank Egypt SAE		1,078,285
737,030	Eastern Co SAE		484,717
37,150	Misr Fertilizers Production Co SAE		287,089
	Total Egypt		1,937,035
	Finland — 0.6%
49,759	Kemira Oyj		787,590
87,483	Neste Oyj		3,200,396
2,176,067	Nokia Oyj		8,702,239
305,553	Outokumpu Oyj		1,423,522
2,910	Sanoma Oyj		22,398
229,774	Stora Enso Oyj – R Shares		2,922,166
3,097	TietoEVRY Oyj (a)		75,722
83,054	UPM-Kymmene Oyj		2,842,318
3,992	Valmet Oyj		101,511
	Total Finland		20,077,862
	France — 3.8%
56,808	ALD SA (a)		549,162
28,040	APERAM SA		793,370
217,211	ArcelorMittal SA		5,770,122
16,933	Arkema SA		1,769,483
139,117	AXA SA (a)		4,179,755
1,542	Axway Software SA (a)		39,624
12,268	Beneteau SA		186,525
135,179	BNP Paribas SA		8,741,707
1,626	Boiron SA		91,514
764	Caisse Regionale de Credit Agricole Mutuel Nord de France		11,598
161,858	Cie de Saint-Gobain SA		10,529,208
113,515	Cie Generale des Etablissements Michelin SCA		3,551,427
106,996	Coface SA		1,432,316

51 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	France — continued
17,592	Credit Agricole SA		221,752
22,960	Derichebourg SA (a)		125,338
489	Eiffage SA		48,329
64,479	Elis SA		1,230,583
5,289	Eramet SA (b)		405,045
34,869	Etablissements Maurel et Prom SA		166,780
989	HEXAOM *		16,405
39,690	Ipsen SA		5,141,614
20,962	IPSOS		1,049,010
5,443	Kering SA (a)		2,910,536
5,968	LVMH Moet Hennessy Louis Vuitton SE (a)		5,046,883
3,464	Mersen SA		157,429
8,437	Metropole Television SA		115,602
254,884	Orange SA (a)		2,861,496
103,743	Publicis Groupe SA		8,094,856
25,538	Quadient SA		525,870
108,056	Renault SA		4,359,979
82,296	Rexel SA		1,929,597
2,607	Rothschild & Co		109,207
42,282	Safran SA (a)		6,776,332
103,955	Sanofi		11,071,617
12,823	SMCP SA *		83,384
5,855	Societe BIC SA (a)		374,226
384,134	Societe Generale SA		10,882,963
104,635	STMicroelectronics NV		4,945,050
1,570	Synergie SE		54,976
126,379	Technip Energies NV		2,924,871
147,761	Television Francaise 1		1,198,573
332,308	TotalEnergies SE (a) (c)		20,845,313
2,651	TotalEnergies SE (c)		167,177
37,834	Valeo SE		735,428
43,894	Veolia Environnement SA (a)		1,369,358
407,858	Vivendi SE		3,714,714
	Total France		137,306,104
	Germany — 1.1%
19,265	1&1 AG		286,215
369	Amadeus Fire AG (a)		45,024
4,517	Aurubis AG		373,504
79,022	Bayer AG (Registered)		4,323,494
49,603	Bayerische Motoren Werke AG		5,217,199
30,395	Beiersdorf AG (a)		3,979,775
23,686	Continental AG		1,756,985
62,166	Deutz AG		291,677
561	Draegerwerk AG & Co KGaA		23,112
4,253	Elmos Semiconductor SE		307,433
104,998	Fresenius SE & Co KGaA (a)		3,366,152
728	Hamburger Hafen und Logistik AG (a)		8,003
15,868	Heidelberg Materials AG (a)		1,275,892
21,285	Henkel AG & Co KGaA		1,470,968
682	Hornbach Holding AG & Co KGaA		53,631
4,664	HUGO BOSS AG		351,108
75,901	Kloeckner & Co SE		647,902

Shares	Description	Value ($)
	Germany — continued
1,494	Krones AG		161,777
154,233	Mercedes-Benz Group AG (a)		11,285,967
165,184	ProSiebenSat.1 Media SE (b)		1,309,322
3,620	RTL Group SA *		133,730
7,602	SAF-Holland SE		94,657
13,896	Salzgitter AG		408,856
4,710	Siemens AG (Registered) (a)		707,587
4,172	Siltronic AG		332,616
37,751	Suedzucker AG		608,989
24,820	Talanx AG *		1,668,481
2,102	Traton SE		43,217
1,720	Volkswagen AG (a)		245,797
4,154	Wacker Neuson SE		91,754
1,076	Wuestenrot & Wuerttembergische AG		17,913
	Total Germany		40,888,737
	Greece — 0.1%
42,418	Jumbo SA		1,310,266
48,517	Mytilineos SA		1,967,613
9,909	OPAP SA		167,319
18,325	Terna Energy SA		329,854
	Total Greece		3,775,052
	Hong Kong — 0.7%
334,500	ASMPT Ltd		3,347,310
83,000	Bank of East Asia Ltd (The)		118,208
286,000	BOC Hong Kong Holdings Ltd		794,591
71,000	Chow Sang Sang Holdings International Ltd		84,956
904,000	CITIC Telecom International Holdings Ltd		351,382
135,000	CK Asset Holdings Ltd		744,898
223,500	CK Hutchison Holdings Ltd		1,218,074
1,170,000	CSI Properties Ltd		17,732
183,600	Dah Sing Banking Group Ltd		125,501
57,200	Dah Sing Financial Holdings Ltd		125,694
500,000	E-Commodities Holdings Ltd		89,723
130,000	First Pacific Co Ltd		55,345
363,827	Galaxy Entertainment Group Ltd *		2,404,788
254,000	Giordano International Ltd		97,459
4,000	Hang Lung Group Ltd		5,517
161,000	Health & Happiness H&H International Holdings Ltd		209,773
43,000	Henderson Land Development Co Ltd		118,084
723,000	HKT Trust & HKT Ltd – Class SS		770,476
701,000	IGG Inc *		328,737
211,500	Johnson Electric Holdings Ltd		283,216
290,000	K Wah International Holdings Ltd		87,250
40,500	Kerry Logistics Network Ltd		38,047
191,500	Kerry Properties Ltd		353,846
65,000	Luk Fook Holdings International Ltd		161,065
120,000	New World Development Co Ltd		254,805
221,000	NWS Holdings Ltd		251,640
100,000	Orient Overseas International Ltd (a)		1,341,129

See accompanying notes to the financial statements. 52

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Hong Kong — continued
443,000	Pacific Basin Shipping Ltd (a)		119,967
518,000	Pacific Textiles Holdings Ltd		110,220
264,000	PAX Global Technology Ltd		199,784
636,000	Shun Tak Holdings Ltd *		89,043
283,000	SITC International Holdings Co Ltd		527,826
108,500	SmarTone Telecommunications Holdings Ltd		60,462
92,000	Sun Hung Kai & Co Ltd		32,494
100,000	Sun Hung Kai Properties Ltd (a)		1,125,667
336,000	Swire Pacific Ltd – Class A		2,770,449
43,800	Swire Properties Ltd		91,532
88,500	Techtronic Industries Co Ltd		872,848
137,500	Texhong International Group Ltd		73,576
568,000	VSTECS Holdings Ltd		295,292
103,600	VTech Holdings Ltd		632,427
5,281,000	WH Group Ltd		2,719,689
114,000	Xinyi Glass Holdings Ltd		168,172
222,000	Yue Yuen Industrial Holdings Ltd		278,218
	Total Hong Kong		23,946,912
	Hungary — 0.3%
9,949	Magyar Telekom Telecommunications Plc		13,232
232,506	MOL Hungarian Oil & Gas Plc		1,758,217
161,682	OTP Bank Nyrt		6,592,961
61,542	Richter Gedeon Nyrt		1,540,976
	Total Hungary		9,905,386
	India — 2.6%
42,772	ACC Ltd		1,036,282
79,914	Apollo Tyres Ltd		374,480
64,791	Arvind Ltd		137,251
15	AU Small Finance Bank Ltd		131
51,164	Aurobindo Pharma Ltd		513,390
374	Bajaj Auto Ltd		20,808
23,171	Bandhan Bank Ltd		64,247
232	Bharat Electronics Ltd		374
53,522	Castrol India Ltd		94,229
31,551	City Union Bank Ltd		47,064
19,422	Cochin Shipyard Ltd		212,277
6,197	Colgate-Palmolive India Ltd		144,858
15,446	Coromandel International Ltd		203,618
3,210	Deepak Fertilisers & Petrochemicals Corp Ltd		23,477
22,656	Dhampur Bio Organics Ltd		45,060
17,305	Dhampur Sugar Mills Ltd		53,011
9,474	Dr Reddy’s Laboratories Ltd		642,259
32,744	Dr Reddy’s Laboratories Ltd ADR		2,225,937
4,278	EID Parry India Ltd		24,681
90,693	Engineers India Ltd		169,036
208,862	Exide Industries Ltd		675,022
4,370,413	GAIL India Ltd		6,085,190
18,189	GHCL Ltd		137,247
18,189	GHCL Textiles Ltd * (d)		16,742

Shares	Description	Value ($)
	India — continued
100,718	Glenmark Pharmaceuticals Ltd		934,414
11,124	Godawari Power and Ispat Ltd		82,989
26,212	Great Eastern Shipping Co Ltd (The)		241,779
16,377	Gujarat Narmada Valley Fertilizers & Chemicals Ltd		120,409
586,468	Gujarat State Fertilizers & Chemicals Ltd		1,244,648
198,343	HCL Technologies Ltd		2,812,711
125,685	HDFC Bank Ltd		2,388,372
44,300	HDFC Bank Ltd ADR		2,760,333
640,412	Hindalco Industries Ltd		3,560,461
3	Hindustan Aeronautics Ltd		142
80,552	Hindustan Petroleum Corp Ltd *		241,264
58,692	Hindustan Zinc Ltd		225,537
547,103	Indiabulls Housing Finance Ltd *		1,307,405
539,046	Indian Oil Corp Ltd		579,127
21,755	Indus Towers Ltd *		46,017
106,189	Infosys Ltd		1,841,512
49,500	Infosys Ltd Sponsored ADR (a)		859,815
86,133	IRCON International Ltd		118,576
2,590,538	ITC Ltd		13,745,248
44,245	Jio Financial Services Ltd *		128,268
184,607	Karnataka Bank Ltd (The)		494,373
7,721	Mahanagar Gas Ltd		95,161
117,299	Mahindra & Mahindra Ltd		2,233,538
198,996	Manappuram Finance Ltd		370,588
12,925	Muthoot Finance Ltd		196,611
642,298	National Aluminium Co Ltd		729,438
159,954	NBCC India Ltd		99,488
93,865	NCC Ltd		195,416
1,387,497	NMDC Ltd		2,063,016
201,205	NMDC Steel Ltd *		137,473
875,741	NTPC Ltd		2,317,733
6,691,470	Oil & Natural Gas Corp Ltd		14,050,394
222,445	Oil India Ltd		731,867
3,674	Oracle Financial Services Software Ltd		182,066
330,234	Petronet LNG Ltd		858,261
1,267,275	Power Finance Corp Ltd		3,950,080
22,337	Power Grid Corp of India Ltd		66,091
97,251	PTC India Ltd		163,547
1,825,764	REC Ltd		5,244,537
212,007	Redington Ltd		402,430
44,245	Reliance Industries Ltd		1,285,897
29,001	RITES Ltd		175,059
6	Shriram Finance Ltd		139
123,332	Sun Pharmaceutical Industries Ltd		1,655,753
67,754	Sun TV Network Ltd		505,429
10,732	Tata Consultancy Services Ltd		435,232
2,854,982	Tata Steel Ltd		4,258,094
55,698	Vardhman Textiles Ltd *		262,879
773,015	Vedanta Ltd		2,165,085
69,155	Welspun Corp Ltd		273,029
19,864	Wipro Ltd		98,217
11,281	Zensar Technologies Ltd		72,076

53 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	India — continued
161,275	Zydus Lifesciences Ltd		1,217,368
	Total India		93,172,063
	Indonesia — 0.4%
2,971,800	AKR Corporindo Tbk PT		273,039
1,238,600	Aneka Tambang Tbk		161,591
4,610,400	Astra International Tbk PT		1,950,682
8,166,000	Bank Central Asia Tbk PT		4,915,975
4,891,784	Bank Mandiri Persero Tbk PT		1,934,396
1,879,900	Bank Negara Indonesia Persero Tbk PT		1,132,087
3,007,300	Bank Pembangunan Daerah Jawa Timur Tbk PT		129,348
7,473,800	Bank Rakyat Indonesia Persero Tbk PT		2,722,676
1,397,200	Global Mediacom Tbk PT *		28,063
1,422,700	Indofood Sukses Makmur Tbk PT		662,872
7,260,800	Kalbe Farma Tbk PT		863,827
1,519,700	Medco Energi Internasional Tbk PT		106,787
5,089,000	Media Nusantara Citra Tbk PT		175,413
15,106,900	Panin Financial Tbk PT *		289,504
2,723,400	Perusahaan Gas Negara Tbk PT		245,692
	Total Indonesia		15,591,952
	Ireland — 0.4%
49,187	AIB Group Plc		223,877
524,506	Bank of Ireland Group Plc		5,222,909
23,177	CRH Plc		1,333,457
33,452	Glanbia Plc		556,055
4,137	Kingspan Group Plc		349,554
38,104	Origin Enterprises Plc		135,507
24,839	Permanent TSB Group Holdings Plc *		56,336
50,861	Ryanair Holdings Plc Sponsored ADR * (a)		5,047,954
57,521	Smurfit Kappa Group Plc		2,413,034
	Total Ireland		15,338,683
	Isle of Man — 0.0%
68,000	Lifezone Holdings Ltd *		972,400
	Israel — 0.5%
5,340	Check Point Software Technologies Ltd *		718,710
3,983	Delek Group Ltd		571,411
142,267	ICL Group Ltd		850,160
481,430	Oil Refineries Ltd		156,790
55,169	Teva Pharmaceutical Industries Ltd *		536,671
663,116	Teva Pharmaceutical Industries Ltd Sponsored ADR *		6,472,012
288,870	Tower Semiconductor Ltd * (f)		8,579,439
	Total Israel		17,885,193
	Italy — 1.5%
21,505	Anima Holding SPA		88,410
24,111	Arnoldo Mondadori Editore SPA		56,178
112,395	Assicurazioni Generali SPA (a)		2,328,036
50,895	Banca IFIS SPA		893,231

Shares	Description	Value ($)
	Italy — continued
1,485,539	Banco BPM SPA		7,087,874
751,750	BPER Banca		2,263,727
2,034	Buzzi Unicem SPA		60,807
60,809	Credito Emiliano SPA		507,914
779,685	Eni SPA		12,055,493
20,711	Esprinet SPA		130,279
47,342	IMMSI SPA		24,980
291,681	Intesa Sanpaolo SPA		778,905
381,954	Leonardo SPA		5,497,450
53,249	Mediobanca Banca di Credito Finanziario SPA		695,143
246,850	MFE-MediaForEurope NV – Class A		124,912
55,171	MFE-MediaForEurope NV – Class B (b)		39,489
59,314	OVS SPA		148,283
102,824	Piaggio & C SPA		392,403
23,768	Poste Italiane SPA (a)		263,847
675,419	Stellantis NV		12,537,972
12,390,182	Telecom Italia SPA *		3,843,826
12,801	Tenaris SA		204,430
5,497	Tenaris SA ADR		175,519
88,414	UniCredit SPA		2,154,040
6,329	Unieuro SPA (b)		70,660
675,738	Unipol Gruppo SPA		3,762,610
	Total Italy		56,186,418
	Japan — 14.7%
13,100	Aichi Corp		85,750
3,900	Amada Co Ltd		41,275
186,400	Amano Corp		4,063,107
5,900	AOKI Holdings Inc		42,275
10,400	Asahi Group Holdings Ltd (a)		404,616
90,300	Astellas Pharma Inc		1,366,272
22,300	Bandai Namco Holdings Inc (a)		517,300
9,100	Bando Chemical Industries Ltd		95,911
35,800	Bridgestone Corp (a)		1,389,962
64,000	Brother Industries Ltd		1,083,108
5,600	Canon Electronics Inc		71,213
103,100	Canon Inc (a)		2,537,709
23,600	Canon Marketing Japan Inc		619,188
8,200	Central Glass Co Ltd		165,026
4,000	Chiyoda Integre Co Ltd		76,819
73,800	Chugoku Marine Paints Ltd		722,356
204,100	Citizen Watch Co Ltd		1,250,050
471,500	Credit Saison Co Ltd		7,369,470
12,900	Dai Nippon Toryo Co Ltd		85,693
109,100	Daicel Corp		910,751
4,000	Dai-Dan Co Ltd		81,981
20,400	Daido Steel Co Ltd		843,267
4,100	Daiichi Jitsugyo Co Ltd		150,318
4,100	Daiken Corp		85,570
3,500	Daito Trust Construction Co Ltd		385,995
54,200	Daiwa House Industry Co Ltd		1,505,447
495,000	Daiwabo Holdings Co Ltd		10,033,623
488,300	Denka Co Ltd		9,204,395

See accompanying notes to the financial statements. 54

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Japan — continued
10,300	Ebara Corp		512,109
40,200	ENEOS Holdings Inc		150,956
198,500	EXEO Group Inc		4,223,158
2,400	FJ Next Holdings Co Ltd		17,301
363,500	Fuji Corp		5,992,099
44,700	Fuji Media Holdings Inc		466,655
157,400	FUJIFILM Holdings Corp		9,301,779
7,700	Fujitsu Ltd (a)		962,437
3,400	G-7 Holdings Inc		29,201
448,600	H.U. Group Holdings Inc		8,112,626
15,600	Hanwa Co Ltd		496,231
287,494	Haseko Corp (b)		3,569,475
73,400	Hitachi Construction Machinery Co Ltd		2,282,311
34,900	Hitachi Ltd (a)		2,319,531
123,500	Hogy Medical Co Ltd		2,709,753
240,800	Honda Motor Co Ltd (a)		7,781,784
40,851	Honda Motor Co Ltd Sponsored ADR (a)		1,320,713
11,100	Horiba Ltd		577,103
36,200	Hosiden Corp		450,213
85,700	Idemitsu Kosan Co Ltd		1,824,237
37,600	Inabata & Co Ltd		817,383
961,500	Inpex Corp		13,464,679
64,800	Isuzu Motors Ltd		829,540
348,900	ITOCHU Corp (a)		13,093,979
11,700	Itochu Enex Co Ltd		118,398
1,300	Itochu-Shokuhin Co Ltd		54,696
25,000	Itoki Corp		237,607
15,500	Jaccs Co Ltd		539,076
500	Japan Aviation Electronics Industry Ltd		10,526
50,400	Japan Petroleum Exploration Co Ltd		1,657,515
64,400	Japan Post Holdings Co Ltd (a)		493,732
392,600	Japan Tobacco Inc (a)		8,596,478
269,243	JSR Corp		7,514,850
19,800	Kaga Electronics Co Ltd		898,565
175,600	Kajima Corp		2,933,002
8,800	Kamei Corp		88,766
37,100	Kandenko Co Ltd		339,881
624,300	Kanematsu Corp		8,787,574
23,400	Kao Corp		903,886
91,500	Kawasaki Kisen Kaisha Ltd (a)		3,066,270
223,800	KDDI Corp (a)		6,652,996
509,000	Kirin Holdings Co Ltd		7,145,977
22,200	Kitz Corp		160,572
70,500	Komatsu Ltd (a)		2,006,303
8,245	Komeri Co Ltd		174,093
193,800	Konoike Transport Co Ltd		2,713,374
400	Krosaki Harima Corp		26,134
369,600	K’s Holdings Corp		3,406,987
161,700	Kyudenko Corp		4,975,629
7,000	Lawson Inc (b)		334,118
5,000	Life Corp		124,665
24,800	Macnica Holdings Inc		1,160,356
655,500	Macromill Inc		3,307,598
536,400	Mandom Corp		5,289,522

Shares	Description	Value ($)
	Japan — continued
305,400	Marubeni Corp (a)		4,989,808
275,600	Maruichi Steel Tube Ltd		7,162,050
5,400	Maruzen Showa Unyu Co Ltd		146,719
256,100	Maxell Ltd		2,775,587
278,300	Mazda Motor Corp		2,899,584
2,200	MCJ Co Ltd		17,976
1,600	Melco Holdings Inc		35,289
75,800	Mirarth Holdings Inc		243,461
142,400	Mitsubishi Corp (a)		7,023,867
784,400	Mitsubishi Electric Corp (a)		10,219,219
30,300	Mitsubishi Materials Corp		508,619
146,700	Mitsubishi Motors Corp		573,823
3,500	Mitsubishi Research Institute Inc (a)		120,569
1,494,200	Mitsubishi UFJ Financial Group Inc		11,920,246
128,600	Mitsui & Co Ltd (a)		4,789,747
2,100	Mitsui DM Sugar Holdings Co Ltd		43,073
249,600	Mitsui OSK Lines Ltd (a)		6,911,657
13,300	Mitsui-Soko Holdings Co Ltd (a)		379,054
34,100	MIXI Inc		569,159
212,500	Mizuho Financial Group Inc		3,501,792
7,200	Modec Inc *		81,805
144,700	Morinaga & Co Ltd		5,258,751
91,300	MS&AD Insurance Group Holdings Inc		3,278,731
157,900	NEC Corp (a)		8,323,046
305,900	NH Foods Ltd		9,490,160
25,000	Nichias Corp		522,879
6,600	Nichiha Corp		141,429
8,400	Nichireki Co Ltd		120,136
7,000	Nippn Corp		99,526
1,000	Nippon Densetsu Kogyo Co Ltd		14,645
10,400	Nippon Soda Co Ltd		384,644
72,300	Nippon Steel Corp (a)		1,709,774
2,755,200	Nippon Telegraph & Telephone Corp (a)		3,181,252
38,000	Nippon Television Holdings Inc		354,037
364,600	Nippon Yusen KK (a)		9,699,961
7,200	Nishi-Nippon Financial Holdings Inc		74,508
273,000	Nissan Motor Co Ltd		1,160,855
5,700	Nisshin Oillio Group Ltd (The)		163,511
3,800	Nissin Corp		67,281
16,800	Niterra Co Ltd		389,871
4,200	Nittetsu Mining Co Ltd		147,132
9,500	Nitto Denko Corp (a)		648,114
41,000	Nojima Corp		359,881
12,900	Nomura Real Estate Holdings Inc		324,608
3,100	Noritake Co Ltd		128,254
432,200	Obayashi Corp		3,914,326
15,900	Okamura Corp (a)		237,024
3,100	Omron Corp		149,583
51,800	Ono Pharmaceutical Co Ltd		978,602
4,100	Organo Corp		113,793
56,600	ORIX Corp (a)		1,055,289
5,900	Osaka Soda Co Ltd		282,662
51,800	Otsuka Holdings Co Ltd		1,967,971
417,400	Pacific Industrial Co Ltd		4,084,731

55 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Japan — continued
49,400	PAL GROUP Holdings Co Ltd		696,731
317,700	Panasonic Holdings Corp (a)		3,656,743
623,900	Penta-Ocean Construction Co Ltd		3,708,039
8,000	Proto Corp		65,079
36,700	Renesas Electronics Corp *		611,410
25,100	Ricoh Co Ltd		204,474
800	Rohm Co Ltd		66,726
43,000	San-A Co Ltd		1,450,463
9,900	San-Ai Oil Co Ltd		113,851
13,100	Sangetsu Corp		271,525
11,900	Sankyo Co Ltd		518,218
217,900	Sankyu Inc		7,597,213
5,200	Santen Pharmaceutical Co Ltd		48,260
65,500	Sanwa Holdings Corp		996,676
80,400	Secom Co Ltd (a)		5,627,015
201,000	Seiko Epson Corp		3,147,337
56,800	Sekisui Chemical Co Ltd		871,162
491,500	Sekisui House Ltd		10,016,471
7,500	Sekisui Jushi Corp		129,473
28,200	Shimamura Co Ltd		2,906,680
247,300	Shimizu Corp		1,663,820
9,100	Shin-Etsu Polymer Co Ltd		85,661
6,200	Shinnihon Corp		52,398
73,200	Shionogi & Co Ltd		3,214,895
2,000	Sinanen Holdings Co Ltd		55,064
9,300	Sinko Industries Ltd		128,615
61,000	SKY Perfect JSAT Holdings Inc		277,308
325,120	Sojitz Corp		6,985,073
13,300	Sompo Holdings Inc (a)		578,783
425,300	Stanley Electric Co Ltd		7,460,985
7,600	Star Micronics Co Ltd		98,068
2,800	Starts Corp Inc		58,757
204,900	Subaru Corp		3,938,870
599,600	SUMCO Corp		8,008,103
166,200	Sumitomo Chemical Co Ltd		460,096
408,000	Sumitomo Corp		8,391,094
43,700	Sumitomo Electric Industries Ltd		534,988
239,100	Sumitomo Forestry Co Ltd		6,728,549
8,700	Sumitomo Heavy Industries Ltd		217,754
18,300	Sumitomo Metal Mining Co Ltd		567,915
231,800	Sumitomo Mitsui Financial Group Inc		10,597,076
208,600	Sumitomo Mitsui Trust Holdings Inc		7,813,905
1,500	Sumitomo Seika Chemicals Co Ltd		46,557
12,800	Suzuki Motor Corp		502,943
647,900	T&D Holdings Inc		10,268,838
96,300	Taisei Corp		3,241,072
4,600	Takasago Thermal Engineering Co Ltd		92,523
5,500	Takeuchi Manufacturing Co Ltd		174,652
10,000	Tamron Co Ltd		308,751
11,400	TBS Holdings Inc		201,520
94,100	TDK Corp		3,424,968
456,100	Teijin Ltd		4,631,255
429,000	THK Co Ltd		7,834,498
21,900	Toho Holdings Co Ltd		438,245

Shares	Description	Value ($)
	Japan — continued
674,700	Tokai Carbon Co Ltd		5,328,943
1,500	Token Corp		78,954
290,400	Tokyo Gas Co Ltd (a)		6,720,018
138,300	Tokyo Seimitsu Co Ltd		7,616,750
215,400	Toppan Inc (a)		5,203,182
480,800	Tosei Corp		6,049,371
200,475	Toshiba Corp		6,335,619
209,900	Tosoh Corp		2,716,062
6,200	Towa Pharmaceutical Co Ltd		118,177
8,600	Toyo Construction Co Ltd		65,475
3,300	Toyo Ink SC Holdings Co Ltd		51,401
56,700	Toyota Industries Corp		4,003,500
82,300	Toyota Tsusho Corp		4,899,205
16,600	TV Asahi Holdings Corp		188,788
11,000	Unipres Corp		92,773
10,400	Wacoal Holdings Corp		228,723
4,100	Warabeya Nichiyo Holdings Co Ltd		76,642
23,800	YAMABIKO Corp		240,542
378,400	Yamaha Motor Co Ltd		9,791,577
23,300	Yamazen Corp		182,617
12,300	Yellow Hat Ltd		159,359
181,500	Yokogawa Bridge Holdings Corp		3,438,921
7,200	Yuasa Trading Co Ltd		211,320
155,800	Zenkoku Hosho Co Ltd		5,397,839
	Total Japan		534,935,820
	Kuwait — 0.0%
11,326	Humansoft Holding Co KSC		118,559
	Malaysia — 0.1%
144,700	AMMB Holdings Bhd		116,408
292,900	Hartalega Holdings Bhd		123,364
293,600	Hibiscus Petroleum Bhd		60,429
208,300	IOI Corp Bhd		180,980
369,700	Kossan Rubber Industries Bhd		102,801
294,000	KPJ Healthcare Bhd		73,600
169,200	MISC Bhd		262,293
354,800	Petronas Chemicals Group Bhd		544,488
7,500	Petronas Gas Bhd		27,655
102,000	PPB Group Bhd		345,533
30,000	RHB Bank Bhd		36,264
168,100	Telekom Malaysia Bhd		184,894
1,901,300	Top Glove Corp Bhd *		313,659
	Total Malaysia		2,372,368
	Mexico — 1.1%
386,115	Arca Continental SAB de CV		3,770,455
198,202	Banco del Bajio SA		623,998
26,344	Cemex SAB de CV Sponsored ADR*		209,962
11,486	Coca-Cola Femsa SAB de CV Sponsored ADR		973,324
1,136,700	Credito Real SAB de CV SOFOM ER * (e)		—
88,900	El Puerto de Liverpool SAB de CV – Class C1		552,884

See accompanying notes to the financial statements. 56

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Mexico — continued
612,619	Fomento Economico Mexicano SAB de CV		6,858,976
9,554	Fomento Economico Mexicano SAB de CV Sponsored ADR		1,075,016
68,700	Gentera SAB de CV		83,687
29,960	Grupo Aeroportuario del Centro Norte SAB de CV		347,473
38,267	Grupo Aeroportuario del Sureste SAB de CV – Class B		1,041,707
1,088	Grupo Aeroportuario del Sureste SAB de CV ADR		296,241
26,400	Grupo Bimbo SAB de CV – Series A		129,890
1,449,769	Grupo Financiero Banorte SAB de CV – Class O		12,306,095
29,255	Grupo Herdez SAB de CV – Series *		71,891
1,700,040	Grupo Mexico SAB de CV – Series B		8,126,053
42,351	Qualitas Controladora SAB de CV		333,184
67,500	Regional SAB de CV		497,308
196,849	Unifin Financiera SAB de CV * (e)		—
920,972	Wal-Mart de Mexico SAB de CV		3,630,846
	Total Mexico		40,928,990
	Netherlands — 2.0%
482,295	ABN AMRO Bank NV CVA GDR (b)		7,094,512
1,218,624	Aegon NV		6,245,440
18,407	AerCap Holdings NV *		1,132,399
3,530	Akzo Nobel NV (a)		286,578
9,884	ASR Nederland NV		432,174
9,661	Brunel International NV		130,235
16,510	Evander Gold Mines Ltd * (d)		179
170,420	EXOR NV		15,081,656
38,978	ForFarmers NV (b)		103,443
120,464	ING Groep NV		1,706,856
122,656	JDE Peet’s NV		3,414,063
403,913	Koninklijke Ahold Delhaize NV		13,211,996
442,010	Koninklijke Philips NV * (a)		9,932,663
44,164	Koninklijke Vopak NV		1,592,279
176,308	NN Group NV (b)		6,787,064
77,881	Randstad NV (a)		4,570,452
72,317	Signify NV		2,044,207
37,991	TomTom NV * (a)		301,491
14,072	Van Lanschot Kempen NV		416,702
	Total Netherlands		74,484,389
	New Zealand — 0.0%
350,196	Meridian Energy Ltd (a)		1,120,212
	Norway — 0.6%
67,369	Austevoll Seafood ASA		487,392
50,195	BW LPG Ltd		608,131
38,887	DNB Bank ASA		768,662
343,867	DNO ASA		320,475
607,026	Elkem ASA		1,253,545
467,342	Equinor ASA		14,352,639
139,926	Europris ASA		796,282

Shares	Description	Value ($)
	Norway — continued
90,555	Hoegh Autoliners ASA (a)		631,091
56,862	Odfjell Drilling Ltd *		193,174
15,675	Stolt-Nielsen Ltd (a)		389,777
8,161	Subsea 7 SA		106,334
11,971	TGS ASA		154,950
109,148	Wallenius Wilhelmsen ASA		882,904
	Total Norway		20,945,356
	Pakistan — 0.0%
456,246	Oil & Gas Development Co Ltd		140,178
43,862	Pakistan Oilfields Ltd		62,867
439,756	Pakistan Petroleum Ltd		95,267
	Total Pakistan		298,312
	Panama — 0.0%
494,873	BAC Holding International Corp		25,890
	Philippines — 0.0%
19,470	Manila Electric Co		118,248
3,393,024	Megaworld Corp		119,222
	Total Philippines		237,470
	Poland — 0.4%
15,769	Asseco Poland SA		280,121
105,282	Bank Polska Kasa Opieki SA		2,748,496
9,973	Budimex SA		1,085,018
75,238	Cyfrowy Polsat SA		247,252
3,276	KGHM Polska Miedz SA		90,337
90,437	Orange Polska SA		156,857
459,989	ORLEN SA		7,022,590
81,900	PGE Polska Grupa Energetyczna SA *		168,114
113,518	Powszechny Zaklad Ubezpieczen SA		1,136,866
1,844	Santander Bank Polska SA *		165,902
7,121	XTB SA		57,150
	Total Poland		13,158,703
	Portugal — 0.3%
451,016	EDP – Energias de Portugal SA		2,054,875
401,421	Galp Energia SGPS SA		5,540,482
160,374	Navigator Co SA (The)		586,817
23,211	REN - Redes Energeticas Nacionais SGPS SA		63,433
1,570,875	Sonae SGPS SA		1,654,811
	Total Portugal		9,900,418
	Qatar — 0.0%
212,279	Ooredoo QPSC		629,868
160,925	Qatar National Cement Co QSC		154,634
	Total Qatar		784,502
	Russia — 0.0%
10,221,010	Alrosa PJSC * (e) (g)		86,789

57 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Russia — continued
376,870,000	Federal Grid Co Unified Energy System PJSC * (e)		5,181
214,678	Fix Price Group Plc GDR* (e)		4,807
415,363	Gazprom Neft PJSC (e)		28,249
4,924,596	Gazprom PJSC * (e)		91,491
75,924	Globaltrans Investment Plc Sponsored GDR (Registered) * (e)		2,553
18,204,300	Inter RAO UES PJSC (e)		7,956
88,304	LSR Group PJSC (e)		6,891
4	LSR Group PJSC GDR (Registered) * (e)		—
192,855	LUKOIL PJSC (e)		137,387
5,760,219	Magnitogorsk Iron & Steel Works PJSC * (e) (g)		33,408
71,800	Mechel PJSC * (e)		1,546
12,797	MMC Norilsk Nickel PJSC * (e)		22,493
8	MMC Norilsk Nickel PJSC ADR * (e)		1
23,942	Mobile TeleSystems PJSC (e)		710
37,065	Mobile TeleSystems PJSC ADR* (e)		2,194
1,472,470	Moscow Exchange MICEX-RTS PJSC (e)		26,447
7,545,000	Mosenergo PJSC (e)		2,396
191,960	Novatek PJSC (e)		33,781
3,493,400	Novolipetsk Steel PJSC * (e)		73,668
6,115	PhosAgro PJSC (e)		4,661
118	PhosAgro PJSC GDR * (e) (g)		30
25,552	Polyus PJSC * (e) (g)		31,105
1	Polyus PJSC GDR (Registered) * (e) (g)		1
1,493	Ros Agro Plc GDR (Registered) * (c) (e)		193
1,208	Ros Agro Plc GDR (Registered) * (c) (e)		99
49,974,140	RusHydro PJSC (e)		5,164
8,073,970	Sberbank of Russia PJSC (e) (g)		223,081
7,395	Severstal PAO * (e) (g)		1,097
261,549	Severstal PJSC GDR (Registered) * (e) (g)		38,712
29,090	SFI PJSC * (e)		1,652
27,770,670	Surgutneftegas PJSC (e)		90,792
986,916	Tatneft PJSC (e)		60,723
725,480	Unipro PJSC * (e)		181
55,470	United Co Rusal International PJSC * (e)		243
752,312,000	VTB Bank PJSC * (e) (g)		2,268
	Total Russia		1,027,950
	Saudi Arabia — 0.1%
67,101	Almarai Co JSC		1,133,244
10,986	Co for Cooperative Insurance (The)		339,598
264,335	Emaar Economic City *		592,713
15,669	Etihad Etisalat Co		188,502
51,530	Jarir Marketing Co		202,755
1,213	Saudi Arabian Oil Co		11,295
247,289	Saudi Telecom Co		2,624,079
	Total Saudi Arabia		5,092,186
	Singapore — 0.6%
621,000	Asian Pay Television Trust		46,856
102,600	Bumitama Agri Ltd		41,727
888,700	ComfortDelGro Corp Ltd		834,407

Shares	Description	Value ($)
	Singapore — continued
66,024	DBS Group Holdings Ltd		1,625,091
122,400	First Real Estate Investment Trust		23,086
331,900	First Resources Ltd		380,177
3,955,300	Golden Agri-Resources Ltd		730,998
465,199	Japfa Ltd		80,858
888,300	Keppel Corp Ltd		4,557,136
222,500	Oversea-Chinese Banking Corp Ltd		2,064,424
242,500	Sasseur Real Estate Investment Trust		125,534
117,800	Sembcorp Industries Ltd		466,122
76,000	Sheng Siong Group Ltd		85,455
241,100	Silverlake Axis Ltd		50,820
230,000	StarHub Ltd		173,518
75,000	United Overseas Bank Ltd		1,575,552
19,600	UOL Group Ltd		96,225
52,000	Venture Corp Ltd		504,013
119,100	Wilmar International Ltd		332,919
315,300	Yangzijiang Financial Holding Ltd (b)		85,072
5,174,677	Yangzijiang Shipbuilding Holdings Ltd		6,467,088
452,600	Yanlord Land Group Ltd *		225,925
	Total Singapore		20,573,003
	South Africa — 1.6%
678,922	Absa Group Ltd		6,545,843
52,471	AECI Ltd		299,546
91,032	African Rainbow Minerals Ltd		859,670
131,374	Anglo American Platinum Ltd		4,581,575
54,813	AngloGold Ashanti Ltd Sponsored ADR		931,821
108,546	Aspen Pharmacare Holdings Ltd		990,342
33,492	Astral Foods Ltd		303,204
127,895	AVI Ltd		489,340
79,908	Barloworld Ltd		358,414
3,095	Bid Corp Ltd		69,494
183,216	Bidvest Group Ltd (The)		2,764,294
955	Capitec Bank Holdings Ltd		80,094
27,397	Clicks Group Ltd		396,645
50,720	Coronation Fund Managers Ltd		85,834
19,500	DRDGOLD Ltd Sponsored ADR		199,290
1,424,909	FirstRand Ltd		5,536,363
242,815	Foschini Group Ltd (The)		1,340,161
96,282	Gold Fields Ltd Sponsored ADR		1,216,042
1,002,727	Impala Platinum Holdings Ltd		5,162,167
57,507	Investec Ltd		337,371
192,263	Kumba Iron Ore Ltd		4,210,225
120,662	Lewis Group Ltd		237,827
78,808	Momentum Metropolitan Holdings		83,864
114,282	Motus Holdings Ltd		613,687
239,253	Mr Price Group Ltd		1,674,480
52,392	MTN Group Ltd		333,169
163,376	MultiChoice Group		678,807
6,997	Naspers Ltd – N Shares		1,187,631
139,153	Nedbank Group Ltd		1,592,831
146,233	Ninety One Ltd		309,274
891,344	Old Mutual Ltd		596,967

See accompanying notes to the financial statements. 58

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	South Africa — continued
26,901	Omnia Holdings Ltd		77,407
85,901	OUTsurance Group Ltd		182,178
299,649	Pepkor Holdings Ltd		258,423
117,365	Pick n Pay Stores Ltd		216,689
10,508	Remgro Ltd		88,129
65,074	Reunert Ltd		206,663
142,091	Sanlam Ltd		510,813
3,420	Santam Ltd		53,845
554,630	Sappi Ltd		1,175,722
48,151	Shoprite Holdings Ltd		672,007
1,472,586	Sibanye Stillwater Ltd		2,221,892
361,400	Sibanye Stillwater Ltd ADR		2,186,470
38,638	SPAR Group Ltd (The)		210,896
84,483	Tiger Brands Ltd		729,739
647,187	Truworths International Ltd		2,483,785
134,491	Vodacom Group Ltd		767,123
634,401	Woolworths Holdings Ltd		2,493,199
101,898	Zeda Ltd *		64,090
	Total South Africa		58,665,342
	South Korea — 2.5%
1,761	BGF retail Co Ltd		208,222
146,916	BNK Financial Group Inc		757,348
32,482	Cheil Worldwide Inc		463,031
14,411	CJ Corp		766,479
32,378	Coway Co Ltd		1,057,238
22,656	Daou Data Corp		254,336
7,260	DB Insurance Co Ltd		448,359
270,400	Dongwon Development Co Ltd		705,422
45,448	E-MART Inc		2,534,456
3,739	Fila Holdings Corp		107,060
60,743	GS Holdings Corp		1,724,062
81,513	Hana Financial Group Inc		2,435,822
11,389	Handsome Co Ltd		163,357
61,619	Hankook Tire & Technology Co Ltd		1,803,658
56,159	HDC Hyundai Development Co-Engineering & Construction		437,962
42,542	Humasis Co Ltd *		80,838
14,737	Hyundai Glovis Co Ltd		1,921,579
2,982	Hyundai Home Shopping Network Corp		98,377
14,119	Hyundai Marine & Fire Insurance Co Ltd		322,836
29,403	Hyundai Mobis Co Ltd		5,133,322
12,366	INTOPS Co Ltd		276,130
85,709	JB Financial Group Co Ltd		628,999
2,703	KB Financial Group Inc ADR		109,120
8,504	KC Co Ltd		112,850
662	KC Tech Co Ltd		10,930
1,538	KCC Glass Corp		48,674
228,019	Kia Corp		13,821,150
649	KIWOOM Securities Co Ltd		50,652
49,512	KT Skylife Co Ltd		237,784
202,183	KT&G Corp		13,283,679
14,643	Kumho Petrochemical Co Ltd		1,380,627
23,897	LG Corp		1,482,526

Shares	Description	Value ($)
	South Korea — continued
100,749	LG Electronics Inc		7,497,893
23,195	LOTTE Fine Chemical Co Ltd		1,058,841
5,172	LOTTE Himart Co Ltd		38,694
23,629	LX International Corp		541,785
524	MegaStudyEdu Co Ltd		20,399
39,449	Mirae Asset Securities Co Ltd		198,557
6,650	NH Investment & Securities Co Ltd		51,778
140	NongShim Co Ltd		48,523
7,153	Orion Corp		658,773
1,956	POSCO Holdings Inc		855,248
100,823	POSCO Holdings Inc Sponsored ADR		11,066,332
1,647	S-1 Corp		69,489
129,525	Samsung Electronics Co Ltd		6,550,888
1,527	Samsung Electronics Co Ltd GDR
	(Registered) (a)		1,924,611
7,663	Samsung Securities Co Ltd		216,280
25,556	SD Biosensor Inc		241,707
18,398	SK Networks Co Ltd		100,293
81,274	SK Square Co Ltd *		2,768,995
1,152	SNT Motiv Co Ltd		42,630
839	Soulbrain Co Ltd		144,209
162	Taekwang Industrial Co Ltd		74,240
8,186	TKG Huchems Co Ltd		137,038
288	Unid Co Ltd		12,647
356,893	Woori Financial Group Inc		3,210,800
75,945	Woori Technology Investment Co Ltd *		200,919
16,763	Youngone Corp		680,337
	Total South Korea		91,278,791
	Spain — 1.9%
403,126	Acerinox SA		4,048,343
70,936	Amadeus IT Group SA (a)		4,867,163
5,951	Applus Services SA (a)		61,104
53,381	Atresmedia Corp de Medios de
	Comunicacion SA		212,052
2,374,532	Banco Bilbao Vizcaya Argentaria SA		18,734,796
7,499,898	Banco de Sabadell SA		8,674,087
3,393,985	Banco Santander SA		13,248,786
57,274	Cia de Distribucion Integral Logista
	Holdings SA (a)		1,552,134
1,514	Faes Farma SA		5,296
18,320	Gestamp Automocion SA		81,892
8,732	Iberdrola SA (a)		103,585
213,014	Industria de Diseno Textil SA (a)		8,160,853
84,757	Prosegur Cia de Seguridad SA		147,914
568,503	Repsol SA		8,786,840
12,611	Solaria Energia y Medio Ambiente SA * (a)		187,397
	Total Spain		68,872,242
	Sweden — 0.7%
22,727	AcadeMedia AB		104,773
81,920	Betsson AB – Class B* (a)		916,622
19,873	Boliden AB		528,433
125,151	Fabege AB		1,071,182

59 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Sweden — continued
670,797	Fastighets AB Balder – B Shares*		3,206,156
57,169	Investor AB – B Shares (a)		1,100,379
241,417	Kinnevik AB – Class B* (b)		2,834,776
153,304	Nordea Bank Abp		1,679,484
21,700	Peab AB – Class B		88,060
36,906	Skandinaviska Enskilda Banken AB – Class A		427,873
91,699	Skanska AB – B Shares		1,342,335
627,681	SSAB AB – A Shares		3,600,614
53,229	SSAB AB – B Shares		294,602
49,572	Svenska Cellulosa AB SCA – Class B		659,901
299,470	Svenska Handelsbanken AB – A Shares		2,498,794
784,138	Telefonaktiebolaget LM Ericsson – B Shares		4,024,185
21,630	Volvo AB – A Shares		442,416
57,316	Volvo AB – B Shares (a)		1,155,125
90,707	Volvo Car AB – Class B* (b)		344,382
	Total Sweden		26,320,092
	Switzerland — 1.4%
6,714	ABB Ltd (Registered) (a)		255,321
193,476	Adecco Group AG (Registered) (a)		8,322,388
827	Galenica AG (a)		65,630
2,287	Holcim Ltd (a)		151,240
116,054	Logitech International SA (Registered) (c)		8,028,906
1,784	Logitech International SA (Registered) (c)		122,775
6,653	Mobilezone Holding AG (Registered)		103,788
41,693	Novartis AG (Registered) (a)		4,196,055
74,288	Novartis AG Sponsored ADR (a)		7,464,458
1,655	Roche Holding AG		515,795
60,750	Roche Holding AG – Genusschein (a)		17,829,409
795	Swiss Life Holding AG (Registered) (a)		497,881
985	Swisscom AG (Registered) (a)		599,756
7,202	u-blox Holding AG		642,029
21,633	UBS Group AG (Registered) (a)		572,987
316	Zurich Insurance Group AG (a)		148,170
	Total Switzerland		49,516,588
	Taiwan — 3.2%
214,000	Acer Inc		245,368
5,898	Advantech Co Ltd		63,470
280,235	AmTRAN Technology Co Ltd		107,226
219,418	ASE Technology Holding Co Ltd ADR		1,803,616
64,000	Asia Cement Corp		80,169
285,672	Asustek Computer Inc		3,599,179
36,000	Aten International Co Ltd		92,474
1,331,000	Catcher Technology Co Ltd		7,530,732
520,490	Chicony Electronics Co Ltd		1,687,699
742,000	Chipbond Technology Corp		1,624,270
166,000	ChipMOS Technologies Inc		199,651
101,540	Chong Hong Construction Co Ltd		230,253
823,000	Compal Electronics Inc		821,721
140,080	Coretronic Corp		347,003

Shares	Description	Value ($)
	Taiwan — continued
253,000	Delta Electronics Inc		2,734,144
1,650,000	Evergreen Marine Corp Taiwan Ltd		5,510,221
262,000	Farglory Land Development Co Ltd		457,061
643,230	First Financial Holding Co Ltd		530,871
130,709	FLEXium Interconnect Inc		372,400
35,000	Formosa Advanced Technologies Co Ltd		43,184
374,000	Formosa Plastics Corp		933,658
442,000	Foxconn Technology Co Ltd		771,343
839,148	Fubon Financial Holding Co Ltd		1,673,397
4,000	Fusheng Precision Co Ltd		24,852
63,000	Getac Technology Corp		138,825
756,000	Grand Pacific Petrochemical		398,576
3,723,406	Hon Hai Precision Industry Co Ltd		12,431,493
197,000	Huaku Development Co Ltd		553,569
14,279	Innodisk Corp		125,314
184,000	Inventec Corp		324,144
183,000	King’s Town Bank Co Ltd		212,120
148,000	Kung Long Batteries Industrial Co Ltd		617,762
94,000	Largan Precision Co Ltd		6,037,540
511,000	Lite-On Technology Corp ADR		2,184,557
5,000	Makalot Industrial Co Ltd		52,450
180,000	MediaTek Inc		3,969,621
707,000	Micro-Star International Co Ltd		3,535,393
429,000	Mitac Holdings Corp		543,859
124,000	Nan Ya Plastics Corp		257,348
295,502	Nantex Industry Co Ltd		337,344
6,000	Nien Made Enterprise Co Ltd		56,233
361,000	Novatek Microelectronics Corp		4,512,823
9,000	Phison Electronics Corp		119,338
1,445,566	Pou Chen Corp		1,297,059
264,000	Primax Electronics Ltd		548,279
705,263	Radiant Opto-Electronics Corp		2,643,148
10,000	Raydium Semiconductor Corp		100,795
233,000	Ruentex Industries Ltd		455,223
137,280	Shin Zu Shing Co Ltd		355,930
128,000	Shinkong Insurance Co Ltd		230,654
45,500	Silicon Motion Technology Corp ADR * (f)		2,471,105
160,000	Simplo Technology Co Ltd		1,543,048
8,000	Soft-World International Corp		24,217
3,300	Sporton International Inc		26,540
286,000	Syncmold Enterprise Corp		540,222
43,000	Synnex Technology International Corp		82,417
28,000	T3EX Global Holdings Corp		65,359
24,311	Tah Hsin Industrial Corp		54,022
61,000	TaiDoc Technology Corp *		328,659
27,000	Taiwan Hon Chuan Enterprise Co Ltd		88,370
278,000	Taiwan Semiconductor Manufacturing Co Ltd		4,776,860
122,325	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR (a)		11,445,950
104,000	Taiwan Union Technology Corp		407,013
109,699	TOPBI International Holdings Ltd *		38,069
10,000	Topkey Corp		52,789
305,000	Transcend Information Inc		692,775

See accompanying notes to the financial statements. 60

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Taiwan — continued
231,000	Tripod Technology Corp		1,368,141
30,000	Tung Ho Steel Enterprise Corp		56,384
127,681	United Integrated Services Co Ltd		869,730
652,000	United Microelectronics Corp		930,892
304,000	Universal Inc		216,454
944,400	Wan Hai Lines Ltd		1,340,535
253,000	Win Semiconductors Corp		1,080,433
2,187,000	Wistron Corp		7,995,350
17,000	Yageo Corp		258,251
3,780,000	Yang Ming Marine Transport Corp		5,006,763
232,000	Youngtek Electronics Corp		414,758
2,325,365	Yuanta Financial Holding Co Ltd		1,779,307
53,000	Zhen Ding Technology Holding Ltd		160,450
	Total Taiwan		117,638,222
	Thailand — 0.8%
4,984,700	AP Thailand Pcl NVDR		1,807,116
197,300	Bangchak Corp Pcl NVDR		218,174
1,394,500	Bangkok Bank Pcl NVDR		6,746,365
270,500	Bangkok Dusit Medical Services Pcl NVDR		216,222
425,100	Carabao Group Pcl NVDR		1,044,009
226,000	GFPT Pcl NVDR		70,341
483,200	Kasikornbank Pcl NVDR		1,799,985
19,189,300	Krung Thai Bank Pcl NVDR		10,570,920
159,808	Pruksa Holding Pcl (Foreign Registered)		61,121
565,380	Pruksa Holding Pcl NVDR		216,238
618,300	PTT Exploration & Production Pcl NVDR		2,799,185
116,700	Regional Container Lines Pcl NVDR		71,943
14,212,300	Sansiri Pcl NVDR		827,395
38,800	Siam Cement Pcl NVDR (The)		346,632
207,800	Somboon Advance Technology Pcl NVDR		112,684
564,100	Sri Trang Agro-Industry Pcl NVDR		235,058
522,300	Sri Trang Gloves Thailand Pcl NVDR		108,090
732,000	Srisawad Corp Pcl NVDR		1,066,096
460,400	Supalai Pcl NVDR		285,175
272,400	Thai Oil Pcl NVDR		400,635
317,000	Thai Union Group Pcl NVDR		129,419
208,230	Thai Vegetable Oil Pcl NVDR		139,104
	Total Thailand		29,271,907
	Turkey — 0.7%
7,299,329	Akbank TAS		7,852,238
15,498	Anadolu Efes Biracilik Ve Malt Sanayii AS		62,510
834,468	Aselsan Elektronik Sanayi Ve Ticaret AS		1,199,516
35,001	Dogus Otomotiv Servis ve Ticaret AS		373,669
1,114,203	Haci Omer Sabanci Holding AS		2,491,246
263,729	Is Yatirim Menkul Degerler AS		418,996
708,030	KOC Holding AS		3,756,915
128,827	Koza Anadolu Metal Madencilik Isletmeleri AS *		315,389
363,123	Qua Granite Hayal *		94,423
1,084,019	Turkcell Iletisim Hizmetleri AS *		2,260,637

Shares	Description	Value ($)
	Turkey — continued
9,076,792	Yapi ve Kredi Bankasi AS		5,390,938
	Total Turkey		24,216,477
	Ukraine — 0.0%
36,516	Kernel Holding SA *		97,461
	United Arab Emirates — 0.0%
668,769	Abu Dhabi National Oil Co for Distribution PJSC		693,553
165,684	Emirates NBD Bank PJSC		737,255
	Total United Arab Emirates		1,430,808
	United Kingdom — 4.5%
694,700	3i Group Plc		17,493,549
54,184	Abcam Plc ADR Sponsored ADR*		1,225,642
171,813	Aberdeen Plc		358,414
215,341	Anglo American Plc		5,726,275
278,407	Balfour Beatty Plc		1,152,679
16,420	Bank of Georgia Group Plc		724,366
1,127,574	Barclays Plc		2,100,284
145,632	Barclays Plc Sponsored ADR		1,093,696
1,116,377	Barratt Developments Plc		6,399,600
96,072	Bellway Plc		2,596,204
127,305	Berkeley Group Holdings Plc (The)		6,540,440
611,164	BP Plc (a)		3,776,556
109,236	BP Plc Sponsored ADR (a)		4,061,394
160,362	British American Tobacco Plc (a)		5,311,885
203,528	British American Tobacco Plc Sponsored ADR (a)		6,757,130
6,559,788	BT Group Plc		9,596,388
33,104	Burberry Group Plc (a)		913,989
63,405	Centamin Plc		70,421
2,164,663	Centrica Plc (a)		4,154,777
256,883	Coca-Cola HBC AG		7,400,003
233,243	Compass Group Plc (a)		5,881,621
49,556	Crest Nicholson Holdings Plc		113,126
30,601	Evraz Plc * (e)		793
714,155	Ferrexpo Plc *		699,376
823,662	Glencore Plc (a)		4,386,160
52,094	GSK Plc		912,475
122,134	GSK Plc Sponsored ADR		4,290,567
16,686	Halfords Group Plc		38,602
158,069	Harbour Energy Plc		500,076
1,020,392	HSBC Holdings Plc		7,527,643
10,093	HSBC Holdings Plc Sponsored ADR (a)		376,671
115,743	IG Group Holdings Plc		990,662
133,347	Imperial Brands Plc		3,019,187
27,836	International Personal Finance Plc		43,904
49,321	Investec Plc		291,323
1,734,569	ITV Plc		1,551,141
1,169,554	J Sainsbury Plc		3,999,585
11,440	Keller Group Plc		111,482
1,718,628	Kingfisher Plc		5,093,140
2,282,001	Lloyds Banking Group Plc		1,219,188

61 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United Kingdom — continued
37,865	Marks & Spencer Group Plc *		108,604
11,160	Mondi Plc		185,377
192,029	Moneysupermarket.com Group plc		603,759
24,849	Morgan Sindall Group Plc		619,876
228,099	OSB Group Plc		984,247
12,499	Paragon Banking Group Plc		83,311
126,769	Persimmon Plc		1,709,007
80,558	Plus500 Ltd		1,456,921
47,642	Premier Foods Plc		74,436
48,441	Reach Plc		44,990
129,085	Redde Northgate Plc		524,822
220,810	Redrow Plc		1,327,302
33,984	Rio Tinto Plc (a)		2,092,892
32,504	Serica Energy Plc		102,841
311,113	Shell Plc (a)		9,512,361
122,037	Standard Chartered Plc		1,098,053
1,496,695	Taylor Wimpey Plc		2,163,020
10,766	TBC Bank Group Plc		387,736
276,463	Tesco Plc		930,099
13,574	Unilever Plc Sponsored ADR (a)		692,545
70,780	Vesuvius Plc		394,779
2,985,263	Vodafone Group Plc (a)		2,767,496
803,937	Vodafone Group Plc Sponsored ADR (a)		7,492,693
142,584	WPP Plc		1,382,123
	Total United Kingdom		165,239,704
	United States — 24.1%
72,834	3M Co. (a)		7,769,203
6,821	Academy Sports & Outdoors, Inc.		372,222
232,896	Activision Blizzard, Inc. (a)		21,424,103
456	Acuity Brands, Inc.		73,544
3,210	Adtalem Global Education, Inc. * (a)		140,759
45,998	Aemetis, Inc. *		230,450
4,595	Affiliated Managers Group, Inc.		615,776
6,930	Aflac, Inc. (a)		516,771
14,485	AGCO Corp.		1,876,242
5,124	Akamai Technologies, Inc. * (a)		538,481
347,305	Albertsons Cos., Inc. – Class A (f)		7,779,632
10,300	Alcoa Corp.		309,824
3,480	Allison Transmission Holdings, Inc.		210,366
242,390	Ally Financial, Inc. (a)		6,711,779
91,615	Alphabet, Inc. – Class A* (a)		12,475,215
49,636	Alphabet, Inc. – Class C* (a)		6,817,505
80,535	Amedisys, Inc. *		7,550,156
70,913	Ameresco, Inc. – Class A*		3,084,006
93,323	American Equity Investment Life Holding Co. *		5,009,579
47,313	American Express Co. (a)		7,474,981
1,888,723	Anchor Hocking Holdings, Inc. * (e)		1,548,753
17,565	Archer-Daniels-Midland Co. (a)		1,392,904
54,858	Arrow Electronics, Inc. *		7,319,703
2,000	Aspen Technology, Inc. * (a)		388,000
162,775	AT&T, Inc. (a)		2,407,442
1,554	Atkore, Inc. *		239,269

Shares	Description	Value ($)
	United States — continued
2,897	AutoNation, Inc. *		455,090
12,159	Avnet, Inc.		617,069
193,972	Bank of America Corp. (a)		5,561,177
42,334	Bank of New York Mellon Corp. (The) (a)		1,899,527
55,803	Best Buy Co., Inc. (a)		4,266,139
6,660	Biogen, Inc. *		1,780,618
15,279	Bio-Rad Laboratories, Inc. – Class A*		6,114,656
2,178	Booking Holdings, Inc. * (a)		6,762,755
257,464	BorgWarner, Inc.		10,491,658
64,090	Bristol-Myers Squibb Co. (a)		3,951,148
99,576	Bruin Blocker LLC * (e)		1,197
8,569	Brunswick Corp.		677,979
38,802	Builders FirstSource, Inc. *		5,627,842
11,800	California Resources Corp.		658,912
83,480	Capital One Financial Corp. (a)		8,547,517
71,080	Capri Holdings Ltd. *		3,730,989
28,342	CarMax, Inc. * (a)		2,314,975
92,378	Carrier Global Corp. (a)		5,307,116
3,800	Carter’s, Inc.		271,966
1,787	Caterpillar, Inc. (a)		502,379
60,925	CBRE Group, Inc. – Class A* (a)		5,181,671
78,402	Centene Corp. * (a)		4,833,483
70,849	Chesapeake Energy Corp.		6,249,590
47,294	Chevron Corp. (a)		7,619,063
10,944	Cigna Group (The) (a)		3,023,389
88,021	Cisco Systems, Inc. (a)		5,048,004
203,638	Citigroup, Inc. (a)		8,408,213
178,741	Clean Energy Fuels Corp. *		761,437
367,681	Cleveland-Cliffs, Inc. *		5,621,842
125,381	Cognizant Technology Solutions Corp. – Class A (a)		8,978,533
277,621	Comcast Corp. – Class A (a)		12,981,558
3,541	Commercial Metals Co.		199,323
4,187	ConocoPhillips (a)		498,379
8,900	Corteva, Inc. (a)		449,539
5,049	Crane NXT Co.		299,709
10,968	Cummins, Inc. (a)		2,523,079
130,990	CVS Health Corp. (a)		8,536,618
155,999	Darling Ingredients, Inc. * (a)		9,634,498
1,000	Deere & Co. (a)		410,940
43,170	Dell Technologies, Inc. – Class C (a)		2,427,881
82,812	Denbury, Inc. *		7,583,923
7,173	Devon Energy Corp.		366,469
1,090	Dick’s Sporting Goods, Inc.		126,811
73,768	Discover Financial Services (a)		6,644,284
398,904	DISH Network Corp. – Class A*		2,393,424
34,167	DR Horton, Inc. (a)		4,066,556
6,934	Dropbox, Inc. – Class A* (a)		192,696
186,669	eBay, Inc. (a)		8,359,038
7,531	Elevance Health, Inc. (a)		3,328,777
3,061	Encore Wire Corp.		504,483
4,100	Enphase Energy, Inc. *		518,773
59,602	EOG Resources, Inc.		7,666,009
49,894	Expedia Group, Inc. * (a)		5,408,011

See accompanying notes to the financial statements. 62

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United States — continued
59,032	Exxon Mobil Corp. (a)		6,563,768
1,892	FedEx Corp. (a)		493,850
5,447	Ferguson Plc (a)		880,017
165,580	Fidelity National Financial, Inc.		6,855,012
2,900	First Solar, Inc. *		548,448
3,160	FMC Corp. (a)		272,487
4,653	Foot Locker, Inc.		91,292
669,365	Ford Motor Co. (a)		8,119,397
43,618	Fortune Brands Innovations, Inc.		3,010,514
51,280	Fox Corp. – Class A		1,695,317
186,861	Fox Corp. – Class B		5,702,998
206,822	Franklin Resources, Inc. (a)		5,530,420
38,500	Freeport-McMoRan, Inc. (a)		1,536,535
13,700	Gap, Inc. (The)		158,646
2,567	Garmin Ltd. (a)		272,153
201,500	GCI Liberty, Inc. * (b) (d)		—
13,627	Generac Holdings, Inc. *		1,619,024
16,023	General Electric Co. (a)		1,833,993
222,554	General Motors Co. (a)		7,457,785
18,568	General Mills, Inc. (a)		1,256,311
31,942	Gilead Sciences, Inc. (a)		2,442,924
84,900	Globus Medical, Inc. – Class A* (a) (f)		4,593,090
20,290	Goldman Sachs Group, Inc. (The) (a)		6,649,236
255,436	GrafTech International Ltd.		904,243
285	Graham Holdings Co. – Class B (a)		167,104
153,765	Green Plains, Inc. *		4,772,866
2,120	Group 1 Automotive, Inc.		560,570
30,669	H&R Block, Inc. (a)		1,226,147
4,309	Harley-Davidson, Inc.		145,429
17,641	Hartford Financial Services Group, Inc. (The) (a)		1,266,977
9,275	Hasbro, Inc.		667,800
36,178	HEICO Corp. – Class A		4,899,587
28,600	Hess Corp.		4,418,700
181,421	Hewlett Packard Enterprise Co.		3,082,343
28,472	Hilton Worldwide Holdings, Inc. (a)		4,232,363
1,800	HNI Corp. (a)		58,968
36,157	Horizon Therapeutics Plc *		4,076,340
299,070	HP, Inc. (a)		8,885,370
2,247	Humana, Inc. (a)		1,037,283
8,900	Huntsman Corp.		248,043
82,600	Incyte Corp. *		5,330,178
362,588	Intel Corp. (a)		12,741,342
46,832	Intercontinental Exchange, Inc. (a)		5,525,708
79,193	International Business Machines Corp. (a)		11,627,908
172,238	Invesco Ltd. (a)		2,742,029
33,925	Janus Henderson Group Plc		931,920
31,417	Jazz Pharmaceuticals Plc *		4,503,941
12,977	Johnson & Johnson (a)		2,098,121
530	Jones Lang LaSalle, Inc. *		91,584
55,028	JPMorgan Chase & Co. (a)		8,052,247
5,294	Kellogg Co. (a)		323,040
31,543	Kenvue, Inc. (a)		727,066
2,343	Keysight Technologies, Inc. *		312,322

Shares	Description	Value ($)
	United States — continued
365,060	Kinder Morgan, Inc.		6,286,333
14,450	Kohl’s Corp.		384,948
967,551	Kosmos Energy Ltd. *		7,043,771
210,571	Kraft Heinz Co. (The) (a)		6,967,794
61,264	Kroger Co. (The) (a)		2,842,037
858	Kulicke & Soffa Industries, Inc.		44,384
23,723	Laboratory Corp. of America Holdings (a)		4,936,756
6,927	Lam Research Corp. (a)		4,865,525
73,771	Las Vegas Sands Corp. (a)		4,047,077
5,149	La-Z-Boy, Inc.		158,847
6,228	Lear Corp.		897,393
34,026	Lennar Corp. – Class A (a)		4,052,156
136,946	Liberty Broadband Corp. – Class C*		12,812,668
450,329	Liberty Global Plc – Class A*		8,304,067
76,615	Liberty Global Plc – Class C*		1,520,042
41,543	Liberty Media Corp.-Liberty Formula One – Class A*		2,519,583
1,778	Liberty Media Corp.-Liberty Live – Class A*		59,225
78,809	Livent Corp. *		1,692,029
69,688	LyondellBasell Industries NV – Class A (a)		6,883,084
3,400	M&T Bank Corp.		425,170
42,414	Macy’s, Inc.		518,723
13,072	ManpowerGroup, Inc. (a)		1,030,989
21,739	Marathon Petroleum Corp.		3,103,677
3,158	Markel Group, Inc. *		4,670,429
136,419	Match Group, Inc. *		6,393,959
1,400	Matson, Inc. (a)		123,032
51,876	Merck & Co., Inc. (a)		5,653,446
60,806	Meta Platforms, Inc. – Class A* (a)		17,991,887
31,645	MetLife, Inc. (a)		2,004,394
42,924	MGIC Investment Corp.		754,604
163,195	Micron Technology, Inc.		11,413,858
53,585	Moderna, Inc. *		6,058,856
48,100	Mohawk Industries, Inc. *		4,876,859
34,595	Molson Coors Brewing Co. – Class B (a)		2,196,437
1,164	Morgan Stanley (a)		99,115
155,624	Mosaic Co. (The) (a)		6,045,992
13,571	National Instruments Corp.		808,832
1,066	NetApp, Inc.		81,762
74,018	New Relic, Inc. * (a)		6,299,672
1,858	Nordstrom, Inc.		30,137
2,040	Northern Trust Corp. (a)		155,183
45,245	NRG Energy, Inc. (a)		1,698,950
47,383	Nucor Corp. (a)		8,154,614
3,315	OneMain Holdings, Inc.		137,606
5,063	Oracle Corp. (a)		609,535
30,915	Otis Worldwide Corp. (a)		2,644,778
144,985	Ovintiv, Inc.		6,808,496
9,679	Owens Corning		1,392,905
46,517	PACCAR, Inc. (a)		3,827,884
355,277	Paramount Global – Class B		5,361,130
99,177	PayPal Holdings, Inc. * (a)		6,199,554
755,227	Pershing Square Tontine Holdings Ltd. * (d)		75,523

63 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United States — continued
321,472	Pfizer, Inc. (a)		11,373,679
19,391	Phillips 66		2,213,677
21,728	Phinia, Inc. *		604,038
8,865	Pinterest, Inc. – Class A*		243,699
2,663	PNC Financial Services Group, Inc.		321,504
319,308	PNM Resources, Inc.		14,148,537
8,300	PotlatchDeltic Corp. (REIT) (a)		392,258
7,314	Principal Financial Group, Inc. (a)		568,371
8,592	Procter & Gamble Co. (a)		1,326,089
53,069	PulteGroup, Inc. (a)		4,354,842
10,642	PVH Corp.		889,671
85,399	QUALCOMM, Inc. (a)		9,780,747
45,501	Radian Group, Inc.		1,232,167
10,666	Regeneron Pharmaceuticals, Inc. * (a)		8,815,342
27,214	Regions Financial Corp.		499,105
3,090	Reliance Steel & Aluminum Co. (a)		880,526
3,859	Robert Half, Inc. (a)		285,412
95,337	RPT Realty (REIT)		1,081,122
41,414	RTX Corp. (a)		3,563,261
3,522	Schneider National, Inc. – Class B (a)		101,821
51,269	Seagen, Inc. *		10,565,003
1,737	Sensata Technologies Holding Plc		65,346
42,914	Skyworks Solutions, Inc.		4,666,468
17,400	SolarEdge Technologies, Inc. *		2,828,718
348,000	Spirit Airlines, Inc. (f)		5,742,000
116,593	Sportsman’s Warehouse Holdings, Inc. *		560,812
22,077	State Street Corp. (a)		1,517,573
73,273	Steel Dynamics, Inc.		7,810,169
5,346	Stewart Information Services Corp.		247,627
183,583	Sunrun, Inc. *		2,869,402
241,246	Synchrony Financial (a)		7,787,421
118,267	Syneos Health, Inc. *		5,053,549
716	T. Rowe Price Group, Inc. (a)		80,357
3,619	Tapestry, Inc.		120,585
1,706	Target Corp. (a)		215,894
3,417	Taylor Morrison Home Corp. *		161,966
12,562	Texas Instruments, Inc. (a)		2,111,170
54,472	Textron, Inc.		4,233,019
1,886	Timken Co. (The)		144,128
3,700	TRI Pointe Homes, Inc. *		115,070
121,435	Triton International Ltd		10,189,611
5,869	TRU TAJ Liquidation Unit Trust / TRU TAJ Finance, Inc. * (e)		59
160,204	TRU TAJ LLC / TRU Taj Finance, Inc. * (e)		493,962
139,104	Tyson Foods, Inc. – Class A (a)		7,410,070
2,858	UFP Industries, Inc.		298,232
1,544	United Rentals, Inc. (a)		735,778
1,142	UnitedHealth Group, Inc. (a)		544,254
2,872	Universal Corp.		136,765
22,148	Universal Health Services, Inc. – Class B (a)		2,983,336
22,018	Unum Group		1,083,065
141,138	US Bancorp		5,155,771
700	USANA Health Sciences, Inc. *		45,003

Shares	Description	Value ($)
	United States — continued
8,130	Valero Energy Corp.		1,056,087
326,621	Verizon Communications, Inc. (a)		11,425,203
62,328	VF Corp.		1,231,601
671,462	Viatris, Inc.		7,218,216
48,611	VMware, Inc. – Class A* (a)		8,204,565
40,900	W&T Offshore, Inc. *		166,872
189,616	Walgreens Boots Alliance, Inc. (a)		4,799,181
113,305	Wells Fargo & Co. (a)		4,678,363
30,736	Western Union Co. (The)		379,590
120,800	Western Digital Corp. *		5,436,000
40,892	Westlake Corp. (a)		5,356,034
2,141	Westmoreland Mining Holdings * (d)		8,564
21,680	Whirlpool Corp.		3,034,333
2,422	Williams-Sonoma, Inc.		341,986
8,700	Xerox Holdings Corp.		138,243
92,151	Zoom Video Communications, Inc. –
	Class A* (a)		6,545,486
	Total United States		880,538,215
	Vietnam — 0.2%
565,800	Duc Giang Chemicals JSC		2,051,162
32,300	PetroVietnam Ca Mau Fertilizer JSC		41,489
96,600	PetroVietnam Technical Services Corp		142,421
521,222	Saigon - Hanoi Commercial Joint Stock Bank *		268,874
347,200	Saigon Thuong Tin Commercial JSB *		469,950
656,200	SSI Securities Corp		907,869
247,300	Vietnam Dairy Products JSC		798,534
340,700	Vietnam Joint Stock Commercial Bank for Industry and Trade *		458,425
2,698,600	VNDirect Securities Corp *		2,626,271
	Total Vietnam		7,764,995
	TOTAL COMMON STOCKS (COST $3,384,168,914)		3,083,576,064
	PREFERRED STOCKS (h) — 2.1%
	Brazil — 1.4%
1,921,057	Bradespar SA		8,728,462
5,700	Cia de Ferro Ligas da Bahia		53,270
515,200	Cia Energetica de Minas Gerais		1,282,785
406,150	Gerdau SA		2,120,128
1,431,963	Gerdau SA Sponsored ADR		7,460,527
776,600	Itausa SA		1,449,053
425,200	Metalurgica Gerdau SA		1,014,906
2,401,000	Petroleo Brasileiro SA		15,486,100
997,580	Petroleo Brasileiro SA Sponsored ADR		12,908,685
14,500	Unipar Carbocloro SA – Class B		226,341
	Total Brazil		50,730,257
	Chile — 0.1%
17,622	Embotelladora Andina SA – Class B		44,439

See accompanying notes to the financial statements. 64

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Chile — continued
25,700	Sociedad Quimica y Minera de Chile SA
	Sponsored ADR		1,608,563
	Total Chile		1,653,002
	Colombia — 0.0%
883	Bancolombia SA Sponsored ADR		23,576
	Germany — 0.3%
41,971	Bayerische Motoren Werke AG		4,032,639
1,377	Draegerwerk AG & Co KGaA		66,553
28,802	Henkel AG & Co KGaA (a)		2,207,121
15,275	Porsche Automobil Holding SE		819,306
58,160	Schaeffler AG		345,216
3,461	Villeroy & Boch AG		63,055
34,698	Volkswagen AG (a)		4,246,425
	Total Germany		11,780,315
	Russia — 0.0%
15,222	Bashneft PJSC (e)		2,258
79,750	Nizhnekamskneftekhim PJSC (e)		728
49,530	Sberbank of Russia PJSC (e) (g)		1,368
20,862,000	Surgutneftegas PJSC (e)		108,417
12,313	Tatneft PJSC (e)		751
337	Transneft PJSC (e)		4,664
	Total Russia		118,186
	South Korea — 0.3%
5,895	Hyundai Motor Co GDR (Registered)		222,647
1,313	Hyundai Motor Co Ltd		101,047
6,750	LG Electronics Inc		238,947
219,488	Samsung Electronics Co Ltd		8,959,491
1,358	Samsung Electronics Co Ltd GDR (Registered)		1,379,976
	Total South Korea		10,902,108
	Taiwan — 0.0%
10,864	Chailease Holding Co Ltd		33,163
	United States — 0.0%
1,288,200	NII Holdings, Inc. * (d)		450,870
	TOTAL PREFERRED STOCKS (COST $88,916,221)		75,691,477
	RIGHTS/WARRANTS — 0.0%
	Brazil — 0.0%
BRL10,800	Itausa SA, Expires 09/22/23*		5,976
	Canada — 0.0%
222,285	Clementia Pharmaceuticals Inc * (d)		222

Shares /  Par Value†	Description	Value ($)
	United States — 0.0%
408,963	Bristol-Myers Squibb Co. CVR * (d)		920,167
50,914	Contra Abiomed, Inc. * (d)		89,099
	Total United States		1,009,266
	TOTAL RIGHTS/WARRANTS (COST $1,235,833)		1,015,464
	INVESTMENT FUNDS — 0.3%
	United States — 0.3%
4,418,828	Altaba, Inc.* (d)		10,163,304
	TOTAL INVESTMENT FUNDS (COST $5,265,823)		10,163,304
	DEBT OBLIGATIONS — 29.9%
	Netherlands — 0.0%
	Corporate Debt — 0.0%
EUR   566,348	Evander Gold Mines Ltd, Variable Rate, 10.00%, due 04/19/26 (e) (i)		61
	United States — 29.9%
	Bank Loans — 0.0%
259,066	American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, Variable Rate, 3 mo. LIBOR plus 9.00%, 17.50%, due 09/16/25 (d)		259,067
633,158	Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 3 mo. LIBOR plus 3.75%, 9.29%, due 10/10/25 (d) (i)		4,242
829,483	Envision Healthcare Corp., 2022 Third Out Term Loan, Variable Rate, 3 mo. SOFR plus 3.75%, 8.99%, due 03/31/27 (d) (i)		2,903
	Total Bank Loans		266,212
	U.S. Government — 25.1%
100,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.14%, 5.55%, due 10/31/24		100,104,673
90,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.17%, 5.58%, due 04/30/25 (a)		90,032,182
391,786,920	U.S. Treasury Inflation-Indexed Notes, 1.25%, due 04/15/28 (a)		377,140,824
100,000,000	U.S. Treasury Note, Variable Rate, USBM - 0.08%, 5.34%, due 04/30/24		99,969,239
52,105,000	U.S. Treasury Note, Variable Rate, USBM + 0.04%, 5.45%, due 07/31/24		52,117,565
194,335,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.61%, due 01/31/25 (a) (j)		194,624,330
	Total U.S. Government		913,988,813
	U.S. Government Agency — 4.8%
30,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.40%, due 10/06/23		30,001,910

65 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value† /  Shares	Description	Value ($)
	United States — continued
	U.S. Government Agency — continued
28,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.42%, due 03/06/24		28,517,018
62,500,000	Federal Home Loan Banks, 5.23%, due 03/22/24		62,329,661
15,000,000	Federal Home Loan Banks, 5.55%, due 08/12/24		14,954,486
40,500,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.40%, due 09/04/24		40,505,728
	Total U.S. Government Agency		176,308,803
	Total United States		1,090,563,828
	TOTAL DEBT OBLIGATIONS (COST $1,093,382,806)		1,090,563,889
	MUTUAL FUNDS — 0.3%
	United States — 0.3%
	Affiliated Issuers — 0.3%
2,646,100	GMO U.S. Treasury Fund		13,230,501
	TOTAL MUTUAL FUNDS (COST $13,232,513)		13,230,501
	SHORT-TERM INVESTMENTS — 2.4%
	Money Market Funds — 0.1%
391,326	State Street Global Advisors Liquidity Plc - U.S. Treasury Liquidity Fund – Class D Shares, 5.26% (j)		391,326
4,386,484	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (k)		4,386,484
	Total Money Market Funds		4,777,810
	Repurchase Agreements — 2.3%
82,035,800	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 08/31/23, maturing on 09/01/23 with a maturity value of $82,047,877 and an effective yield of 5.30%, collateralized by a U.S. Treasury Bill with maturity date 08/08/24 and a market value of $83,728,597.		82,035,800
	TOTAL SHORT-TERM INVESTMENTS (COST $86,813,610)		86,813,610
	TOTAL INVESTMENTS — 119.5% (Cost $4,673,015,720)		4,361,054,309
	SECURITIES SOLD SHORT — (22.0)%
	Common Stocks — (21.8)%
	Australia — (0.5)%
(95,701)	ASX Ltd		(3,561,544	)
(12,538)	Cochlear Ltd		(2,200,725	)
(194,260)	IDP Education Ltd		(3,089,482	)

Shares	Description	Value ($)
	Australia — continued
(1,937,207)	Pilbara Minerals Ltd		(5,807,781	)
(88,218)	Ramsay Health Care Ltd		(2,927,427	)
(19,951)	WiseTech Global Ltd		(894,978	)
	Total Australia		(18,481,937	)
	Austria — (0.1)%
(56,349)	Verbund AG		(4,611,560	)
	Belgium — (0.2)%
(109,994)	Anheuser-Busch InBev SA/NV		(6,243,480	)
	Canada — (1.2)%
(95,861)	Agnico Eagle Mines Ltd		(4,650,217	)
(135,300)	Algonquin Power & Utilities Corp		(1,022,868	)
(303,300)	AltaGas Ltd		(5,930,422	)
(598)	Brookfield Asset Management Ltd – Class A		(20,661	)
(27,193)	Brookfield Infrastructure Corp – Class A		(1,056,448	)
(11,397)	Brookfield Renewable Corp – Class A		(318,546	)
(32,496)	Cameco Corp		(1,202,352	)
(181,800)	Enbridge Inc		(6,377,544	)
(46,111)	Franco-Nevada Corp		(6,638,140	)
(118,221)	GFL Environmental Inc		(3,830,360	)
(192,300)	Pembina Pipeline Corp		(5,976,684	)
(92,568)	Restaurant Brands International Inc		(6,428,848	)
	Total Canada		(43,453,090	)
	Denmark — (0.1)%
(21,087)	Coloplast A/S – Class B		(2,401,718	)
(129,510)	Tryg A/S		(2,470,958	)
	Total Denmark		(4,872,676	)
	Finland — (0.1)%
(39,772)	Elisa Oyj		(1,952,449	)
(9,343)	Kone Oyj – Class B		(425,006	)
	Total Finland		(2,377,455	)
	France — (0.6)%
(169,182)	Accor SA		(6,050,505	)
(31,078)	Aeroports de Paris		(4,090,104	)
(343,644)	Getlink SE		(5,751,703	)
(3,230)	Hermes International SCA		(6,643,094	)
(3,869)	Sartorius Stedim Biotech		(1,097,291	)
(7,823)	Worldline SA*		(254,609	)
	Total France		(23,887,306	)
	Germany — (0.8)%
(3,120)	adidas AG		(622,658	)
(149,670)	Delivery Hero SE*		(5,459,603	)
(19,400)	Deutsche Boerse AG		(3,443,964	)
(23,034)	MTU Aero Engines AG		(5,376,606	)
(15,046)	Puma SE		(1,008,361	)
(3,926)	Rational AG		(2,990,626	)

See accompanying notes to the financial statements. 66

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Germany — continued
(46,436)	Symrise AG		(4,840,715	)
(1,588,042)	Telefonica Deutschland Holding AG		(3,019,117	)
(31,959)	Zalando SE*		(993,462	)
	Total Germany		(27,755,112	)
	Ireland — (0.0)%
(3,518)	Flutter Entertainment Plc*		(640,608	)
	Israel — (0.2)%
(40,223)	CyberArk Software Ltd*		(6,678,627	)
	Italy — (0.6)%
(149,979)	Amplifon SPA		(4,870,318	)
(21,731)	Ferrari NV		(6,890,077	)
(382,345)	FinecoBank Banca Fineco SPA		(5,225,675	)
(434,160)	Infrastrutture Wireless Italiane SPA		(5,371,592	)
	Total Italy		(22,357,662	)
	Japan — (2.2)%
(252,100)	Aeon Co Ltd		(5,224,562	)
(219,200)	ANA Holdings Inc*		(4,948,468	)
(174,800)	Asahi Intecc Co Ltd		(3,545,905	)
(7,100)	BayCurrent Consulting Inc		(244,046	)
(58,000)	GMO Payment Gateway Inc		(3,672,738	)
(276,800)	Japan Airlines Co Ltd		(5,700,340	)
(145,500)	Japan Exchange Group Inc		(2,538,647	)
(80,900)	Keio Corp		(2,799,194	)
(52,700)	Keisei Electric Railway Co Ltd		(2,017,983	)
(28,400)	Kintetsu Group Holdings Co Ltd		(898,932	)
(42,100)	Kobe Bussan Co Ltd		(1,048,888	)
(42,200)	Lasertec Corp		(6,559,550	)
(178,500)	M3 Inc		(3,558,005	)
(323,700)	MonotaRO Co Ltd		(3,822,985	)
(6,400)	Nidec Corp		(333,021	)
(221,100)	Nippon Paint Holdings Co Ltd		(1,708,342	)
(227,200)	Odakyu Electric Railway Co Ltd		(3,378,370	)
(184,500)	Oriental Land Co Ltd		(6,645,913	)
(1,418,200)	Rakuten Group Inc		(5,518,272	)
(59,300)	Shiseido Co Ltd		(2,406,348	)
(563,000)	SoftBank Corp		(6,456,880	)
(106,600)	Tobu Railway Co Ltd		(2,922,362	)
(275,800)	Tokyu Corp		(3,485,181	)
	Total Japan		(79,434,932	)
	Netherlands — (0.4)%
(5,869)	Adyen NV*		(4,900,740	)
(303)	ASML Holding NV		(199,231	)
(14,836)	IMCD NV		(2,043,395	)
(134,674)	Just Eat Takeaway.com NV*		(1,891,625	)
(269,357)	Universal Music Group NV		(6,678,217	)
	Total Netherlands		(15,713,208	)

Shares	Description	Value ($)
	New Zealand — (0.2)%
(81,018)	Xero Ltd*		(6,557,889	)
	Peru — (0.2)%
(77,462)	Southern Copper Corp		(6,248,085	)
	Singapore — (0.3)%
(1,305,245)	Grab Holdings Ltd – Class A*		(4,920,774	)
(42,214,100)	Sembcorp Marine Ltd*		(4,525,181	)
(414,400)	Singapore Exchange Ltd		(2,950,073	)
	Total Singapore		(12,396,028	)
	Spain — (0.4)%
(173,858)	Cellnex Telecom SA*		(6,649,279	)
(213,934)	Ferrovial SE		(6,785,399	)
	Total Spain		(13,434,678	)
	Sweden — (0.2)%
(55,145)	Beijer Ref AB		(632,083	)
(46,971)	EQT AB		(944,178	)
(32,501)	Evolution AB		(3,515,208	)
(51,301)	H & M Hennes & Mauritz AB – Class B		(783,263	)
	Total Sweden		(5,874,732	)
	Switzerland — (0.2)%
(9)	Chocoladefabriken Lindt & Spruengli AG (Registered)		(1,060,375	)
(2,553)	Partners Group Holding AG		(2,751,891	)
(26,650)	Straumann Holding AG (Registered)		(4,029,200	)
	Total Switzerland		(7,841,466	)
	United Kingdom — (1.1)%
(48,413)	Admiral Group Plc		(1,525,203	)
(580,768)	Auto Trader Group Plc		(4,453,595	)
(340,701)	Hargreaves Lansdown Plc		(3,278,632	)
(718,010)	Informa Plc		(6,634,050	)
(85,098)	InterContinental Hotels Group Plc		(6,400,674	)
(69,102)	London Stock Exchange Group Plc		(7,148,887	)
(548,884)	M&G Plc		(1,325,741	)
(2,697,437)	Rolls-Royce Holdings Plc*		(7,567,173	)
(16,875)	Severn Trent Plc		(512,458	)
(12,293)	Spirax-Sarco Engineering Plc		(1,575,301	)
(4,161)	Whitbread Plc		(180,976	)
(134,326)	Wise Plc – Class A*		(1,087,298	)
	Total United Kingdom		(41,689,988	)
	United States — (12.2)%
(285,597)	AES Corp. (The)		(5,120,754	)
(33,300)	Alnylam Pharmaceuticals, Inc.*		(6,587,406	)
(140,600)	Altria Group, Inc.		(6,217,332	)
(17,600)	American Tower Corp. (REIT)		(3,191,232	)
(69,332)	Ares Management Corp. – Class A		(7,171,702	)
(32,645)	Arthur J Gallagher & Co.		(7,524,020	)
(1,206)	Automatic Data Processing, Inc.		(307,060	)

67 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United States — continued
(23,825)	Axon Enterprise, Inc.*		(5,072,581	)
(52,915)	Bills Holdings, Inc.*		(6,101,099	)
(72,680)	Bio-Techne Corp.		(5,698,112	)
(32,181)	Boeing Co. (The)*		(7,209,509	)
(14,325)	Broadcom, Inc.		(13,220,399	)
(36,796)	Burlington Stores, Inc.*		(5,970,519	)
(123,108)	Caesars Entertainment, Inc.*		(6,802,948	)
(9,986)	Catalent, Inc.*		(499,000	)
(90,205)	Ceridian HCM Holding, Inc.*		(6,541,667	)
(33,741)	Charter Communications, Inc. – Class A*		(14,782,607	)
(3,601)	Chipotle Mexican Grill, Inc.*		(6,937,831	)
(132,500)	Clarivate Plc*		(984,475	)
(99,499)	Cloudflare, Inc. – Class A*		(6,470,420	)
(10,263)	Crown Castle, Inc. (REIT)		(1,031,432	)
(54,526)	Dexcom, Inc.*		(5,506,035	)
(136,217)	EchoStar Corp. – Class A*		(2,367,451	)
(8,071)	Ecolab, Inc.		(1,483,531	)
(43,800)	Equity LifeStyle Properties, Inc. (REIT)		(2,932,848	)
(1,200)	Erie Indemnity Co. – Class A		(334,476	)
(57,426)	Essential Utilities, Inc.		(2,119,019	)
(72,090)	Exact Sciences Corp.*		(6,031,770	)
(69,565)	Exxon Mobil Corp.		(7,734,932	)
(1,841)	Fair Isaac Corp.*		(1,665,350	)
(31,527)	Fastenal Co.		(1,815,325	)
(1,899)	Fiserv, Inc.*		(230,520	)
(67,822)	Fortinet, Inc.*		(4,083,563	)
(18,309)	Gartner, Inc.*		(6,402,291	)
(1)	Globus Medical, Inc. – Class A*		(54	)
(29,158)	HEICO Corp.		(4,919,246	)
(45,369)	Hess Corp.		(7,009,510	)
(12,919)	HubSpot, Inc.*		(7,060,492	)
(8,404)	IDEXX Laboratories, Inc.*		(4,297,890	)
(26,156)	Insulet Corp.*		(5,014,367	)
(31,800)	IQVIA Holdings, Inc.*		(7,079,634	)
(57,539)	Iron Mountain, Inc. (REIT)		(3,656,028	)
(2,100)	Jack Henry & Associates, Inc.		(329,238	)
(57,670)	Kimco Realty Corp.		(1,092,270	)
(63,000)	Lamb Weston Holdings, Inc.		(6,136,830	)
(11,993)	Lattice Semiconductor Corp.*		(1,166,439	)
(403,519)	Liberty Global Plc – Class C*		(8,005,817	)
(132,449)	Liberty Media Corp.-Liberty Formula One – Class C*		(9,111,167	)
(1,589)	Liberty Media Corp.-Liberty Live – Class C*		(53,470	)
(19,614)	Linde Plc		(7,591,403	)
(72,819)	Live Nation Entertainment, Inc.*		(6,155,390	)
(17,829)	MarketAxess Holdings, Inc.		(4,295,541	)
(1,932)	Marsh & McLennan Cos., Inc.		(376,721	)
(17,500)	Mastercard, Inc. – Class A		(7,221,200	)
(2,129)	McKesson Corp.		(877,829	)
(1,624)	MercadoLibre, Inc.*		(2,228,713	)
(17,694)	MongoDB, Inc.*		(6,746,722	)
(13,027)	Moody’s Corp.		(4,387,494	)
(1,489)	Motorola Solutions, Inc.		(422,236	)

Shares	Description	Value ($)
	United States — continued
(13,500)	MSCI, Inc.		(7,338,870	)
(271,328)	Newmont Corp.		(10,695,750	)
(227,700)	NiSource, Inc.		(6,093,252	)
(179,457)	Novocure Ltd.*		(3,958,821	)
(87,682)	Okta, Inc.*		(7,322,324	)
(100,760)	ONEOK, Inc.		(6,569,552	)
(339,547)	Palantir Technologies, Inc. – Class A*		(5,086,414	)
(58,976)	Paychex, Inc.		(7,208,636	)
(4,700)	Paylocity Holding Corp.*		(942,350	)
(63,871)	Philip Morris International, Inc.		(6,135,448	)
(9,695)	PTC, Inc.*		(1,426,813	)
(19,458)	Repligen Corp.*		(3,383,941	)
(75,319)	Rivian Automotive, Inc. – Class A*		(1,712,001	)
(158,300)	ROBLOX Corp. – Class A*		(4,478,307	)
(76,424)	Roku, Inc.*		(6,205,629	)
(153,183)	Rollins, Inc.		(6,061,451	)
(70,152)	Royal Caribbean Cruises Ltd.*		(6,940,839	)
(7,772)	RPM International, Inc.		(775,179	)
(6,691)	ServiceNow, Inc.*		(3,939,862	)
(20,494)	Sherwin-Williams Co. (The)		(5,568,630	)
(27,800)	Simon Property Group, Inc. (REIT)		(3,155,022	)
(36,862)	Snowflake, Inc. – Class A*		(5,781,805	)
(166,767)	Sovos Brands, Inc.*		(3,735,581	)
(62,086)	Starbucks Corp.		(6,049,660	)
(26,983)	Tesla, Inc.*		(6,963,773	)
(259,320)	Toast, Inc. – Class A*		(5,749,124	)
(10,545)	Trade Desk, Inc. (The) – Class A*		(843,916	)
(8,472)	TransDigm Group, Inc.*		(7,657,417	)
(17,223)	Twilio, Inc. – Class A*		(1,097,277	)
(67,359)	UDR, Inc. (REIT)		(2,687,624	)
(23,800)	Vail Resorts, Inc.		(5,386,416	)
(10,039)	Watsco, Inc.		(3,659,717	)
(209,449)	Williams Cos., Inc. (The)		(7,232,274	)
(117,954)	Wolfspeed, Inc.*		(5,640,560	)
(1,466)	Yum! Brands, Inc.		(189,671	)
(14,686)	Zillow Group, Inc. – Class C*		(766,022	)
(45,261)	Zscaler, Inc.*		(7,062,979	)
	Total United States		(446,887,824	)
	TOTAL COMMON STOCKS (PROCEEDS $769,488,930)		(797,438,343	)
	PREFERRED STOCKS (h) — (0.2)%
	Germany — (0.2)%
(15,583)	Sartorius AG		(6,369,861	)
	TOTAL PREFERRED STOCKS (PROCEEDS $6,224,980)		(6,369,861	)
	TOTAL SECURITIES SOLD SHORT (PROCEEDS $775,713,910)		(803,808,204	)
	Other Assets and Liabilities (net) — 2.5%		92,769,220
	TOTAL NET ASSETS — 100.0%		$3,650,015,325

See accompanying notes to the financial statements. 68

GMO Implementation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date		Acquisition Cost		Value as a Percentage of Fund’s Net Assets			Value as of August 31, 2023
Alrosa PJSC		12/06/17	$	15,372,968		0.0	%	$	86,789
Magnitogorsk Iron & Steel Works PJSC		06/16/21		4,815,566		0.0	%		33,408
PhosAgro PJSC GDR		10/15/21		2,792		0.0	%		30
Polyus PJSC		06/27/20		5,699,094		0.0	%		31,105
Polyus PJSC GDR (Registered)		07/27/20		0		0.0	%		1
Sberbank of Russia PJSC		09/09/20		29,636,901		0.0	%		223,081
Sberbank of Russia PJSC		01/10/22		183,324		0.0	%		1,368
Severstal PAO		02/02/21		126,125		0.0	%		1,097
Severstal PJSC GDR (Registered)		10/23/17		5,003,828		0.0	%		38,712
VTB Bank PJSC		01/09/20		587,690		0.0	%		2,268

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/25/2023	BCLY		AUD	45,805,022		USD	31,324,451		1,623,193
11/08/2023	MSCI		AUD	25,598,783		USD	16,799,826		174,698
09/29/2023	CITI		CAD	5,360,000		USD	4,048,488		80,046
11/06/2023	JPM		CAD	9,798,114		USD	7,345,152		87,084
09/29/2023	SSB		CAD	26,010,000		USD	19,744,642		487,334
10/31/2023	BCLY		CHF	735,189		USD	844,869		7,590
10/31/2023	JPM		CHF	53,790,564		USD	63,161,392		1,901,388
10/12/2023	JPM		CHF	4,300,000		USD	4,900,793		13,504
09/29/2023	SSB		CHF	51,470,785		USD	60,216,651		1,797,667
10/31/2023	SSB		CHF	1,475,622		USD	1,690,133		9,604
09/05/2023	MSCI		CLP	800,000,000		USD	979,792		41,447
10/02/2023	MSCI		CLP	1,020,000,000		USD	1,196,481		3,758
09/05/2023	JPM		COP	6,281,529,900		USD	1,536,954		1,315
09/05/2023	MSCI		COP	1,080,000,000		USD	268,924		4,898
10/17/2023	MSCI		CZK	18,711,617		USD	876,617		34,975
09/29/2023	BCLY		EUR	808,609		USD	901,886		24,060
10/31/2023	CITI		EUR	2,270,000		USD	2,485,624		17,529
10/31/2023	GS		EUR	2,400,000		USD	2,648,468		39,028
10/31/2023	JPM		EUR	3,320,000		USD	3,610,171		446
09/29/2023	JPM		EUR	2,033,856		USD	2,221,624		13,670
10/31/2023	SSB		EUR	6,610,000		USD	7,279,723		92,891
09/29/2023	SSB		EUR	1,177,621		USD	1,283,792		5,367
09/14/2023	CITI		HUF	280,000,000		USD	798,587		3,880
09/14/2023	DB		HUF	355,000,000		USD	1,021,539		13,965
11/02/2023	MSCI		IDR	9,272,984,600		USD	612,495		4,150
11/29/2023	DB		ILS	3,087,392		USD	818,181		3,378
11/15/2023	MSCI		INR	28,000,000		USD	337,866		32
09/07/2023	BOA		JPY	60,000		USD	422		9

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/07/2023	CITI		JPY	1,716,053,550		USD	12,379,010		580,743
09/07/2023	MSCI		JPY	730,199,700		USD	5,110,822		90,530
10/23/2023	MSCI		JPY	452,504,083		USD	3,134,499		507
11/02/2023	GS		KRW	700,000,000		USD	531,496		1,556
09/18/2023	UBSA		KRW	673,984,993		USD	534,511		25,554
10/03/2023	JPM		MXN	10,042,080		USD	597,374		11,313
09/25/2023	BOA		NOK	717,968		USD	69,934		2,360
10/17/2023	BCLY		NOK	20,900,000		USD	2,088,789		120,487
09/25/2023	BCLY		NOK	47,546,179		USD	4,730,257		255,228
09/25/2023	GS		NOK	18,539,941		USD	1,857,800		112,828
09/25/2023	JPM		NOK	9,531,617		USD	940,311		43,199
09/25/2023	MSCI		NOK	28,718,489		USD	2,852,093		149,119
09/29/2023	UBSA		NZD	482,087		USD	301,562		14,078
11/22/2023	DB		PLN	8,550,000		USD	2,082,014		17,006
11/22/2023	GS		PLN	1,450,000		USD	351,409		1,203
11/22/2023	MSCI		PLN	1,050,000		USD	254,871		1,274
09/27/2023	BCLY		RON	1,000,000		USD	220,626		1,257
10/10/2023	BCLY		SEK	88,972,704		USD	8,312,463		172,196
10/10/2023	CITI		SEK	20,000,000		USD	1,932,127		102,292
10/16/2023	JPM		SEK	8,622,398		USD	795,675		6,591
10/16/2023	SSB		SEK	35,841,758		USD	3,370,211		90,132
09/22/2023	BCLY		THB	22,200,000		USD	635,307		262
11/28/2023	MSCI		TWD	107,115,523		USD	3,400,493		18,522
09/25/2023	DB		USD	1,949,280		AUD	3,036,658		19,773
09/29/2023	BCLY		USD	1,105,672		CAD	1,500,000		4,899
09/18/2023	BCLY		USD	2,614,224		CAD	3,539,254		5,756
10/02/2023	MSCI		USD	1,059,003		CLP	909,726,000		4,773
09/05/2023	JPM		USD	1,532,380		COP	6,281,529,900		3,259

69 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/05/2023	MSCI		USD	2,060,276		COP	8,441,529,900		3,415
10/17/2023	GS		USD	330,752		CZK	7,400,000		2,098
10/18/2023	DB		USD	1,321,677		GBP	1,050,000		8,663
11/02/2023	GS		USD	234,207		IDR	3,600,000,000		1,967
11/02/2023	SSB		USD	391,743		IDR	6,000,000,000		1,880
11/15/2023	MSCI		USD	902,208		INR	74,806,560		372
11/15/2023	SSB		USD	482,276		INR	40,000,000		345
10/17/2023	BCLY		USD	2,788,471		NOK	29,700,000		8,590
09/29/2023	BCLY		USD	2,476,085		NZD	4,157,121		2,943
09/29/2023	MSCI		USD	1,837,139		NZD	3,100,003		11,495
09/22/2023	BCLY		USD	617,654		PHP	35,000,000		692
10/10/2023	GS		USD	619,738		SEK	6,800,000		2,405
09/22/2023	MSCI		USD	712,609		THB	25,201,044		8,283
09/29/2023	GS		ZAR	6,200,000		USD	331,336		3,725
09/29/2023	MSCI		ZAR	30,000,000		USD	1,605,856		20,639
11/08/2023	BOA		AUD	2,710,000		USD	1,733,822		(26,187	)
11/08/2023	MSCI		AUD	940,969		USD	609,320		(1,792	)
11/08/2023	SSB		AUD	5,207,338		USD	3,372,614		(9,292	)
10/03/2023	MSCI		BRL	936,599		USD	186,946		(1,336	)
10/12/2023	SSB		CHF	41,882,875		USD	47,505,643		(97,550	)
09/05/2023	JPM		CLP	1,040,000,000		USD	1,214,848		(5,001	)
09/05/2023	MSCI		CLP	1,919,726,000		USD	2,232,799		(18,907	)
10/02/2023	MSCI		COP	4,080,000,000		USD	986,699		(1,430	)
09/05/2023	MSCI		COP	7,361,529,900		USD	1,795,846		(3,820	)
10/31/2023	CITI		EUR	3,020,000		USD	3,273,772		(9,773	)
09/14/2023	DB		HUF	210,000,000		USD	591,142		(4,888	)
11/15/2023	SSB		INR	17,000,000		USD	203,880		(1,233	)
10/23/2023	DB		JPY	5,779,513,805		USD	39,897,494		(130,757	)
10/23/2023	MSCI		JPY	1,767,987,014		USD	12,206,586		(38,289	)
11/02/2023	BCLY		KRW	350,000,000		USD	261,813		(3,157	)
11/02/2023	GS		KRW	470,000,000		USD	352,542		(3,275	)
11/02/2023	JPM		KRW	510,000,000		USD	385,909		(191	)
11/02/2023	SSB		KRW	990,000,000		USD	742,819		(6,667	)
11/29/2023	CITI		NZD	2,770,000		USD	1,638,411		(13,632	)
09/29/2023	DB		NZD	133,799		USD	79,678		(110	)
11/29/2023	JPM		NZD	20,040,000		USD	11,875,143		(76,819	)
11/28/2023	MSCI		PEN	400,000		USD	107,569		(122	)
09/22/2023	MSCI		PHP	27,000,000		USD	476,788		(222	)
11/22/2023	CITI		PLN	2,000,000		USD	481,618		(1,425	)
09/27/2023	MSCI		RON	21,923,094		USD	4,808,329		(930	)
11/22/2023	JPM		SGD	2,926,457		USD	2,166,300		(6,771	)
11/22/2023	SSB		SGD	710,000		USD	525,420		(1,798	)
09/22/2023	BCLY		THB	20,700,000		USD	585,990		(6,147	)
09/22/2023	CITI		THB	11,400,000		USD	323,677		(2,427	)
09/25/2023	JPM		USD	7,717,710		AUD	11,696,938		(133,088	)
09/25/2023	MSCI		USD	6,171,039		AUD	9,029,049		(316,351	)
09/25/2023	SSB		USD	1,154,733		AUD	1,766,345		(9,386	)
10/03/2023	JPM		USD	11,119,381		BRL	53,198,454		(425,056	)
10/03/2023	MSCI		USD	7,658,513		BRL	36,571,699		(306,615	)
09/18/2023	BOA		USD	860,951		CAD	1,136,673		(19,514	)
09/29/2023	BCLY		USD	5,148,214		CAD	6,860,000		(69,200	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/18/2023	BCLY		USD	8,881,475		CAD	11,717,048		(207,775	)
09/29/2023	JPM		USD	38,484,398		CAD	50,900,042		(798,978	)
09/18/2023	JPM		USD	8,376,755		CAD	11,099,046		(160,539	)
09/18/2023	MSCI		USD	4,803,520		CAD	6,324,309		(121,866	)
10/31/2023	SSB		USD	109,557		CHF	95,430		(876	)
10/12/2023	UBSA		USD	24,793,590		CHF	21,300,000		(584,459	)
10/31/2023	UBSA		USD	24,887		CHF	21,726		(143	)
09/05/2023	JPM		USD	783,582		CLP	630,000,000		(44,635	)
09/05/2023	MSCI		USD	3,071,146		CLP	2,499,726,000		(139,140	)
10/02/2023	JPM		USD	1,524,273		COP	6,281,529,900		(2,960	)
10/17/2023	GS		USD	739,843		CZK	16,400,000		(2,176	)
09/29/2023	BCLY		USD	1,308,832		EUR	1,194,773		(11,787	)
09/29/2023	DB		USD	1,516,600		EUR	1,377,695		(20,975	)
09/25/2023	JPM		USD	6,478,139		GBP	5,020,561		(117,492	)
10/18/2023	JPM		USD	2,881,958		GBP	2,270,000		(5,891	)
10/18/2023	MSCI		USD	20,755,448		GBP	15,830,000		(698,997	)
09/25/2023	SSB		USD	28,557,320		GBP	22,111,146		(544,277	)
09/14/2023	MSCI		USD	1,407,085		HUF	494,351,113		(4,000	)
11/02/2023	SSB		USD	590,931		IDR	9,000,000,000		(496	)
11/29/2023	CITI		USD	686,536		ILS	2,600,000		(362	)
09/07/2023	BOA		USD	320,817		JPY	45,553,260		(7,628	)
09/21/2023	BCLY		USD	13,170,927		JPY	1,911,209,971		(1,560	)
09/07/2023	JPM		USD	1,043,567		JPY	143,220,000		(58,897	)
09/07/2023	MSCI		USD	1,164,984		JPY	160,138,440		(63,995	)
09/21/2023	SSB		USD	2,634,801		JPY	382,000,000		(2,595	)
09/18/2023	MSCI		USD	1,517,946		KRW	1,950,539,003		(45,007	)
11/02/2023	MSCI		USD	1,353,123		KRW	1,719,581,441		(51,301	)
11/02/2023	SSB		USD	418,096		KRW	540,000,000		(9,285	)
10/03/2023	BCLY		USD	7,891,812		MXN	133,261,141		(114,622	)
10/18/2023	MSCI		USD	3,353,791		MXN	57,581,232		(2,456	)
10/03/2023	MSCI		USD	7,902,342		MXN	133,261,142		(125,152	)
10/17/2023	BCLY		USD	17,578,493		NOK	175,922,042		(1,010,660	)
09/25/2023	BCLY		USD	8,226,684		NOK	86,383,503		(96,301	)
10/24/2023	BCLY		USD	2,478,294		NOK	26,268,307		(3,969	)
10/17/2023	DB		USD	1,322,396		NOK	13,900,000		(13,334	)
10/24/2023	GS		USD	2,381,650		NOK	25,142,103		(13,407	)
10/24/2023	SSB		USD	6,370,932		NOK	67,371,335		(24,936	)
09/25/2023	UBSA		USD	44,126,105		NOK	440,014,491		(2,712,101	)
10/24/2023	UBSA		USD	41,680,669		NOK	440,014,491		(233,807	)
09/29/2023	SSB		USD	601,389		NZD	987,215		(12,680	)
09/27/2023	BCLY		USD	582,085		RON	2,650,000		(756	)
09/27/2023	CITI		USD	470,294		RON	2,100,000		(9,618	)
09/27/2023	GS		USD	2,175,880		RON	9,700,000		(47,995	)
10/10/2023	BCLY		USD	6,876,467		SEK	71,800,000		(307,362	)
10/16/2023	BCLY		USD	1,259,487		SEK	13,703,093		(5,441	)
10/16/2023	SSB		USD	1,042,128		SEK	11,360,976		(2,422	)
10/10/2023	UBSA		USD	2,806,560		SEK	29,000,000		(153,300	)
10/16/2023	UBSA		USD	1,415,232		SEK	15,424,410		(3,659	)
09/29/2023	BCLY		USD	542,468		ZAR	10,200,000		(3,494	)
09/29/2023	GS		USD	3,974,260		ZAR	70,091,520		(270,583	)
									$(2,208,190)

See accompanying notes to the financial statements. 70

GMO Implementation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
526	CAC40 10 Euro		September 2023		41,690,706			(23,645	)
59	CBOE Volatility Index(j)		September 2023		887,584			(139,776	)
68	Coffee(j)		December 2023		3,939,750			35,092
2,212	Corn(j)		December 2023		52,894,450			(4,755,493	)
101	Cotton(j)		December 2023		4,434,910			324,269
79	DAX Index		September 2023		34,211,183			(626,030	)
59	E-mini Russell 2000 Index		September 2023		5,609,720			(156,858	)
541	FTSE 100 Index		September 2023		51,033,607			(977,815	)
104	FTSE MIB Index		September 2023		16,239,972			669,845
587	Iron Ore(j)		October 2023		6,701,192			567,471
34	Live Cattle Futures(j)		October 2023		2,459,220			(4,402	)
416	MSCI Singapore		September 2023		8,738,010			160,595
56	NYMEX Platinum Futures(j)		October 2023		2,728,320			89,000
1,287	OMX Stockholm 30 Index		September 2023		25,683,002			(10,963	)
148	RBOB Gasoline(j)		September 2023		15,949,634			(253,775	)
12	S&P 500 E-Mini		September 2023		2,709,600			(7,081	)
503	Soybean(j)		November 2023		34,424,063			3,461,326
4	TOPIX Index		September 2023		639,048			(2,853	)
254	U.S. Treasury Note 10 Yr. (CBT)		December 2023		28,201,938			301,019
881	U.S. Treasury Note 5 Yr. (CBT)		December 2023		94,198,172			642,737
				$	433,374,081		$	(707,337	)

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
41	Canadian Government Bond 10 Yr.		December 2023		3,620,271		(17,226	)
291	Cocoa(j)		December 2023		10,586,580		(646,681	)
155	Copper(j)		December 2023		14,810,250		(39,249	)
337	Eurex Swiss Market New Index		September 2023		42,306,715		45,461
66	Euro Bund		September 2023		9,532,027		(6,583	)
41	Euro Bund		December 2023		5,896,514		(21,736	)
296	FTSE Taiwan Index		September 2023		16,918,781		(108,406	)
104	Gold 100 OZ(j)		December 2023		20,445,360		329,705
106	Hang Seng Index		September 2023		12,352,702		(248,771	)
342	IFSC NIFTY 50 Index		September 2023		13,303,116		(21,782	)
110	KOSPI 200 Index		September 2023		6,959,093		146,939
45	Lean Hogs(j)		October 2023		1,485,900		(22,669	)
274	Natural Gas(j)		September 2023		7,584,320		218,604
85	NY Harbor ULSD Futures(j)		September 2023		11,113,767		(113,684	)
265	S&P/TSX 60		September 2023		47,700,784		121,239
206	Silver(j)		December 2023		25,556,360		(1,675,831	)
1,170	Soybean Oil(j)		December 2023		43,860,960		(870,577	)
208	SPI 200 Futures		September 2023		24,371,926		(155,239	)
202	Sugar(j)		September 2023		5,669,574		(13,628	)
188	WCE Canola Futures(j)		November 2023		2,250,379		(81,879	)
456	Wheat(j)		December 2023		13,725,600		1,439,547
241	WTI Crude(j)		September 2023		20,154,830		(767,383	)
				$	360,205,809		$(2,509,829)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

Written Options

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount		Value ($)
Equity Options – Calls
Globus Medical, Inc.(f)		62.50		09/15/23		(541	)		USD (2,926,810)		(108,200	)
Globus Medical, Inc.(f)		60.00		09/15/23		(308	)		USD (1,666,280)		(10,780	)
Spirit Airlines, Inc.(f)		17.50		09/15/23		(2,035	)		USD (3,357,750)		(46,805	)
Albertsons Cos., Inc.(f)		22.00		01/19/24		(216	)		USD   (483,840)		(31,968	)
Spirit Airlines, Inc.(f)		17.50		01/19/24		(1,445	)		USD (2,384,250)		(380,035	)
Tower Semiconductor Ltd.(f)		32.00		01/19/24		(716	)		USD (2,126,520)		(143,200	)
Silicon Motion Technology Corp.(f)		60.00		03/15/24		(455	)		USD (2,471,105)		(232,050	)
						Total Equity Options – Calls					(953,038	)
				TOTAL WRITTEN OPTIONS
						(Premiums $1,541,590)					$(953,038)

71 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
4.26%	3 Month AUD BBSW		AUD	218,242,000		09/20/2025		Quarterly		(3,745	)		(471,041	)		(467,296	)
3 Month AUD BBSW	4.43%		AUD	85,500,000		09/20/2025		Quarterly		—			361,408			361,408
CAD - CORRA - OIS - COMPOUND	4.18%		CAD	84,153,000		09/20/2025		Annually		(71,345	)		(715,976	)		(644,631	)
4.52%	CAD - CORRA - OIS - COMPOUND		CAD	23,500,000		09/20/2025		Annually		—			88,091			88,091
4.70%	CAD - CORRA - OIS - COMPOUND		CAD	29,500,000		09/20/2025		Annually		—			38,385			38,385
CHF - SARON - OIS - COMPOUND	1.80%		CHF	44,190,000		09/20/2025		Annually		(50,999	)		46,759			97,758
CHF - SARON - OIS - COMPOUND	1.85%		CHF	9,000,000		09/20/2025		Annually		—			20,298			20,298
CHF - SARON - OIS - COMPOUND	1.87%		CHF	16,500,000		09/20/2025		Annually		—			44,612			44,612
1.98%	CHF - SARON - OIS - COMPOUND		CHF	11,000,000		09/20/2025		Annually		(1,646	)		(56,155	)		(54,509	)
EUR - EuroSTR - COMPOUND	3.65%		EUR	34,000,000		09/20/2025		Annually		44,840			219,164			174,324
3.19%	EUR - EuroSTR - COMPOUND		EUR	67,023,000		09/20/2025		Annually		(14,631	)		212,546			227,177
3.44%	EUR - EuroSTR - COMPOUND		EUR	11,000,000		09/20/2025		Annually		(545	)		(22,395	)		(21,850	)
3.37%	EUR - EuroSTR - COMPOUND		EUR	12,500,000		09/20/2025		Annually		—			(6,830	)		(6,830	)
GBP - SONIA - COMPOUND	5.09%		GBP	30,252,000		09/20/2025		Annually		1,640			(274,873	)		(276,513	)
GBP - SONIA - COMPOUND	5.13%		GBP	17,500,000		09/20/2025		Annually		—			(141,691	)		(141,691	)
GBP - SONIA - COMPOUND	5.86%		GBP	24,500,000		09/20/2025		Annually		—			218,273			218,273
5.94%	GBP - SONIA - COMPOUND		GBP	25,000,000		09/20/2025		Annually		—			(273,897	)		(273,897	)
3.59%	3 Month SEK STIBOR		SEK	430,000,000		09/20/2025		Quarterly		—			258,403			258,403
4.14%	3 Month SEK STIBOR		SEK	455,000,000		09/20/2025		Quarterly		—			(159,403	)		(159,403	)
3.82%	3 Month SEK STIBOR		SEK	175,000,000		09/20/2025		Quarterly		—			34,576			34,576
3.81%	3 Month SEK STIBOR		SEK	155,000,000		09/20/2025		Quarterly		—			33,710			33,710
3 Month SEK STIBOR	3.55%		SEK	1,354,463,000		09/20/2025		Quarterly		(34,747	)		(911,959	)		(877,212	)
3 Month SEK STIBOR	3.92%		SEK	175,000,000		09/20/2025		Quarterly		7,103			(6,219	)		(13,322	)
USD - SOFR - COMPOUND	4.63%		USD	40,000,000		09/20/2025		Annually		105,729			(68,858	)		(174,587	)
USD - SOFR - COMPOUND	4.67%		USD	11,000,000		09/20/2025		Annually		—			(10,259	)		(10,259	)
USD - SOFR - COMPOUND	4.76%		USD	8,000,000		09/20/2025		Annually		—			4,844			4,844
4.12%	USD - SOFR - COMPOUND		USD	72,654,000		09/20/2025		Annually		(123,960	)		833,531			957,491
4.03%	USD - SOFR - COMPOUND		USD	25,000,000		09/20/2025		Annually		—			326,918			326,918
6 Month AUD BBSW	4.42%		AUD	50,139,000		09/20/2033		Semi-Annually		(43,043	)		125,899			168,942
6 Month AUD BBSW	4.55%		AUD	72,100,000		09/20/2033		Semi-Annually		(36,281	)		703,430			739,711
6 Month AUD BBSW	4.60%		AUD	9,600,000		09/20/2033		Semi-Annually		—			117,097			117,097
4.54%	6 Month AUD BBSW		AUD	20,000,000		09/20/2033		Semi-Annually		—			(182,134	)		(182,134	)
CAD - CORRA - OIS - COMPOUND	3.40%		CAD	5,300,000		09/20/2033		Annually		—			(109,094	)		(109,094	)
CAD - CORRA - OIS - COMPOUND	3.56%		CAD	4,000,000		09/20/2033		Annually		—			(42,699	)		(42,699	)
CAD - CORRA - OIS - COMPOUND	3.57%		CAD	6,700,000		09/20/2033		Annually		—			(70,303	)		(70,303	)
CAD - CORRA - OIS - COMPOUND	3.73%		CAD	6,900,000		09/20/2033		Annually		—			(4,238	)		(4,238	)
3.38%	CAD - CORRA - OIS - COMPOUND		CAD	18,769,000		09/20/2033		Annually		(17,925	)		403,060			420,985
3.58%	CAD - CORRA - OIS - COMPOUND		CAD	8,000,000		09/20/2033		Annually		—			77,883			77,883

See accompanying notes to the financial statements. 72

GMO Implementation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
	CAD - CORRA - OIS -
3.61%	COMPOUND		CAD	7,000,000		09/20/2033		Annually		—			54,360			54,360
CHF - SARON - OIS - COMPOUND	1.83%		CHF	53,072,000		09/20/2033		Annually		(190,895	)		733,863			924,758
CHF - SARON - OIS - COMPOUND	1.92%		CHF	2,400,000		09/20/2033		Annually		11,683			53,927			42,244
1.84%	CHF - SARON - OIS - COMPOUND		CHF	9,561,000		09/20/2033		Annually		27,063			(139,809	)		(166,872	)
1.88%	CHF - SARON - OIS - COMPOUND		CHF	9,200,000		09/20/2033		Annually		—			(173,995	)		(173,995	)
1.92%	CHF - SARON - OIS - COMPOUND		CHF	9,700,000		09/20/2033		Annually		—			(222,016	)		(222,016	)
1.91%	CHF - SARON - OIS - COMPOUND		CHF	13,300,000		09/20/2033		Annually		(51,456	)		(288,690	)		(237,234	)
1.73%	CHF - SARON - OIS - COMPOUND		CHF	8,000,000		09/20/2033		Annually		—			(24,075	)		(24,075	)
1.77%	CHF - SARON - OIS - COMPOUND		CHF	2,000,000		09/20/2033		Annually		—			(14,180	)		(14,180	)
1.79%	CHF - SARON - OIS - COMPOUND		CHF	3,500,000		09/20/2033		Annually		—			(34,152	)		(34,152	)
1.82%	CHF - SARON - OIS - COMPOUND		CHF	3,200,000		09/20/2033		Annually		—			(38,758	)		(38,758	)
1.83%	CHF - SARON - OIS - COMPOUND		CHF	4,700,000		09/20/2033		Annually		—			(61,351	)		(61,351	)
1.85%	CHF - SARON - OIS - COMPOUND		CHF	4,100,000		09/20/2033		Annually		—			(62,742	)		(62,742	)
EUR - EuroSTR - COMPOUND	2.77%		EUR	14,917,000		09/20/2033		Annually		42,483			(94,577	)		(137,060	)
EUR - EuroSTR - COMPOUND	2.79%		EUR	2,500,000		09/20/2033		Annually		2,077			(10,327	)		(12,404	)
EUR - EuroSTR - COMPOUND	2.88%		EUR	3,000,000		09/20/2033		Annually		—			12,708			12,708
EUR - EuroSTR - COMPOUND	2.88%		EUR	2,800,000		09/20/2033		Annually		—			10,413			10,413
EUR - EuroSTR - COMPOUND	3.02%		EUR	17,400,000		09/20/2033		Annually		88,512			296,173			207,661
EUR - EuroSTR - COMPOUND	3.06%		EUR	8,400,000		09/20/2033		Annually		—			173,383			173,383
2.77%	EUR - EuroSTR - COMPOUND		EUR	36,021,000		09/20/2033		Annually		(86,443	)		244,297			330,740
2.81%	EUR - EuroSTR - COMPOUND		EUR	7,300,000		09/20/2033		Annually		—			19,519			19,519
3.01%	EUR - EuroSTR - COMPOUND		EUR	7,600,000		09/20/2033		Annually		(27,858	)		(119,717	)		(91,859	)
3.04%	EUR - EuroSTR - COMPOUND		EUR	5,300,000		09/20/2033		Annually		—			(98,684	)		(98,684	)
GBP - SONIA - COMPOUND	4.10%		GBP	20,954,000		09/20/2033		Annually		51,544			(413,047	)		(464,591	)
GBP - SONIA - COMPOUND	4.45%		GBP	4,200,000		09/20/2033		Annually		—			62,940			62,940
GBP - SONIA - COMPOUND	4.46%		GBP	5,800,000		09/20/2033		Annually		—			95,303			95,303
GBP - SONIA - COMPOUND	4.47%		GBP	4,100,000		09/20/2033		Annually		—			68,595			68,595
4.11%	GBP - SONIA - COMPOUND		GBP	6,765,000		09/20/2033		Annually		(22,519	)		127,619			150,138
4.12%	GBP - SONIA - COMPOUND		GBP	4,000,000		09/20/2033		Annually		—			73,265			73,265
4.33%	GBP - SONIA - COMPOUND		GBP	9,400,000		09/20/2033		Annually		—			(28,866	)		(28,866	)
4.34%	GBP - SONIA - COMPOUND		GBP	7,900,000		09/20/2033		Annually		—			(30,955	)		(30,955	)
4.23%	GBP - SONIA - COMPOUND		GBP	5,600,000		09/20/2033		Annually		—			38,360			38,360
4.19%	GBP - SONIA - COMPOUND		GBP	3,900,000		09/20/2033		Annually		—			43,241			43,241
4.24%	GBP - SONIA - COMPOUND		GBP	11,600,000		09/20/2033		Annually		—			73,677			73,677
4.50%	3 Month NZD Bank Bill Rate		NZD	59,325,000		09/20/2033		Quarterly		(11,605	)		579,584			591,189
3 Month NZD Bank Bill Rate	4.41%		NZD	13,300,000		09/20/2033		Quarterly		—			(187,187	)		(187,187	)
3 Month NZD Bank Bill Rate	4.49%		NZD	19,900,000		09/20/2033		Quarterly		—			(204,771	)		(204,771	)
3 Month NZD Bank Bill Rate	4.62%		NZD	17,600,000		09/20/2033		Quarterly		10,157			(70,127	)		(80,284	)
3 Month SEK STIBOR	2.99%		SEK	96,000,000		09/20/2033		Quarterly		—			(142,541	)		(142,541	)
2.93%	3 Month SEK STIBOR		SEK	299,821,000		09/20/2033		Quarterly		31,587			566,012			534,425

73 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps — continued

Fund Pays	Fund Receives	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)					Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.02%	3 Month SEK STIBOR		SEK	42,000,000		09/20/2033		Quarterly				(1,218	)		50,493					51,711
3.31%	3 Month SEK STIBOR		SEK	409,000,000		09/20/2033		Quarterly				46,331			(402,610	)				(448,941	)
3.34%	3 Month SEK STIBOR		SEK	24,000,000		09/20/2033		Quarterly				—			(30,055	)				(30,055	)
3 Month SEK STIBOR	3.01%		SEK	38,000,000		09/20/2033		Quarterly				—			(49,087	)				(49,087	)
3 Month SEK STIBOR	3.06%		SEK	34,000,000		09/20/2033		Quarterly				—			(31,976	)				(31,976	)
3 Month SEK STIBOR	3.24%		SEK	102,000,000		09/20/2033		Quarterly				—			47,011					47,011
USD - SOFR - COMPOUND	3.35%		USD	5,700,000		09/20/2033		Annually				—			(207,358	)				(207,358	)
USD - SOFR - COMPOUND	3.45%		USD	16,360,000		09/20/2033		Annually				102,134			(473,032	)				(575,166	)
3.63%	USD - SOFR - COMPOUND		USD	9,100,000		09/20/2033		Annually				(55,057	)		122,781					177,838
3.84%	USD - SOFR - COMPOUND		USD	2,600,000		09/20/2033		Annually				—			(8,748	)				(8,748	)
3.99%	USD - SOFR - COMPOUND		USD	1,800,000		09/20/2033		Annually				—			(28,057	)				(28,057	)
											$	(273,035	)	$	496,897				$	769,932

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)				Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month Federal Funds Rate minus 0.02%	Total Return on MSCI World Daily Total Return Net Value Index	JPM		USD	2,370,733		12/15/2023	Monthly			—			20,428				20,428
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.07%	JPM		USD	3,703,868		12/15/2023	Monthly			—			6,755				6,755
1 Month Federal Funds Rate plus 0.03%	Total Return on MSCI World Daily Total Return Net Value Index	GS		USD	16,505,961		04/30/2024	Monthly			—			(26,331	)			(26,331	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate minus 0.02%	GS		USD	15,483,395		04/30/2024	Monthly			—			83,924				83,924
1 Month Federal Funds Rate minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	7,935,710		05/13/2024	Monthly			—			45,601				45,601
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA		USD	8,247,129		05/13/2024	Monthly			—			42,638				42,638
1 Month Federal Funds Rate minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	11,591,517		05/22/2024	Monthly			—			256,260				256,260
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%	UBSA		USD	11,624,521		05/22/2024	Monthly			—			(231,788	)			(231,788	)
1 Month Federal Funds Rate plus 0.07%	Total Return on MSCI World Daily Total Return Net Growth Index	UBSA		USD	6,296,686		08/09/2024	Monthly			2,834			(17,192	)			(20,026	)

See accompanying notes to the financial statements. 74

GMO Implementation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps — continued

Fund Pays	Fund Receives	Counterparty		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)						Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.11%		UBSA		USD	5,409,179		08/09/2024		Monthly				(2,452	)			91,535					93,987
Total Return on Equity Basket (l)	1 Month Federal Funds Rate minus 0.40%		GS		USD	21,383,450		06/24/2024		Monthly				—				(8,065	)				(8,065	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%		MORD		USD	44,165,634		06/18/2024		Monthly				—				(830,380	)				(830,380	)
													$	382			$	(566,615	)			$	(566,997	)

75 See accompanying notes to the financial statements.

GMO Implementation Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) All or a portion of this security is out on loan (Note 2).

(c) Securities are traded on separate exchanges for the same entity.

(d) Investment valued using significant unobservable inputs (Note 2).

(e) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(f) All or a portion of this investment is held in connection with one or more holdings within the Fund.

(g) The security is restricted as to resale.

(h) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(i) Security is in default.

(j) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned subsidiary of GMO Implementation Fund.

(k) The rate disclosed is the 7 day net yield as of August 31, 2023.

(l) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

(m) The following table represents the individual long and/or short positions within the custom equity basket swap as of August 31, 2023:

Shares		Description	% of Equity Basket		Value ($)
	(3,010,000)	Air China Ltd – Class H		4.9%		(2,228,050	)
	(1,563,300)	Airports Of Thailand PC NVDR		7.2%		(3,235,325	)
	(754,000)	Alibaba Health Information Technology Ltd		1.0%		(445,156	)
	(1,095,000)	China Molybdenum Co Ltd – Class H		1.5%		(653,239	)
	(626,000)	China Southern Airlines Co Ltd – Class H		0.7%		(332,542	)
	(1,422,000)	Genscript Biotech Corp		7.4%		(3,319,153	)
	(3,412,900)	Gulf Energy Development Pcl NVDR		10.4%		(4,676,371	)
	(6,832)	Hanmi Pharm Co Ltd		3.4%		(1,521,469	)
	(57,102)	Hotel Shilla Co Ltd		8.4%		(3,803,808	)
	(38,852)	Kakao Corp		3.1%		(1,410,019	)
	(2,117,000)	Kingdee International Software Group Co Ltd		7.3%		(3,271,005	)
	(147,262)	Korea Aerospace Industries Ltd		12.5%		(5,624,462	)
	(327,700)	Microport Scientific Corp		1.2%		(561,155	)
	182,346	Nokia Oyj		(1.6%)		729,214
	(148,200)	Nongfu Spring Co Lttd – Class H		1.8%		(832,351	)
	(6,562)	POSCO Chemical Co Ltd		4.9%		(2,227,172	)
	(90,300)	Rede D’Or Sao Luiz SA		1.2%		(522,611	)
	(9,769)	Samsung Biologics Co Ltd		12.1%		(5,442,523	)
	(767,926)	Samsung Heavy Industries Co Ltd		11.4%		(5,113,625	)
	142,868	Stora Enso Oyj – R Shares		(4.0%)		1,816,933
	(28,963)	Yuhan Corp		3.5%		(1,594,289	)
	(500,000)	Zijin Mining Group Co Ltd – Class H		1.7%		(783,177	)
		TOTAL COMMON STOCKS			$	(45,051,355	)

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 94.

See accompanying notes to the financial statements. 76

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.4	%
Short-Term Investments		5.0
Preferred Stocks		1.8
Debt Obligations		0.3
Rights/Warrants		0.0
Futures Contracts		(0.0	)^
Other		(3.5	)
		100.0	%

Country/Region Summary¤	% of Investments
Japan		26.7	%
France		13.5
United Kingdom		11.1
Netherlands		6.1
Switzerland		5.5
Spain		5.4
Other Emerging		4.5	†
Germany		4.1
Italy		3.8
Australia		3.5
Other Developed		3.4	‡
Taiwan		2.2
Singapore		2.1
Norway		2.0
Canada		1.9
Belgium		1.7
Hong Kong		1.4
South Korea		1.1
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

77

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 100.0%
	Affiliated Issuers — 100.0%
1,388,728	GMO Emerging Markets ex-China Fund, Class VI		19,497,744
7,552,505	GMO International Equity Fund, Class IV		171,290,816
3,173,544	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		44,112,253
544,222	GMO-Usonian Japan Value Creation Fund, Class VI		10,040,902
	TOTAL MUTUAL FUNDS (COST $248,305,402)		244,941,715
	SHORT-TERM INVESTMENTS — 0.0%
	Money Market Funds — 0.0%
122,412	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (a)		122,412
	TOTAL SHORT-TERM INVESTMENTS (COST $122,412)		122,412
	TOTAL INVESTMENTS — 100.0% (Cost $248,427,814)		245,064,127
	Other Assets and Liabilities (net) — (0.0%)		(48,714	)
	TOTAL NET ASSETS — 100.0%		$245,015,413

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 94.

See accompanying notes to the financial statements. 78

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		93.8	%
Preferred Stocks		4.2
Short-Term Investments		4.1
Debt Obligations		0.3
Rights/Warrants		0.0^
Investment Funds		0.0^
Futures Contracts		(0.1	)
Other		(2.3	)
		100.0	%

Country/Region Summary¤	% of Investments
Japan		19.0	%
France		9.0
Taiwan		8.2
China		7.8
United Kingdom		7.4
South Korea		4.2
Netherlands		4.0
South Africa		4.0
Spain		3.6
Switzerland		3.6
Brazil		3.4
India		3.0
Other Emerging		3.0	†
Germany		2.8
Italy		2.5
Australia		2.3
Mexico		2.3
Other Developed		2.3	‡
Hong Kong		1.5
Singapore		1.4
Norway		1.3
Canada		1.3
Belgium		1.1
Vietnam		1.0
		100.0	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments and includes exposure through the use of derivative financial instruments, if any. The table excludes exposure through forward currency contracts, if any.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.

^ Rounds to 0.0%.

79

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	MUTUAL FUNDS — 99.9%
	Affiliated Issuers — 99.9%
2,103,906	GMO Emerging Markets ex-China Fund, Class VI		29,538,843
4,939,363	GMO Emerging Markets Fund, Class VI		108,912,953
7,626,323	GMO International Equity Fund, Class IV		172,965,013
3,214,975	GMO International Opportunistic Value
	Fund (formerly GMO Tax-Managed
	International Equities Fund), Class III		44,688,144
816,488	GMO-Usonian Japan Value Creation Fund, Class VI		15,064,211
	TOTAL MUTUAL FUNDS (COST $441,106,238)		371,169,164
	SHORT-TERM INVESTMENTS — 0.1%
	Money Market Funds — 0.1%
243,257	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (a)		243,257
	TOTAL SHORT-TERM INVESTMENTS (COST $243,257)		243,257
	TOTAL INVESTMENTS — 100.0% (Cost $441,349,495)		371,412,421
	Other Assets and Liabilities (net) — (0.0%)		(52,029	)
	TOTAL NET ASSETS — 100.0%		$371,360,392

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 94.

See accompanying notes to the financial statements. 80

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Investment Concentration Summary^(a)

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Short-Term Investments		176.5	%
Debt Obligations		49.2
Forward Currency Contracts		2.2
Swap Contracts		0.2
Futures Contracts		(0.5	)#
Other		(127.6	)
		100.0	%

(a) GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund.

& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). The exposure the Fund has to futures contracts based on notional amounts is 35.2% of net assets.

# Some or all is comprised of commodity exposure. See the Consolidated Schedule of Investments.

81

GMO SGM Major Markets Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Par Value† /   Shares		Description†	Value ($)
		DEBT OBLIGATIONS — 49.2%
		United States — 49.2%
		U.S. Government — 49.2%
	500,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.14%, 5.55%, due 10/31/24 (a)		500,524
	17,300,000	U.S. Treasury Floating Rate Notes, Variable Rate, USBM + 0.17%, 5.58%, due 04/30/25 (a) (b)		17,306,186
		Total U.S. Government		17,806,710
		Total United States		17,806,710
		TOTAL DEBT OBLIGATIONS (COST $17,810,070)		17,806,710
		SHORT-TERM INVESTMENTS — 176.5%
		Sovereign and Sovereign Agency Issuers — 30.8%
JPY	179,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/11/23		1,230,315
JPY	443,000,000	Japan Treasury Discount Bill, Zero Coupon, due 09/19/23		3,044,937
JPY	150,000,000	Japan Treasury Discount Bill, Zero Coupon, due 10/30/23		1,031,155
JPY	450,000,001	Japan Treasury Discount Bill, Zero Coupon, due 11/06/23		3,093,527
JPY	400,000,000	Japan Treasury Discount Bill, Zero Coupon, due 11/13/23		2,749,855
		Total Sovereign and Sovereign Agency Issuers		11,149,789
		Money Market Funds — 145.7%
	956,523	State Street Global Advisors Liquidity PLC - U.S. Treasury Liquidity Fund, 5.26% (b)		956,523
	51,830,134	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (c)		51,830,134
		Total Money Market Funds		52,786,657
		TOTAL SHORT-TERM INVESTMENTS (COST $64,194,384)		63,936,446
		TOTAL INVESTMENTS — 225.7% (Cost $82,004,454)		81,743,156
		Other Assets and Liabilities (net) — (125.7%)		(45,526,755	)
		TOTAL NET ASSETS — 100.0%		$36,216,401

See accompanying notes to the financial statements. 82

GMO SGM Major Markets Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/25/2023	BCLY		AUD	10,516,122		USD	7,191,608			372,660
10/31/2023	BCLY		CHF	591,827		USD	680,119			6,110
10/31/2023	JPM		CHF	13,476,894		USD	15,832,742			484,426
09/29/2023	SSB		CHF	13,063,809		USD	15,283,599			456,266
10/31/2023	SSB		CHF	7,613		USD	8,719			50
10/31/2023	UBSA		CHF	361,965		USD	414,614			2,385
09/29/2023	JPM		EUR	6,005,865		USD	6,560,333			40,367
09/29/2023	SSB		EUR	34,749		USD	37,882			158
09/25/2023	SSB		GBP	7,256,371		USD	9,221,555			28,317
11/06/2023	BCLY		JPY	450,000,000		USD	3,197,222			73,645
11/13/2023	BCLY		JPY	400,000,000		USD	2,820,051			40,423
09/11/2023	BBH		JPY	179,000,000		USD	1,301,638			70,203
10/30/2023	BBH		JPY	150,000,000		USD	1,095,585			55,548
09/19/2023	MSCI		JPY	443,000,000		USD	3,183,293			131,746
10/23/2023	MSCI		JPY	75,511,000		USD	523,065			85
09/29/2023	UBSA		NZD	150,295		USD	94,015			4,389
09/25/2023	DB		USD	781,171		AUD	1,215,161			6,773
09/25/2023	SSB		USD	315,044		AUD	489,445			2,326
10/23/2023	MSCI		USD	7,808,496		JPY	1,131,900,000			30,914
09/29/2023	BCLY		USD	809,048		NZD	1,358,317			962
09/29/2023	MSCI		USD	1,101,864		NZD	1,859,294			6,894

Settlement Date	Counter- party		Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation)($)
09/18/2023		BCLY		CAD	8,059,878		USD	5,953,324				(13,107	)
10/23/2023		DB		JPY	1,533,467,972		USD	10,585,930				(34,693	)
10/23/2023		MSCI		JPY	252,845,000		USD	1,746,007				(5,169	)
09/29/2023		DB		NZD	3,101,235		USD	1,846,807				(2,561	)
09/25/2023		BOA		USD	2,200,192		AUD	3,392,937				(117	)
09/25/2023		JPM		USD	1,238,878		AUD	1,890,131				(13,265	)
09/25/2023		MSCI		USD	1,269,222		AUD	1,857,040				(65,065	)
09/18/2023		BOA		USD	3,889,443		CAD	5,135,046				(88,157	)
09/18/2023		BCLY		USD	2,479,390		CAD	3,270,867				(58,088	)
09/18/2023		JPM		USD	2,859,173		CAD	3,788,928				(54,368	)
09/18/2023		MSCI		USD	1,260,352		CAD	1,659,378				(31,975	)
10/31/2023		JPM		USD	19,678,124		CHF	17,205,646				(83,275	)
10/31/2023		SSB		USD	24,241		CHF	21,115				(194	)
09/29/2023		BCLY		USD	9,940,585		EUR	8,912,486				(265,192	)
09/29/2023		DB		USD	1,167		EUR	1,060				(16	)
09/25/2023		CITI		USD	412,199		GBP	323,122				(2,830	)
09/25/2023		JPM		USD	1,980,637		GBP	1,535,319				(35,513	)
09/25/2023		SSB		USD	12,244,281		GBP	9,480,410				(233,365	)
09/29/2023		SSB		USD	1,159,839		NZD	1,903,943				(24,455	)
											$	803,242

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
57	CAC40 10 Euro		September 2023		4,517,814				13,215
113	Corn(b)		December 2023		2,702,112				(324,808	)
8	DAX Index		September 2023		3,464,424				17,314
11	E-mini Russell 2000 Index		September 2023		1,045,880				(22,457	)
19	Euro Bund		December 2023		2,732,531				18,348
58	FTSE 100 Index		September 2023		5,471,255				(24,475	)
55	MSCI Singapore		September 2023		1,155,266				21,232
5	S&P 500 E-Mini		September 2023		1,129,000				(2,914	)
37	Soybean(b)		November 2023		2,532,188				192,158
4	TOPIX Index		September 2023		639,048				(2,879	)
5	UK Gilt Long Bond		December 2023		605,340				5,697
				$	25,994,858			$	(109,569	)

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
11	Canadian Government
	Bond 10 Yr.		December 2023		971,292				(9,882	)
40	Euro Bund		September 2023		5,776,986				(25,932	)
24	FTSE Taiwan Index		September 2023		1,371,793				(4,334	)
10	Gold 100 OZ(b)		December 2023		1,965,900				34,964
10	Hang Seng Index		September 2023		1,165,349				(23,092	)
159	Mini MSCI Emerging Markets		September 2023		7,785,435				288,215
26	S&P/TSX 60		September 2023		4,680,077				24,480
20	Silver(b)		December 2023		2,481,200				(168,644	)
20	SPI 200 Futures		September 2023		2,343,454				(48,716	)
50	U.S. Treasury Note 10 Yr. (CBT)		December 2023		5,551,563				(50,210	)
24	WTI Crude(b)		September 2023		2,007,120				(93,604	)
				$	36,100,169			$	(76,755	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

83 See accompanying notes to the financial statements.

GMO SGM Major Markets Fund

(A Series of GMO Trust)

 

Consolidated Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)					Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Month Federal Funds Rate minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index		UBSA		USD	7,700,102		05/13/2024		Monthly				—			44,247					44,247
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%		UBSA		USD	7,254,625		05/13/2024		Monthly				—			37,506					37,506
1 Month Federal Funds Rate minus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index		UBSA		USD	2,548,833		05/22/2024		Monthly				—			56,349					56,349
Total Return on MSCI World Daily Total Return Net Growth Index	1 Month Federal Funds Rate plus 0.02%		UBSA		USD	2,766,422		05/22/2024		Monthly				—			(55,161	)				(55,161	)
													$	—		$	82,941				$	82,941

As of August 31, 2023, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) All or a portion of this security or derivative is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO SGM Major Markets Fund.

(c) The rate disclosed is the 7 day net yield as of August 31, 2023.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 94.

See accompanying notes to the financial statements. 84

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Investment Concentration Summary

August 31, 2023 (Unaudited)

Asset Class Summary&	% of Total Net Assets
Common Stocks		84.3	%
Debt Obligations		16.7
Short-Term Investments		16.0
Preferred Stocks		2.1
Loan Assignments		0.0^
Swap Contracts		0.0^
Rights/Warrants		0.0^
Investment Funds		0.0^
Futures Contracts		0.0^
Loan Participations		0.0^
Written Options/Credit Linked Options		0.0^
Purchased Options		0.0^
Forward Currency Contracts		(0.0	)^
Reverse Repurchase Agreements		(0.0	)^
Securities Sold Short		(16.6	)
Other		(2.5	)
		100.0	%

Country/Region Summary¤	Debt Obligations as a % of Total Net Assets
United States		6.1	%
Other Emerging		3.1	†
Australia		1.1
Euro Region		(0.6	)§
Other Developed		(1.0	)‡
		8.7	%

Country/Region Summary¤	Equity Investments as a % of Total Net Assets
United States		22.4	%
Japan		10.3
Other Developed		5.2	‡
Taiwan		4.0
France		3.8
United Kingdom		2.9
China		2.5
South Korea		2.3
Other Emerging		2.1	†
Netherlands		1.9
South Africa		1.9
Brazil		1.8
India		1.7
Switzerland		1.7
Spain		1.6
Mexico		1.4
Australia		1.1
Canada		1.0
Euro Region		0.2§
		69.8	%

& The table incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).

¤ The table incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of certain derivative financial instruments and excludes exposure through certain currency linked derivatives such as forward currency contracts and currency options. The table is based on duration adjusted net exposures (both investments and derivatives), taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. Duration is based on GMO’s models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security. The table is not normalized, thus, due to the exclusions listed above and negative exposures, which may be attributable to derivatives or short sales, if any, the tables may not total to 100%.

† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Total Net Assets.

§ “Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.

‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Total Net Assets.

^ Rounds to 0.0%.

85

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	COMMON STOCKS — 21.3%
	Australia — 0.5%
3,467	Aurizon Holdings Ltd (a)		8,172
16,457	BlueScope Steel Ltd (a)		222,491
24,794	Brambles Ltd (a)		240,105
12,007	Fortescue Metals Group Ltd (a)		165,305
44,850	GPT Group (The) (REIT) (a)		121,436
83,063	Mirvac Group (REIT) (a)		129,504
44,089	Scentre Group (REIT) (a)		78,150
42,562	Stockland (REIT) (a)		116,243
	Total Australia		1,081,406
	Belgium — 0.3%
5,649	Ageas SA/NV (a)		224,662
459	Sofina SA (a)		103,123
3,202	UCB SA (a)		287,210
	Total Belgium		614,995
	Brazil — 0.1%
5,100	Banco do Brasil SA		48,507
4,600	Petroleo Brasileiro SA Sponsored ADR (a)		64,630
1,284	Telefonica Brasil SA ADR (a)		10,837
1,107	Vale SA		14,548
	Total Brazil		138,522
	Canada — 1.0%
2,700	Alimentation Couche-Tard Inc (a)		141,194
967	Brookfield Asset Management Ltd – Class A (a)		33,410
4,265	Brookfield Corp – Class A (a)		145,479
2,000	Canadian Tire Corp Ltd – Class A (a)		237,271
700	iA Financial Corp Inc (a)		43,916
2,700	Magna International Inc (a)		158,819
9,200	Manulife Financial Corp (a) (b)		170,083
7,400	Manulife Financial Corp (a) (b)		136,752
2,752	Nutrien Ltd (a)		174,257
2,300	Onex Corp (a)		142,116
7,300	Quebecor Inc – Class B (a)		166,886
4,500	Teck Resources Ltd – Class B (a) (b)		186,101
1,461	Teck Resources Ltd – Class B (a) (b)		60,368
3,200	West Fraser Timber Co Ltd (a) (b)		241,895
400	West Fraser Timber Co Ltd (a) (b)		30,240
	Total Canada		2,068,787
	China — 0.4%
14,093	Alibaba Group Holding Ltd *		163,565
78,000	Bank of Communications Co Ltd – Class H		44,643
15,000	Beijing Enterprises Holdings Ltd		56,198
12,500	China Conch Venture Holdings Ltd		12,282
114,000	China Construction Bank Corp – Class H		60,996
46,500	China Overseas Land & Investment Ltd		98,026
152,000	China Railway Group Ltd – Class H		80,413
286,000	China Zhongwang Holdings Ltd * (c)		—

Shares	Description	Value ($)
	China — continued
110,000	CITIC Ltd		109,164
32,000	COSCO Shipping Holdings Co Ltd – Class H		32,816
60,000	Dongfeng Motor Group Co Ltd – Class H		22,009
9,000	Kingboard Holdings Ltd		20,423
9,900	Shanghai Pharmaceuticals Holding Co Ltd – Class H		16,277
8,000	Sinopharm Group Co Ltd – Class H		23,215
1,529	Tencent Holdings Ltd		63,362
	Total China		803,389
	Denmark — 0.4%
49	AP Moller – Maersk A/S – Class A (a)		87,567
112	AP Moller – Maersk A/S – Class B (a)		203,321
12,003	Danske Bank A/S (a)		269,423
2,923	Pandora A/S (a)		302,701
159	Rockwool A/S – B Shares (a)		40,580
	Total Denmark		903,592
	Finland — 0.2%
3,119	Neste Oyj (a)		114,102
65,530	Nokia Oyj (a)		262,059
6,647	Stora Enso Oyj – R Shares (a)		84,534
	Total Finland		460,695
	France — 0.8%
9,781	ArcelorMittal SA		259,828
3,244	BNP Paribas SA (a)		209,782
580	Cie de Saint-Gobain SA (a)		37,730
211	Kering SA (a)		112,828
261	LVMH Moet Hennessy Louis Vuitton SE (a)		220,717
1,914	Publicis Groupe SA (a)		149,345
2,957	Renault SA (a)		119,313
1,854	Safran SA (a)		297,132
9,024	Societe Generale SA (a)		255,660
5,933	Vivendi SE (a)		54,037
	Total France		1,716,372
	Germany — 0.3%
530	Bayerische Motoren Werke AG (a)		55,745
1,331	Beiersdorf AG (a)		174,275
859	Continental AG (a)		63,719
2,702	Fresenius SE & Co KGaA (a)		86,624
564	Heidelberg Materials AG (a)		45,349
2,724	Mercedes-Benz Group AG (a)		199,328
	Total Germany		625,040
	Hong Kong — 0.1%
16,230	Galaxy Entertainment Group Ltd *		107,275
4,500	Orient Overseas International Ltd (a)		60,351
	Total Hong Kong		167,626

See accompanying notes to the financial statements. 86

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	India — 0.4%
75,186	GAIL India Ltd		104,686
5,777	Hindalco Industries Ltd		32,118
9,472	Hindustan Petroleum Corp Ltd *		28,370
25,377	Indian Oil Corp Ltd		27,264
43,451	NTPC Ltd		114,997
106,213	Oil & Natural Gas Corp Ltd		223,020
127,914	Tata Steel Ltd		190,779
	Total India		721,234
	Ireland — 0.1%
2,190	Ryanair Holdings Plc Sponsored ADR * (a)		217,358
	Israel — 0.2%
269	Check Point Software Technologies Ltd *		36,204
5,573	Teva Pharmaceutical Industries Ltd *		54,213
27,646	Teva Pharmaceutical Industries Ltd Sponsored ADR * (a)		269,825
	Total Israel		360,242
	Italy — 0.2%
17,269	Stellantis NV (a)		320,569
587,352	Telecom Italia SPA * (a)		182,215
	Total Italy		502,784
	Japan — 1.7%
400	FUJIFILM Holdings Corp (a)		23,638
10,800	Honda Motor Co Ltd (a)		349,017
21,900	Inpex Corp (a)		306,684
7,800	ITOCHU Corp (a)		292,729
4,300	Kawasaki Kisen Kaisha Ltd (a)		144,098
2,200	Mitsubishi Corp (a)		108,515
10,600	Mitsui OSK Lines Ltd (a)		293,524
1,400	NEC Corp (a)		73,795
11,800	Nippon Yusen KK (a)		313,932
21,300	Obayashi Corp (a)		192,909
1,100	Renesas Electronics Corp * (a)		18,326
14,700	Sekisui House Ltd (a)		299,577
14,400	Shimizu Corp (a)		96,882
2,100	Shionogi & Co Ltd (a)		92,230
7,600	Subaru Corp (a)		146,098
15,400	Sumitomo Corp (a)		316,723
4,400	Taisei Corp (a)		148,086
2,700	TDK Corp (a)		98,272
8,800	Tosoh Corp (a)		113,870
600	Toyota Tsusho Corp (a)		35,717
4,200	Yamaha Motor Co Ltd (a)		108,680
	Total Japan		3,573,302
	Mexico — 0.3%
26,835	Fomento Economico Mexicano SAB de CV		300,449
44,275	Grupo Mexico SAB de CV – Series B		211,631
	Total Mexico		512,080

Shares	Description	Value ($)
	Netherlands — 0.8%
52,055	Aegon NV (a)		266,781
838	AerCap Holdings NV *		51,554
3,051	EXOR NV (a)		270,004
2,737	ING Groep NV (a)		38,781
6,158	JDE Peet’s NV (a)		171,405
5,891	Koninklijke Ahold Delhaize NV (a)		192,695
13,553	Koninklijke Philips NV * (a)		304,557
6,106	NN Group NV (a)		235,053
	Total Netherlands		1,530,830
	New Zealand — 0.0%
12,318	Meridian Energy Ltd (a)		39,403
	Norway — 0.1%
3,572	Equinor ASA (a)		109,700
	Poland — 0.1%
9,263	ORLEN SA		141,417
	Portugal — 0.0%
20,973	EDP – Energias de Portugal SA		95,555
	Russia — 0.0%
2,505	LUKOIL PJSC (c)		1,785
5,410	Novatek PJSC (c)		952
	Total Russia		2,737
	South Africa — 0.1%
7,025	Bidvest Group Ltd (The)		105,991
	South Korea — 0.4%
826	E-MART Inc		46,063
3,721	Kia Corp		225,545
1,631	LG Corp		101,184
1,178	LG Electronics Inc		87,668
45	POSCO Holdings Inc		19,676
2,400	POSCO Holdings Inc Sponsored ADR (a)		263,424
2,735	SK Square Co Ltd *		93,181
	Total South Korea		836,741
	Spain — 0.5%
3,107	Amadeus IT Group SA (a)		213,182
39,438	Banco Bilbao Vizcaya Argentaria SA (a)		311,162
75,774	Banco Santander SA (a)		295,792
5,679	Industria de Diseno Textil SA (a)		217,570
	Total Spain		1,037,706
	Sweden — 0.2%
29,827	Fastighets AB Balder – B Shares* (a)		142,562
2,739	Investor AB – B Shares (a)		52,720
10,867	Kinnevik AB – Class B* (a)		127,603
3,780	Skanska AB – B Shares (a)		55,333

87 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Sweden — continued
2,725	Svenska Cellulosa AB SCA – Class B (a)		36,275
	Total Sweden		414,493
	Switzerland — 0.4%
6,670	Adecco Group AG (Registered) (a)		286,910
4,311	Logitech International SA (Registered) (a) (b)		298,246
500	Logitech International SA (Registered) (a) (b)		34,410
53	Roche Holding AG (a)		16,518
809	Roche Holding AG – Genusschein (a)		237,432
	Total Switzerland		873,516
	Thailand — 0.1%
21,200	Kasikornbank Pcl NVDR		78,973
263,800	Krung Thai Bank Pcl NVDR		145,321
	Total Thailand		224,294
	Turkey — 0.1%
60,102	Haci Omer Sabanci Holding AS		134,382
222,835	Yapi ve Kredi Bankasi AS		132,347
	Total Turkey		266,729
	United Kingdom — 0.9%
5,040	3i Group Plc (a)		126,915
5,969	Berkeley Group Holdings Plc (The) (a)		306,664
161,351	BT Group Plc (a)		236,042
2,961	Coca-Cola HBC AG (a)		85,297
10,255	Compass Group Plc (a)		258,597
52,595	Kingfisher Plc (a)		155,865
5,545	Persimmon Plc (a)		74,754
6,513	Shell Plc (a)		199,137
72,474	Taylor Wimpey Plc (a)		104,739
28,118	Vodafone Group Plc Sponsored ADR (a)		262,060
	Total United Kingdom		1,810,070
	United States — 10.6%
2,188	3M Co. (a)		233,394
331	Akamai Technologies, Inc. * (a)		34,785
9,962	Ally Financial, Inc. (a)		275,848
2,443	Alphabet, Inc. – Class A* (a)		332,663
811	Alphabet, Inc. – Class C* (a)		111,391
1,344	American Express Co. (a)		212,339
2,234	Arrow Electronics, Inc. * (a)		298,083
200	Aspen Technology, Inc. * (a)		38,800
1,896	Best Buy Co., Inc. (a)		144,949
634	Bio-Rad Laboratories, Inc. – Class A* (a)		253,727
105	Booking Holdings, Inc. * (a)		326,028
9,896	BorgWarner, Inc. (a)		403,262
1,766	Builders FirstSource, Inc. * (a)		256,141
2,955	Capital One Financial Corp. (a)		302,562
1,212	CarMax, Inc. * (a)		98,996
4,046	Carrier Global Corp. (a)		232,443

Shares	Description	Value ($)
	United States — continued
2,612	CBRE Group, Inc. – Class A* (a)		222,151
3,410	Centene Corp. * (a)		210,226
3,132	Chesapeake Energy Corp. (a)		276,274
1,065	Chevron Corp. (a)		171,572
5,700	Citigroup, Inc. (a)		235,353
16,638	Cleveland-Cliffs, Inc. * (a)		254,395
4,300	Cognizant Technology Solutions Corp. – Class A (a)		307,923
7,000	Comcast Corp. – Class A (a)		327,320
177	Cummins, Inc. (a)		40,717
3,888	CVS Health Corp. (a)		253,381
3,221	Darling Ingredients, Inc. * (a)		198,929
2,530	Dell Technologies, Inc. – Class C (a)		142,287
2,628	Discover Financial Services (a)		236,704
2,224	DISH Network Corp. – Class A* (a)		13,344
1,440	DR Horton, Inc. (a)		171,389
5,900	eBay, Inc. (a)		264,202
1,901	EOG Resources, Inc. (a)		244,507
2,271	Expedia Group, Inc. * (a)		246,154
87	FedEx Corp. (a)		22,709
6,700	Fidelity National Financial, Inc. (a)		277,380
24,100	Ford Motor Co. (a)		292,333
1,900	Fortune Brands Innovations, Inc. (a)		131,138
1,875	Fox Corp. – Class A (a)		61,988
7,200	Fox Corp. – Class B (a)		219,744
8,400	Franklin Resources, Inc. (a)		224,616
721	Generac Holdings, Inc. * (a)		85,662
695	General Electric Co. (a)		79,550
8,300	General Motors Co. (a)		278,133
375	Goldman Sachs Group, Inc. (The) (a)		122,891
2,172	Green Plains, Inc. * (a)		67,419
4,554	Hewlett Packard Enterprise Co. (a)		77,372
1,196	Hilton Worldwide Holdings, Inc. (a)		177,785
9,000	HP, Inc. (a)		267,390
4,127	Incyte Corp. * (a)		266,315
10,000	Intel Corp. (a)		351,400
2,092	Intercontinental Exchange, Inc. (a)		246,835
2,100	International Business Machines Corp. (a)		308,343
6,965	Invesco Ltd. (a)		110,883
1,586	Jazz Pharmaceuticals Plc * (a)		227,369
16,718	Kinder Morgan, Inc. (a)		287,884
7,657	Kraft Heinz Co. (The) (a)		253,370
1,060	Kroger Co. (The) (a)		49,173
1,111	Laboratory Corp. of America Holdings (a)		231,199
276	Lam Research Corp. (a)		193,862
3,212	Las Vegas Sands Corp. (a)		176,210
1,414	Lennar Corp. – Class A (a)		168,393
1,288	Liberty Global Plc – Class A* (a)		23,751
3,385	Liberty Global Plc – Class C* (a)		67,158
2,970	LyondellBasell Industries NV – Class A (a)		293,347
580	Marathon Petroleum Corp. (a)		82,807
136	Markel Group, Inc. * (a)		201,133
6,298	Match Group, Inc. * (a)		295,187
1,672	Meta Platforms, Inc. – Class A* (a)		494,728

See accompanying notes to the financial statements. 88

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United States — continued
7,488	Micron Technology, Inc. (a)		523,711
2,535	Moderna, Inc. * (a)		286,632
2,100	Mohawk Industries, Inc. * (a)		212,919
1,574	Molson Coors Brewing Co. – Class B (a)		99,933
5,085	Mosaic Co. (The) (a)		197,552
2,059	NRG Energy, Inc. (a)		77,315
1,800	Nucor Corp. (a)		309,780
1,320	Otis Worldwide Corp. (a)		112,926
6,455	Ovintiv, Inc. (a)		303,127
1,694	PACCAR, Inc. (a)		139,399
15,076	Paramount Global – Class B (a)		227,497
4,394	PayPal Holdings, Inc. * (a)		274,669
8,036	Pfizer, Inc. (a)		284,314
959	Phinia, Inc. * (a)		26,660
836	Pinterest, Inc. – Class A* (a)		22,982
2,257	PulteGroup, Inc. (a)		185,209
2,316	QUALCOMM, Inc. (a)		265,251
400	Regeneron Pharmaceuticals, Inc. * (a)		330,596
1,783	RTX Corp. (a)		153,409
1,828	Skyworks Solutions, Inc. (a)		198,777
2,725	Steel Dynamics, Inc. (a)		290,458
9,486	Synchrony Financial (a)		306,208
543	Texas Instruments, Inc. (a)		91,257
2,200	Textron, Inc. (a)		170,962
5,197	Tyson Foods, Inc. – Class A (a)		276,844
97	United Rentals, Inc. (a)		46,224
1,068	Universal Health Services, Inc. – Class B (a)		143,860
4,013	US Bancorp (a)		146,595
312	Valero Energy Corp. (a)		40,529
8,967	Verizon Communications, Inc. (a)		313,666
24,200	Viatris, Inc. (a)		260,150
6,830	Walgreens Boots Alliance, Inc. (a)		172,867
4,884	Wells Fargo & Co. (a)		201,660
5,640	Western Digital Corp. * (a)		253,800
2,048	Westlake Corp. (a)		268,247
887	Whirlpool Corp. (a)		124,145
4,000	Zoom Video Communications, Inc. – Class A* (a)		284,120
	Total United States		21,711,946
	TOTAL COMMON STOCKS (COST $41,778,759)		43,668,552
	PREFERRED STOCKS (d) — 0.3%
	Brazil — 0.1%
24,987	Bradespar SA		113,530
4,000	Petroleo Brasileiro SA		25,800
14,400	Petroleo Brasileiro SA Sponsored ADR (a)		186,336
	Total Brazil		325,666
	Germany — 0.2%
1,287	Bayerische Motoren Werke AG (a)		123,657
785	Porsche Automobil Holding SE (a)		42,105

Shares /  Par Value†	Description	Value ($)
	Germany — continued
1,520	Volkswagen AG (a)		186,021
	Total Germany		351,783
	TOTAL PREFERRED STOCKS (COST $626,839)		677,449
	DEBT OBLIGATIONS — 4.2%
	United States — 4.2%
	U.S. Government — 2.5%
5,000,000	U.S. Treasury Note, Variable Rate, USBM + 0.20%, 5.61%, due 01/31/25 (a)		5,007,444
	U.S. Government Agency — 1.7%
1,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.10%, 5.40%, due 10/06/23		1,000,064
1,000,000	Federal Home Loan Banks, Variable Rate, SOFR + 0.12%, 5.42%, due 03/06/24		1,000,597
1,500,000	Federal Home Loan Banks, 5.23%, due 03/22/24		1,495,912
	Total U.S. Government Agency		3,496,573
	Total United States		8,504,017
	TOTAL DEBT OBLIGATIONS (COST $8,502,647)		8,504,017
	MUTUAL FUNDS — 80.6%
	United States — 80.6%
	Affiliated Issuers — 80.6%
419,243	GMO Emerging Country Debt Fund, Class VI		7,772,769
1,214,434	GMO Emerging Markets ex-China Fund, Class VI		17,050,657
778,744	GMO Emerging Markets Fund, Class VI		17,171,304
1,309,549	GMO International Equity Fund, Class IV		29,700,573
1,226,672	GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		17,050,734
529,802	GMO-Usonian Japan Value Creation Fund, Class VI		9,774,851
1,131,643	GMO Multi-Sector Fixed Income Fund, Class IV		19,102,140
267,201	GMO Quality Fund, Class VI		7,529,720
341,936	GMO Small Cap Quality Fund, Class VI		8,469,753
835,893	GMO U.S. Equity Fund, Class VI		10,615,837
848,460	GMO U.S. Opportunistic Value Fund, Class VI		17,342,512
638,389	GMO U.S. Treasury Fund		3,191,945
	Total Affiliated Issuers		164,772,795
	TOTAL MUTUAL FUNDS (COST $170,833,279)		164,772,795
	SHORT-TERM INVESTMENTS — 10.1%

89 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Money Market Funds — 0.3%
575,687	State Street Institutional Treasury Money Market Fund – Premier Class, 5.22% (e)		575,687
	Repurchase Agreements — 9.8%
20,000,000	Nomura Securities International, Inc. Repurchase Agreement, dated 08/31/23, maturing on 09/01/23 with a maturity value of $20,002,928 and an effective yield of 5.27%, collateralized by a U.S. Treasury Note with maturity date 08/15/26 and a market value of $20,373,263.		20,000,000
	TOTAL SHORT-TERM INVESTMENTS (COST $20,575,687)		20,575,687
	TOTAL INVESTMENTS — 116.5% (Cost $242,317,211)		238,198,500
	SECURITIES SOLD SHORT — (16.6)%
	Common Stocks — (16.4)%
	Australia — (0.4)%
(4,131)	ASX Ltd		(153,736	)
(484)	Cochlear Ltd		(84,954	)
(9,138)	IDP Education Ltd		(145,329	)
(86,969)	Pilbara Minerals Ltd		(260,735	)
(3,988)	Ramsay Health Care Ltd		(132,338	)
(779)	WiseTech Global Ltd		(34,945	)
	Total Australia		(812,037	)
	Austria — (0.1)%
(2,362)	Verbund AG		(193,304	)
	Belgium — (0.1)%
(4,837)	Anheuser-Busch InBev SA/NV		(274,558	)
	Canada — (0.9)%
(4,300)	Agnico Eagle Mines Ltd		(208,593	)
(7,884)	Algonquin Power & Utilities Corp		(59,603	)
(12,100)	AltaGas Ltd		(236,591	)
(942)	Brookfield Renewable Corp – Class A		(26,329	)
(1,916)	Cameco Corp		(70,892	)
(7,373)	Enbridge Inc		(258,645	)
(1,984)	Franco-Nevada Corp		(285,617	)
(5,904)	GFL Environmental Inc		(191,289	)
(8,100)	Pembina Pipeline Corp		(251,748	)
(4,000)	Restaurant Brands International Inc		(277,800	)
	Total Canada		(1,867,107	)
	Denmark — (0.1)%
(953)	Coloplast A/S – Class B		(108,543	)
(5,884)	Tryg A/S		(112,262	)
	Total Denmark		(220,805	)

Shares	Description	Value ($)
	Finland — (0.1)%
(1,468)	Elisa Oyj		(72,066	)
(419)	Kone Oyj – Class B		(19,060	)
	Total Finland		(91,126	)
	France — (0.5)%
(7,842)	Accor SA		(280,456	)
(1,525)	Aeroports de Paris		(200,702	)
(38)	Euronext NV		(2,743	)
(13,476)	Getlink SE		(225,553	)
(146)	Hermes International SCA		(300,276	)
(185)	Sartorius Stedim Biotech		(52,468	)
	Total France		(1,062,198	)
	Germany — (0.6)%
(254)	adidas AG		(50,691	)
(6,166)	Delivery Hero SE*		(224,921	)
(866)	Deutsche Boerse AG		(153,736	)
(1,001)	MTU Aero Engines AG		(233,654	)
(675)	Puma SE		(45,237	)
(184)	Rational AG		(140,162	)
(2,084)	Symrise AG		(217,246	)
(70,965)	Telefonica Deutschland Holding AG		(134,915	)
(1,286)	Zalando SE*		(39,976	)
	Total Germany		(1,240,538	)
	Ireland — (0.0)%
(159)	Flutter Entertainment Plc*		(28,953	)
	Israel — (0.2)%
(1,800)	CyberArk Software Ltd*		(298,872	)
	Italy — (0.5)%
(6,384)	Amplifon SPA		(207,310	)
(208)	DiaSorin SPA		(21,964	)
(876)	Ferrari NV (b)		(277,746	)
(123)	Ferrari NV (b)		(39,082	)
(17,820)	FinecoBank Banca Fineco SPA		(243,554	)
(19,965)	Infrastrutture Wireless Italiane SPA		(247,014	)
	Total Italy		(1,036,670	)
	Japan — (1.8)%
(11,100)	Aeon Co Ltd		(230,038	)
(11,300)	ANA Holdings Inc*		(255,099	)
(7,800)	Asahi Intecc Co Ltd		(158,227	)
(400)	East Japan Railway Co		(22,616	)
(2,400)	GMO Payment Gateway Inc		(151,975	)
(12,900)	Japan Airlines Co Ltd		(265,659	)
(7,600)	Japan Exchange Group Inc		(132,603	)
(3,700)	Keio Corp		(128,023	)
(1,800)	Keisei Electric Railway Co Ltd		(68,925	)
(900)	Kintetsu Group Holdings Co Ltd		(28,487	)
(1,500)	Kobe Bussan Co Ltd		(37,371	)
(2,000)	Lasertec Corp		(310,879	)

See accompanying notes to the financial statements. 90

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	Japan — continued
(8,500)	M3 Inc		(169,429	)
(15,200)	MonotaRO Co Ltd		(179,516	)
(700)	Nidec Corp		(36,424	)
(10,500)	Nippon Paint Holdings Co Ltd		(81,129	)
(10,700)	Odakyu Electric Railway Co Ltd		(159,105	)
(8,500)	Oriental Land Co Ltd		(306,180	)
(58,300)	Rakuten Group Inc		(226,848	)
(2,600)	Shiseido Co Ltd		(105,506	)
(23,900)	SoftBank Corp		(274,102	)
(3,400)	Tobu Railway Co Ltd		(93,209	)
(12,700)	Tokyu Corp		(160,485	)
	Total Japan		(3,581,835	)
	Netherlands — (0.4)%
(272)	Adyen NV*		(227,126	)
(58)	ASML Holding NV		(38,137	)
(748)	IMCD NV		(103,024	)
(6,105)	Just Eat Takeaway.com NV*		(85,750	)
(12,991)	Universal Music Group NV		(322,088	)
	Total Netherlands		(776,125	)
	New Zealand — (0.1)%
(3,637)	Xero Ltd*		(294,392	)
	Peru — (0.1)%
(3,500)	Southern Copper Corp		(282,310	)
	Singapore — (0.3)%
(57,153)	Grab Holdings Ltd – Class A*		(215,467	)
(1,943,400)	Sembcorp Marine Ltd*		(208,325	)
(18,700)	Singapore Exchange Ltd		(133,123	)
	Total Singapore		(556,915	)
	Spain — (0.3)%
(7,689)	Cellnex Telecom SA*		(294,069	)
(9,802)	Ferrovial SE		(310,893	)
	Total Spain		(604,962	)
	Sweden — (0.1)%
(2,457)	Beijer Ref AB		(28,163	)
(2,267)	EQT AB		(45,570	)
(1,452)	Evolution AB		(157,044	)
(2,319)	H & M Hennes & Mauritz AB – Class B		(35,406	)
	Total Sweden		(266,183	)
	Switzerland — (0.2)%
(5)	Chocoladefabriken Lindt & Spruengli AG		(59,764	)
(114)	Partners Group Holding AG		(122,881	)
(1,259)	Straumann Holding AG (Registered)		(190,348	)
	Total Switzerland		(372,993	)

Shares	Description	Value ($)
	United Kingdom — (0.9)%
(2,205)	Admiral Group Plc		(69,466	)
(25,277)	Auto Trader Group Plc		(193,836	)
(14,090)	Hargreaves Lansdown Plc		(135,591	)
(32,236)	Informa Plc		(297,844	)
(3,478)	InterContinental Hotels Group Plc		(261,599	)
(2,983)	London Stock Exchange Group Plc		(308,604	)
(32,298)	M&G Plc		(78,011	)
(128,837)	Rolls-Royce Holdings Plc*		(361,429	)
(762)	Severn Trent Plc		(23,140	)
(605)	Spirax-Sarco Engineering Plc		(77,528	)
(666)	Whitbread Plc		(28,967	)
(6,780)	Wise Plc – Class A*		(54,880	)
	Total United Kingdom		(1,890,895	)
	United States — (8.7)%
(457)	AECOM		(40,102	)
(12,789)	AES Corp. (The)		(229,307	)
(1,500)	Alnylam Pharmaceuticals, Inc.*		(296,730	)
(6,375)	Altria Group, Inc.		(281,903	)
(700)	American Tower Corp. (REIT)		(126,924	)
(3,144)	Ares Management Corp. – Class A		(325,215	)
(1,500)	Arthur J Gallagher & Co.		(345,720	)
(1,158)	Axon Enterprise, Inc.*		(246,550	)
(2,376)	Bills Holdings, Inc.*		(273,953	)
(3,255)	Bio-Techne Corp.		(255,192	)
(1,500)	Boeing Co. (The)*		(336,045	)
(361)	Broadcom, Inc.		(333,163	)
(1,695)	Burlington Stores, Inc.*		(275,031	)
(5,400)	Caesars Entertainment, Inc.*		(298,404	)
(2,580)	Carnival Corp.*		(40,816	)
(451)	Catalent, Inc.*		(22,536	)
(4,078)	Ceridian HCM Holding, Inc.*		(295,737	)
(157)	Chipotle Mexican Grill, Inc.*		(302,483	)
(7,314)	Clarivate Plc*		(54,343	)
(4,467)	Cloudflare, Inc. – Class A*		(290,489	)
(451)	CoStar Group, Inc.*		(36,978	)
(600)	Crown Castle, Inc. (REIT)		(60,300	)
(2,400)	Dexcom, Inc.*		(242,352	)
(345)	Ecolab, Inc.		(63,414	)
(1,800)	Equity LifeStyle Properties, Inc. (REIT)		(120,528	)
(100)	Erie Indemnity Co. – Class A		(27,873	)
(2,549)	Essential Utilities, Inc.		(94,058	)
(3,236)	Exact Sciences Corp.*		(270,756	)
(98)	Fair Isaac Corp.*		(88,650	)
(926)	Fastenal Co.		(53,319	)
(302)	Fiserv, Inc.*		(36,660	)
(2,942)	Fortinet, Inc.*		(177,138	)
(824)	Gartner, Inc.*		(288,136	)
(2,140)	Hess Corp.		(330,630	)
(600)	HubSpot, Inc.*		(327,912	)
(396)	IDEXX Laboratories, Inc.*		(202,518	)
(1,134)	Insulet Corp.*		(217,399	)
(1,533)	IQVIA Holdings, Inc.*		(341,292	)

91 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

August 31, 2023 (Unaudited)

Shares	Description	Value ($)
	United States — continued
(2,700)	Iron Mountain, Inc. (REIT)		(171,558	)
(161)	Jack Henry & Associates, Inc.		(25,242	)
(1,234)	Keurig Dr Pepper, Inc.		(41,524	)
(2,351)	Lamb Weston Holdings, Inc.		(229,011	)
(542)	Lattice Semiconductor Corp.*		(52,715	)
(4,100)	Liberty Media Corp.-Liberty Formula One – Class C*		(282,039	)
(900)	Linde Plc		(348,336	)
(3,321)	Live Nation Entertainment, Inc.*		(280,724	)
(899)	MarketAxess Holdings, Inc.		(216,596	)
(700)	Mastercard, Inc. – Class A		(288,848	)
(128)	McKesson Corp.		(52,777	)
(62)	MercadoLibre, Inc.*		(85,086	)
(800)	MongoDB, Inc.*		(305,040	)
(33)	Monolithic Power Systems, Inc.		(17,200	)
(589)	Moody’s Corp.		(198,375	)
(108)	Motorola Solutions, Inc.		(30,626	)
(619)	MSCI, Inc.		(336,501	)
(6,615)	Newmont Corp.		(260,763	)
(9,463)	NiSource, Inc.		(253,230	)
(7,741)	Novocure Ltd.*		(170,766	)
(3,500)	Okta, Inc.*		(292,285	)
(4,353)	ONEOK, Inc.		(283,816	)
(14,836)	Palantir Technologies, Inc. – Class A*		(222,243	)
(2,732)	Paychex, Inc.		(333,932	)
(200)	Paylocity Holding Corp.*		(40,100	)
(2,900)	Philip Morris International, Inc.		(278,574	)
(520)	PTC, Inc.*		(76,528	)
(996)	Repligen Corp.*		(173,214	)
(3,967)	Rivian Automotive, Inc. – Class A*		(90,170	)
(6,800)	ROBLOX Corp. – Class A*		(192,372	)
(3,705)	Roku, Inc.*		(300,846	)
(6,604)	Rollins, Inc.		(261,320	)
(3,247)	Royal Caribbean Cruises Ltd.*		(321,258	)
(487)	RPM International, Inc.		(48,573	)
(318)	ServiceNow, Inc.*		(187,248	)
(914)	Sherwin-Williams Co. (The)		(248,352	)

Shares	Description	Value ($)
	United States — continued
(1,200)	Simon Property Group, Inc. (REIT)		(136,188	)
(1,666)	Snowflake, Inc. – Class A*		(261,312	)
(2,800)	Starbucks Corp.		(272,832	)
(100)	STERIS Plc		(22,959	)
(189)	Sysco Corp.		(13,164	)
(1,159)	Tesla, Inc.*		(299,115	)
(11,993)	Toast, Inc. – Class A*		(265,885	)
(694)	Trade Desk, Inc. (The) – Class A*		(55,541	)
(400)	TransDigm Group, Inc.*		(361,540	)
(938)	Twilio, Inc. – Class A*		(59,760	)
(9)	Uber Technologies, Inc.*		(425	)
(3,200)	UDR, Inc. (REIT)		(127,680	)
(1,000)	Vail Resorts, Inc.		(226,320	)
(424)	Watsco, Inc.		(154,569	)
(9,700)	Williams Cos., Inc. (The)		(334,941	)
(5,472)	Wolfspeed, Inc.*		(261,671	)
(664)	Zillow Group, Inc. – Class C*		(34,634	)
(1,978)	Zscaler, Inc.*		(308,667	)
	Total United States		(17,845,547	)
	TOTAL COMMON STOCKS (PROCEEDS $33,792,554)		(33,598,325	)
	PREFERRED STOCKS (d) — (0.2)%
	Germany — (0.2)%
(658)	Sartorius AG		(269,073	)
(113)	Dr Ing hc F Porsche AG		(12,463	)
	TOTAL PREFERRED STOCKS (PROCEEDS $285,852)		(281,536	)
	TOTAL SECURITIES SOLD SHORT (PROCEEDS $34,078,406)		(33,879,861	)
	Other Assets and Liabilities (net) — 0.1%		170,043
	TOTAL NET ASSETS — 100.0%		$204,488,682

A summary of outstanding financial instruments at August 31, 2023 is as follows:

Swap Contracts

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty		Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)					Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.40%		MORD		USD	1,905,704		06/18/2024		Monthly				—			(36,654	)				(36,654	)
Total Return on Equity Basket (f)	1 Month Federal Funds Rate minus 0.40%		GS		USD	974,154		06/24/2024		Monthly				—			(2,088	)				(2,088	)
													$	—		$	(38,742	)			$	(38,742	)

See accompanying notes to the financial statements. 92

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

August 31, 2023 (Unaudited)

Notes to Schedule of Investments:

† Denominated in U.S. Dollar, unless otherwise indicated.

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).

(b) Securities are traded on separate exchanges for the same entity.

(c) Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) The rate disclosed is the 7 day net yield as of August 31, 2023.

(f) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund’s total net assets.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 94.

93 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

August 31, 2023 (Unaudited)

Portfolio Abbreviations:

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.

ADR - American Depositary Receipt

AUD BBSW - Bank Bill Swap Reference Rate denominated in Australian Dollar.

CORRA - Canadian Overnight Repo Rate Average

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

EuroSTR - Euro Short-Term Rate

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

ownership limits.

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.

OIS - Overnight Indexed Swaps

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

USBM - U.S. Treasury 3 Month Bill Money Market Yield

The rates shown on variable rate notes are the current interest rates at August 31, 2023, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co	MORD - Morgan Stanley Capital
BCLY - Barclays Bank PLC	Services LLC
BOA - Bank of America, N.A.	MSCI - Morgan Stanley & Co.
CGMI - Citigroup Global Markets Inc.	International PLC
CITI - Citibank N.A.	SSB - State Street Bank and Trust Company
DB - Deutsche Bank AG	UBSA - UBS AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MLCS - Merrill Lynch Capital Services, Inc.

Currency Abbreviations:

AUD - Australian Dollar	KRW - South Korean Won
BRL - Brazilian Real	MXN - Mexican Peso
CAD - Canadian Dollar	NOK - Norwegian Krone
CHF - Swiss Franc	NZD - New Zealand Dollar
CLP - Chilean Peso	PEN - Peruvian Sol
COP - Colombian Peso	PHP - Philippines Peso
CZK - Czech Republic Koruna	PLN - Polish Zloty
EUR - Euro	RON - Romanian New Leu
GBP - British Pound	SEK - Swedish Krona
HUF - Hungarian Forint	SGD - Singapore Dollar
IDR - Indonesian Rupiah	THB - Thai Baht
ILS - Israeli Shekel	TWD - Taiwan New Dollar
INR - Indian Rupee	USD - United States Dollar
JPY - Japanese Yen	ZAR - South African Rand

See accompanying notes to the financial statements. 94

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited)

	Consolidated		Benchmark-				Global
	Alternative		Free		Benchmark-		Asset
	Allocation		Allocation		Free		Allocation
	Fund		Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	5,572,761	$	4,116,307,995	$	217,087,142	$	346,731,364
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		254,930,438		3,855,113		1,096,382,368		541,653
Repurchase agreements, at value (Note 2)(d)		33,093,988		—		24,000,000		—
Foreign currency, at value (Note 2)(e)		165,401		—		649,931		—
Cash		—		4		27,450		1
Receivable for investments sold		1,073,796		94,440,000		3,407,446		—
Receivable for Fund shares sold		31,522		274,247		—		—
Receivable for closed swap contracts (Note 4)		339,953		—		—		—
Dividends and interest receivable		674,739		11,066		4,163,433		3,313
Dividend withholding tax receivable		38,415		—		260,013		—
Foreign capital gains tax refund receivable (Note 2)		—		—		114,146		—
Unrealized appreciation on open forward currency contracts (Note 4)		1,808,637		—		101,845		—
Receivable from liquidated underlying funds (Note 2)		451,446		—		—		294,253
Receivable for variation margin on open cleared swap contracts (Note 4)		24,886		—		—		—
Due from broker (Note 2)		1,559,282		—		19,578		—
Receivable for variation margin on open futures contracts (Note 4)		5,085		—		68,977		—
Receivable for open OTC swap contracts (Note 4)		3,072,304		—		—		—
Interest receivable for open OTC swap contracts (Note 4)		666,051		—		—		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		62,272		252,111		52,812		11,976
Total assets		303,570,976		4,215,140,536		1,346,335,141		347,582,560
Liabilities:
Investments sold short, at value (Note 2)(f)		65,518,943		—		206,428,047		—
Due to custodian		79,503		—		—		—
Payable for cash collateral from securities loaned (Note 2)		14,864		—		20,355,512		—
Payable for investments purchased		40,066,820		60,000,000		3,114,363		764
Payable for Fund shares repurchased		27,733		34,974,928		16,800,000		74,100
Accrued foreign capital gains tax payable (Note 2)		25,302		—		962,634		—
Payable to affiliate for (Note 5):
Management fee		119,249		2,292,018		—		—
Supplemental support fee – Class MF		—		87,278		—		—
Shareholder service fee		29,081		350,475		—		—
Payable for variation margin on open futures contracts (Note 4)		132,712		—		—		—
Payable for closed swap contracts (Note 4)		161,950		—		—		—
Unrealized depreciation on open forward currency contracts (Note 4)		1,789,441		—		228,678		—
Interest payable for open OTC swap contracts (Note 4)		451,317		—		—		—
Payable for open OTC swap contracts (Note 4)		1,101,558		—		229,677		—
Payable to Trustees and related expenses		934		21,304		6,383		1,919
Interest and dividend payable for short sales		110,885		—		163,571		—
Written options outstanding, at value (Note 4)(g)		526,134		—		—		—
Accrued expenses		178,368		200,179		469,503		68,003
Total liabilities		110,334,794		97,926,182		248,758,368		144,786
Net assets	$	193,236,182	$	4,117,214,354	$	1,097,576,773	$	347,437,774
(a)   Cost of investments – affiliated issuers:	$	5,576,730	$	4,214,178,396	$	232,417,037	$	385,245,179
(b)   Cost of investments – unaffiliated issuers:	$	254,308,903	$	3,855,113	$	1,159,263,807	$	541,653
(c)   Includes securities on loan at value (Note 2):	$	12,634	$	—	$	19,792,240	$	—
(d)   Cost of investments – repurchase agreements:	$	33,093,988	$	—	$	24,000,000	$	—
(e)   Cost of foreign currency:	$	148,477	$	—	$	653,693	$	—
(f)    Proceeds from securities sold short:	$	64,910,406	$	—	$	195,013,276	$	—
(g)   Premiums on written options:	$	1,091,889	$	—	$	—	$	—

95 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

	Consolidated			Benchmark-						Global
	Alternative			Free			Benchmark-			Asset
	Allocation			Allocation			Free			Allocation
	Fund			Fund			Fund			Fund
Net assets consist of:
Paid-in capital	$	197,336,335		$	4,564,952,440		$	1,441,074,301		$	604,766,275
Distributable earnings (accumulated loss)		(4,100,153	)		(447,738,086	)		(343,497,528	)		(257,328,501	)
	$	193,236,182		$	4,117,214,354		$	1,097,576,773		$	347,437,774
Net assets attributable to:
Class III	$	—		$	1,376,430,833		$	1,097,576,773		$	313,768,874
Class IV	$	—		$	1,138,827,888		$	—		$	—
Class VI	$	49,156,957		$	—		$	—		$	—
Class MF	$	—		$	1,023,577,769		$	—		$	—
Class R6	$	5,365		$	283,199,886		$	—		$	20,455,619
Class I	$	144,073,860		$	295,177,978		$	—		$	13,213,281
Shares outstanding:
Class III		—			53,523,616			59,513,890			10,052,733
Class IV		—			44,278,912			—			—
Class VI		2,617,174			—			—			—
Class MF		—			39,760,232			—			—
Class R6		284			11,021,974			—			655,786
Class I		7,730,879			11,491,807			—			423,415
Net asset value per share:
Class III	$	—		$	25.72		$	18.44		$	31.21
Class IV	$	—		$	25.72		$	—		$	—
Class VI	$	18.78		$	—		$	—		$	—
Class MF	$	—		$	25.74		$	—		$	—
Class R6	$	18.87		$	25.69		$	—		$	31.19
Class I	$	18.64		$	25.69		$	—		$	31.21

See accompanying notes to the financial statements. 96

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

	Global						International
	Developed		Global				Developed
	Equity		Equity		Consolidated		Equity
	Allocation		Allocation		Implementation		Allocation
	Fund		Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	72,511,770	$	629,292,958	$	13,230,501	$	244,941,715
Investments in unaffiliated issuers, at value (Note 2)(b)(c)		63,763		200,591		4,265,788,008		122,412
Repurchase agreements, at value (Note 2)(d)		—		—		82,035,800		—
Foreign currency, at value (Note 2)(e)		—		—		2,204,997		—
Cash		—		—		213,229		—
Receivable for investments sold		—		—		13,515,707		—
Receivable for Fund shares sold		—		784		60,000,000		70,610
Receivable for closed swap contracts (Note 4)		—		—		2,360,416		—
Dividends and interest receivable		289		1,133		16,835,505		587
Dividend withholding tax receivable		—		—		905,616		—
Foreign capital gains tax refund receivable (Note 2)		—		—		33,061		—
EU tax reclaims receivable (Note 2)		—		—		377,296		—
Unrealized appreciation on open forward currency contracts (Note 4)		—		—		8,421,115		—
Due from broker (Note 2)		—		—		67,457,153		—
Receivable for open OTC swap contracts (Note 4)		—		—		547,141		—
Interest receivable for open OTC swap contracts (Note 4)		—		—		130,419		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		4,112		10,415		99,710		8,106
Total assets		72,579,934		629,505,881		4,534,155,674		245,143,430
Liabilities:
Investments sold short, at value (Note 2)(f)		—		—		803,808,204		—
Due to broker (Note 2)		—		—		2,953		—
Payable for cash collateral from securities loaned (Note 2)		—		—		13,395,576		—
Payable for investments purchased		—		—		13,035,850		45,000
Payable for Fund shares repurchased		—		25,133		34,440,000		25,107
Accrued foreign capital gains tax payable (Note 2)		—		—		2,896,127		—
Payable for variation margin on open futures contracts (Note 4)		—		—		546,274		—
Payable for variation margin on open cleared swap contracts (Note 4)		—		—		166,963		—
Payable for closed swap contracts (Note 4)		—		—		1,230,474		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		—		10,629,305		—
Interest payable for open OTC swap contracts (Note 4)		—		—		133,317		—
Payable for open OTC swap contracts (Note 4)		—		—		1,113,756		—
Payable to Trustees and related expenses		348		7,196		18,776		644
Interest and dividend payable for short sales		—		—		736,409		—
Written options outstanding, at value (Note 4)(g)		—		—		953,038		—
Accrued expenses		43,392		89,148		1,033,327		57,266
Total liabilities		43,740		121,477		884,140,349		128,017
Net assets	$	72,536,194	$	629,384,404	$	3,650,015,325	$	245,015,413
(a)   Cost of investments – affiliated issuers:	$	70,544,177	$	699,118,518	$	13,232,513	$	248,305,402
(b)   Cost of investments – unaffiliated issuers:	$	63,763	$	200,591	$	4,577,747,407	$	122,412
(c)   Includes securities on loan at value (Note 2):	$	—	$	—	$	17,015,184	$	—
(d)   Cost of investments – repurchase agreements:	$	—	$	—	$	82,035,800	$	—
(e)   Cost of foreign currency:	$	—	$	—	$	2,248,140	$	—
(f)    Proceeds from securities sold short:	$	—	$	—	$	775,713,910	$	—
(g)   Premiums on written options:	$	—	$	—	$	1,541,590	$	—

97 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

	Global									International
	Developed			Global						Developed
	Equity			Equity			Consolidated			Equity
	Allocation			Allocation			Implementation			Allocation
	Fund			Fund			Fund			Fund
Net assets consist of:
Paid-in capital	$	142,959,250		$	828,117,692		$	4,696,148,567		$	413,453,057
Distributable earnings (accumulated loss)		(70,423,056	)		(198,733,288	)		(1,046,133,242	)		(168,437,644	)
	$	72,536,194		$	629,384,404		$	3,650,015,325		$	245,015,413
Net assets attributable to:
Core Class	$	—		$	—		$	3,650,015,325		$	—
Class III	$	72,536,194		$	587,028,209		$	—		$	237,207,122
Class R6	$	—		$	37,058,083		$	—		$	7,808,291
Class I	$	—		$	5,298,112		$	—		$	—
Shares outstanding:
Core Class		—			—			288,043,583			—
Class III		3,114,753			22,358,685			—			14,662,643
Class R6		—			1,411,687			—			482,726
Class I		—			201,985			—			—
Net asset value per share:
Core Class	$	—		$	—		$	12.67		$	—
Class III	$	23.29		$	26.26		$	—		$	16.18
Class R6	$	—		$	26.25		$	—		$	16.18
Class I	$	—		$	26.23		$	—		$	—

See accompanying notes to the financial statements. 98

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

			Consolidated
	International		SGM		Strategic
	Equity		Major		Opportunities
	Allocation		Markets		Allocation
	Fund		Fund		Fund
Assets:
Investments in affiliated issuers, at value (Notes 2 and 10)(a)	$	371,169,164	$	—	$	164,772,795
Investments in unaffiliated issuers, at value (Note 2)(b)		243,257		81,743,156		53,425,705
Repurchase agreements, at value (Note 2)(c)		—		—		20,000,000
Foreign currency, at value (Note 2)(d)		—		8		87,876
Cash		—		12,287,942		2,467
Receivable for investments sold		5,000,000		12,000,000		—
Collateral on investments sold short (Note 2)		—		—		1
Dividends and interest receivable		1,011		106,231		215,019
Dividend withholding tax receivable		—		—		31,746
Unrealized appreciation on open forward currency contracts (Note 4)		—		1,814,647		—
Due from broker (Note 2)		—		1,210,583		—
Receivable for variation margin on open futures contracts (Note 4)		—		263,246		—
Receivable for open OTC swap contracts (Note 4)		—		138,102		—
Interest receivable for open OTC swap contracts (Note 4)		—		20,559		—
Receivable for expenses reimbursed and/or waived by GMO (Note 5)		12,971		19,667		17,655
Total assets		376,426,403		109,604,141		238,553,264
Liabilities:
Investments sold short, at value (Note 2)(e)		—		—		33,879,861
Due to broker (Note 2)		—		114		—
Payable for investments purchased		—		—		14,497
Payable for Fund shares repurchased		5,000,000		72,023,222		—
Accrued foreign capital gains tax payable (Note 2)		—		—		21,358
Payable to affiliate for (Note 5):
Management fee		—		69,460		—
Shareholder service fee		—		4,955		—
Payable for variation margin on open futures contracts (Note 4)		—		61,725		—
Unrealized depreciation on open forward currency contracts (Note 4)		—		1,011,405		—
Interest payable for open OTC swap contracts (Note 4)		—		21,041		—
Payable for open OTC swap contracts (Note 4)		—		55,161		38,742
Payable to Trustees and related expenses		2,352		1,383		793
Interest and dividend payable for short sales		—		—		25,581
Accrued expenses		63,659		139,274		83,750
Total liabilities		5,066,011		73,387,740		34,064,582
Net assets	$	371,360,392	$	36,216,401	$	204,488,682
(a)   Cost of investments – affiliated issuers:	$	441,106,238	$	—	$	170,833,279
(b)   Cost of investments – unaffiliated issuers:	$	243,257	$	82,004,454	$	51,483,932
(c)   Cost of investments – repurchase agreements:	$	—	$	—	$	20,000,000
(d)   Cost of foreign currency:	$	—	$	9	$	88,384
(e)   Proceeds from securities sold short:	$	—	$	—	$	34,078,406

99 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Assets and Liabilities — August 31, 2023 (Unaudited) — (Continued)

				Consolidated
	International			SGM			Strategic
	Equity			Major			Opportunities
	Allocation			Markets			Allocation
	Fund			Fund			Fund
Net assets consist of:
Paid-in capital	$	581,516,572		$	141,143,122		$	212,820,338
Distributable earnings (accumulated loss)		(210,156,180	)		(104,926,721	)		(8,331,656	)
	$	371,360,392		$	36,216,401		$	204,488,682
Net assets attributable to:
Class III	$	159,149,637		$	1,821,293		$	204,488,682
Class VI	$	—		$	30,664,491		$	—
Class R6	$	212,210,755		$	—		$	—
Class I	$	—		$	3,730,617		$	—
Shares outstanding:
Class III		5,952,763			77,219			12,571,393
Class VI		—			1,307,076			—
Class R6		7,939,908			—			—
Class I		—			158,548			—
Net asset value per share:
Class III	$	26.74		$	23.59		$	16.27
Class VI	$	—		$	23.46		$	—
Class R6	$	26.73		$	—		$	—
Class I	$	—		$	23.53		$	—

See accompanying notes to the financial statements. 100

GMO Trust Funds

 

 

 

Statements of Operations — Six Months Ended August 31, 2023 (Unaudited)

	Consolidated			Benchmark-						Global
	Alternative			Free			Benchmark-			Asset
	Allocation			Allocation			Free			Allocation
	Fund			Fund			Fund			Fund
Investment Income:
Interest	$	2,518,941		$	6,032		$	6,013,663		$	782
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		1,862,483			67,695			23,298,868			14,467
Dividends from affiliated issuers (Note 10)		83,688			39,552,008			3,104,450			2,627,037
Securities lending income from affiliated issuers (net)		—			—			92,174			—
Other income (Note 2)		30,836			—			915			20,079
Total investment income		4,495,948			39,625,735			32,510,070			2,662,365
Expenses:
Management fee (Note 5)		695,080			13,837,987			—			—
Shareholder service fee – Class III (Note 5)		—			1,112,259			—			—
Shareholder service fee – Class IV (Note 5)		—			572,767			—			—
Shareholder service fee – Class VI (Note 5)		13,240			—			—			—
Shareholder service fee – Class R6 (Note 5)		5			215,440			—			—
Shareholder service fee – Class I (Note 5)		156,511			222,801			—			—
Supplemental support fee – Class MF (Note 5)		—			522,487			—			—
Audit and tax fees		79,608			16,808			62,274			19,523
Custodian, fund accounting agent and transfer agent fees		246,763			224,158			490,087			43,201
Dividend expense on short sales		619,772			—			2,107,762			—
Legal fees		5,763			50,316			15,798			4,966
Registration fees		21,541			15,588			1,007			13,666
Trustees’ fees and related expenses (Note 5)		5,423			122,658			33,384			9,865
Interest expense and borrowing costs for investments sold short (Note 2)		187,904			—			638,945			—
Miscellaneous		36,141			27,494			72,188			5,559	*
Total expenses		2,067,751			16,940,763			3,421,445			96,780
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(280,582	)		(177,032	)		(390,573	)		(79,852	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		(16,225	)		(1,233,176	)		—			—
Indirectly incurred shareholder service fees waived or borne by GMO (Note 5)		(1,623	)		(150,786	)		—			—
Net expenses		1,769,321			15,379,769			3,030,872			16,928
Net investment income (loss)		2,726,627			24,245,966			29,479,198			2,645,437
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		(2,441,285	)		25,481			2,907,834			16,999
Investments in affiliated issuers		15,851			(95,558,622	)		(26,078,076	)		(2,190,970	)
Investments in securities sold short		1,091,656			—			3,601,558			—
Realized gain distributions from affiliated issuers (Note 10)		—			10,297,913			4,171,262			2,134,715
Futures contracts		(2,585,912	)		—			(2,850,560	)		—
Written options		482,705			—			—			—
Swap contracts		325,392			—			(360,027	)		—
Forward currency contracts		3,446,728			—			12,388			—
Foreign currency and foreign currency related transactions		286,381			—			142,874			—
Net realized gain (loss)		621,516			(85,235,228	)		(18,452,747	)		(39,256	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		5,900,295			—			32,566,848			—
Investments in affiliated issuers		302,310			211,083,215			23,437,265			14,333,818
Investments in securities sold short		(5,109,287	)		—			(17,461,761	)		—
Futures contracts		(1,184,939	)		—			432,568			—
Written options		610,494			—			—			—
Swap contracts		(699,006	)		—			(903,637	)		—
Forward currency contracts		(453,234	)		—			(12,722	)		—
Foreign currency and foreign currency related transactions		12,029			—			105,032			—
Net change in unrealized appreciation (depreciation)		(621,338	)		211,083,215			38,163,593			14,333,818
Net realized and unrealized gain (loss)		178			125,847,987			19,710,846			14,294,562
Net increase (decrease) in net assets resulting from operations	$	2,726,805		$	150,093,953		$	49,190,044		$	16,939,999
(a)   Withholding tax:	$	142,113		$	—		$	2,343,903		$	—
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	1,803		$	—		$	370,936		$	—
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	17,777		$	—		$	534,143		$	—

* Includes $4,139 of printing expenses.

101 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Operations — Six Months Ended August 31, 2023 (Unaudited) — (Continued)

	Global									International
	Developed			Global						Developed
	Equity			Equity			Consolidated			Equity
	Allocation			Allocation			Implementation			Allocation
	Fund			Fund			Fund			Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	630,729		$	5,729,134		$	—		$	3,742,753
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		1,147			6,803			82,532,510			2,971
Interest		48			320			28,478,257			404
Securities lending income from affiliated issuers (net)		—			—			276,162			—
Other income (Note 2)		—			—			277,976			—
Total investment income		631,924			5,736,257			111,564,905			3,746,128
Expenses:
Audit and tax fees		15,059			14,173			142,529			16,078
Custodian, fund accounting agent and transfer agent fees		6,987			43,230			855,105			24,962
Dividend expense on short sales		—			—			8,266,176			—
Legal fees		974			11,347			50,738			2,972
Registration fees		980			8,393			777			5,172
Trustees’ fees and related expenses (Note 5)		1,967			22,525			106,194			6,341
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			702,143			—
Miscellaneous		3,090	*		5,698	**		128,391			3,598	***
Total expenses		29,057			105,366			10,252,053			59,123
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(27,047	)		(79,285	)		(848,555	)		(52,574	)
Indirectly incurred management fees waived or borne by GMO (Note 5)		—			—			(3,727	)		—
Net expenses		2,010			26,081			9,399,771			6,549
Net investment income (loss)		629,914			5,710,176			102,165,134			3,739,579
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			—			(845,415	)		—
Investments in affiliated issuers		806,918			(7,451,124	)		38,947			(2,905,475	)
Investments in securities sold short		—			—			24,359,925			—
Realized gain distributions from affiliated issuers (Note 10)		699,566			5,216,798			—			—
Futures contracts		—			—			(26,388,101	)		—
Written options		—			—			(951,317	)		—
Swap contracts		—			—			(2,078,330	)		—
Forward currency contracts		—			—			11,304,559			—
Foreign currency and foreign currency related transactions		—			—			971,840			—
Net realized gain (loss)		1,506,484			(2,234,326	)		6,412,108			(2,905,475	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			—			121,617,930			—
Investments in affiliated issuers		3,549,676			42,538,554			503			14,945,524
Investments in securities sold short		—			—			(78,740,297	)		—
Futures contracts		—			—			(3,472,777	)		—
Written options		—			—			48,881			—
Swap contracts		—			—			(1,710,973	)		—
Forward currency contracts		—			—			(1,427,267	)		—
Foreign currency and foreign currency related transactions		—			—			334,111			—
Net change in unrealized appreciation (depreciation)		3,549,676			42,538,554			36,650,111			14,945,524
Net realized and unrealized gain (loss)		5,056,160			40,304,228			43,062,219			12,040,049
Net increase (decrease) in net assets resulting from operations	$	5,686,074		$	46,014,404		$	145,227,353		$	15,779,628
(a)   Withholding tax:	$	—		$	—		$	7,583,810		$	—
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	—		$	990,906		$	—
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	—		$	1,738,097		$	—

*   Includes $ 2,653 of printing expenses.

**   Includes $ 4,274 of printing expenses.

***   Includes $ 2,749 of printing expenses.

See accompanying notes to the financial statements. 102

GMO Trust Funds

 

 

 

Statements of Operations — Six Months Ended August 31, 2023 (Unaudited) — (Continued)

				Consolidated
	International			SGM			Strategic
	Equity			Major			Opportunities
	Allocation			Markets			Allocation
	Fund			Fund			Fund
Investment Income:
Dividends from affiliated issuers (Note 10)	$	5,346,562		$	—		$	1,333,560
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)(a)		7,053			52,257			1,259,889
Interest		—			2,535,917			737,454
Other income		—			—			38
Total investment income		5,353,615			2,588,174			3,330,941
Expenses:
Management fee (Note 5)		—			502,952			—
Shareholder service fee – Class III (Note 5)		—			2,018			—
Shareholder service fee – Class VI (Note 5)		—			30,639			—
Shareholder service fee – Class I (Note 5)		—			3,177			—
Audit and tax fees		14,783			46,871			24,564
Custodian, fund accounting agent and transfer agent fees		39,287			66,864			72,328
Dividend expense on short sales		—			—			330,914
Legal fees		5,945			4,500			2,548
Registration fees		7,104			11,165			1,071
Trustees’ fees and related expenses (Note 5)		12,136			4,007			5,563
Interest expense and borrowing costs for investments sold short (Note 2)		—			—			100,853
Miscellaneous		5,094	*		16,537			30,760	**
Total expenses		84,349			688,730			568,601
Fees and expenses reimbursed and/or waived by GMO (Note 5)		(71,859	)		(133,837	)		(123,361	)
Net expenses		12,490			554,893			445,240
Net investment income (loss)		5,341,125			2,033,281			2,885,701
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(b)		—			(849,724	)		258,114
Investments in affiliated issuers		1,164,922			—			129,323
Investments in securities sold short		—			—			994,446
Realized gain distributions from affiliated issuers (Note 10)		—			—			1,066,864
Futures contracts		—			(3,737,635	)		—
Swap contracts		—			(603,787	)		(22,549	)
Forward currency contracts		—			1,569,671			—
Foreign currency and foreign currency related transactions		—			(141,518	)		29,058
Net realized gain (loss)		1,164,922			(3,762,993	)		2,455,256
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)(c)		—			195,889			724,246
Investments in affiliated issuers		17,460,040			—			7,156,260
Investments in securities sold short		—			—			(3,267,721	)
Futures contracts		—			(342,360	)		—
Swap contracts		—			(305,735	)		(138,005	)
Forward currency contracts		—			802,243			—
Foreign currency and foreign currency related transactions		—			(6,456	)		1,188
Net change in unrealized appreciation (depreciation)		17,460,040			343,581			4,475,968
Net realized and unrealized gain (loss)		18,624,962			(3,419,412	)		6,931,224
Net increase (decrease) in net assets resulting from operations	$	23,966,087		$	(1,386,131	)	$	9,816,925
(a)   Withholding tax:	$	—		$	—		$	122,798
(b)   Foreign capital gains tax (benefit) on net realized gain (loss):	$	—		$	—		$	4,838
(c)   Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	—		$	—		$	6,807

*   Includes $4,293 of printing expenses.

**   Includes $23,277 of pricing expenses.

103 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets

	Consolidated Alternative Allocation Fund								Benchmark- Free Allocation Fund
	Six Months Ended								Six Months Ended
	August 31, 2023				Year Ended				August 31, 2023				Year Ended
	(Unaudited)				February 28, 2023				(Unaudited)				February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	2,726,627			$	2,749,638			$	24,245,966			$	142,228,479
Net realized gain (loss)			621,516				1,353,300				(85,235,228	)			(70,891,296	)
Change in net unrealized appreciation (depreciation)			(621,338	)			360,528				211,083,215				(86,441,325	)
Net increase (decrease) in net assets from operations			2,726,805				4,463,466				150,093,953				(15,104,142	)
Distributions to shareholders:
Class III			—				—				(4,297,447	)			(44,436,242	)
Class IV			—				—				(3,444,461	)			(39,436,017	)
Class VI			—				(566,438	)			—				—
Class MF			—				—				(3,160,669	)			(34,154,940	)
Class R6			—				(239	)			(867,088	)			(8,404,776	)
Class I			—				(1,316,125	)			(751,176	)			(8,571,449	)
Total distributions			—				(1,882,802	)			(12,520,841	)			(135,003,424	)
Net share transactions (Note 9):
Class III			—				—				(218,049,440	)			(129,056,156	)
Class IV			—				—				(80,148,890	)			(169,185,506	)
Class VI			(876,668	)			(81,621,079	)			—				—
Class MF			—				—				(90,038,483	)			(248,623,598	)
Class R6			772				(17,370	)			(8,309,419	)			16,445,267
Class I			(4,286,737	)			(4,435,177	)			(27,478,469	)			(39,451,537	)
Increase (decrease) in net assets resulting from net share transactions			(5,162,633	)			(86,073,626	)			(424,024,701	)			(569,871,530	)
Total increase (decrease) in net assets			(2,435,828	)			(83,492,962	)			(286,451,589	)			(719,979,096	)
Net assets:
Beginning of period			195,672,010				279,164,972				4,403,665,943				5,123,645,039
End of period		$	193,236,182			$	195,672,010			$	4,117,214,354			$	4,403,665,943

See accompanying notes to the financial statements. 104

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	Benchmark- Free Fund								Global Asset Allocation Fund
	Six Months Ended								Six Months Ended
	August 31, 2023				Year Ended				August 31, 2023				Year Ended
	(Unaudited)				February 28, 2023				(Unaudited)				February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	29,479,198			$	65,558,866			$	2,645,437			$	10,865,500
Net realized gain (loss)			(18,452,747	)			42,873,591				(39,256	)			(41,709,405	)
Change in net unrealized appreciation (depreciation)			38,163,593				(121,879,629	)			14,333,818				(3,797,081	)
Net increase (decrease) in net assets from operations			49,190,044				(13,447,172	)			16,939,999				(34,640,986	)
Distributions to shareholders:
Class III			(8,569,120	)			(68,892,922	)			(2,109,397	)			(11,238,011	)
Class R6			—				—				(136,286	)			(752,848	)
Class I			—				—				(89,040	)			(538,596	)
Total distributions			(8,569,120	)			(68,892,922	)			(2,334,723	)			(12,529,455	)
Net share transactions (Note 9):
Class III			(95,756,752	)			(378,801,075	)			(5,669,865	)			(234,701,495	)
Class R6			—				—				(843,845	)			(3,363,652	)
Class I			—				—				(773,329	)			1,374,379
Increase (decrease) in net assets resulting from net share transactions			(95,756,752	)			(378,801,075	)			(7,287,039	)			(236,690,768	)
Total increase (decrease) in net assets			(55,135,828	)			(461,141,169	)			7,318,237				(283,861,209	)
Net assets:
Beginning of period			1,152,712,601				1,613,853,770				340,119,537				623,980,746
End of period		$	1,097,576,773			$	1,152,712,601			$	347,437,774			$	340,119,537

105 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	Global Developed Equity Allocation Fund								Global Equity Allocation Fund
	Six Months Ended								Six Months Ended
	August 31, 2023				Year Ended				August 31, 2023				Year Ended
	(Unaudited)				February 28, 2023				(Unaudited)				February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	629,914			$	2,303,093			$	5,710,176			$	47,256,857
Net realized gain (loss)			1,506,484				(172,374	)			(2,234,326	)			(81,844,614	)
Change in net unrealized appreciation (depreciation)			3,549,676				(6,335,293	)			42,538,554				(72,183,025	)
Net increase (decrease) in net assets from operations			5,686,074				(4,204,574	)			46,014,404				(106,770,782	)
Distributions to shareholders:
Class III			(1,117,957	)			(5,431,769	)			(5,360,658	)			(97,936,959	)
Class R6			—				—				(334,383	)			(441,589	)
Class I			—				—				(47,600	)			(388,226	)
Total distributions			(1,117,957	)			(5,431,769	)			(5,742,641	)			(98,766,774	)
Net share transactions (Note 9):
Class III			975,623				(10,181,077	)			(10,844,200	)			(807,493,688	)
Class R6			—				—				428,098				28,794,936
Class I			—				—				(39,793	)			2,971,667
Increase (decrease) in net assets resulting from net share transactions			975,623				(10,181,077	)			(10,455,895	)			(775,727,085	)
Total increase (decrease) in net assets			5,543,740				(19,817,420	)			29,815,868				(981,264,641	)
Net assets:
Beginning of period			66,992,454				86,809,874				599,568,536				1,580,833,177
End of period		$	72,536,194			$	66,992,454			$	629,384,404			$	599,568,536

See accompanying notes to the financial statements. 106

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	Consolidated Implementation Fund								International Developed Equity Allocation Fund
	Six Months Ended								Six Months Ended
	August 31, 2023				Year Ended				August 31, 2023				Year Ended
	(Unaudited)				February 28, 2023				(Unaudited)				February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	102,165,134			$	167,669,277			$	3,739,579			$	8,550,826
Net realized gain (loss)			6,412,108				155,743,646				(2,905,475	)			(1,196,973	)
Change in net unrealized appreciation (depreciation)			36,650,111				(306,158,237	)			14,945,524				(13,717,635	)
Net increase (decrease) in net assets from operations			145,227,353				17,254,686				15,779,628				(6,363,782	)
Distributions to shareholders:
Core Class			(31,134,806	)			(132,069,652	)			—				—
Class III			—				—				(167,365	)			(8,863,788	)
Class R6			—				—				(5,545	)			(323,823	)
Total distributions			(31,134,806	)			(132,069,652	)			(172,910	)			(9,187,611	)
Net share transactions (Note 9):
Core Class			(199,960,414	)			(830,527,741	)			—				—
Class III			—				—				2,974,838				11,806,790
Class R6			—				—				(765,986	)			368,329
Increase (decrease) in net assets resulting from net share transactions			(199,960,414	)			(830,527,741	)			2,208,852				12,175,119
Total increase (decrease) in net assets			(85,867,867	)			(945,342,707	)			17,815,570				(3,376,274	)
Net assets:
Beginning of period			3,735,883,192				4,681,225,899				227,199,843				230,576,117
End of period		$	3,650,015,325			$	3,735,883,192			$	245,015,413			$	227,199,843

107 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	International Equity Allocation Fund								Consolidated SGM Major Markets Fund
	Six Months Ended								Six Months Ended
	August 31, 2023				Year Ended				August 31, 2023				Year Ended
	(Unaudited)				February 28, 2023				(Unaudited)				February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	5,341,125			$	24,960,732			$	2,033,281			$	1,780,762
Net realized gain (loss)			1,164,922				(12,463,356	)			(3,762,993	)			(3,146,509	)
Change in net unrealized appreciation (depreciation)			17,460,040				(69,591,970	)			343,581				3,926,242
Net increase (decrease) in net assets from operations			23,966,087				(57,094,594	)			(1,386,131	)			2,560,495
Distributions to shareholders:
Class III			(1,367,477	)			(13,246,154	)			(463,657	)			(1,493,076	)
Class VI			—				—				(20,162,474	)			(12,535,348	)
Class R6			(1,780,998	)			(10,107,910	)			—				—
Class I			—				—				(698,175	)			(1,088,498	)
Total distributions			(3,148,475	)			(23,354,064	)			(21,324,306	)			(15,116,922	)
Net share transactions (Note 9):
Class III			(138,457,158	)			(103,571,918	)			(1,044,921	)			(27,325,604	)
Class VI			—				—				(68,690,723	)			(77,087,194	)
Class R6			(3,142,254	)			(3,154,572	)			—				—
Class I			—				—				(281,735	)			(14,477,458	)
Increase (decrease) in net assets resulting from net share transactions			(141,599,412	)			(106,726,490	)			(70,017,379	)			(118,890,256	)
Total increase (decrease) in net assets			(120,781,800	)			(187,175,148	)			(92,727,816	)			(131,446,683	)
Net assets:
Beginning of period			492,142,192				679,317,340				128,944,217				260,390,900
End of period		$	371,360,392			$	492,142,192			$	36,216,401			$	128,944,217

See accompanying notes to the financial statements. 108

GMO Trust Funds

 

 

 

Statements of Changes in Net Assets — (Continued)

	Strategic Opportunities Allocation Fund
	Six Months Ended
	August 31, 2023				Year Ended
	(Unaudited)				February 28, 2023
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	2,885,701			$	7,928,464
Net realized gain (loss)			2,455,256				1,106,379
Change in net unrealized appreciation (depreciation)			4,475,968				(19,594,468	)
Net increase (decrease) in net assets from operations			9,816,925				(10,559,625	)
Distributions to shareholders:
Class III			(1,052,624	)			(18,348,413	)
Total distributions			(1,052,624	)			(18,348,413	)
Net share transactions (Note 9):
Class III			6,220,804				(18,040,407	)
Increase (decrease) in net assets resulting from net share transactions			6,220,804				(18,040,407	)
Total increase (decrease) in net assets			14,985,105				(46,948,445	)
Net assets:
Beginning of period			189,503,577				236,452,022
End of period		$	204,488,682			$	189,503,577

109 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

 

Statements of Cash Flows — Six Months Ended August 31, 2023

	Consolidated Alternative Allocation Fund (Unaudited)			Benchmark- Free Fund (Unaudited)			Consolidated Implementation Fund (Unaudited)			Strategic Opportunities Allocation Fund (Unaudited)
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	2,726,805		$	49,190,044		$	145,227,353		$	9,816,925
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net change in unrealized (appreciation) depreciation		621,338			(38,163,593	)		(36,650,111	)		(4,475,968	)
Net realized (gain) loss		(621,516	)		18,452,747			(6,412,108	)		(2,455,256	)
Cost of purchase of investments held long		(392,579,870	)		(624,226,604	)		(2,360,641,925	)		(64,210,561	)
Cost of purchase of investments held short		(44,241,361	)		(82,098,591	)		(364,823,573	)		(9,750,286	)
Proceeds from sale of investments held long		375,310,363			807,184,740			2,407,473,016			64,337,877
Proceeds of sales to securities sold short		34,541,991			40,360,448			206,991,415			7,039,020
Net accretion of discount and amortization of premium		5,532,781			(468,129	)		28,188,819			(4,251	)
Short-term investments, net		17,070,289			69,069,447			217,533,058			206,866
Realized gain distributions from affiliated issuers		—			4,171,262			—			1,066,864
Cash flows related to derivative transactions:
Futures contracts		(3,862,588	)		(2,486,969	)		(30,418,872	)		—
Written option contracts		347,858			—			(2,788,085	)		—
Swap contracts		4,640,790			(327,669	)		(343,136	)		(22,549	)
Forward currency contracts		3,446,728			12,388			11,304,559			—
Foreign currency and foreign currency related transactions		298,410			247,906			1,305,951			30,246
Change in assets and liabilities:
(Increase) decrease in due from broker		(1,103,541	)		1,171,603			34,043,506			—
(Increase) decrease in dividends and interest receivable		265,525			(565,782	)		(370,473	)		568,828
(Increase) decrease in dividend tax withholding		(11,690	)		(34,935	)		(292,748	)		(4,713	)
(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO		39,693			26,417			148,099			23,136
(Increase) decrease in interest receivable for open OTC swap contracts		107,373			—			(2,408	)		—
(Increase) decrease in receivable for closed swap contracts		(339,483	)		2,960			(2,351,235	)		395
(Increase) decrease in foreign capital gains tax refund receivable		—			(11,382	)		(29,109	)		2,409
(Increase) decrease in receivable from liquidated underlying funds		(30,805	)		—			—			—
(Increase) decrease in EU tax reclaims receivable		—			—			1,051,626			—
Increase (decrease) in payable to affiliate for:
Management fee		9,656			—			—			—
Shareholder service fee		2,328			—			—			—
Increase (decrease) in due to custodian		79,503			—			(844,333	)		—
Increase (decrease) in due to broker		—			—			2,668			—
Increase (decrease) in dividends and interest payable		37,588			(74,878	)		(194,809	)		(6,317	)
Increase (decrease) in payable for closed swap contracts		161,950			(1,785	)		1,230,474			—
Increase (decrease) in payable to Trustees and related expenses		199			1,631			3,816			55
Increase (decrease) in interest payable for OTC swap contracts^		(16,175	)		—			(29,070	)		—
Increase (decrease) in accrued foreign capital gains tax payable		33			3,097			—			169
Increase (decrease) in payable for cash collateral from securities loaned		14,864			19,022,256			12,071,383			—
Increase (decrease) in accrued expenses		(39,120	)		(32,791	)		(42,316	)		(38,824	)
Net cash provided by (used in) operating activities		2,409,916			260,423,838			260,341,432			2,124,065
Cash flows from financing activities:
Proceeds from shares sold		7,812,047			27,330,001			158,600,384			13,275,000
Shares repurchased		(13,288,753	)		(287,489,545	)		(418,700,604	)		(15,004,474	)
Cash distributions paid		—			(236,328	)		—			(367,346	)
Net cash provided by (used in) financing activities		(5,476,706	)		(260,395,872	)		(260,100,220	)		(2,096,820	)
Net increase (decrease) in cash		(3,066,790	)		27,966			241,212			27,245
Cash, beginning of period		3,232,191			649,415			2,177,014			63,098
Cash, end of period	$	165,401		$	677,381		$	2,418,226		$	90,343
Cash paid during the period for:
^ Interest on swap contracts	$	907,457		$	—		$	—		$	—

See accompanying notes to the financial statements. 110

GMO Trust Funds

 

 

Financial Highlights

(For a share outstanding throughout each period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND

	Class VI Shares
	Six Months Ended August 31,					Year Ended									Period from May 1, 2019 (commencement of operations) through
	2023					February 28,									February 29,
	(Unaudited)					2023			2022			2021			2020
Net asset value, beginning of period		$	18.49			$	18.08		$	18.99		$	19.45			$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.28				0.26			0.05			(0.02	)			0.15
Net realized and unrealized gain (loss)			0.01				0.32			(0.23	)		0.03	(b)			(0.18	)
Total from investment operations			0.29				0.58			(0.18	)		0.01				(0.03	)
Less distributions to shareholders:
From net investment income			—				—			—			(0.47	)			(0.06	)
From net realized gains			—				(0.17	)		(0.73	)		—				(0.46	)
Total distributions			—				(0.17	)		(0.73	)		(0.47	)			(0.52	)
Net asset value, end of period		$	18.78			$	18.49		$	18.08		$	18.99			$	19.45
Total Return(c)			1.57	%**			3.25	%		(0.99	)%		0.01	%			(0.21	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	49,157			$	49,257		$	130,896		$	230,386			$	200,812
Net operating expenses to average daily net assets(d)			0.81	%*			0.81	%		0.80	%		0.76	%			0.77	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.85	%*			0.61	%		0.51	%		0.49	%			0.29	%*
Total net expenses to average daily net assets(d)			1.66	%*			1.42	%		1.31	%		1.25	%			1.05	%*
Net investment income (loss) to average daily net assets(a)			3.06	%*			1.44	%		0.29	%		(0.10	)%			0.88	%*
Portfolio turnover rate(f)			195	%**			337	%		572	%		410	%			243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)			0.31	%*			0.35	%		0.17	%		0.15	%			0.27	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020
Portfolio turnover rate including transactions in USTF	N/A	N/A	572%	411%	250%

^(g)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

111 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from July 31, 2020 (commencement of operations) through February 28,
	(Unaudited)					2023			2022			2021
Net asset value, beginning of period		$	18.58			$	18.18		$	18.95			$	19.33
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.27				0.23			(0.00	)(b)			(0.03	)
Net realized and unrealized gain (loss)			0.02				0.34			(0.04	)			0.07	(c)
Total from investment operations			0.29				0.57			(0.04	)			0.04
Less distributions to shareholders:
From net investment income			—				—			—				(0.42	)
From net realized gains			—				(0.17	)		(0.73	)			—
Total distributions			—				(0.17	)		(0.73	)			(0.42	)
Net asset value, end of period		$	18.87			$	18.58		$	18.18			$	18.95
Total Return(d)			1.56	%**			3.17	%		(0.23	)%			0.16	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5			$	4		$	22			$	478
Net operating expenses to average daily net assets(e)			0.98	%*			0.98	%		0.97	%			0.93	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(f)			0.85	%*			0.61	%		0.58	%			0.53	%*
Total net expenses to average daily net assets(e)			1.83	%*			1.59	%		1.55	%			1.46	%*
Net investment income (loss) to average daily net assets(a)			2.96	%*			1.27	%		0.01	%			(0.26	)%*
Portfolio turnover rate(g)			195	%**			337	%		572	%			410	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(h)			0.29	%*			0.35	%		0.13	%			0.16	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Rounds to less than $0.01.

^(c)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(d)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(g)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023		February 28, 2023		February 28, 2022		February 28, 2021
Portfolio turnover rate including transactions in USTF	N/A		N/A		572%		411%

^(h)  Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 112

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED ALTERNATIVE ALLOCATION FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2023					Year Ended February 28,									Period from September 4, 2019 (commencement of operations) through February 29,
	(Unaudited)					2023			2022			2021			2020
Net asset value, beginning of period		$	18.37			$	18.01		$	18.96		$	19.44			$	20.18
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.26				0.23			0.01			(0.09	)			0.10
Net realized and unrealized gain (loss)			0.01				0.30			(0.23	)		0.04	(b)			(0.33	)
Total from investment operations			0.27				0.53			(0.22	)		(0.05	)			(0.23	)
Less distributions to shareholders:
From net investment income			—				—			—			(0.43	)			(0.05	)
From net realized gains			—				(0.17	)		(0.73	)		—				(0.46	)
Total distributions			—				(0.17	)		(0.73	)		(0.43	)			(0.51	)
Net asset value, end of period		$	18.64			$	18.37		$	18.01		$	18.96			$	19.44
Total Return(c)			1.47	%**			2.98	%		(1.21	)%		(0.30	)%			(1.20	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	144,074			$	146,410		$	148,247		$	268,473			$	34,229
Net operating expenses to average daily net assets(d)			1.08	%*			1.08	%		1.07	%		1.02	%			1.02	%*
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(e)			0.85	%*			0.60	%		0.50	%		0.51	%			0.23	%*
Total net expenses to average daily net assets(d)			1.93	%*			1.68	%		1.57	%		1.53	%			1.25	%*
Net investment income (loss) to average daily net assets(a)			2.80	%*			1.31	%		0.06	%		(0.44	)%			0.98	%*
Portfolio turnover rate(f)			195	%**			337	%		572	%		410	%			243	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(g)			0.32	%*			0.37	%		0.19	%		0.15	%			0.24	%*

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e) Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(f) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023		February 28, 2023		February 28, 2022		February 28, 2021		February 29, 2020
Portfolio turnover rate including transactions in USTF	N/A		N/A		572%		411%		250%

^(g) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

113 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period		$	24.89			$	25.56		$	25.97		$	25.53		$	26.36		$	27.76
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.14				0.73			0.57			0.40			0.83			0.82
Net realized and unrealized gain (loss)			0.76				(0.63	)		(0.35	)		0.98			(0.75	)		(1.30	)
Total from investment operations			0.90				0.10			0.22			1.38			0.08			(0.48	)
Less distributions to shareholders:
From net investment income			(0.07	)			(0.77	)		(0.63	)		(0.78	)		(0.90	)		(0.90	)
From net realized gains			—				—			—			(0.16	)		(0.01	)		(0.02	)
Total distributions			(0.07	)			(0.77	)		(0.63	)		(0.94	)		(0.91	)		(0.92	)
Net asset value, end of period		$	25.72			$	24.89		$	25.56		$	25.97		$	25.53		$	26.36
Total Return(b)			3.63	%**			0.50	%		0.86	%		5.60	%		0.11	%		(1.55	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,376,431			$	1,546,717		$	1,726,440		$	2,227,712		$	3,785,568		$	4,642,211
Net expenses to average daily net assets(c)			0.74	%*			0.74	%		0.75	%		0.70	%		0.66	%		0.65	%
Net investment income (loss) to average daily net assets(a)			1.12	%*			3.00	%		2.15	%		1.59	%		3.12	%		3.07	%
Portfolio turnover rate			6	%**			19	%		7	%		20	%		10	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)			0.07	%*			0.08	%		0.06	%		0.11	%		0.15	%		0.15	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—		$	—		$	—		$	—		$	0.00	(e)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Ratio includes indirect fees waived or borne by GMO.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 114

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class IV Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period		$	24.89			$	25.56		$	25.96		$	25.53		$	26.35		$	27.75
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.15				0.80			0.49			0.43			0.83			0.88
Net realized and unrealized gain (loss)			0.76				(0.68	)		(0.25	)		0.96			(0.73	)		(1.35	)
Total from investment operations			0.91				0.12			0.24			1.39			0.10			(0.47	)
Less distributions to shareholders:
From net investment income			(0.08	)			(0.79	)		(0.64	)		(0.80	)		(0.91	)		(0.91	)
From net realized gains			—				—			—			(0.16	)		(0.01	)		(0.02	)
Total distributions			(0.08	)			(0.79	)		(0.64	)		(0.96	)		(0.92	)		(0.93	)
Net asset value, end of period		$	25.72			$	24.89		$	25.56		$	25.96		$	25.53		$	26.35
Total Return(b)			3.65	%**			0.55	%		0.93	%		5.61	%		0.21	%		(1.50	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,138,828			$	1,182,069		$	1,388,080		$	1,965,528		$	2,085,324		$	2,737,619
Net expenses to average daily net assets(c)			0.69	%*			0.69	%		0.70	%		0.66	%		0.61	%		0.60	%
Net investment income (loss) to average daily net assets(a)			1.16	%*			3.26	%		1.85	%		1.73	%		3.12	%		3.29	%
Portfolio turnover rate			6	%**			19	%		7	%		20	%		10	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)			0.07	%*			0.08	%		0.06	%		0.10	%		0.15	%		0.15	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—		$	—		$	—		$	—		$	0.00	(e)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Ratio includes indirect fees waived or borne by GMO.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

115 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class MF Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period		$	24.91			$	25.58		$	25.99		$	25.55		$	26.38		$	27.77
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.15				0.75			0.60			0.38			0.83			0.77
Net realized and unrealized gain (loss)			0.76				(0.64	)		(0.37	)		1.01			(0.74	)		(1.23	)
Total from investment operations			0.91				0.11			0.23			1.39			0.09			(0.46	)
Less distributions to shareholders:
From net investment income			(0.08	)			(0.78	)		(0.64	)		(0.79	)		(0.91	)		(0.91	)
From net realized gains			—				—			—			(0.16	)		(0.01	)		(0.02	)
Total distributions			(0.08	)			(0.78	)		(0.64	)		(0.95	)		(0.92	)		(0.93	)
Net asset value, end of period		$	25.74			$	24.91		$	25.58		$	25.99		$	25.55		$	26.38
Total Return(b)			3.65	%**			0.54	%		0.91	%		5.64	%		0.16	%		(1.47	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,023,578			$	1,079,756		$	1,370,527		$	1,716,252		$	2,827,442		$	3,926,518
Net expenses to average daily net assets(c)			0.69	%*			0.69	%		0.70	%		0.65	%		0.61	%		0.60	%
Net investment income (loss) to average daily net assets(a)			1.17	%*			3.05	%		2.25	%		1.54	%		3.12	%		2.88	%
Portfolio turnover rate			6	%**			19	%		7	%		20	%		10	%		18	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)			0.07	%*			0.08	%		0.06	%		0.11	%		0.15	%		0.15	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—		$	—		$	—		$	—		$	0.00	(e)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Ratio includes indirect fees waived or borne by GMO.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 116

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from May 1, 2020 (commencement of operations) through February 28,
	(Unaudited)					2023			2022			2021
Net asset value, beginning of period		$	24.87			$	25.54		$	25.95			$	23.95
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.15				0.77			0.55				0.24
Net realized and unrealized gain (loss)			0.75				(0.66	)		(0.33	)			2.72
Total from investment operations			0.90				0.11			0.22				2.96
Less distributions to shareholders:
From net investment income			(0.08	)			(0.78	)		(0.63	)			(0.80	)
From net realized gains			—				—			—				(0.16	)
Total distributions			(0.08	)			(0.78	)		(0.63	)			(0.96	)
Net asset value, end of period		$	25.69			$	24.87		$	25.54			$	25.95
Total Return(b)			3.60	%**			0.51	%		0.86	%			12.55	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	283,200			$	281,802		$	273,491			$	310,687
Net expenses to average daily net assets(c)			0.74	%*			0.74	%		0.75	%			0.74	%*
Net investment income (loss) to average daily net assets(a)			1.19	%*			3.16	%		2.06	%			1.16	%*
Portfolio turnover rate			6	%**			19	%		7	%			20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)			0.07	%*			0.08	%		0.06	%			0.08	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

117 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE ALLOCATION FUND (continued)

	Class I Shares
	Six Months Ended August 31,					Year Ended									Period from August 8, 2019 (commencement of operations) through
	2023					February 28,									February 29,
	(Unaudited)					2023			2022			2021			2020
Net asset value, beginning of period		$	24.86			$	25.53		$	25.95		$	25.52			$	26.24
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.13				0.70			0.63			0.33				1.10
Net realized and unrealized gain (loss)			0.77				(0.62	)		(0.44	)		1.02				(0.93	)
Total from investment operations			0.90				0.08			0.19			1.35				0.17
Less distributions to shareholders:
From net investment income			(0.07	)			(0.75	)		(0.61	)		(0.76	)			(0.89	)
From net realized gains			—				—			—			(0.16	)			—
Total distributions			(0.07	)			(0.75	)		(0.61	)		(0.92	)			(0.89	)
Net asset value, end of period		$	25.69			$	24.86		$	25.53		$	25.95			$	25.52
Total Return(b)			3.60	%**			0.38	%		0.77	%		5.47	%			0.48	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	295,178			$	313,322		$	365,107		$	324,819			$	98,453
Net expenses to average daily net assets(c)			0.84	%*			0.84	%		0.85	%		0.81	%			0.74	%*
Net investment income (loss) to average daily net assets(a)			1.01	%*			2.85	%		2.38	%		1.30	%			7.22	%*
Portfolio turnover rate			6	%**			19	%		7	%		20	%			10	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:(d)			0.08	%*			0.09	%		0.07	%		0.10	%			0.15	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 118

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

BENCHMARK-FREE FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period		$	17.79			$	18.85		$	19.48		$	18.88		$	19.56		$	20.91
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.48				0.86			0.63			0.52			0.72			0.58
Net realized and unrealized gain (loss)			0.31				(0.98	)		(0.39	)		0.71			(0.59	)		(1.21	)
Total from investment operations			0.79				(0.12	)		0.24			1.23			0.13			(0.63	)
Less distributions to shareholders:
From net investment income			(0.14	)			(0.94	)		(0.87	)		(0.63	)		(0.81	)		(0.72	)
Total distributions			(0.14	)			(0.94	)		(0.87	)		(0.63	)		(0.81	)		(0.72	)
Net asset value, end of period		$	18.44			$	17.79		$	18.85		$	19.48		$	18.88		$	19.56
Total Return(b)			4.45	%**			(0.40	)%		1.21	%		6.64	%		0.41	%		(2.80	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,097,577			$	1,152,713		$	1,613,854		$	2,158,496		$	2,583,930		$	3,165,731
Net operating expenses to average daily net assets(c)			0.05	%*			0.06	%		0.03	%		0.04	%		0.02	%		0.02	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.49	%*			0.35	%		0.26	%		0.08	%		0.03	%		0.04	%
Total net expenses to average daily net assets(c)			0.54	%*			0.41	%		0.29	%		0.12	%		0.05	%		0.06	%
Net investment income (loss) to average daily net assets(a)			5.25	%*			4.85	%		3.19	%		2.86	%		3.64	%		2.92	%
Portfolio turnover rate(e)			55	%**			107	%		138	%		145	%		50	%		59	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.07	%*			0.06	%		0.07	%		0.05	%		0.04	%		0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—		$	—		$	—		$	—		$	0.00	(f)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	62%	114%	145%	151%	52%	59%

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

119 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period		$	29.92			$	32.86		$	34.92		$	31.50		$	31.47		$	33.31
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.24				0.82			0.96			0.88			1.08			1.02
Net realized and unrealized gain (loss)			1.26				(2.67	)		(0.90	)		3.91			0.29			(1.74	)
Total from investment operations			1.50				(1.85	)		0.06			4.79			1.37			(0.72	)
Less distributions to shareholders:
From net investment income			(0.21	)			(1.09	)		(2.12	)		(1.37	)		(1.34	)		(1.12	)
Total distributions			(0.21	)			(1.09	)		(2.12	)		(1.37	)		(1.34	)		(1.12	)
Net asset value, end of period		$	31.21			$	29.92		$	32.86		$	34.92		$	31.50		$	31.47
Total Return(b)			5.00	%**			(5.48	)%		(0.10	)%		15.39	%		4.12	%		(1.96	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	313,769			$	306,276		$	585,212		$	692,580		$	1,539,522		$	1,909,728
Net expenses to average daily net assets(c)			0.01	%*			0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)			1.53	%*			2.72	%		2.68	%		2.78	%		3.32	%		3.17	%
Portfolio turnover rate(e)			8	%**			31	%		27	%		30	%		27	%		21	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.05	%		0.03	%		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—		$	—		$	—		$	—		$	0.00	(f)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	9%	32%	31%	41%	28%	24%

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 120

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31,					Year Ended									Period from September 30, 2019 (commencement of operations) through
	2023					February 28,									February 29,
	(Unaudited)					2023			2022			2021			2020
Net asset value, beginning of period		$	29.90			$	32.84		$	34.93		$	31.50			$	32.56
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.23				0.84			0.51			0.93				0.86
Net realized and unrealized gain (loss)			1.27				(2.69	)		(0.48	)		3.87				(0.71	)
Total from investment operations			1.50				(1.85	)		0.03			4.80				0.15
Less distributions to shareholders:
From net investment income			(0.21	)			(1.09	)		(2.12	)		(1.37	)			(1.21	)
Total distributions			(0.21	)			(1.09	)		(2.12	)		(1.37	)			(1.21	)
Net asset value, end of period		$	31.19			$	29.90		$	32.84		$	34.93			$	31.50
Total Return(b)			5.01	%**			(5.48	)%		(0.19	)%		15.42	%			0.22	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	20,456			$	20,440		$	26,148		$	183,052			$	17,888
Net expenses to average daily net assets(c)			0.01	%*			0.00	%(d)		0.00	%(d)		0.01	%			0.00	%(d)
Net investment income (loss) to average daily net assets(a)			1.52	%*			2.80	%		1.44	%		2.78	%			6.23	%*
Portfolio turnover rate(e)			8	%**			31	%		27	%		30	%			27	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%*			0.05	%		0.02	%		0.02	%			0.01	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020
Portfolio turnover rate including transactions in USTF	9%	32%	31%	41%	28%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

121 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL ASSET ALLOCATION FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from January 6, 2021 (commencement of operations) through February 28,
	(Unaudited)					2023			2022			2021
Net asset value, beginning of period		$	29.92			$	32.87		$	34.92			$	34.71
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.22				1.07			0.87				(0.01	)
Net realized and unrealized gain (loss)			1.27				(2.96	)		(0.84	)			0.22
Total from investment operations			1.49				(1.89	)		0.03				0.21
Less distributions to shareholders:
From net investment income			(0.20	)			(1.06	)		(2.08	)			—
Total distributions			(0.20	)			(1.06	)		(2.08	)			—
Net asset value, end of period		$	31.21			$	29.92		$	32.87			$	34.92
Total Return(b)			4.97	%**			(5.60	)%		(0.18	)%			0.61	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	13,213			$	13,403		$	12,621			$	20,497
Net expenses to average daily net assets(c)			0.11	%*			0.10	%		0.10	%			0.11	%
Net investment income (loss) to average daily net assets(a)			1.46	%*			3.59	%		2.41	%			(0.10	)%*
Portfolio turnover rate(d)			8	%**			31	%		27	%			30	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.06	%*			0.08	%		0.03	%			0.02	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021
Portfolio turnover rate including transactions in USTF	9%	32%	31%	41%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 122

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period		$	21.80			$	24.43		$	25.79		$	20.87		$	21.20		$	22.88
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.20				0.65			1.00			0.75			0.25			0.57
Net realized and unrealized gain (loss)			1.65				(1.78	)		0.94			5.12			0.42			(1.67	)
Total from investment operations			1.85				(1.13	)		1.94			5.87			0.67			(1.10	)
Less distributions to shareholders:
From net investment income			(0.36	)			(0.66	)		(2.08	)		(0.95	)		(0.74	)		(0.58	)
From net realized gains			—				(0.84	)		(1.22	)		—			(0.26	)		—
Total distributions			(0.36	)			(1.50	)		(3.30	)		(0.95	)		(1.00	)		(0.58	)
Net asset value, end of period		$	23.29			$	21.80		$	24.43		$	25.79		$	20.87		$	21.20
Total Return(b)			8.48	%**			(3.94	)%		6.80	%		28.41	%		2.87	%		(4.58	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	72,536			$	66,992		$	86,810		$	88,154		$	73,383		$	447,874
Net expenses to average daily net assets(c)			0.01	%*			0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)			1.80	%*			3.00	%		3.61	%		3.39	%		1.16	%		2.62	%
Portfolio turnover rate			10	%**			37	%		19	%		25	%		21	%		6	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.08	%*			0.10	%		0.05	%		0.06	%		0.03	%		0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—		$	—		$	—		$	—		$	0.00	(e)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

123 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period		$	24.57			$	28.45		$	29.91		$	24.37		$	24.63		$	26.86
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.24				0.87			1.18			0.88			0.83			0.65
Net realized and unrealized gain (loss)			1.69				(2.92	)		(0.28	)		5.75			(0.16	)		(2.18	)
Total from investment operations			1.93				(2.05	)		0.90			6.63			0.67			(1.53	)
Less distributions to shareholders:
From net investment income			(0.24	)			(1.01	)		(2.35	)		(1.09	)		(0.93	)		(0.70	)
From net realized gains			—				(0.82	)		(0.01	)		—			—			—
Total distributions			(0.24	)			(1.83	)		(2.36	)		(1.09	)		(0.93	)		(0.70	)
Net asset value, end of period		$	26.26			$	24.57		$	28.45		$	29.91		$	24.37		$	24.63
Total Return(b)			7.84	%**			(6.66	)%		2.49	%		27.51	%		2.36	%		(5.43	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	587,028			$	560,287		$	1,571,153		$	1,638,868		$	1,456,064		$	1,637,744
Net expenses to average daily net assets(c)			0.01	%*			0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)			1.85	%*			3.51	%		3.69	%		3.44	%		3.26	%		2.56	%
Portfolio turnover rate			13	%**			35	%		20	%		20	%		20	%		11	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.02	%		0.01	%		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—		$	—		$	—		$	—		$	0.00	(e)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 124

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from July 15, 2020 (commencement of operations) through February 28,
	(Unaudited)					2023			2022			2021
Net asset value, beginning of period		$	24.57			$	28.46		$	29.91			$	25.19
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.24				0.69			1.19				0.81
Net realized and unrealized gain (loss)			1.68				(2.75	)		(0.28	)			4.96
Total from investment operations			1.92				(2.06	)		0.91				5.77
Less distributions to shareholders:
From net investment income			(0.24	)			(1.01	)		(2.35	)			(1.05	)
From net realized gains			—				(0.82	)		(0.01	)			—
Total distributions			(0.24	)			(1.83	)		(2.36	)			(1.05	)
Net asset value, end of period		$	26.25			$	24.57		$	28.46			$	29.91
Total Return(b)			7.80	%**			(6.69	)%		2.52	%			23.14	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	37,058			$	34,289		$	7,065			$	6,781
Net expenses to average daily net assets(c)			0.01	%*			0.01	%		0.00	%(d)			0.00	%(d)*
Net investment income (loss) to average daily net assets(a)			1.85	%*			2.77	%		3.74	%			4.70	%*
Portfolio turnover rate			13	%**			35	%		20	%			20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.03	%		0.01	%			0.01	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

125 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GLOBAL EQUITY ALLOCATION FUND (continued)

	Class I Shares
	Six Months Ended August 31, 2023					Year Ended February 28,						Period from August 17, 2020 (commencement of operations) through February 28,
	(Unaudited)					2023			2022			2021
Net asset value, beginning of period		$	24.56			$	28.44		$	29.91			$	26.14
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.22				0.90			1.17				0.90
Net realized and unrealized gain (loss)			1.68				(2.97	)		(0.31	)			3.91
Total from investment operations			1.90				(2.07	)		0.86				4.81
Less distributions to shareholders:
From net investment income			(0.23	)			(0.99	)		(2.32	)			(1.04	)
From net realized gains			—				(0.82	)		(0.01	)			—
Total distributions			(0.23	)			(1.81	)		(2.33	)			(1.04	)
Net asset value, end of period		$	26.23			$	24.56		$	28.44			$	29.91
Total Return(b)			7.73	%**			(6.74	)%		2.37	%			18.64	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	5,298			$	4,992		$	2,615			$	2,233
Net expenses to average daily net assets(c)			0.11	%*			0.11	%		0.10	%			0.10	%*
Net investment income (loss) to average daily net assets(a)			1.75	%*			3.66	%		3.67	%			5.95	%*
Portfolio turnover rate			13	%**			35	%		20	%			20	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.03	%*			0.02	%		0.01	%			0.01	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 126

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND

	Core Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period		$	12.28			$	12.54		$	12.70		$	12.74		$	13.22		$	14.09
Income (loss) from investment operations:
Net investment income (loss)†			0.34	(a)			0.50	(a)(b)		0.38	(a)		0.35	(a)		0.49	(a)		0.40
Net realized and unrealized gain (loss)			0.16				(0.33	)		(0.13	)		(0.11	)		(0.43	)		(0.69	)
Total from investment operations			0.50				0.17			0.25			0.24			0.06			(0.29	)
Less distributions to shareholders:
From net investment income			(0.11	)			(0.43	)		(0.41	)		(0.28	)		(0.54	)		(0.58	)
Total distributions			(0.11	)			(0.43	)		(0.41	)		(0.28	)		(0.54	)		(0.58	)
Net asset value, end of period		$	12.67			$	12.28		$	12.54		$	12.70		$	12.74		$	13.22
Total Return(c)			4.04	%**			1.52	%(d)		2.02	%		1.95	%		0.25	%		(1.88	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,650,015			$	3,735,883		$	4,681,226		$	5,970,367		$	7,114,306		$	8,965,578
Net operating expenses to average daily net assets			0.02	%*			0.02	%(e)		0.00	%(e)(f)		0.01	%(e)		0.00	%(e)(f)		0.00	%(f)
Interest and/or dividend expenses to average daily net assets(g)			0.48	%*			0.36	%		0.32	%		0.15	%		0.06	%		0.10	%
Total net expenses to average daily net assets			0.50	%(e)*			0.38	%(e)		0.32	%(e)		0.16	%(e)		0.06	%(e)		0.10	%
Net investment income (loss) to average daily net assets			5.51	%(a)*			4.15	%(a)		2.95	%(a)		2.89	%(a)		3.65	%(a)		2.95	%
Portfolio turnover rate			69	%(h)**			118	%(h)		194	%(h)		189	%(h)		97	%(h)		112	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.05	%(i)*			0.06	%		0.06	%(i)		0.06	%(i)		0.05	%(i)		0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts: (Note 2)†		$	—			$	—		$	—		$	—		$	—		$	0.00	(j)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

February 28, 2023
	$15,309,005
	3.77	%

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding the below to the class’s total return (Note 2):

February 28, 2023
	0.39%

127 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED IMPLEMENTATION FUND (continued)

^(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(f) Rounds to less than 0.01%.

^(g)  Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(h)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	73%	125%	200%	196%	100%	N/A

⁽ⁱ⁾  Ratio includes indirect fees waived or borne by GMO.

^(j) Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 128

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	15.14		$	16.35		$	16.95		$	14.52		$	14.75		$	17.32
Income (loss) from investment operations:
Net investment income (loss)(a) †				0.25	(b)		0.61			1.05			0.61			0.49			0.51
Net realized and unrealized gain (loss)				0.80			(1.18	)		(0.51	)		2.56			(0.12	)		(2.56	)
Total from investment operations				1.05			(0.57	)		0.54			3.17			0.37			(2.05	)
Less distributions to shareholders:
From net investment income				(0.01	)		(0.60	)		(1.09	)		(0.74	)		(0.60	)		(0.52	)
From net realized gains				—			(0.04	)		(0.05	)		0.00			0.00			0.00
Total distributions				(0.01	)		(0.64	)		(1.14	)		(0.74	)		(0.60	)		(0.52	)
Net asset value, end of period			$	16.18		$	15.14		$	16.35		$	16.95		$	14.52		$	14.75
Total Return(c)				6.94	%**		(3.23	)%		2.88	%		22.02	%		2.14	%		(11.57	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	237,207		$	219,167		$	222,308		$	217,129		$	297,463		$	572,830
Net expenses to average daily net assets(d)				0.01	%*		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)
Net investment income (loss) to average daily net assets(a)				3.14	%*		4.14	%		5.82	%		4.20	%		3.25	%		3.25	%
Portfolio turnover rate				18	%**		9	%		18	%		17	%		11	%		8	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.04	%*		0.08	%		0.05	%		0.03	%		0.02	%		0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†			$	—		$	—		$	—		$	—		$	—		$	0.00	(b)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Rounds to less than $0.01.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

129 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2023				Year Ended February 28,						Period from January 22, 2021 (commencement of operations) through February 28,
	(Unaudited)				2023			2022			2021
Net asset value, beginning of period		$	15.14		$	16.35		$	16.95				$	17.08
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.24			0.61			1.02					(0.00	)(b)
Net realized and unrealized gain (loss)			0.81			(1.18	)		(0.48	)				(0.13	)
Total from investment operations			1.05			(0.57	)		0.54					(0.13	)
Less distributions to shareholders:
From net investment income			(0.01	)		(0.60	)		(1.09	)				—
From net realized gains			—			(0.04	)		(0.05	)				—
Total distributions			(0.01	)		(0.64	)		(1.14	)				—
Net asset value, end of period		$	16.18		$	15.14		$	16.35				$	16.95
Total Return(c)			6.94	%**		(3.23	)%		2.88	%				(0.76	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	7,808		$	8,033		$	8,268				$	8,254
Net expenses to average daily net assets(d)			0.01	%*		0.00	%(e)		0.00	%(e)				0.01	%*
Net investment income (loss) to average daily net assets(a)			3.00	%*		4.13	%		5.66	%				(0.01	)%*
Portfolio turnover rate			18	%**		9	%		18	%				17	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*		0.08	%		0.05	%				0.05	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  Rounds to less than $0.01.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 130

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period		$	25.48			$	29.43		$	32.31		$	27.45		$	28.09		$	32.62
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.32				1.24			1.64			1.24			1.02			0.91
Net realized and unrealized gain (loss)			1.17				(3.96	)		(2.59	)		4.91			(0.46	)		(4.47	)
Total from investment operations			1.49				(2.72	)		(0.95	)		6.15			0.56			(3.56	)
Less distributions to shareholders:
From net investment income			(0.23	)			(1.23	)		(1.93	)		(1.29	)		(1.20	)		(0.97	)
Total distributions			(0.23	)			(1.23	)		(1.93	)		(1.29	)		(1.20	)		(0.97	)
Net asset value, end of period		$	26.74			$	25.48		$	29.43		$	32.31		$	27.45		$	28.09
Total Return(b)			5.81	%**			(9.05	)%		(3.37	)%		22.67	%		1.62	%		(10.69	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	159,150			$	286,725		$	437,139		$	598,701		$	646,622		$	929,967
Net expenses to average daily net assets(c)			0.01	%*			0.01	%		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)
Net investment income (loss) to average daily net assets(a)			2.41	%*			4.81	%		4.90	%		4.40	%		3.55	%		3.09	%
Portfolio turnover rate			14	%**			11	%		18	%		16	%		7	%		8	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.03	%		0.02	%		0.02	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—		$	—		$	—		$	—		$	0.00	(e)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d)  Rounds to less than 0.01%.

^(e)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

131 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

INTERNATIONAL EQUITY ALLOCATION FUND (continued)

	Class R6 Shares
	Six Months Ended August 31, 2023					Year Ended February 28,									Period from August 30, 2019 (commencement of operations) through February 29,
	(Unaudited)					2023			2022			2021			2020
Net asset value, beginning of period		$	25.47			$	29.42		$	32.30		$	27.44			$	27.07
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.38				1.30			1.74			1.29				1.14
Net realized and unrealized gain (loss)			1.11				(4.02	)		(2.69	)		4.86				0.33
Total from investment operations			1.49				(2.72	)		(0.95	)		6.15				1.47
Less distributions to shareholders:
From net investment income			(0.23	)			(1.23	)		(1.93	)		(1.29	)			(1.10	)
Total distributions			(0.23	)			(1.23	)		(1.93	)		(1.29	)			(1.10	)
Net asset value, end of period		$	26.73			$	25.47		$	29.42		$	32.30			$	27.44
Total Return(b)			5.81	%**			(9.05	)%		(3.37	)%		22.68	%			5.04	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	212,211			$	205,417		$	242,178		$	262,853			$	210,223
Net expenses to average daily net assets(c)			0.01	%*			0.01	%		0.00	%(d)		0.00	%(d)			0.00	%(d)*
Net investment income (loss) to average daily net assets(a)			2.89	%*			5.08	%		5.20	%		4.56	%			7.83	%*
Portfolio turnover rate			14	%**			11	%		18	%		16	%			7	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.04	%*			0.03	%		0.02	%		0.02	%			0.02	%*

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Rounds to less than 0.01%.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 132

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period		$	28.53			$	29.30		$	32.07		$	31.13		$	32.17		$	31.87
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.45				(0.18	)		(0.24	)		(0.09	)		0.27			0.31
Net realized and unrealized gain (loss)			(0.66	)			1.16			(0.39	)		1.81			(0.83	)		0.11	(b)
Total from investment operations			(0.21	)			0.98			(0.63	)		1.72			(0.56	)		0.42
Less distributions to shareholders:
From net investment income			(1.43	)			(0.49	)		(0.71	)		(0.03	)		(0.48	)		(0.12	)
From net realized gains			(3.30	)			(1.26	)		(1.43	)		(0.75	)		—			—
Total distributions			(4.73	)			(1.75	)		(2.14	)		(0.78	)		(0.48	)		(0.12	)
Net asset value, end of period		$	23.59			$	28.53		$	29.30		$	32.07		$	31.13		$	32.17
Total Return(c)			(0.47	)%**			3.86	%		(2.00	)%		5.48	%		(1.74	)%		1.32	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	1,821			$	3,366		$	32,796		$	30,126		$	18,527		$	45,409
Net expenses to average daily net assets(d)			1.02	%*			1.01	%		1.00	%		1.01	%		1.01	%		1.00	%
Net investment income (loss) to average daily net assets(a)			3.34	%*			(0.67	)%		(0.81	)%		(0.27	)%		0.85	%		0.97	%
Portfolio turnover rate			55	%**			69	%		81	%		76	%		46	%		49	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.22	%*			0.13	%		0.10	%		0.07	%		0.05	%		0.04	%

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	N/A	N/A	N/A	N/A	N/A	75%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

133 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND (continued)

	Class VI Shares
	Six Months Ended August 31,
	2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period			$	28.40		$	29.27		$	32.03		$	31.07		$	32.11		$	31.78
Income (loss) from investment operations:
Net investment income (loss)(a) †				0.46			0.31			(0.22	)		(0.06	)		0.25			0.33
Net realized and unrealized gain (loss)				(0.65	)		0.69			(0.38	)		1.80			(0.77	)		0.13	(b)
Total from investment operations				(0.19	)		1.00			(0.60	)		1.74			(0.52	)		0.46
Less distributions to shareholders:
From net investment income				(1.45	)		(0.61	)		(0.73	)		(0.03	)		(0.52	)		(0.13	)
From net realized gains				(3.30	)		(1.26	)		(1.43	)		(0.75	)		—			—
Total distributions				(4.75	)		(1.87	)		(2.16	)		(0.78	)		(0.52	)		(0.13	)
Net asset value, end of period			$	23.46		$	28.40		$	29.27		$	32.03		$	31.07		$	32.11
Total Return(c)				(0.43	)%**		3.96	%		(1.92	)%		5.56	%		(1.65	)%		1.47	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)			$	30,664		$	120,827		$	206,841		$	314,087		$	831,870		$	1,161,238
Net expenses to average daily net assets(d)				0.93	%*		0.92	%		0.91	%		0.91	%		0.91	%		0.91	%
Net investment income (loss) to average daily net assets(a)				3.45	%*		1.13	%		(0.71	)%		(0.17	)%		0.79	%		1.04	%
Portfolio turnover rate				55	%**		69	%		81	%		76	%		46	%		49	%(e)
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:				0.22	%*		0.15	%		0.09	%		0.07	%		0.04	%		0.04	%

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(d) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(e) The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	N/A	N/A	N/A	N/A	N/A	75%

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 134

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

CONSOLIDATED SGM MAJOR MARKETS FUND (continued)

	Class I Shares
	Six Months Ended August 31,					Year Ended						Period from September 23, 2020 (commencement of operations) through
	2023					February 28,						February 28,
	(Unaudited)					2023			2022			2021
Net asset value, beginning of period		$	28.48			$	29.23		$	32.06			$	32.37
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.43				(0.07	)		(0.28	)			(0.04	)
Net realized and unrealized gain (loss)			(0.66	)			1.02			(0.40	)			0.48
Total from investment operations			(0.23	)			0.95			(0.68	)			0.44
Less distributions to shareholders:
From net investment income			(1.42	)			(0.44	)		(0.72	)			—
From net realized gains			(3.30	)			(1.26	)		(1.43	)			(0.75	)
Total distributions			(4.72	)			(1.70	)		(2.15	)			(0.75	)
Net asset value, end of period		$	23.53			$	28.48		$	29.23			$	32.06
Total Return(b)			(0.55	)%**			3.76	%		(2.16	)%			1.30	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	3,731			$	4,751		$	20,753			$	13,842
Net expenses to average daily net assets(c)			1.12	%*			1.11	%		1.10	%			1.11	%*
Net investment income (loss) to average daily net assets(a)			3.26	%*			(0.25	)%		(0.93	)%			(0.28	)%*
Portfolio turnover rate			55	%**			69	%		81	%			76	%**
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.28	%*			0.19	%		0.15	%			0.14	%*

^(a) Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b) The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

135 See accompanying notes to the financial statements.

GMO Trust Funds

 

 

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

STRATEGIC OPPORTUNITIES ALLOCATION FUND

	Class III Shares
	Six Months Ended August 31, 2023					Year Ended February 28/29,
	(Unaudited)					2023			2022			2021			2020			2019
Net asset value, beginning of period		$	15.57			$	17.91		$	21.56		$	18.98		$	19.48		$	22.08
Income (loss) from investment operations:
Net investment income (loss)(a) †			0.23				0.63			0.59			0.54			0.67			0.62
Net realized and unrealized gain (loss)			0.55				(1.46	)		0.32			2.93			(0.11	)		(1.45	)
Total from investment operations			0.78				(0.83	)		0.91			3.47			0.56			(0.83	)
Less distributions to shareholders:
From net investment income			(0.08	)			(0.85	)		(1.22	)		(0.71	)		(0.77	)		(0.67	)
From net realized gains			—				(0.66	)		(3.34	)		(0.18	)		(0.29	)		(1.10	)
Total distributions			(0.08	)			(1.51	)		(4.56	)		(0.89	)		(1.06	)		(1.77	)
Net asset value, end of period		$	16.27			$	15.57		$	17.91		$	21.56		$	18.98		$	19.48
Total Return(b)			5.03	%**			(4.08	)%		3.57	%		18.66	%		2.57	%		(3.45	)%
Ratios/Supplemental Data:
Net assets, end of period (000’s)		$	204,489			$	189,504		$	236,452		$	579,796		$	773,438		$	915,148
Net operating expenses to average daily net assets(c)			0.01	%*			0.02	%		0.01	%		0.01	%		0.01	%		0.01	%
Interest and/or dividend expenses and/or borrowing costs to average daily net assets(d)			0.43	%*			0.32	%		0.26	%		0.07	%		0.03	%		0.03	%
Total net expenses to average daily net assets(c)			0.44	%*			0.34	%		0.27	%		0.08	%		0.04	%		0.04	%
Net investment income (loss) to average daily net assets(a)			2.85	%*			3.91	%		2.71	%		2.85	%		3.35	%		3.01	%
Portfolio turnover rate(e)			28	%**			74	%		95	%		61	%		36	%		35	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:			0.12	%*			0.15	%		0.14	%		0.07	%		0.03	%		0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†		$	—			$	—		$	—		$	—		$	—		$	0.00	(f)

^(a)  Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

^(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any.

^(c) Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

^(d) Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income.

^(e)  The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund (“USTF”) which is used as a short-term investment vehicle for cash management. The Fund’s portfolio turnover rate including transactions in USTF during the period and/or year ended:

	August 31, 2023	February 28, 2023	February 28, 2022	February 28, 2021	February 29, 2020	February 28, 2019
Portfolio turnover rate including transactions in USTF	33%	72%	122%	80%	41%	38%

^(f)  Rounds to less than $0.01.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements. 136

GMO Trust Funds

 

 

Notes to Financial Statements

August 31, 2023 (Unaudited)

1. Organization

Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest primarily in other GMO Funds and Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund may also invest in GMO Alternative Allocation SPC Ltd., GMO Implementation SPC Ltd. and GMO Alternative Asset SPC Ltd. (each a “wholly-owned subsidiary”), respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as “underlying funds”. As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.

The following table provides information about the Funds’ principal investment objectives and benchmarks (if any):

Fund Name	Benchmark	Investment Objective
Alternative Allocation Fund	Not Applicable	Positive total return
Benchmark-Free Allocation Fund	Not Applicable	Positive total return
Benchmark-Free Fund	Not Applicable	Positive total return
Global Asset Allocation Fund	GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Bloomberg U.S. Aggregate Index)	Total return greater than its benchmark
Global Developed Equity Allocation Fund	MSCI World Index	Total return greater than its benchmark
Global Equity Allocation Fund	MSCI ACWI	Total return greater than its benchmark
Implementation Fund	Not Applicable	Positive total return, not relative return
International Developed Equity Allocation Fund	MSCI EAFE Index	Total return greater than its benchmark
International Equity Allocation Fund	MSCI ACWI ex USA	Total return greater than its benchmark
SGM Major Markets Fund	Not Applicable	Long-term total return
Strategic Opportunities Allocation Fund	GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series), 25% Bloomberg U.S. Aggregate Index)	Total return greater than its benchmark

Benchmark-Free Fund and Implementation Fund currently limit subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

137

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Basis of presentation and principles of consolidation: Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund

Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all of the assets and liabilities of each wholly-owned subsidiary. All interfund accounts and transactions have been eliminated in consolidation.

Portfolio valuation

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are generally valued at the price determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) and are described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO 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 source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities 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. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended August 31, 2023, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 “Derivative financial instruments” for a further discussion on valuation of derivatives.

138

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.

The three levels are defined as follows:

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

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

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

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; certain equity securities valued off the last traded price with a discount for liquidity; certain equity securities that are valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of August 31, 2023:

Description	Level 1			Level 2			Level 3			Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	7,248,646		$	—		$	7,248,646
Belgium		—			847,850			—			847,850
Brazil		160,593			67,530			—			228,123
Canada		4,173,107			—			352,512			4,525,619
China		—			832,551			0§			832,551
Denmark		—			1,246,827			—			1,246,827
Finland		—			487,124			—			487,124
France		—			1,571,706			—			1,571,706

139

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Germany	$	—	$	580,749	$	—	$	580,749
Hong Kong		—		80,468		—		80,468
India		—		1,011,800		—		1,011,800
Israel		3,314,567		39,631		—		3,354,198
Italy		—		681,645		—		681,645
Japan		27,513		19,184,149		—		19,211,662
Netherlands		91,911		1,974,699		—		2,066,610
New Zealand		—		57,991		—		57,991
Norway		—		261,383		—		261,383
Poland		—		210,377		—		210,377
Portugal		—		128,710		—		128,710
South Africa		—		161,573		—		161,573
South Korea		390,855		962,468		—		1,353,323
Spain		—		912,987		—		912,987
Sweden		—		680,417		—		680,417
Switzerland		—		1,225,549		—		1,225,549
Taiwan		858,098		—		—		858,098
Thailand		—		393,409		—		393,409
Turkey		—		394,178		—		394,178
United Kingdom		784,482		1,262,528		—		2,047,010
United States		76,836,162		—		15,395		76,851,557
TOTAL COMMON STOCKS		86,637,288		42,506,945		367,907		129,512,140
Preferred Stocks
Brazil		254,918		—		—		254,918
Germany		—		555,850		—		555,850
TOTAL PREFERRED STOCKS		254,918		555,850		—		810,768
Rights/Warrants
United States		—		—		462,947		462,947
TOTAL RIGHTS/WARRANTS		—		—		462,947		462,947
Investment Funds
United States		—		—		2,301,895		2,301,895
TOTAL INVESTMENT FUNDS		—		—		2,301,895		2,301,895
Debt Obligations
United States		62,633,257		43,932,387		—		106,565,644
TOTAL DEBT OBLIGATIONS		62,633,257		43,932,387		—		106,565,644
Mutual Funds
United States		5,572,761		—		—		5,572,761
TOTAL MUTUAL FUNDS		5,572,761		—		—		5,572,761
Short-Term Investments		1,486,717		46,841,562		—		48,328,279
Purchased Options		—		42,753		—		42,753
Total Investments		156,584,941		133,879,497		3,132,749		293,597,187

140

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	1,808,637		$	—	$	1,808,637
Futures Contracts
Equity Risk		25,505			188,772			—		214,277
Interest Rate Risk		23,905			—			—		23,905
Physical Commodity Contract Risk		1,185,466			—			—		1,185,466
Swap Contracts
Credit Risk		—			2,908,949			—		2,908,949
Equity Risk		—			68,803			—		68,803
Interest Rate Risk		—			946,243			—		946,243
Total	$	157,819,817		$	139,800,901		$	3,132,749	$	300,753,467
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,163,937	)	$	—	$	(1,163,937	)
Austria		—			(283,328	)		—		(283,328	)
Belgium		—			(389,387	)		—		(389,387	)
Canada		(3,026,616	)		—			—		(3,026,616	)
Denmark		—			(343,442	)		—		(343,442	)
Finland		—			(137,038	)		—		(137,038	)
France		—			(1,465,286	)		—		(1,465,286	)
Germany		—			(1,826,876	)		—		(1,826,876	)
Ireland		—			(78,847	)		—		(78,847	)
Israel		(415,100	)		—			—		(415,100	)
Italy		(27,008	)		(1,389,883	)		—		(1,416,891	)
Japan		—			(4,924,214	)		—		(4,924,214	)
Netherlands		—			(988,317	)		—		(988,317	)
New Zealand		—			(402,856	)		—		(402,856	)
Peru		(395,234	)		—			—		(395,234	)
Singapore		(333,962	)		(512,397	)		—		(846,359	)
Spain		—			(834,851	)		—		(834,851	)
Sweden		—			(407,169	)		—		(407,169	)
Switzerland		—			(486,157	)		—		(486,157	)
United Kingdom		—			(2,630,140	)		—		(2,630,140	)
United States		(42,657,377	)		—			—		(42,657,377	)
TOTAL COMMON STOCKS		(46,855,297	)		(18,264,125	)		—		(65,119,422	)
Preferred Stocks
Germany		—			(399,521	)		—		(399,521	)
TOTAL PREFERRED STOCKS		—			(399,521	)		—		(399,521	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(1,789,441	)		—		(1,789,441	)
Futures Contracts
Equity Risk		(169,242	)		(409,752	)		—		(578,994	)
Interest Rate Risk		(293,540	)		—			—		(293,540	)
Physical Commodity Contract Risk		(1,702,236	)		—			—		(1,702,236	)

141

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Liability Valuation Inputs (continued)
Derivatives^ (continued)
Written Options
Credit Risk	$	—		$	(159,687	)	$	—	$	(159,687	)
Equity Risk		(366,447	)		—			—		(366,447	)
Swap Contacts
Credit Risk		—			(2,783,358	)		—		(2,783,358	)
Equity Risk		—			(103,321	)		—		(103,321	)
Interest Rate Risk		—			(807,751	)		—		(807,751	)
Total	$	(49,386,762	)	$	(24,716,956	)	$	—	$	(74,103,718	)
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	4,116,307,995		$	—		$	—	$	4,116,307,995
Short-Term Investments		3,855,113			—			—		3,855,113
Total Investments		4,120,163,108			—			—		4,120,163,108
Total	$	4,120,163,108		$	—		$	—	$	4,120,163,108
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	15,738,515		$	—	$	15,738,515
Austria		—			1,098,637			—		1,098,637
Belgium		—			8,801,066			—		8,801,066
Brazil		2,266,603			6,327,891			—		8,594,494
Canada		32,013,019			127,741			15,800		32,156,560
Chile		25,291			1,431,246			—		1,456,537
China		—			34,425,866			—		34,425,866
Colombia		156,045			—			—		156,045
Czech Republic		—			373,878			—		373,878
Denmark		—			7,413,634			—		7,413,634
Egypt		—			708,349			—		708,349
Finland		—			6,015,960			—		6,015,960
France		1,641,434			41,063,077			—		42,704,511
Germany		—			12,711,051			—		12,711,051
Greece		—			1,212,665			0§		1,212,665
Hong Kong		—			7,504,061			—		7,504,061
Hungary		—			2,913,541			—		2,913,541
India		1,869,737			27,526,926			3,694		29,400,357
Indonesia		—			4,899,659			—		4,899,659
Ireland		1,618,470			3,175,401			—		4,793,871
Israel		1,932,717			167,066			—		2,099,783
Italy		157,979			17,064,901			—		17,222,880
Japan		350,392			163,520,299			—		163,870,691
Kuwait		—			134,209			—		134,209
Malaysia		—			784,642			—		784,642
Mexico		12,704,429			—			0§		12,704,429
Netherlands		328,086			22,180,097			—		22,508,183

142

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
New Zealand	$	—	$	268,579	$	—	$	268,579
Norway		—		5,453,051		—		5,453,051
Pakistan		—		38,350		—		38,350
Panama		15,584		—		—		15,584
Philippines		—		8,190		—		8,190
Poland		—		4,108,925		—		4,108,925
Portugal		—		1,257,314		—		1,257,314
Qatar		—		227,014		—		227,014
Russia		—		—		381,129		381,129
Saudi Arabia		—		1,760,149		—		1,760,149
Singapore		—		6,423,100		—		6,423,100
South Africa		1,455,677		16,399,838		—		17,855,515
South Korea		3,045,445		27,292,112		—		30,337,557
Spain		—		20,523,827		—		20,523,827
Sweden		—		7,827,172		—		7,827,172
Switzerland		2,535,407		12,749,006		—		15,284,413
Taiwan		2,110,892		35,330,055		—		37,440,947
Thailand		—		9,449,781		—		9,449,781
Turkey		—		7,668,735		—		7,668,735
United Arab Emirates		—		488,638		—		488,638
United Kingdom		7,076,103		39,390,990		603		46,467,696
United States		202,613,259		—		—		202,613,259
Vietnam		—		2,600,313		—		2,600,313
TOTAL COMMON STOCKS		273,916,569		586,585,517		401,226		860,903,312
Preferred Stocks
Brazil		6,249,829		7,837,446		—		14,087,275
Colombia		72,143		—		—		72,143
Germany		—		3,588,358		—		3,588,358
Russia		—		—		53,325		53,325
South Korea		—		2,409,140		—		2,409,140
TOTAL PREFERRED STOCKS		6,321,972		13,834,944		53,325		20,210,241
Rights/Warrants
Brazil		2,289		—		—		2,289
TOTAL RIGHTS/WARRANTS		2,289		—		—		2,289
Debt Obligations
United States		97,416,104		115,922,829		—		213,338,933
TOTAL DEBT OBLIGATIONS		97,416,104		115,922,829		—		213,338,933
Mutual Funds
United States		217,087,142		—		—		217,087,142
TOTAL MUTUAL FUNDS		217,087,142		—		—		217,087,142
Short-Term Investments		1,927,593		24,000,000		—		25,927,593
Total Investments		596,671,669		740,343,290		454,551		1,337,469,510

143

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	101,845		$	—	$	101,845
Futures Contracts
Interest Rate Risk		432,568			—			—		432,568
Total	$	597,104,237		$	740,445,135		$	454,551	$	1,338,003,923
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(5,107,910	)	$	—	$	(5,107,910	)
Austria		—			(1,228,325	)		—		(1,228,325	)
Belgium		—			(1,691,053	)		—		(1,691,053	)
Canada		(11,833,225	)		—			—		(11,833,225	)
Denmark		—			(1,315,418	)		—		(1,315,418	)
Finland		—			(560,244	)		—		(560,244	)
France		—			(6,497,334	)		—		(6,497,334	)
Germany		—			(7,668,284	)		—		(7,668,284	)
Ireland		—			(178,999	)		—		(178,999	)
Israel		(1,778,786	)		—			—		(1,778,786	)
Italy		(31,774	)		(6,225,860	)		—		(6,257,634	)
Japan		—			(21,622,186	)		—		(21,622,186	)
Netherlands		—			(4,366,608	)		—		(4,366,608	)
New Zealand		—			(1,746,601	)		—		(1,746,601	)
Peru		(1,746,370	)		—			—		(1,746,370	)
Singapore		(1,370,576	)		(2,079,642	)		—		(3,450,218	)
Spain		—			(3,568,114	)		—		(3,568,114	)
Sweden		—			(1,611,501	)		—		(1,611,501	)
Switzerland		—			(2,067,861	)		—		(2,067,861	)
United Kingdom		—			(11,545,008	)		—		(11,545,008	)
United States		(108,805,065	)		—			—		(108,805,065	)
TOTAL COMMON STOCKS		(125,565,796	)		(79,080,948	)		—		(204,646,744	)
Preferred Stocks
Germany		—			(1,781,303	)		—		(1,781,303	)
TOTAL PREFERRED STOCKS		—			(1,781,303	)		—		(1,781,303	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(228,678	)		—		(228,678	)
Swap Contacts
Equity Risk		—			(229,677	)		—		(229,677	)
Total	$	(125,565,796	)	$	(81,320,606	)	$	—	$	(206,886,402	)

144

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	346,731,364	$	—	$	—	$	346,731,364
Short-Term Investments		541,653		—		—		541,653
Total Investments		347,273,017		—		—		347,273,017
Total	$	347,273,017	$	—	$	—	$	347,273,017
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	72,511,770	$	—	$	—	$	72,511,770
Short-Term Investments		63,763		—		—		63,763
Total Investments		72,575,533		—		—		72,575,533
Total	$	72,575,533	$	—	$	—	$	72,575,533
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	629,292,958	$	—	$	—	$	629,292,958
Short-Term Investments		200,591		—		—		200,591
Total Investments		629,493,549		—		—		629,493,549
Total	$	629,493,549	$	—	$	—	$	629,493,549
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	1,408,424	$	—	$	—	$	1,408,424
Australia		—		70,170,877		—		70,170,877
Austria		—		4,502,722		—		4,502,722
Belgium		—		29,824,568		—		29,824,568
Brazil		9,007,858		23,569,843		—		32,577,701
Canada		119,109,127		476,457		1,449,566		121,035,150
Chile		10,311		3,882,052		—		3,892,363
China		—		107,715,137		1		107,715,138
Colombia		369,637		—		—		369,637
Czech Republic		—		1,087,131		—		1,087,131
Denmark		—		27,153,584		—		27,153,584
Egypt		—		1,937,035		—		1,937,035
Finland		—		20,077,862		—		20,077,862
France		4,945,050		132,361,054		—		137,306,104
Germany		—		40,888,737		—		40,888,737
Greece		—		3,775,052		—		3,775,052
Hong Kong		—		23,946,912		—		23,946,912
Hungary		—		9,905,386		—		9,905,386
India		5,846,085		87,309,236		16,742		93,172,063
Indonesia		—		15,591,952		—		15,591,952
Ireland		5,047,954		10,290,729		—		15,338,683
Isle of Man		972,400		—		—		972,400
Israel		15,770,161		2,115,032		—		17,885,193

145

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Italy	$	175,519	$	56,010,899	$	—	$	56,186,418
Japan		1,320,713		533,615,107		—		534,935,820
Kuwait		—		118,559		—		118,559
Malaysia		—		2,372,368		—		2,372,368
Mexico		40,928,990		—		0§		40,928,990
Netherlands		1,132,399		73,351,811		179		74,484,389
New Zealand		—		1,120,212		—		1,120,212
Norway		—		20,945,356		—		20,945,356
Pakistan		—		298,312		—		298,312
Panama		25,890		—		—		25,890
Philippines		—		237,470		—		237,470
Poland		—		13,158,703		—		13,158,703
Portugal		—		9,900,418		—		9,900,418
Qatar		—		784,502		—		784,502
Russia		—		—		1,027,950		1,027,950
Saudi Arabia		—		5,092,186		—		5,092,186
Singapore		—		20,573,003		—		20,573,003
South Africa		4,533,623		54,131,719		—		58,665,342
South Korea		11,175,452		80,103,339		—		91,278,791
Spain		—		68,872,242		—		68,872,242
Sweden		—		26,320,092		—		26,320,092
Switzerland		7,587,233		41,929,355		—		49,516,588
Taiwan		15,720,671		101,917,551		—		117,638,222
Thailand		—		29,271,907		—		29,271,907
Turkey		—		24,216,477		—		24,216,477
Ukraine		—		97,461		—		97,461
United Arab Emirates		—		1,430,808		—		1,430,808
United Kingdom		25,990,338		139,248,573		793		165,239,704
United States		878,410,157		—		2,128,058		880,538,215
Vietnam		—		7,764,995		—		7,764,995
TOTAL COMMON STOCKS		1,149,487,992		1,929,464,783		4,623,289		3,083,576,064
Preferred Stocks
Brazil		20,369,212		30,361,045		—		50,730,257
Chile		1,608,563		44,439		—		1,653,002
Colombia		23,576		—		—		23,576
Germany		—		11,780,315		—		11,780,315
Russia		—		—		118,186		118,186
South Korea		—		10,902,108		—		10,902,108
Taiwan		—		33,163		—		33,163
United States		—		—		450,870		450,870
TOTAL PREFERRED STOCKS		22,001,351		53,121,070		569,056		75,691,477
Rights/Warrants
Brazil		5,976		—		—		5,976
Canada		—		—		222		222
United States		—		—		1,009,266		1,009,266
TOTAL RIGHTS/WARRANTS		5,976		—		1,009,488		1,015,464

146

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Investment Funds
United States	$	—		$	—		$	10,163,304	$	10,163,304
TOTAL INVESTMENT FUNDS		—			—			10,163,304		10,163,304
Debt Obligations
Netherlands		—			—			61		61
United States		713,156,792			377,140,824			266,212		1,090,563,828
TOTAL DEBT OBLIGATIONS		713,156,792			377,140,824			266,273		1,090,563,889
Mutual Funds
United States		13,230,501			—			—		13,230,501
TOTAL MUTUAL FUNDS		13,230,501			—			—		13,230,501
Short-Term Investments		4,386,484			82,427,126			—		86,813,610
Total Investments		1,902,269,096			2,442,153,803			16,631,410		4,361,054,309
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			8,421,115			—		8,421,115
Futures Contracts
Equity Risk		121,239			1,022,840			—		1,144,079
Interest Rate Risk		943,756			—			—		943,756
Physical Commodity Contract Risk		6,465,014			—			—		6,465,014
Swap Contracts
Equity Risk		—			547,141			—		547,141
Interest Rate Risk		—			7,716,411			—		7,716,411
Total	$	1,909,799,105		$	2,459,861,310		$	16,631,410	$	4,386,291,825
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(18,481,937	)	$	—	$	(18,481,937	)
Austria		—			(4,611,560	)		—		(4,611,560	)
Belgium		—			(6,243,480	)		—		(6,243,480	)
Canada		(43,453,090	)		—			—		(43,453,090	)
Denmark		—			(4,872,676	)		—		(4,872,676	)
Finland		—			(2,377,455	)		—		(2,377,455	)
France		—			(23,887,306	)		—		(23,887,306	)
Germany		—			(27,755,112	)		—		(27,755,112	)
Ireland		—			(640,608	)		—		(640,608	)
Israel		(6,678,627	)		—			—		(6,678,627	)
Italy		—			(22,357,662	)		—		(22,357,662	)
Japan		—			(79,434,932	)		—		(79,434,932	)
Netherlands		—			(15,713,208	)		—		(15,713,208	)
New Zealand		—			(6,557,889	)		—		(6,557,889	)
Peru		(6,248,085	)		—			—		(6,248,085	)
Singapore		(4,920,774	)		(7,475,254	)		—		(12,396,028	)
Spain		—			(13,434,678	)		—		(13,434,678	)
Sweden		—			(5,874,732	)		—		(5,874,732	)
Switzerland		—			(7,841,466	)		—		(7,841,466	)
United Kingdom		—			(41,689,988	)		—		(41,689,988	)

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August 31, 2023 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
United States	$	(446,887,824	)	$	—		$	—	$	(446,887,824	)
TOTAL COMMON STOCKS		(508,188,400	)		(289,249,943	)		—		(797,438,343	)
Preferred Stocks
Germany		—			(6,369,861	)		—		(6,369,861	)
TOTAL PREFERRED STOCKS		—			(6,369,861	)		—		(6,369,861	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(10,629,305	)		—		(10,629,305	)
Futures Contracts
Equity Risk		(303,715	)		(2,175,504	)		—		(2,479,219	)
Interest Rate Risk		(45,545	)		—			—		(45,545	)
Physical Commodity Contract Risk		(9,245,251	)		—			—		(9,245,251	)
Written Options
Equity Risk		(953,038	)		—			—		(953,038	)
Swap Contacts
Equity Risk		—			(1,113,756	)		—		(1,113,756	)
Interest Rate Risk		—			(7,219,514	)		—		(7,219,514	)
Total	$	(518,735,949	)	$	(316,757,883	)	$	—	$	(835,493,832	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	244,941,715		$	—		$	—	$	244,941,715
Short-Term Investments		122,412			—			—		122,412
Total Investments		245,064,127			—			—		245,064,127
Total	$	245,064,127		$	—		$	—	$	245,064,127
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	371,169,164		$	—		$	—	$	371,169,164
Short-Term Investments		243,257			—			—		243,257
Total Investments		371,412,421			—			—		371,412,421
Total	$	371,412,421		$	—		$	—	$	371,412,421
Consolidated SGM Major Markets Fund
Asset Valuation Inputs
Debt Obligations
United States	$	17,806,710		$	—		$	—	$	17,806,710
TOTAL DEBT OBLIGATIONS		17,806,710			—			—		17,806,710
Short-Term Investments		51,830,134			12,106,312			—		63,936,446
Total Investments		69,636,844			12,106,312			—		81,743,156

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August 31, 2023 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Consolidated SGM Major Markets Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	1,814,647		$	—	$	1,814,647
Futures Contracts
Equity Risk		312,695			51,761			—		364,456
Interest Rate Risk		24,045			—			—		24,045
Physical Commodity Contract Risk		227,122			—			—		227,122
Swap Contracts
Equity Risk		—			138,102			—		138,102
Total	$	70,200,706		$	14,110,822		$	—	$	84,311,528
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(1,011,405	)	$	—	$	(1,011,405	)
Futures Contracts
Equity Risk		(25,371	)		(103,496	)		—		(128,867	)
Interest Rate Risk		(86,024	)		—			—		(86,024	)
Physical Commodity Contract Risk		(587,056	)		—			—		(587,056	)
Swap Contacts
Equity Risk		—			(55,161	)		—		(55,161	)
Total	$	(698,451	)	$	(1,170,062	)	$	—	$	(1,868,513	)
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	1,081,406		$	—	$	1,081,406
Belgium		—			614,995			—		614,995
Brazil		75,467			63,055			—		138,522
Canada		2,068,787			—			—		2,068,787
China		—			803,389			0§		803,389
Denmark		—			903,592			—		903,592
Finland		—			460,695			—		460,695
France		—			1,716,372			—		1,716,372
Germany		—			625,040			—		625,040
Hong Kong		—			167,626			—		167,626
India		—			721,234			—		721,234
Ireland		217,358			—			—		217,358
Israel		306,029			54,213			—		360,242
Italy		—			502,784			—		502,784
Japan		—			3,573,302			—		3,573,302
Mexico		512,080			—			—		512,080
Netherlands		51,554			1,479,276			—		1,530,830
New Zealand		—			39,403			—		39,403
Norway		—			109,700			—		109,700
Poland		—			141,417			—		141,417
Portugal		—			95,555			—		95,555
Russia		—			—			2,737		2,737

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August 31, 2023 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
South Africa	$	—		$	105,991		$	—	$	105,991
South Korea		263,424			573,317			—		836,741
Spain		—			1,037,706			—		1,037,706
Sweden		—			414,493			—		414,493
Switzerland		34,410			839,106			—		873,516
Thailand		—			224,294			—		224,294
Turkey		—			266,729			—		266,729
United Kingdom		262,060			1,548,010			—		1,810,070
United States		21,711,946			—			—		21,711,946
TOTAL COMMON STOCKS		25,503,115			18,162,700			2,737		43,668,552
Preferred Stocks
Brazil		186,336			139,330			—		325,666
Germany		—			351,783			—		351,783
TOTAL PREFERRED STOCKS		186,336			491,113			—		677,449
Debt Obligations
United States		8,504,017			—			—		8,504,017
TOTAL DEBT OBLIGATIONS		8,504,017			—			—		8,504,017
Mutual Funds
United States		164,772,795			—			—		164,772,795
TOTAL MUTUAL FUNDS		164,772,795			—			—		164,772,795
Short-Term Investments		575,687			20,000,000			—		20,575,687
Total Investments		199,541,950			38,653,813			2,737		238,198,500
Total	$	199,541,950		$	38,653,813		$	2,737	$	238,198,500
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(812,037	)	$	—	$	(812,037	)
Austria		—			(193,304	)		—		(193,304	)
Belgium		—			(274,558	)		—		(274,558	)
Canada		(1,867,107	)		—			—		(1,867,107	)
Denmark		—			(220,805	)		—		(220,805	)
Finland		—			(91,126	)		—		(91,126	)
France		—			(1,062,198	)		—		(1,062,198	)
Germany		—			(1,240,538	)		—		(1,240,538	)
Ireland		—			(28,953	)		—		(28,953	)
Israel		(298,872	)		—			—		(298,872	)
Italy		(39,082	)		(997,588	)		—		(1,036,670	)
Japan		—			(3,581,835	)		—		(3,581,835	)
Netherlands		—			(776,125	)		—		(776,125	)
New Zealand		—			(294,392	)		—		(294,392	)
Peru		(282,310	)		—			—		(282,310	)
Singapore		(215,467	)		(341,448	)		—		(556,915	)
Spain		—			(604,962	)		—		(604,962	)
Sweden		—			(266,183	)		—		(266,183	)
Switzerland		—			(372,993	)		—		(372,993	)

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August 31, 2023 (Unaudited)

Description	Level 1			Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
United Kingdom	$	—		$	(1,890,895	)	$	—	$	(1,890,895	)
United States		(17,845,547	)		—			—		(17,845,547	)
TOTAL COMMON STOCKS		(20,548,385	)		(13,049,940	)		—		(33,598,325	)
Preferred Stocks
Germany		—			(281,536	)		—		(281,536	)
TOTAL PREFERRED STOCKS		—			(281,536	)		—		(281,536	)
Derivatives^
Swap Contacts
Equity Risk		—			(38,742	)		—		(38,742	)
Total	$	(20,548,385	)	$	(13,370,218	)	$	—	$	(33,918,603	)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.

§ Represents the interest in securities that were determined to have a value of zero at August 31, 2023.

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ Notes to Financial Statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

As of August 31, 2023, Alternative Allocation Fund’s Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendors).

The following is a reconciliation of securities and derivatives, if any, for Funds in which significant unobservable inputs (Level 3) were used in determining value:

	Balances as of February 28, 2023		Purchases/ Closing of Options		Sales/ Writing of Options			Accrued Discounts/ Premiums		Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)		Transfer into Level 3		Transfer out of Level 3		Balances as of August 31, 2023		Net Change in  Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2023
Consolidated Alternative Allocation Fund
Common Stocks
Canada		$     —		$250,284		$   —			$—		$   —			$102,228		$—		$—		$ 352,512		$102,228
China		419,007		79,447		(199,477	)		—		(860,362	)		561,385		—		—		—		—
United States		15,395		—		—			—		—			—		—		—		15,395		—

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		Balances as of February 28, 2023						Purchases/ Closing of Options			Sales/ Writing of Options			Accrued Discounts/ Premiums					Total Realized Gain/ (Loss)			Change in Unrealized Appreciation (Depreciation)						Transfer into Level 3					Transfer out of Level 3					Balances as of August 31, 2023		Net Change in  Unrealized Appreciation (Depreciation) from Investments Still Held as of August 31, 2023
	Consolidated Alternative Allocation Fund (continued)
	Rights/Warrants
	United States			$	384,887				$	—	$	—				$	—		$	—				$	78,060					$	—				$	—		$	462,947			$	78,060
	Investment Funds
	United States				2,331,920					—		—					—			—					(30,025	)					—					—			2,301,895				(30,025	)
	Total Investments			$	3,151,209				$	329,731	$	(199,477	)			$	—		$	(860,362	)			$	711,648					$	—				$	—		$	3,132,749			$	150,263
	Derivatives
	Written Options				(69,960	)				—		—					—			69,960					—						—					—			—				—
	Total			$	3,081,249				$	329,731	$	(199,477	)			$	—		$	(790,402	)			$	711,648					$	—				$	—		$	3,132,749			$	150,263

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended August 31, 2023.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair  Value ($)	Valuation  Methodology	Unobservable Inputs	Range (Weighted  Average)
Consolidated Alternative Allocation Fund
Common Stock	—	Fair Value	Discount for lack of liquidity/marketability	$0 (N/A)

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of August 31, 2023, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund was $3,132,749. The inputs for these investments are not readily available or cannot be reasonably estimated.

Cash

Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian.

Due to/from broker

Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include marked-to-market amounts related to foreign currency or cash owed.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Loan assignments and participations

Certain Funds may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such “loans” may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is

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often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Rights and warrants

The Funds 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 set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” in Note 4 “Derivative financial instruments”. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and 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/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Repurchase agreements

The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Fund Name	Counterparty	Value ($)	Value (with  associated collateral) ($)	Weighted Average Maturity (days)
Consolidated Alternative Allocation Fund	Daiwa Capital Markets America, Inc.	33,093,988	33,776,877	1.0
Benchmark-Free Fund	Nomura Securities International, Inc.	24,000,000	24,448,713	1.0
Consolidated Implementation Fund	Daiwa Capital Markets America, Inc.	82,035,800	83,728,597	1.0
Strategic Opportunities Allocation Fund	Nomura Securities International, Inc.	20,000,000	20,373,263	1.0

Reverse repurchase agreements

The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A 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 may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Inflation-indexed bonds

Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.

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The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e. stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund’s gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund’s gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Securities lending

The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the following business day. Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company serves as the Funds’ lending agent.

A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of the Fund’s ability to vote the securities, the inability to invest proceeds from the sales of such securities and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline and bears the risk of total loss with respect to the investment of collateral.

At August 31, 2023, securities on loan at value and collateral from securities on loan are listed below:

Fund Name	Value of securities  on loan ($)		Cash  collateral ($)	Non-cash  collateral ($)*	Total  collateral ($)
Consolidated Alternative Allocation Fund		12,634	14,864	—	14,864
Benchmark-Free Fund		19,792,240	20,355,512	3,266,601	23,622,113
Consolidated Implementation Fund		17,015,184	13,395,576	4,962,284	18,357,860

* Non-cash collateral is comprised of U.S. Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

In addition, some Funds may loan their portfolio securities through an “enhanced custody” program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales. Under the program, a Fund borrows securities from the custodian and sells short those borrowed securities. The Fund may utilize various ways of collateralizing its obligation to return the borrowed securities, including by pledging securities held in the Fund’s custodial account to the custodian. For its participation in the enhanced custody program, the Fund will pay the custodian a securities borrow fee and a financing charge.

Information regarding the value of the securities loaned and the value of cash collateral at period end is included in the Statements of Assets and Liabilities.

Short sales

Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the dividend and/or interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Some Funds may also loan their portfolio securities through an enhanced custody program offered by the Funds’ custodian to facilitate the borrowing of securities for the Funds’ short sales (see Securities lending above). Short sales outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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Municipal obligations

Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: “general obligation” bonds and “revenue” bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer’s pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer’s obligations. Municipal obligations at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Trade claims

Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Taxes and distributions

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

Alternative Allocation SPC Ltd., Alternative Asset SPC Ltd. and Implementation SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund, SGM Major Markets Fund and Implementation Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at their discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund’s wholly-owned subsidiary. Certain Funds have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by certain countries. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as Dividends from unaffiliated issuers in the Statements of Operations. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes, interest charges and related fees.

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August 31, 2023 (Unaudited)

As a result of court cases involving several countries across the European Union, certain Funds and/or underlying funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned (“EU tax reclaims”). These filings are subject to various administrative proceedings by each local jurisdiction’s tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees. Such fees are presented within Legal fees in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Receivables resulting from EU tax reclaims pursued by liquidated underlying funds, if any, are reflected as Receivable from liquidated underlying funds in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund’s net asset value. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service. Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its shareholders).

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended August 31, 2023, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

Distributions in excess of a Fund’s tax basis earnings and profits, if significant, are reported in the Funds’ financial statements as a return of capital.

As of February 28, 2023, certain Funds elected to defer to March 1, 2023, late-year ordinary losses and post-October capital losses. The Funds’ loss deferrals are as follows:

Fund Name	Late-Year  Ordinary Loss  Deferral ($)	Post-October  Capital Losses  Deferral ($)
Consolidated Alternative Allocation Fund	—	(1,148,688)
Benchmark-Free Allocation Fund	(5,083,479)	(35,232,984)
Benchmark-Free Fund	—	(14,766,029)
Global Asset Allocation Fund	—	(14,650,740)
Global Developed Equity Allocation Fund	—	(3,432,919)
Global Equity Allocation Fund	—	(93,686,841)
Consolidated Implementation Fund	—	—
International Developed Equity Allocation Fund	(1,435)	—
International Equity Allocation Fund	(2,780)	(1,680,583)
Consolidated SGM Major Markets Fund	—	—
Strategic Opportunities Allocation Fund	—	(6,082,865)

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August 31, 2023 (Unaudited)

As of February 28, 2023, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2023, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

Fund Name	Short-Term ($)	Long-Term ($)
Consolidated Alternative Allocation Fund	—	—
Benchmark-Free Allocation Fund	(1,503,482)	(132,989,737)
Benchmark-Free Fund	(86,270,326)	(128,709,072)
Global Asset Allocation Fund	(2,005,315)	(191,297,746)
Global Developed Equity Allocation Fund	—	(68,273,826)
Global Equity Allocation Fund	(1,252,771)	(14,819,261)
Consolidated Implementation Fund	(427,965,003)	(307,957,016)
International Developed Equity Allocation Fund	—	(134,339,489)
International Equity Allocation Fund	(1,541,558)	(118,343,264)
Consolidated SGM Major Markets Fund	—	—
Strategic Opportunities Allocation Fund	—	—

As of August 31, 2023, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

	Total Investments											Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)			Gross Unrealized  Appreciation ($)		Gross Unrealized  (Depreciation) ($)			Net Unrealized Appreciation  (Depreciation) ($)			Net Unrealized Appreciation  (Depreciation) ($)
Consolidated Alternative Allocation Fund		232,650,663			9,817,549		(14,389,968)			(4,572,419)			(1,644,310)
Benchmark-Free Allocation Fund		4,339,550,823			365,454		(219,753,169)			(219,387,715)			—
Benchmark-Free Fund		1,229,326,870			87,882,628		(186,168,035)			(98,285,407)			76,058
Global Asset Allocation Fund		398,928,799			4,649,992		(56,305,774)			(51,655,782)			—
Global Developed Equity Allocation Fund		73,273,882			1,100,085		(1,798,434)			(698,349)			—
Global Equity Allocation Fund		714,929,210			15,479,134		(100,914,795)			(85,435,661)			—
Consolidated Implementation Fund		3,953,740,941			304,791,969		(701,286,805)			(396,494,836)			(1,713,880)
International Developed Equity Allocation Fund		263,906,833			2,698,606		(21,541,312)			(18,842,706)			—
International Equity Allocation Fund		453,061,377			1,372,232		(83,021,188)			(81,648,956)			—
Consolidated SGM Major Markets Fund*		200,831,596			966		(119,089,406)			(119,088,440)			1,059,793
Strategic Opportunities Allocation Fund		210,995,219			16,929,638		(23,606,218)			(6,676,580)			(38,742)

* $124,725,574, ($117,245,380) and ($117,245,380) of the Fund’s Aggregate Cost ($), Gross Unrealized (Depreciation) ($) and Net Unrealized Appreciation (Depreciation) ($), respectively, relate to the Fund’s wholly-owned subsidiary.

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the

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August 31, 2023 (Unaudited)

prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of August 31, 2023, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

Security transactions and related investment income

Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds’ policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/deflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

During the period ended August 31, 2023, the Funds did not recognize dividends or foreign withholding taxes on local Russian shares, if any, due to restrictions imposed by the Russian government on dividend payments received by foreign shareholders like the Funds. At this time, no assurance can be given regarding the future payment of outstanding dividends by Russian issuers, the time period during which such Russia’s restrictions will remain in place or on the future ability of foreign shareholders to claim or otherwise gain control over or access to dividends paid.

Expenses and class allocations

Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees and supplemental support fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (see Note 5).

Custodian, Fund Accounting Agent and Transfer Agent

State Street Bank and Trust Company (“State Street”) serves as the Funds’ custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

Purchases and redemptions of Fund shares

Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund (directly or indirectly through investments in underlying funds or a wholly-owned subsidiary) as a result of an investor’s purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Purchase premiums and redemption fees are paid to and retained by a Fund for the benefit of non-transacting shareholders. Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

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Such fees are recorded as a component of the Funds’ net share transactions. A Fund may impose a new purchase premium and redemption fee or modify existing purchase premium and redemption fees at any time.

If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.

GMO also may waive or reduce the purchase premium or redemption fee for a purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs. For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund’s shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

As of August 31, 2023, none of the Funds charge a purchase premium or redemption fee. Historical information on purchase premiums and redemption fees are provided in the table below.

Benchmark-Free Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed.
Benchmark-Free Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.25% of the amount invested or redeemed.
Global Asset Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.15% of the amount invested or redeemed.
Global Developed Equity Allocation Fund	For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed.
Global Equity Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.18% of the amount invested or redeemed.
Implementation Fund	For the period from June 30, 2015 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed.
International Developed Equity Allocation Fund	For the period from March 10, 2014 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.08% of the amount invested or redeemed.
International Equity Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.25% of the amount invested or redeemed.
Strategic Opportunities Allocation Fund	For the period from June 30, 2016 to June 30, 2018, the premium on cash purchases and the fee on cash redemptions were each 0.20% of the amount invested or redeemed.

Recently-issued accounting guidance

In June 2022, the Financial Accounting Standards Board (“FASB”) issued a new Accounting Standards Update 2022-03, “Fair Value Measurement (Topic 820) – Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions” (“ASU 2022-03”). The amendments in ASU 2022-03 apply to all entities that have investments in equity securities measured at fair value that are subject to a contractual sale restriction. The amendments in ASU 2022-03 clarify guidance for fair value measurement of an equity security subject to a contractual sale restriction and establish new disclosure requirements for such equity securities. The amendments in ASU 2022-03 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023 with early adoption permitted. GMO is currently evaluating the impact, if any, of the new disclosure requirements on the financial statements.

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August 31, 2023 (Unaudited)

3. Investment and other risks

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

Market Risk – Equities	X	X	X	X	X	X	X	X	X	X	X
Management and Operational Risk	X	X	X	X	X	X	X	X	X	X	X
Non-U.S. Investment Risk	X	X	X	X	X	X	X	X	X	X	X
Derivatives and Short Sales Risk	X	X	X	X	X	X	X	X	X	X	X
Currency Risk	X	X	X	X	X	X	X	X	X	X	X
Market Risk – Fixed Income	X	X	X	X	X	X	X	X	X	X	X
Fund of Funds Risk	X	X	X	X	X	X	X	X	X	X	X
Leveraging Risk	X	X	X	X	X	X	X	X	X	X	X
Futures Contracts Risk	X	X	X	X			X			X	X
Credit Risk	X	X	X	X	X	X	X	X	X	X	X
Counterparty Risk	X	X	X	X	X	X	X	X	X	X	X
Smaller Company Risk	X	X	X	X	X	X	X	X	X		X
Illiquidity Risk	X	X	X	X	X	X	X	X	X	X	X
Commodities Risk	X	X	X	X			X			X	X
Market Disruption and Geopolitical Risk	X	X	X	X	X	X	X	X	X	X	X
Focused Investment Risk	X	X	X	X	X	X	X	X	X	X	X
Event-Driven Risk	X	X					X				X
Market Risk – Asset-Backed Securities		X	X	X			X			X	X
Large Shareholder Risk	X	X	X	X	X	X	X	X	X	X	X
Non-Diversified Funds	X	X	X	X	X	X		X	X	X	X

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds’ prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds, other investment companies or in a wholly-owned subsidiary (collectively, “Underlying Funds”) are exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly and indirectly by the Fund.

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August 31, 2023 (Unaudited)

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK — EQUITIES. The market price of an equity in a Fund’s portfolio may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO and GMO’s assessment proves to be incorrect, a Fund runs the risk that the market price of the equity will not appreciate or will decline. A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations and interest rates than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• MANAGEMENT AND OPERATIONAL RISK. A Fund runs the risk that GMO’s investment techniques will fail to produce intended results. GMO uses quantitative models as part of its investment process. GMO’s models may not accurately predict future market movements. In addition, GMO’s models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. A Fund also runs the risk that GMO’s assessment of an investment (including a security’s fundamental fair (or intrinsic) value) is wrong or that deficiencies in GMO’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• NON-U.S. INVESTMENT RISK. The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. securities markets are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, non-U.S. securities issuers often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund is subject to taxation by countries other than the United States, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, the Funds need a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. The risks above (such as substantial price fluctuations and market instability, illiquidity and lack of regulation) and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of companies tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or revenues from particular commodities and often are more volatile than the economies of developed countries.

• DERIVATIVES AND SHORT SALES RISK. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, leveraging risk, commodities risk and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant index or underlying securities. A Fund typically creates short investment exposure selling securities short or by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. Specifically, the net asset value of a Fund’s shares will be adversely affected if the equities or other assets that are the subject of a Fund’s short exposures appreciate in value. The risk of loss associated with derivatives that provide short investment exposure and short sales of securities are theoretically unlimited.

• CURRENCY RISK. Fluctuations in exchange rates can adversely affect the market value of a Fund’s foreign currency holdings and investments denominated in foreign currencies.

• MARKET RISK – FIXED INCOME. The market price of a fixed income investment can decline due to market-related factors, including rising interest rates or inflation rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments).

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August 31, 2023 (Unaudited)

• FUND OF FUNDS RISK. A Fund is indirectly exposed to all of the risks of an investment (if any) in its wholly-owned subsidiary and the underlying funds in which it invests, including the risk that its wholly-owned subsidiary (if any) and those underlying funds will not perform as expected.

• LEVERAGING RISK. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, the Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption, and losses will result if the value of the Fund’s assets declines between the time a redemption request is deemed to be received by the Fund and the time the Fund liquidates assets to meet that request.

• FUTURES CONTRACTS RISK. The loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of the Fund’s net asset value. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to effect closing transactions to terminate its exposure under that contract. When a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund’s investments that are subject to the hedge. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

• CREDIT RISK. A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor their obligations in a timely manner or at all. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and are subject to substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to their issuers’ payment defaults and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and the Fund may incur additional expenses in its effort to be repaid. If GMO’s assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the Fund may lose a substantial portion or all of its original investment or may be required to accept cash or instruments worth less than its original investment.

• COUNTERPARTY RISK. A Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund’s securities is unable or unwilling to make timely settlement payments, return the Fund’s margin or collateral or otherwise honor its obligations.

• SMALLER COMPANY RISK. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.

• ILLIQUIDITY RISK. Low trading volume, lack of a market maker, large position size or legal restrictions increase the risk that a Fund or an underlying fund is limited or prevented from selling particular securities or closing derivative positions at desirable prices.

• COMMODITIES RISK. Commodity prices can be extremely volatile, and exposure to commodities can cause the net asset value of a Fund’s shares to decline or fluctuate significantly in a rapid and unpredictable manner.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) often disrupt securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Fund’s investments.

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• FOCUSED INVESTMENT RISK. Investments focused in countries, regions, asset classes, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

• EVENT-DRIVEN RISK. If a Fund purchases securities in anticipation of a proposed merger, acquisition, exchange offer, tender offer, or other similar transaction and that transaction later appears likely to be delayed or unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. Event-driven strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated.

• MARKET RISK — ASSET BACKED SECURITIES. The market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including investor uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, and creditworthiness of any credit-support provider), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by that shareholder or group will require the Fund to sell securities at disadvantageous prices, disrupt the Fund’s operations, or force the Fund’s liquidation.

• NON-DIVERSIFIED FUNDS. Alternative Allocation Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market price of a particular security held by the Fund may affect the Fund’s performance more than if the Fund was a diversified investment company. In addition, some of the Funds may invest a portion of its assets in shares of underlying funds that are not diversified.

4. Derivative financial instruments

During the period ended August 31, 2023, only Consolidated Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, Consolidated SGM Major Markets Fund, and Strategic Opportunities Allocation Fund held derivative financial instruments directly. For a listing of derivative financial instruments, if any, held by the underlying funds, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation Fund (or their respective wholly-owned subsidiary, if any).

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices that are used to increase, decrease or adjust elements of the investment exposures of a Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

Consolidated Alternative Allocation Fund may use derivatives in some or all of the ways described below.

Use of Derivatives by Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund

The Funds may use derivatives to gain long or short investment exposure to securities, commodities or other assets. For example, a 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 Funds also may use exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

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The Funds may use derivatives such as futures, options, and swap contracts, in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Funds may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, 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). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, the Funds may have gross investment exposures in excess of their net assets (i.e. the Funds may be leveraged) and therefore are subject to heightened risk of loss. Each Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Use of Derivatives by Consolidated SGM Major Markets Fund

The Fund may use derivatives to gain long and/or short investment exposure to securities, currencies, commodities, or other assets. In particular, the Fund may use exchange traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to adjust its investment exposures. For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Fund may use derivatives, such as futures, options, and swap contracts, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, 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). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, GMO may 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 versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, 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 currencies in which their equities are traded.

The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e. the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

***

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Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of advance notice to the Fund, clearing brokers generally can require termination of existing cleared or exchange-traded derivatives transactions at any time and increases in margin above the margin that it required at the beginning of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing transactions and to terminate transactions. Any such increase or termination could interfere with the ability of a Fund to pursue its investment strategy. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund’s behalf. In that case, the transaction might have to be terminated, and the Fund could lose some or all of the benefit of any increase in the value of the transaction after the time of the transaction.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investment and other risks” above for further information.

For Funds that held derivatives during the period ended August 31, 2023, the following table shows how the Fund used these derivatives (marked with an X):

Type of Derivative and Objective for Use	Consolidated  Alternative Allocation Fund	Benchmark- Free Fund	Consolidated Implementation Fund	Consolidated  SGM Major Markets Fund	Strategic Opportunities Allocation Fund
Forward currency contracts
Adjust currency exchange rate risk				X
Adjust exposure to foreign currencies	X	X	X	X
Manage against anticipated currency exchange rate changes	X		X
Futures contracts
Adjust exposure to certain securities markets	X	X	X	X
Adjust interest rate exposure	X			X
Maintain the diversity and liquidity of the portfolio	X	X	X	X
Substitute for direct investment				X
Options (Purchased)
Adjust exposure to foreign currencies		X	X
Substitute for direct equity investment	X		X
Options (Written)
Adjust exposure to foreign currencies		X
Substitute for direct equity investment	X		X
Swap contracts
Achieve exposure to a reference entity’s credit	X		X
Adjust exposure to certain markets				X
Adjust interest rate exposure	X	X	X	X
Substitute for direct investment in securities	X	X	X		X

Forward currency contracts

The Funds 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 price of a forward currency contract fluctuates with changes in forward currency

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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 each 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 settled.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market 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 collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Futures contracts

The Funds 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 at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a 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 (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). 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 each 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 as recorded in the Statements of Assets and Liabilities. 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 Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

Options

The Funds may purchase call and put 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. “Quanto” options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a 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. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, 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. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may write (i.e. sell) call and put options on futures, swaps (“swaptions”), securities or currencies they own or in which they may invest. Writing options alters a Fund’s exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that 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, based on a formula price. When a 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, a 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 a 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. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.

Swap contracts

The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract 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 contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights 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). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

Total return swap contracts 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, basket of securities, or futures contract), 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 contract, 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 periodic 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 contracts 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 on a reference security, 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 contracts 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.

Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed “strike” correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

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Variance swap contracts 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.

Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.

Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a 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 contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

* * *

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure.

The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2023 and the Statements of Operations for the period ended August 31, 2023^:

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Portfolio valuation” sections for a further discussion of risks.

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	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Consolidated Alternative Allocation Fund
Asset Derivatives
Investments, at value (purchased options)	$	42,753		$	—		$	—		$	—		$	—		$	42,753
Unrealized Appreciation on Forward Currency Contracts		—			—			—			1,808,637			—			1,808,637
Unrealized Appreciation on Futures Contracts¤		—			1,185,466			214,277			—			23,905			1,423,648
Swap Contracts, at value¤		2,908,949			—			68,803			—			946,243			3,923,995
Total	$	2,951,702		$	1,185,466		$	283,080		$	1,808,637		$	970,148		$	7,199,033
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(1,789,441	)	$	—		$	(1,789,441	)
Unrealized Depreciation on Futures Contracts¤		—			(1,702,236	)		(578,994	)		—			(293,540	)		(2,574,770	)
Written Options, at value		(159,687	)		—			(366,447	)		—			—			(526,134	)
Swap Contracts, at value¤		(2,783,358	)		—			(103,321	)		—			(807,751	)		(3,694,430	)
Total	$	(2,943,045	)	$	(1,702,236	)	$	(1,048,762	)	$	(1,789,441	)	$	(1,101,291	)	$	(8,584,775	)
Net Realized Gain (Loss) on
Investments (purchased options)	$	189,417		$	—		$	—		$	—		$	—		$	189,417
Futures Contracts		—			24,231			(3,905,876	)		—			1,295,733			(2,585,912	)
Written Options		85,929			—			396,776			—			—			482,705
Swap Contracts		(138,252	)		—			(92,540	)		—			556,184			325,392
Forward Currency Contracts		—			—			—			3,446,728			—			3,446,728
Total	$	137,094		$	24,231		$	(3,601,640	)	$	3,446,728		$	1,851,917		$	1,858,330
Change in Net Appreciation (Depreciation) on
Investments (purchased options)	$	(67,562	)	$	—		$	—		$	—		$	—		$	(67,562	)
Futures Contracts		—			(579,195	)		(205,440	)		—			(400,304	)		(1,184,939	)
Written Options		212,908			—			397,586			—			—			610,494
Swap Contracts		(118,960	)		—			(317,551	)		—			(262,495	)		(699,006	)
Forward Currency Contracts		—			—			—			(453,234	)		—			(453,234	)
Total	$	26,386		$	(579,195	)	$	(125,405	)	$	(453,234	)	$	(662,799	)	$	(1,794,247	)
Benchmark-Free Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	101,845		$	—		$	101,845
Unrealized Appreciation on Futures Contracts¤		—			—			—			—			432,568			432,568
Total	$	—		$	—		$	—		$	101,845		$	432,568		$	534,413
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(228,678	)	$	—		$	(228,678	)
Swap Contracts, at value¤		—			—			(229,677	)		—			—			(229,677	)
Total	$	—		$	—		$	(229,677	)	$	(228,678	)	$	—		$	(458,355	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	—		$	—		$	—		$	(2,850,560	)	$	(2,850,560	)
Swap Contracts		—			—			(207,954	)		—			(152,073	)		(360,027	)
Forward Currency Contracts		—			—			—			12,388			—			12,388
Total	$	—		$	—		$	(207,954	)	$	12,388		$	(3,002,633	)	$	(3,198,199	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	—		$	—		$	—		$	432,568		$	432,568
Swap Contracts		—			—			(959,966	)		—			56,329			(903,637	)
Forward Currency Contracts		—			—			—			(12,722	)		—			(12,722	)
Total	$	—		$	—		$	(959,966	)	$	(12,722	)	$	488,897		$	(483,791	)

169

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Credit Contracts			Commodity Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Total
Consolidated Implementation Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	8,421,115		$	—		$	8,421,115
Unrealized Appreciation on Futures Contracts¤		—			6,465,014			1,144,079			—			943,756			8,552,849
Swap Contracts, at value¤		—			—			547,141			—			7,716,411			8,263,552
Total	$	—		$	6,465,014		$	1,691,220		$	8,421,115		$	8,660,167		$	25,237,516
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(10,629,305	)	$	—		$	(10,629,305	)
Unrealized Depreciation on Futures Contracts¤		—			(9,245,251	)		(2,479,219	)		—			(45,545	)		(11,770,015	)
Written Options, at value		—			—			(953,038	)		—			—			(953,038	)
Swap Contracts, at value¤		—			—			(1,113,756	)		—			(7,219,514	)		(8,333,270	)
Total	$	—		$	(9,245,251	)	$	(4,546,013	)	$	(10,629,305	)	$	(7,265,059	)	$	(31,685,628	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	6,046		$	(17,961,319	)	$	—		$	(8,432,828	)	$	(26,388,101	)
Written Options		—			—			(951,317	)		—			—			(951,317	)
Swap Contracts		(731,267	)		—			(961,904	)		—			(385,159	)		(2,078,330	)
Forward Currency Contracts		—			—			—			11,304,559			—			11,304,559
Total	$	(731,267	)	$	6,046		$	(19,874,540	)	$	11,304,559		$	(8,817,987	)	$	(18,113,189	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	(3,064,103	)	$	(715,482	)	$	—		$	306,808		$	(3,472,777	)
Written Options		—			—			48,881			—			—			48,881
Swap Contracts		691,158			—			(3,501,416	)		—			1,099,285			(1,710,973	)
Forward Currency Contracts		—			—			—			(1,427,267	)		—			(1,427,267	)
Total	$	691,158		$	(3,064,103	)	$	(4,168,017	)	$	(1,427,267	)	$	1,406,093		$	(6,562,136	)
Consolidated SGM Major Markets Fund
Asset Derivatives
Unrealized Appreciation on Forward Currency Contracts	$	—		$	—		$	—		$	1,814,647		$	—		$	1,814,647
Unrealized Appreciation on Futures Contracts¤		—			227,122			364,456			—			24,045			615,623
Swap Contracts, at value¤		—			—			138,102			—			—			138,102
Total	$	—		$	227,122		$	502,558		$	1,814,647		$	24,045		$	2,568,372
Liability Derivatives
Unrealized Depreciation on Forward Currency Contracts	$	—		$	—		$	—		$	(1,011,405	)	$	—		$	(1,011,405	)
Unrealized Depreciation on Futures Contracts¤		—			(587,056	)		(128,867	)		—			(86,024	)		(801,947	)
Swap Contracts, at value¤		—			—			(55,161	)		—			—			(55,161	)
Total	$	—		$	(587,056	)	$	(184,028	)	$	(1,011,405	)	$	(86,024	)	$	(1,868,513	)
Net Realized Gain (Loss) on
Futures Contracts	$	—		$	477,633		$	(4,646,122	)	$	—		$	430,854		$	(3,737,635	)
Swap Contracts		—			—			(603,787	)		—			—			(603,787	)
Forward Currency Contracts		—			—			—			1,569,671			—			1,569,671
Total	$	—		$	477,633		$	(5,249,909	)	$	1,569,671		$	430,854		$	(2,771,751	)
Change in Net Appreciation (Depreciation) on
Futures Contracts	$	—		$	(482,458	)	$	469,895		$	—		$	(329,797	)	$	(342,360	)
Swap Contracts		—			—			(305,735	)		—			—			(305,735	)
Forward Currency Contracts		—			—			—			802,243			—			802,243
Total	$	—		$	(482,458	)	$	164,160		$	802,243		$	(329,797	)	$	154,148

170

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Credit Contracts		Commodity Contracts		Equity Contracts			Foreign Currency Contracts		Interest Rate Contracts		Total
Strategic Opportunities Allocation Fund
Liability Derivatives
Swap Contracts, at value¤	$	—	$	—	$	(38,742	)	$	—	$	—	$	(38,742	)
Total	$	—	$	—	$	(38,742	)	$	—	$	—	$	(38,742	)
Net Realized Gain (Loss) on
Swap Contracts	$	—	$	—	$	(22,549	)	$	—	$	—	$	(22,549	)
Total	$	—	$	—	$	(22,549	)	$	—	$	—	$	(22,549	)
Change in Net Appreciation (Depreciation) on
Swap Contracts	$	—	$	—	$	(138,005	)	$	—	$	—	$	(138,005	)
Total	$	—	$	—	$	(138,005	)	$	—	$	—	$	(138,005	)

^ Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

¤ The table includes cumulative unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Period end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, “Master Agreements”) that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty’s affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund’s operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see “Investments and other risks” above.

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds’ Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at August 31, 2023, if any.

The tables above present the Funds’ derivative assets and liabilities by type of financial instrument. The following tables present the Funds’ OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of August 31, 2023:

171

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Consolidated Alternative Allocation Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements					Collateral Received				Derivative Assets/Liabilities Available for Offset						Net Amount  of Derivative  Assets
Bank of America, N.A.			$	1,147			$	—				$	(1,147	)			$	—
Barclays Bank PLC				417,888				—					(376,310	)				41,578
Citibank N.A.				561,614				(499,000	)				(55,648	)				6,966
Citigroup Global Markets Inc.				390,166				—					(390,166	)				—
Deutsche Bank AG				13,121				—					(13,121	)				—
Goldman Sachs International				224,139				(52,445	)				(171,694	)				—	*
JPMorgan Chase Bank, N.A.				1,936,266				(1,479,766	)				(456,500	)				—	*
Merrill Lynch Capital Services, Inc.				560,588				(124,657	)				(435,931	)				—	*
Morgan Stanley & Co. International PLC				383,550				(13,379	)				(370,171	)				—	*
State Street Bank and Trust Company				370,528				(242,617	)				(127,911	)				—	*
UBS AG				64,687				—					(64,687	)				—
Total			$	4,923,694			$	(2,411,864	)			$	(2,463,286	)			$	48,544

Counterparty	Gross Derivative Liabilities Subject to Master Agreement						Collateral Pledged			Derivative Assets/Liabilities Available for Offset					Net Amount  of Derivative  Liabilities
Bank of America, N.A.			$	(11,798	)			$	—			$	1,147			$	(10,651	)
Barclays Bank PLC				(376,310	)				—				376,310				—
Citibank N.A.				(55,648	)				—				55,648				—
Citigroup Global Markets Inc.				(397,732	)				7,566				390,166				—	*
Deutsche Bank AG				(31,939	)				—				13,121				(18,818	)
Goldman Sachs International				(171,694	)				—				171,694				—
JPMorgan Chase Bank, N.A.				(456,500	)				—				456,500				—
Merrill Lynch Capital Services, Inc.				(435,931	)				—				435,931				—
Morgan Stanley & Co. International PLC				(370,171	)				—				370,171				—
Morgan Stanley & Co. LLC				(366,447	)				366,447				—				—	*
Morgan Stanley Capital Services LLC				(57,585	)				—				—				(57,585	)
State Street Bank and Trust Company				(127,911	)				—				127,911				—
UBS AG				(557,467	)				492,780				64,687				—	*
Total			$	(3,417,133	)			$	866,793			$	2,463,286			$	(87,054	)

Benchmark-Free Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements					Collateral Received				Derivative Assets/Liabilities Available for Offset						Net Amount  of Derivative  Assets
Barclays Bank PLC			$	1,515			$	—				$	(1,515	)			$	—
Citibank N.A.				6,720				—					—					6,720
JPMorgan Chase Bank, N.A.				223				—					(223	)				—
Morgan Stanley & Co. International PLC				11,254				(764	)				(10,490	)				—	*
State Street Bank and Trust Company				82,133				—					(10,652	)				71,481
Total			$	101,845			$	(764	)			$	(22,880	)			$	78,201

172

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Benchmark-Free Fund (Continued)

Counterparty	Gross Derivative Liabilities Subject to Master Agreement							Collateral Pledged				Derivative Assets/Liabilities Available for Offset							Net Amount of Derivative Liabilities
Barclays Bank PLC				$	(6,072	)			$	4,557					$	1,515				$	—	*
Goldman Sachs International					(11,823	)				—						—					(11,823	)
JPMorgan Chase Bank, N.A.					(71,586	)				—						223					(71,363	)
Morgan Stanley & Co. International PLC					(10,490	)				—						10,490					—
Morgan Stanley Capital Services LLC					(225,771	)				225,771						—					—	*
State Street Bank and Trust Company					(10,652	)				—						10,652					—
UBS AG					(121,961	)				—						—					(121,961	)
Total				$	(458,355	)			$	230,328					$	22,880				$	(205,147	)
Consolidated Implementation Fund
Counterparty	Gross Derivative Assets Subject to Master Agreements							Collateral Received						Derivative Assets/Liabilities Available for Offset					Net Amount of Derivative Assets
Bank of America, N.A.				$	2,369				$	—					$	(2,369	)			$	—
Barclays Bank PLC					2,227,153					(384,922	)					(1,842,231	)				—	*
Citibank N.A.					784,490					(747,253	)					(37,237	)				—	*
Deutsche Bank AG					62,785					—						(62,785	)				—
Goldman Sachs International					248,734					—						(248,734	)				—
JPMorgan Chase Bank, N.A.					2,108,952					—						(1,836,318	)				272,634
Morgan Stanley & Co. International PLC					572,887					—						(572,887	)				—
State Street Bank and Trust Company					2,485,220					(788,690	)					(723,493	)				973,037
UBS AG					475,666					—						(475,666	)				—
Total				$	8,968,256				$	(1,920,865	)				$	(5,801,720	)			$	1,245,671
Counterparty			Gross Derivative Liabilities Subject to Master Agreement					Collateral Pledged						Derivative Assets/Liabilities Available for Offset					Net Amount of Derivative Liabilities
Bank of America, N.A.				$	(53,329	)			$	50,960					$	2,369				$	—	*
Barclays Bank PLC					(1,842,231	)				—						1,842,231					—
Citibank N.A.					(37,237	)				—						37,237					—
Deutsche Bank AG					(170,064	)				—						62,785					(107,279	)
Goldman Sachs International					(371,832	)				—						248,734					(123,098	)
JPMorgan Chase Bank, N.A.					(1,836,318	)				—						1,836,318					—
Morgan Stanley & Co. International PLC					(1,941,728	)				1,099,719						572,887					(269,122	)
Morgan Stanley & Co. LLC					(953,038	)				953,038						—					—	*
Morgan Stanley Capital Services LLC					(830,380	)				830,380						—					—	*
State Street Bank and Trust Company					(723,493	)				—						723,493					—
UBS AG					(3,936,449	)				3,460,783						475,666					—	*
Total				$	(12,696,099	)			$	6,394,880					$	5,801,720				$	(499,499	)

173

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Consolidated SGM Major Markets Fund

Counterparty	Gross Derivative Assets Subject to Master Agreements				Collateral Received				Derivative Assets/Liabilities Available for Offset				Net Amount of Derivative Assets
Barclays Bank PLC		$	493,800			$	(157,413	)		$	(336,387	)		$	—	*
Brown Brothers Harriman & Co.			125,751				—				—				125,751
Deutsche Bank AG			6,773				—				(6,773	)			—
JPMorgan Chase Bank, N.A.			524,793				(334,382	)			(186,421	)			3,990
Morgan Stanley & Co. International PLC			169,639				(10,000	)			(102,209	)			57,430
State Street Bank and Trust Company			487,117				(187,568	)			(258,014	)			41,535
UBS AG			144,876				—				(55,161	)			89,715
Total		$	1,952,749			$	(689,363	)		$	(944,965	)		$	318,421
Counterparty	Gross Derivative Liabilities Subject to Master Agreement				Collateral Pledged				Derivative Assets/Liabilities Available for Offset				Net Amount of Derivative Liabilities
Bank of America, N.A.		$	(88,274	)		$	—			$	—			$	(88,274	)
Barclays Bank PLC			(336,387	)			—				336,387				—
Citibank N.A.			(2,830	)			—				—				(2,830	)
Deutsche Bank AG			(37,270	)			—				6,773				(30,497	)
JPMorgan Chase Bank, N.A.			(186,421	)			—				186,421				—
Morgan Stanley & Co. International PLC			(102,209	)			—				102,209				—
State Street Bank and Trust Company			(258,014	)			—				258,014				—
UBS AG			(55,161	)			—				55,161				—
Total		$	(1,066,566	)		$	—			$	944,965			$	(121,601	)
Strategic Opportunities Allocation Fund
Counterparty	Gross Derivative Liabilities Subject to Master Agreement				Collateral Pledged				Derivative Assets/Liabilities Available for Offset				Net Amount of Derivative Liabilities
Goldman Sachs International		$	(2,088	)		$	—			$	—			$	(2,088	)
Morgan Stanley Capital Services LLC			(36,654	)			36,654				—				—	*
Total		$	(38,742	)		$	36,654			$	—			$	(2,088	)

* The actual collateral received and/or pledged is more than the amount shown.

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the period ended August 31, 2023:

Fund Name	Forward Currency Contracts ($)		Futures Contracts ($)		Options (Principal)		Options (Contracts)	Swap Contracts ($)
Consolidated Alternative Allocation Fund		179,724,021		162,720,845		124,327,530	2,352		369,398,137
Benchmark-Free Fund		53,424,380		45,252,435		2,233,333	—		119,660,237
Consolidated Implementation Fund		1,100,015,250		749,351,688		26,225,000	8,139		1,957,293,108
Consolidated SGM Major Markets Fund		119,826,650		165,808,023		—	—		35,249,330
Strategic Opportunities Allocation Fund		—		—		—	—		2,704,423

174

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to certain Funds. Management fees are paid monthly at the annual rate equal to the percentage of each Fund’s average daily net assets set forth in the table below:

	Alternative Allocation Fund	Benchmark- Free Allocation Fund	Benchmark- Free Fund	Global Asset Allocation Fund	Global Developed Equity Allocation Fund	Global Equity Allocation Fund	Implementation Fund	International Developed Equity Allocation Fund	International Equity Allocation Fund	SGM Major Markets Fund	Strategic Opportunities Allocation Fund
Management Fee	0.73%	0.65%	—	—	—	—	—	—	—	0.85%	—

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service or supplemental support fee. Shareholder service fees are paid to GMO for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Class MF shares of Benchmark-Free Allocation Fund are subject to a supplemental support fee payable to GMO for providing supplemental support services to Class MF shareholders and their investment advisers. Those supplemental support services include, without limitation, (i) providing and presenting (a) educational and explanatory information about the Fund and its asset allocation strategy as requested or directed by an investor or its investment adviser; (b) similar educational and explanatory information about the strategies of the GMO Funds in which the Fund invests; (c) information for inclusion in the quarterly or other periodic reports of the investor; (ii) responding to information requests relating to oversight functions of the investor’s board of directors in areas including pricing, compliance, and taxation; (iii) providing access to and setting up meetings with GMO’s Chief Investment Strategist and Head of GMO’s Asset Allocation Team and other investment professionals of GMO; (iv) assisting with inquiries from an investor’s investment adviser; and (v) providing such other assistance as may be requested from time to time by an investor or its agent, so long as that assistance is not primarily intended to result in the sale of Fund shares.

Shareholder service and/or supplemental support fees are paid monthly at the annual rate equal to the percentage of each applicable Class’s average daily net assets set forth in the table below:

Fund Name	Class II	Class III	Class IV	Class V	Class VI	Class MF	Class R6	Class I
Alternative Allocation Fund	0.22%*	0.15%*	0.105%*	0.085%*	0.055%		0.22%	0.22%
Benchmark-Free Allocation Fund		0.15%	0.10%			0.10%	0.15%	0.15%
SGM Major Markets Fund		0.15%	0.10%*		0.055%		0.15%*	0.15%

* Class is offered but has no shareholders as of August 31, 2023.

For certain Funds, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and/or shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by GMO’s asset allocation decisions.

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For each Fund, other than Alternative Allocation Fund, GMO has contractually agreed to reimburse the Fund for its “Specified Operating Expenses” (as defined below). For Implementation Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceed 0.01% of the Funds’ average daily net assets. For SGM Major Markets Fund, GMO has contractually agreed to reimburse the Fund for the portion of its “Specified Operating Expenses” (as defined below) that exceed 0.02% of the Funds’ average daily net assets.

Subject to the exclusions noted below, “Specified Operating Expenses” means: audit expenses, fund accounting expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Benchmark-Free Fund, “Specified Operating Expenses” does not include the Fund’s direct custody expenses attributable to its holdings of emerging market securities.

For Alternative Allocation Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.99% for Class II shares; 0.92% for Class III shares; 0.875% for Class IV shares; 0.855% for Class V shares; 0.825% for Class VI shares; 0.99% for Class R6 shares; and 0.99% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (collectively, “Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap set forth above or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses.

For the period ended August 31, 2023, GMO did not recoup any previously recorded waivers and/or reimbursements.

On August 31, 2023, the waivers and/or reimbursements subject to possible future recoupment are as follows:

	Expiring the year ending February 29, 2024			Expiring the year ending February 28, 2025			Expiring the year ending February 28, 2026			Expiring the year ending February 28, 2027
Alternative Allocation Fund, Class VI		$	136,191		$	245,810		$	214,691		$	69,206
Alternative Allocation Fund, Class R6		$	235		$	185		$	41		$	7
Alternative Allocation Fund, Class I		$	145,615		$	264,576		$	466,588		$	204,260

For each Fund, other than Benchmark-Free Allocation Fund, that pays GMO a management fee and shareholder service fee, GMO has contractually agreed to waive or reduce the Fund’s management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust. Management fees and shareholder service fees will not be waived below zero.

For Benchmark-Free Allocation Fund, GMO has contractually agreed to waive or reduce the Fund’s management, shareholder service, and supplemental support fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund’s direct or indirect investments in other series of GMO Trust. In addition, GMO has contractually agreed to reduce the rate of the supplemental support fees charged to the Fund’s Class MF shares based on the net assets attributable to Class MF shares as of the last business day of the preceding month

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August 31, 2023 (Unaudited)

based on the following schedule: 0.10% on the first $6 billion of net assets, 0.05% on the next $2 billion, 0.03% on the next $2 billion, and 0.01% thereafter; provided, however, that the effective rate charged at any time will not be reduced to less than 0.06% of Class MF’s average daily net assets. The rate will be calculated before giving effect to any reduction or waiver. This reduction will continue through at least June 30, 2024, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.

GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares to the extent that amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries from Class I assets exceed 0.10% of such Fund’s average daily net assets attributable to Class I assets.

These contractual waivers and reimbursements will continue through at least June 30, 2024 for each Fund unless the Funds’ Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund’s management contract or servicing and supplemental support agreement.

Sub-Transfer Agent/Recordkeeping Payments

Class II, III, IV, V, VI, MF and R6 shares are not subject to payments to third parties for sub-transfer agent/recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI, MF or Class R6 shares. These payments may create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund’s Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds’ portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any agents unaffiliated with GMO during the period ended August 31, 2023 is shown in the table below and is included in the Statements of Operations.

Fund Name	Independent Trustees and  their legal counsel ($)
Consolidated Alternative Allocation Fund		5,423
Benchmark-Free Allocation Fund		122,658
Benchmark-Free Fund		33,384
Global Asset Allocation Fund		9,865
Global Developed Equity Allocation Fund		1,967
Global Equity Allocation Fund		22,525
Consolidated Implementation Fund		106,194
International Developed Equity Allocation Fund		6,341
International Equity Allocation Fund		12,136
Consolidated SGM Major Markets Fund		4,007
Strategic Opportunities Allocation Fund		5,563

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2023, the Funds below had annualized indirect fees and expenses greater than 0.01% of the Fund’s average daily net assets.

Fund Name	Total Indirect Expenses
Consolidated Alternative Allocation Fund		0.021%
Benchmark-Free Allocation Fund		0.509%*
Benchmark-Free Fund		0.109%
Global Asset Allocation Fund		0.678%*
Global Developed Equity Allocation Fund		0.529%
Global Equity Allocation Fund		0.565%
International Developed Equity Allocation Fund		0.620%
International Equity Allocation Fund		0.671%
Strategic Opportunities Allocation Fund		0.412%

* Includes indirect interest and dividend expense on reverse repurchase agreements and short sales, respectively, and borrowing costs for investments sold short.

The Funds are permitted to purchase or sell securities from or to other GMO Trust funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another GMO Trust fund complies with rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the period ended August 31, 2023, the Funds did not engage in these transactions.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the period ended August 31, 2023 are noted in the table below:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investments (Non-U.S. Government Securities)		U.S. Government Securities		Investments (Non-U.S. Government Securities)
Consolidated Alternative Allocation Fund		229,011,497		133,294,871		178,190,708		114,038,694
Benchmark-Free Allocation Fund		—		268,431,127		—		670,235,604
Benchmark-Free Fund		131,087,127		523,259,339		147,997,120		539,249,095
Global Asset Allocation Fund		—		29,507,266		—		34,093,665
Global Developed Equity Allocation Fund		—		8,330,297		—		7,160,000
Global Equity Allocation Fund		—		85,331,589		—		80,510,000
Consolidated Implementation Fund		633,149,876		1,900,549,610		634,040,099		1,750,507,009
International Developed Equity Allocation Fund		—		49,059,237		—		43,288,480
International Equity Allocation Fund		—		56,676,353		—		195,940,544
Consolidated SGM Major Markets Fund		45,301,091		—		127,471,664		—
Strategic Opportunities Allocation Fund		—		69,395,483		51,000		59,657,051

7. Guarantees

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

8. Principal shareholders as of August 31, 2023

Fund Name	Number of  shareholders that held  more than 10% of the outstanding shares of the Fund	Percentage of outstanding shares of the Fund held by those shareholders owning greater than 10% of the outstanding shares of the Fund
Alternative Allocation Fund	3‡	88.11%
Benchmark-Free Allocation Fund	1	24.84%
Benchmark-Free Fund	3	43.84%
Global Asset Allocation Fund	1	21.87%
Global Developed Equity Allocation Fund	2	99.81%
Global Equity Allocation Fund	3	63.59%
Implementation Fund	1‡	100.00%
International Developed Equity Allocation Fund	2	95.87%
International Equity Allocation Fund	3	84.91%
SGM Major Markets Fund	2‡	88.13%
Strategic Opportunities Allocation Fund	3	85.29%

‡ One of the shareholders is another fund of the Trust.

9. Share transactions

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Consolidated Alternative Allocation Fund
Class VI:
Shares sold		14,469		$	260,000			248,004		$	4,519,995
Shares issued to shareholders in reinvestment of distributions		—			—			32,535			566,438
Shares repurchased		(61,422	)		(1,136,668	)		(4,855,485	)		(86,707,512)
Net increase (decrease)		(46,953	)	$	(876,668	)		(4,574,946)		$	(81,621,079	)
Class R6:
Shares sold		42		$	772			296		$	5,338
Shares issued to shareholders in reinvestment of distributions		—			—			14			239
Shares repurchased		—			—			(1,299	)		(22,947	)
Net increase (decrease)		42		$	772			(989	)	$	(17,370	)
Class I:
Shares sold		410,355		$	7,466,682			2,656,932		$	47,445,755
Shares issued to shareholders in reinvestment of distributions		—			—			40,690			704,752
Shares repurchased		(649,699	)		(11,753,419	)		(2,957,606	)		(52,585,684	)
Net increase (decrease)		(239,344	)	$	(4,286,737	)		(259,984	)	$	(4,435,177	)

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Benchmark-Free Allocation Fund
Class III:
Shares sold		1,388,654		$	35,328,001			6,170,726		$	153,112,114
Shares issued to shareholders in reinvestment of distributions		154,405			3,982,112			1,700,038			41,055,923
Shares repurchased		(10,165,869	)		(257,359,553	)		(13,268,957	)		(323,224,193	)
Net increase (decrease)		(8,622,810	)	$	(218,049,440	)		(5,398,193	)	$	(129,056,156)
Class IV:
Shares sold		678,059		$	17,111,775			6,932,185		$	170,895,298
Shares issued to shareholders in reinvestment of distributions		84,271			2,173,361			1,108,221			26,763,533
Shares repurchased		(3,977,621	)		(99,434,026	)		(14,851,062	)		(366,844,337	)
Net increase (decrease)		(3,215,291	)	$	(80,148,890	)		(6,810,656	)	$	(169,185,506	)
Class MF:
Shares sold		197,654		$	4,915,150			2,625,655		$	65,056,569
Shares issued to shareholders in reinvestment of distributions		122,459			3,160,669			1,413,113			34,154,940
Shares repurchased		(3,902,383	)		(98,114,302	)		(14,268,897	)		(347,835,107	)
Net increase (decrease)		(3,582,270	)	$	(90,038,483	)		(10,230,129	)	$	(248,623,598	)
Class R6:
Shares sold		920,191		$	23,198,791			3,970,400		$	97,481,607
Shares issued to shareholders in reinvestment of distributions		33,628			866,589			348,177			8,401,511
Shares repurchased		(1,264,006	)		(32,374,799	)		(3,693,731	)		(89,437,851	)
Net increase (decrease)		(310,187	)	$	(8,309,419	)		624,846		$	16,445,267
Class I:
Shares sold		705,625		$	17,800,814			4,738,564		$	116,465,587
Shares issued to shareholders in reinvestment of distributions		24,144			621,955			304,924			7,357,817
Shares repurchased		(1,840,084	)		(45,901,238	)		(6,742,198	)		(163,274,941	)
Net increase (decrease)		(1,110,315	)	$	(27,478,469	)		(1,698,710	)	$	(39,451,537	)
Benchmark-Free Fund
Class III:
Shares sold		1,537,985		$	27,330,001			1,484,656		$	24,689,894
Shares issued to shareholders in reinvestment of distributions		449,207			8,332,792			3,920,225			67,377,050
Shares repurchased		(7,276,818	)		(131,419,545	)		(26,235,497	)		(470,868,019	)
Net increase (decrease)		(5,289,626	)	$	(95,756,752	)		(20,830,616	)	$	(378,801,075	)
Global Asset Allocation Fund
Class III:
Shares sold		5,253		$	160,982			473,497		$	14,575,090
Shares issued to shareholders in reinvestment of distributions		62,496			1,971,733			357,538			10,298,498
Shares repurchased		(252,519	)		(7,802,580	)		(8,400,721	)		(259,575,083	)
Net increase (decrease)		(184,770	)	$	(5,669,865	)		(7,569,686	)	$	(234,701,495	)

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Global Asset Allocation Fund (continued)
Class R6:
Shares sold		7,968		$	244,837			64,764		$	1,982,932
Shares issued to shareholders in reinvestment of distributions		1,881			59,307			11,108			319,734
Shares repurchased		(37,721	)		(1,147,989	)		(188,328	)		(5,666,318	)
Net increase (decrease)		(27,872	)	$	(843,845	)		(112,456	)	$	(3,363,652)
Class I:
Shares sold		18,461		$	559,464			466,367		$	13,525,172
Shares issued to shareholders in reinvestment of distributions		2,726			85,992			18,361			528,965
Shares repurchased		(45,794	)		(1,418,785	)		(420,725	)		(12,679,758	)
Net increase (decrease)		(24,607	)	$	(773,329	)		64,003		$	1,374,379
Global Developed Equity Allocation Fund
Class III:
Shares issued to shareholders in reinvestment of distributions		41,756		$	984,595			259,677		$	5,190,290
Shares repurchased		(407	)		(8,972	)		(739,254	)		(15,371,367	)
Net increase (decrease)		41,349		$	975,623			(479,577	)	$	(10,181,077)
Global Equity Allocation Fund
Class III:
Shares sold		133,746		$	3,345,000			1,532,903		$	37,757,925
Shares issued to shareholders in reinvestment of distributions		166,756			4,447,374			3,990,115			92,127,935
Shares repurchased		(741,648	)		(18,636,574	)		(37,940,588	)		(937,379,548	)
Net increase (decrease)		(441,146	)	$	(10,844,200	)		(32,417,570	)	$	(807,493,688)
Class R6:
Shares sold		10,436		$	265,845			1,173,061		$	29,466,929
Shares issued to shareholders in reinvestment of distributions		12,543			334,383			19,127			441,589
Shares repurchased		(6,829	)		(172,130	)		(44,928	)		(1,113,582	)
Net increase (decrease)		16,150		$	428,098			1,147,260		$	28,794,936
Class I:
Shares sold		10,973		$	276,337			170,599		$	4,396,674
Shares issued to shareholders in reinvestment of distributions		1,744			46,469			16,381			377,718
Shares repurchased		(14,035	)		(362,599	)		(75,618	)		(1,802,725	)
Net increase (decrease)		(1,318	)	$	(39,793	)		111,362		$	2,971,667
Consolidated Implementation Fund
Core Class:
Shares sold		17,585,846		$	218,600,384			27,254,347		$	330,599,610
Shares issued to shareholders in reinvestment of distributions		2,449,631			31,134,806			11,299,681			132,069,652
Shares repurchased		(36,100,431	)		(449,695,604	)		(107,765,470	)		(1,293,197,003	)
Net increase (decrease)		(16,064,954	)	$	(199,960,414	)		(69,211,442	)	$	(830,527,741)

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
International Developed Equity Allocation Fund
Class III:
Shares sold		339,260		$	5,373,622			2,054,507		$	30,234,734
Shares issued to shareholders in reinvestment of distributions		5,927			98,207			368,396			5,246,314
Shares repurchased		(159,599	)		(2,496,991	)		(1,541,811)			(23,674,258)
Net increase (decrease)		185,588		$	2,974,838			881,092		$	11,806,790
Class R6:
Shares sold		23,568		$	366,819			28,805		$	427,463
Shares issued to shareholders in reinvestment of distributions		335			5,545			22,740			323,823
Shares repurchased		(71,837	)		(1,138,350	)		(26,596	)		(382,957	)
Net increase (decrease)		(47,934	)	$	(765,986	)		24,949		$	368,329
International Equity Allocation Fund
Class III:
Shares sold		223,053		$	5,950,721			1,109,511		$	28,343,983
Shares issued to shareholders in reinvestment of distributions		44,996			1,236,049			513,528			12,524,610
Shares repurchased		(5,569,538	)		(145,643,928	)		(5,222,926	)		(144,440,511	)
Net increase (decrease)		(5,301,489	)	$	(138,457,158	)		(3,599,887	)	$	(103,571,918	)
Class R6:
Shares sold		53,966		$	1,429,762			318,017		$	8,752,419
Shares issued to shareholders in reinvestment of distributions		64,858			1,780,998			414,604			10,107,910
Shares repurchased		(244,595	)		(6,353,014	)		(898,761	)		(22,014,901	)
Net increase (decrease)		(125,771	)	$	(3,142,254	)		(166,140	)	$	(3,154,572	)
Consolidated SGM Major Markets Fund
Class III:
Shares sold		1		$	15			207,587		$	5,795,420
Shares issued to shareholders in reinvestment of distributions		3,262			75,812			1,124			29,625
Shares repurchased		(44,038	)		(1,120,748	)		(1,210,226	)		(33,150,649	)
Net increase (decrease)		(40,775	)	$	(1,044,921	)		(1,001,515	)	$	(27,325,604	)
Class VI:
Shares sold		—		$	—			597		$	16,927
Shares issued to shareholders in reinvestment of distributions		872,457			20,162,474			475,727			12,534,788
Shares repurchased		(3,820,223	)		(88,853,197	)		(3,289,239	)		(89,638,909	)
Net increase (decrease)		(2,947,766	)	$	(68,690,723	)		(2,812,915	)	$	(77,087,194	)
Class I:
Shares sold		2,012		$	50,469			101,479		$	2,869,440
Shares issued to shareholders in reinvestment of distributions		27,951			648,179			39,730			1,043,505
Shares repurchased		(38,240	)		(980,383	)		(684,304	)		(18,390,403	)
Net increase (decrease)		(8,277	)	$	(281,735	)		(543,095	)	$	(14,477,458	)

182

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Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

	Six Months Ended August 31, 2023 (Unaudited)						Year Ended February 28, 2023
	Shares			Amount			Shares			Amount
Strategic Opportunities Allocation Fund
Class III:
Shares sold		849,872		$	13,275,000			1,043,303		$	16,819,874
Shares issued to shareholders in reinvestment of distributions		41,862			685,278			819,400			12,262,878
Shares repurchased		(490,737	)		(7,739,474	)		(2,895,646	)		(47,123,159	)
Net increase (decrease)		400,997		$	6,220,804			(1,032,943	)	$	(18,040,407	)

10. Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended August 31, 2023 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*			Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation				Value, end of period
Consolidated Alternative Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	5,754,599	$	—	$	499,999	$	83,688		$	—	$	15,851			$	302,310		$	5,572,761
Benchmark-Free Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	225,439,211	$	1,639,311	$	52,000,000	$	1,639,310		$	—	$	(27,062,491	)		$	35,766,910		$	183,782,941
GMO High Yield Fund, Class VI		90,670,017		—		48,000,000		—			—		(1,273,700	)			4,094,978			45,491,295
GMO Implementation Fund		3,734,452,836		249,716,012		449,695,604		31,134,806			—		(39,668,631	)			154,707,583			3,649,512,196
GMO Opportunistic Income Fund, Class VI		263,438,935		2,272,126		60,540,000		2,272,126			—		(5,662,995	)			9,833,450			209,341,516
GMO SGM Major Markets Fund, Class VI		88,586,880		14,803,678		60,000,000		4,505,766			10,297,913		(21,890,805	)			6,680,294			28,180,047
Totals	$	4,402,587,879	$	268,431,127	$	670,235,604	$	39,552,008		$	10,297,913	$	(95,558,622	)		$	211,083,215		$	4,116,307,995
Benchmark-Free Fund
GMO Emerging Country Debt Fund, Class VI	$	83,120,284	$	521,025	$	28,000,000	$	521,025		$	—	$	(15,378,662	)		$	18,149,453		$	58,412,100
GMO High Yield Fund, Class VI		63,734,779		—		36,500,000		—			—		(1,404,118	)			2,884,090			28,714,751
GMO Opportunistic Income Fund, Class VI		68,635,629		—		—		766,669			—		—				1,224,619			69,860,248
GMO Resources Fund, Class VI		41,081,249		1,129,241		—		337,900			791,341		—				(2,387,096	)		39,823,394
GMO SGM Major Markets Fund, Class VI		29,075,472		4,858,777		28,185,243		1,478,856			3,379,921		(9,315,205	)			3,566,199			—
GMO U.S. Treasury Fund		1,230,461		80,758,060		61,731,781		—			—		19,909				—			20,276,649
Totals	$	286,877,874	$	87,267,103	$	154,417,024	$	3,104,450		$	4,171,262	$	(26,078,076	)		$	23,437,265		$	217,087,142

183

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*			Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation				Value, end of period
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	48,411,511	$	260,000	$	1,055,000	$	—		$	—	$	(83,080	)		$	840,436		$	48,373,867
GMO Asset Allocation Bond Fund, Class VI		20,113,672		437,420		480,000		437,420			—		(34,764	)			(313,287	)		19,723,041
GMO Emerging Country Debt Fund, Class VI		10,468,900		98,939		—		98,939			—		—				524,183			11,092,022
GMO Emerging Markets ex-China Fund, Class VI		23,354,081		334,164		805,919		334,164			—		(311,895	)			1,556,457			24,126,888
GMO Emerging Markets Fund, Class VI		25,997,689		331,360		—		331,360			—		—				453,502			26,782,551
GMO High Yield Fund, Class VI		6,868,538		—		7,135,397		—			—		(9,519	)			276,378			—
GMO International Equity Fund, Class IV		61,754,726		826,158		19,877,916		826,157			—		(1,689,876	)			4,110,546			45,123,638
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		24,177,833		264,818		42,436			—		16,488				705,241			24,634,744
GMO-Usonian Japan Value Creation Fund, Class VI		13,795,046		172,526		904,782		172,526			—		(80,819	)			1,373,740			14,355,711
GMO Multi-Sector Fixed Income Fund, Class IV		40,659,884		—		410,000		—			—		(107,832	)			773,719			40,915,771
GMO Opportunistic Income Fund, Class VI		10,403,498		109,309		630,000		109,310			—		(54,420	)			242,808			10,071,195
GMO Quality Cyclicals Fund, Class VI		10,368,785		559,963		385,582		76,534			483,429		45,618				(2,263	)		10,586,521
GMO Quality Fund, Class VI		9,574,699		21,496		673,165		21,497			—		82,470				1,694,271			10,699,771
GMO Small Cap Quality Fund, Class VI		10,654,800		349,980		836,437		6,643			343,339		137,094				1,121,779			11,427,216
GMO U.S. Equity Fund, Class VI		16,671,178		1,000,409		372,957		48,122			952,285		(67,328	)			509,138			17,740,440
GMO U.S. Opportunistic Value Fund, Class VI		23,008,064		453,210		—		97,548			355,662		—				288,695			23,749,969
GMO U.S. Small Cap Value Fund, Class VI		7,061,808		22,965		61,692		22,964			—		(33,126	)			178,478			7,168,433
GMO U.S. Treasury Fund		8,036		351,534		200,000		1,417			—		19				(3	)		159,586
Totals	$	339,174,915	$	29,507,266	$	34,093,665	$	2,627,037		$	2,134,715	$	(2,190,970	)		$	14,333,818		$	346,731,364
Global Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	5,208,340	$	75,743	$	—	$	75,743		$	—	$	—			$	272,819		$	5,556,902
GMO International Equity Fund, Class IV		26,045,425		393,658		6,600,000		393,658			—		718,966				377,275			20,935,324
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		6,913,730		—		13,729			—		—				238,280			7,152,010
GMO-Usonian Japan Value Creation Fund, Class VI		2,653,243		34,113		—		34,113			—		—				248,570			2,935,926

184

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*			Distributions of Realized Gains*			Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation				Value, end of period
Global Developed Equity Allocation Fund (continued)
GMO Quality Cyclicals Fund, Class VI	$	3,852,762	$	211,000	$	210,000	$	28,839			$	182,161	$	22,796			$	(7,113	)	$	3,869,445
GMO Quality Fund, Class VI		9,468,743		21,879		100,000		21,879				—		24,066				1,736,622			11,151,310
GMO Small Cap Quality Fund, Class VI		3,836,577		130,614		250,000		2,479				128,134		41,090				414,393			4,172,674
GMO U.S. Equity Fund, Class VI		4,067,439		245,886		—		11,828				234,058		—				105,913			4,419,238
GMO U.S. Opportunistic Value Fund, Class VI		10,040,826		262,782		—		42,570				155,213		—				126,501			10,430,109
GMO U.S. Small Cap Value Fund, Class VI		1,811,524		40,892		—		5,891				—		—				36,416			1,888,832
Totals	$	66,984,879	$	8,330,297	$	7,160,000	$	630,729			$	699,566	$	806,918			$	3,549,676		$	72,511,770
Global Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	57,572,405	$	2,847,735	$	572,000	$	857,735			$	—	$	(274,084	)		$	3,353,461		$	62,927,517
GMO Emerging Markets Fund, Class VI		66,864,262		5,513,801		630,000		902,170				—		(352,221	)			1,523,186			72,919,028
GMO International Equity Fund, Class IV		193,720,044		3,757,246		66,471,000		2,700,826				—		(7,334,344	)			15,074,467			138,746,413
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		61,305,323		535,000		120,785				—		23,829				2,071,879			62,866,031
GMO-Usonian Japan Value Creation Fund, Class VI		23,544,917		647,893		743,000		297,893				—		(120,317	)			2,308,489			25,637,982
GMO Quality Cyclicals Fund, Class VI		28,770,184		1,951,098		—		218,001				1,377,009		—				89,895			30,811,177
GMO Quality Fund, Class VI		71,537,500		1,488,300		9,341,000		158,300				—		549,413				12,417,901			76,652,114
GMO Small Cap Quality Fund, Class VI		29,750,989		1,341,749		1,235,000		19,430				1,004,271		220,084				3,396,980			33,474,802
GMO U.S. Equity Fund, Class VI		29,699,442		2,050,632		693,000		86,615				1,714,017		(159,548	)			937,183			31,834,709
GMO U.S. Opportunistic Value Fund, Class VI		70,821,461		3,128,843		190,000		307,595				1,121,501		7,044				935,906			74,703,254
GMO U.S. Small Cap Value Fund, Class VI		17,102,735		1,298,969		100,000		59,784				—		(10,980	)			429,207			18,719,931
Totals	$	589,383,939	$	85,331,589	$	80,510,000	$	5,729,134			$	5,216,798	$	(7,451,124	)		$	42,538,554		$	629,292,958
Consolidated Implementation Fund
GMO U.S. Treasury Fund	$	1,119,668	$	164,201,064	$	152,129,681	$	—	**		$	—	$	38,947			$	503		$	13,230,501
International Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	18,016,158	$	842,090	$	325,226	$	263,771			$	—	$	(132,199	)		$	1,096,921		$	19,497,744
GMO International Equity Fund, Class IV		199,942,022		5,139,021		42,841,000		3,291,589				—		(2,760,066	)			11,810,839			171,290,816

185

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
International Developed Equity Allocation Fund (continued)
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III	$	—	$	42,961,459	$	18,000	$	70,726	$	—	$	81		$	1,168,713	$	44,112,253
GMO-Usonian Japan Value Creation Fund, Class VI		9,172,729		116,667		104,254		116,667		—		(13,291	)		869,051		10,040,902
Totals	$	227,130,909	$	49,059,237	$	43,288,480	$	3,742,753	$	—	$	(2,905,475	)	$	14,945,524	$	244,941,715
International Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	39,608,956	$	638,566	$	12,502,776	$	413,217	$	—	$	(3,084,655	)	$	4,878,752	$	29,538,843
GMO Emerging Markets Fund, Class VI		140,917,055		4,713,299		39,538,735		1,366,460		—		(6,364,750	)		9,186,084		108,912,953
GMO International Equity Fund, Class IV		291,592,810		6,378,268		136,185,726		3,304,637		—		10,922,215			257,446		172,965,013
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		44,242,765		968,821		82,765		—		41,968			1,372,232		44,688,144
GMO-Usonian Japan Value Creation Fund, Class VI		19,689,572		703,455		6,744,486		179,483		—		(349,856	)		1,765,526		15,064,211
Totals	$	491,808,393	$	56,676,353	$	195,940,544	$	5,346,562	$	—	$	1,164,922		$	17,460,040	$	371,169,164
Strategic Opportunities Allocation Fund
GMO Emerging Country Debt Fund, Class VI	$	6,386,651	$	1,019,331	$	—	$	69,332	$	—	$	—		$	366,787	$	7,772,769
GMO Emerging Markets ex-China Fund, Class VI		16,871,485		245,357		1,000,000		245,357		—		(353,180	)		1,286,995		17,050,657
GMO Emerging Markets Fund, Class VI		16,668,100		212,447		—		212,447		—		—			290,757		17,171,304
GMO High Yield Fund, Class VI		—		5,000,000		5,105,758		—		—		105,758			—		—
GMO International Equity Fund, Class IV		24,591,450		5,546,229		1,530,000		440,470		—		97,188			995,706		29,700,573
GMO International Opportunistic Value Fund (formerly GMO Tax-Managed International Equities Fund), Class III		—		17,242,935		1,000,000		42,935		—		73,171			734,628		17,050,734
GMO-Usonian Japan Value Creation Fund, Class VI		10,075,534		113,576		1,300,000		113,576		—		75,821			809,920		9,774,851
GMO Multi-Sector Fixed Income Fund, Class IV		10,765,156		8,200,000		—		—		—		—			136,984		19,102,140
GMO Quality Fund, Class VI		7,408,770		14,641		1,200,000		14,640		—		154,494			1,151,815		7,529,720
GMO Small Cap Quality Fund, Class VI		7,332,851		249,642		—		4,739		244,903		—			887,260		8,469,753
GMO U.S. Equity Fund, Class VI		9,770,751		590,664		—		28,413		562,252		—			254,422		10,615,837

186

GMO Trust Funds

 

 

Notes to Financial Statements — (Continued)

August 31, 2023 (Unaudited)

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*			Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
Strategic Opportunities Allocation Fund (continued)
GMO U.S. Opportunistic Value Fund, Class VI	$	16,800,764	$	330,939	$	—	$	71,230		$	259,709	$	—		$	210,809	$	17,342,512
GMO U.S. Treasury Fund		4,095,276		10,090,421		11,000,000		90,421			—		(23,929	)		30,177		3,191,945
Totals	$	130,766,788	$	48,856,182	$	22,135,758	$	1,333,560		$	1,066,864	$	129,323		$	7,156,260	$	164,772,795

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2023 through August 31, 2023. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2024.

** Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $53,466 and $123,817 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

11. Subsequent events

The Board of Trustees of GMO Trust approved the termination of GMO SGM Major Markets Fund and the Fund liquidated on October 10, 2023.

187

GMO Trust Funds

 

 

Board Review of Investment Management Agreements

August 31, 2023 (Unaudited)

GMO Alternative Allocation Fund

Approval of renewal of management agreement for GMO Alternative Allocation Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that pay management fees, GMO offsets against the fees it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those underlying GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

188

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Benchmark-Free Allocation Fund

Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing and supplemental support fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds. The Trustees noted in particular that, while the Fund may invest in other GMO funds (“underlying GMO funds”) that pay management fees, GMO offsets against the fees it receives from the Fund the management fees, shareholder servicing fees and most other expenses borne by those underlying GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

189

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Benchmark-Free Fund

Approval of renewal of management agreement for GMO Benchmark-Free Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

190

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Asset Allocation Fund

Approval of renewal of management agreement for GMO Global Asset Allocation Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

191

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Developed Equity Allocation Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In

192

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Global Equity Allocation Fund

Approval of renewal of management agreement for GMO Global Equity Allocation Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting

193

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Implementation Fund

Approval of renewal of management agreement for GMO Implementation Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

194

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees considered the fact that the Fund does not pay GMO any fees.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Developed Equity Allocation Fund

Approval of renewal of management agreement for GMO International Developed Equity Allocation Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

195

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees reviewed information comparing the management fees indirectly borne by the Fund as a result of its investing in other GMO funds to the fees shown on GMO’s fee schedule for its separately managed account with an investment strategy similar to that of the Fund. The Trustees noted the differences in the services provided by GMO to the Fund and to that other account, as well as the enterprise, regulatory, and other risks borne by GMO in managing the Fund as compared to the risks borne by GMO in managing that other account. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

196

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO International Equity Allocation Fund

Approval of renewal of management agreement for GMO International Equity Allocation Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

197

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO SGM Major Markets Fund

Approval of renewal of management agreement for GMO SGM Major Markets Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of a composite of accounts with similar objectives managed by GMO and the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

The Trustees also considered the fees payable to GMO under the Fund’s management and shareholder servicing and supplemental support agreements. The Trustees reviewed information comparing the management fee payable by the Fund to the management fees of non-GMO funds in a peer group selected by a third-party data service. The Trustees also considered the shareholder servicing fees charged by GMO to different share classes of the Fund in light of the services provided to each class by GMO.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

198

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels. The Trustees noted that the Fund’s management fee did not have any breakpoints and GMO’s reasons for not including breakpoints.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fee charged under that agreement was reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

GMO Strategic Opportunities Allocation Fund

Approval of renewal of management agreement for GMO Strategic Opportunities Allocation Fund (the “Fund”). At a meeting on June 22, 2023, the Trustees of GMO Trust (the “Trust”) approved the renewal for an additional twelve-month period beginning on June 30, 2023 of the management agreements between Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) and the Trust, on behalf of the Fund and other series of the Trust (collectively, the “GMO funds”).

Throughout the year the Trustees considered information relevant to the renewal of the Fund’s management agreement at and apart from Board meetings. The Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) also requested information specifically for that purpose.

At a meeting on May 30, 2023, the Trustees discussed at length with representatives of GMO the investment performance of the Fund and the other GMO funds. Following that meeting the Independent Trustees and their independent legal counsel met privately to discuss the extensive materials GMO had provided them at their request. At that meeting, the Independent Trustees asked their independent legal counsel to request additional information from GMO, which they received before and at the June 22, 2023 meeting of the Trustees. Prior to and at the June 22 meeting, the Independent Trustees considered that additional information. At the June 22 meeting, representatives of GMO answered the Trustees’ questions, and at the end of the meeting the Independent Trustees met privately once again with their independent legal counsel.

Using various metrics, the Trustees considered the Fund’s investment performance, as well as the performance of the other GMO funds. The Trustees discussed how a fund with investment strategies similar to those used by GMO in managing the Fund would be expected to perform in various market conditions and considered whether the Fund’s performance had met those expectations. The Trustees noted that the Fund is not currently offered as a standalone investment and the investment strategies it pursues are intended to complement the investment strategies of other GMO funds or accounts. In addition, the Trustees considered the Fund’s performance in light of various risk and performance measures and as compared to the performance of non-GMO funds and accounts in peer groups selected by third-party data services.

The Trustees considered the Fund’s expenses and its expense ratio (annual operating expenses per share as a percentage of average annual net asset value per share) as compared to the expense ratios of non-GMO funds in a peer group selected by a third-party data service. In considering the Fund’s expense ratio, the Trustees took into account GMO’s undertaking to reimburse a portion of the Fund’s operating expenses.

199

GMO Trust Funds

 

 

Board Review of Investment Management Agreements — (Continued)

August 31, 2023 (Unaudited)

The Trustees noted that GMO does not charge a management fee or shareholder servicing and supplemental support fee and instead that the Fund indirectly bears the management and shareholder servicing fees paid to GMO by the other GMO funds in which the Fund invests. The Trustees noted that they had approved the management and shareholder servicing and supplemental support agreements between GMO and the other GMO funds in which the Fund may invest and had concluded that the fees payable to GMO under those agreements were reasonable.

The Trustees also considered the non-investment management services GMO provides to the Fund, including but not limited to valuation, legal and compliance, board support, accounting, operational, operational risk management, and technology services.

The Trustees also considered information provided to them by GMO regarding its profits from managing the Fund and the Trust overall. The Trustees reviewed GMO’s methodology in preparing that information and noted that it was substantially consistent with the methodology used in the prior year. They also noted that other methods of calculating profitability could produce different results. The Trustees took note of “fallout benefits” realized by GMO from its management of the Fund and the other GMO funds.

The Trustees considered whether the fees payable by the Fund to GMO reflected possible economies of scale to GMO at the Fund’s recent asset levels.

The Trustees also considered the experience and sophistication of GMO and its personnel (including, among others, management and investment-management personnel and legal, tax, accounting, compliance, and risk-management personnel). In addition, the Trustees considered the resources GMO employed in managing the Fund, GMO’s organization, its reputation and relationship with Fund shareholders, its risk-management policies, its proxy voting policies, and other aspects of GMO’s business relevant to the nature and quality of its services to the Fund.

After reviewing these and other factors, the Trustees concluded that the nature, extent and quality of GMO’s services to the Fund supported their approval of the Fund’s management agreement and that the fees charged under the management agreements (and sub-advisory agreement, as applicable) of the other GMO funds in which the Fund may invest were reasonable.

In the Trustees’ deliberations, each Trustee weighed specific factors as that Trustee thought appropriate. Following their deliberations, the Independent Trustees voting separately, and then all Trustees voting together, approved the renewal of the Fund’s management agreement for another year.

200

GMO Trust Funds

 

 

Liquidity Risk Management Program

August 31, 2023 (Unaudited)

Rule 22e-4 under the Investment Company Act of 1940, as amended, requires open-end registered investment companies (other than money market funds) to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk. Each Fund has adopted a Liquidity Risk Management Program (the “Program”) that is designed to assess and manage liquidity risk, defined as the risk that the Fund could not meet redemption requests without significant dilution of the remaining shareholders’ interests in the Fund. The Program includes the following elements, among others:

• Monitoring of factors material to liquidity risk for each Fund;

• Classification of each Fund’s portfolio investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid, and illiquid;

• Oversight of third parties providing services in support of the Program;

• Determination and review of a highly liquid investment minimum for any Fund that does not primarily hold assets that are highly liquid investments;

• A restriction on each Fund acquiring an illiquid investment if immediately after the acquisition the Fund would have more than 15% of its net assets invested in illiquid investments;

• Periodic reporting to the Board of Trustees, including a written report at least annually that addresses the operation of the Program and assesses its adequacy and effectiveness.

The GMO Trust Board of Trustees reviewed a written report from GMO dated April 15, 2023 addressing the Program’s operation, adequacy and effectiveness.

201

GMO Trust Funds

 

 

Fund Expenses

August 31, 2023 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2023.

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs, including direct and/or indirect management fees, direct and/or indirect shareholder services fees, and supplemental support fees to Class MF and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2023 through August 31, 2023.

Actual Expenses

This section of the table for each class below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

This section of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, this section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Actual						Hypothetical
	Beginning Account Value March 1, 2023	Ending Account Value August 31, 2023	Expenses Paid During the Period*				Beginning Account Value March 1, 2023		Ending Account Value August 31, 2023		Expenses Paid During the Period*				Annualized Expense Ratio
Alternative Allocation Fund
Class VI	$1,000.00	$1,015.70		$8.51				$1,000.00		$1,016.69		$8.52				1.68%
Class R6	$1,000.00	$1,015.60		$9.37				$1,000.00		$1,015.84		$9.37				1.85%
Class I	$1,000.00	$1,014.70		$9.88				$1,000.00		$1,015.33		$9.88				1.95%
Benchmark-Free Allocation Fund
Class III	$1,000.00	$1,036.30		$6.40				$1,000.00		$1,018.85		$6.34				1.25%
Class IV	$1,000.00	$1,036.50		$6.14				$1,000.00		$1,019.10		$6.09				1.20%
Class MF	$1,000.00	$1,036.50		$6.14				$1,000.00		$1,019.10		$6.09				1.20%
Class R6	$1,000.00	$1,036.00		$6.40				$1,000.00		$1,018.85		$6.34				1.25%
Class I	$1,000.00	$1,036.00		$6.91				$1,000.00		$1,018.35		$6.85				1.35%
Benchmark-Free Fund
Class III	$1,000.00	$1,044.50		$3.34				$1,000.00		$1,021.87		$3.30				0.65%
Global Asset Allocation Fund
Class III	$1,000.00	$1,050.00		$3.56				$1,000.00		$1,021.67		$3.51				0.69%
Class R6	$1,000.00	$1,050.10		$3.56				$1,000.00		$1,021.67		$3.51				0.69%
Class I	$1,000.00	$1,049.70		$4.07				$1,000.00		$1,021.17		$4.01				0.79%
Global Developed Equity Allocation Fund
Class III	$1,000.00	$1,084.80		$2.83				$1,000.00		$1,022.42		$2.75				0.54%
Global Equity Allocation Fund
Class III	$1,000.00	$1,078.40		$3.03				$1,000.00		$1,022.22		$2.95				0.58%
Class R6	$1,000.00	$1,078.00		$3.03				$1,000.00		$1,022.22		$2.95				0.58%
Class I	$1,000.00	$1,077.30		$3.55				$1,000.00		$1,021.72		$3.46				0.68%

202

GMO Trust Funds

 

 

Fund Expenses — (Continued)

August 31, 2023 (Unaudited)

	Actual					Hypothetical
	Beginning Account Value March 1, 2023	Ending Account Value August 31, 2023	Expenses Paid During the Period*			Beginning Account Value March 1, 2023		Ending Account Value August 31, 2023		Expenses Paid During the Period*				Annualized Expense Ratio
Implementation Fund
Core Class	$1,000.00	$1,040.40	$2.56				$1,000.00		$1,022.62		$2.54				0.50%
International Developed Equity Allocation Fund
Class III	$1,000.00	$1,069.40	$3.28				$1,000.00		$1,021.97		$3.20				0.63%
Class R6	$1,000.00	$1,069.40	$3.28				$1,000.00		$1,021.97		$3.20				0.63%
International Equity Allocation Fund
Class III	$1,000.00	$1,058.10	$3.52				$1,000.00		$1,021.72		$3.46				0.68%
Class R6	$1,000.00	$1,058.10	$3.52				$1,000.00		$1,021.72		$3.46				0.68%
SGM Major Markets Fund
Class III	$1,000.00	$995.30	$5.12				$1,000.00		$1,020.01		$5.18				1.02%
Class VI	$1,000.00	$995.70	$4.67				$1,000.00		$1,020.46		$4.72				0.93%
Class I	$1,000.00	$994.50	$5.62				$1,000.00		$1,019.51		$5.69				1.12%
Strategic Opportunities Allocation Fund
Class III	$1,000.00	$1,050.30	$4.38				$1,000.00		$1,020.86		$4.32				0.85%

* Expenses are calculated using each class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2023, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

203

SR-083123-AA

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

The complete schedule of investments for each series of the registrant is included as part of the semi-annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 13. Exhibits.

(a)(1) Not applicable to this filing.

(a)(2) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as EX-99.CERT.

(a)(3) Not applicable to this registrant.

(b) Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Chief Executive Officer
	Date: November 1, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):	/s/ Tara Pari
	Tara Pari, Principal Executive Officer
	Date: November 1, 2023
By (Signature and Title):	/s/ Betty Maganzini
	Betty Maganzini, Principal Financial Officer
	Date: November 1, 2023