EX-99 9 anaattach.htm Unassociated Document
 
 

 

 
GMO Trust
                                             
 
FYE 2/29/2008
                                             
 
Attachment Filed in Response to Form N-SAR Sub-Item 77P
                                         
 
Monthly Average Assets
                                             
                                                 
 
Fund Name
 
 March
 
 April
 
 May
                                 
                                                 
04005
GMO Short-Duration Investment Fund
 
           31,302,123.02
 
           31,209,311.03
 
           22,910,384.95
                                 
04008
GMO Tobacco-Free Core Fund
 
         325,861,884.00
 
         338,310,313.33
 
         344,630,723.94
                                 
04014
GMO U.S. Equity Allocation Fund
 
         142,120,904.89
 
         147,479,675.71
 
         147,860,512.54
                                 
04015
GMO International Bond Fund
 
         449,190,558.91
 
         447,120,717.56
 
         516,744,761.38
                                 
04021
GMO Emerging Country Debt Fund
 
      2,879,758,622.17
 
      2,916,192,145.92
 
      2,955,340,255.04
                                 
04025
GMO Domestic Bond Fund
 
         452,538,276.22
 
         506,129,658.26
 
         505,976,960.27
                                 
04026
GMO Currency Hedged International Bond Fund
 
         273,801,214.21
 
         238,160,500.63
 
         206,906,669.76
                                 
04029
GMO Global Bond Fund
 
         185,565,658.34
 
         190,044,071.50
 
         194,183,361.47
                                 
04030
GMO Real Estate Fund
 
           36,383,449.16
 
           36,633,322.57
 
           35,141,924.24
                                 
04036
GMO Global Balanced Asset Allocation Fund
 
      3,085,881,022.19
 
      3,198,726,689.35
 
      3,264,630,193.63
                                 
04035
GMO International Equity Allocation Fund
 
         760,673,859.34
 
         803,550,480.39
 
         826,768,089.71
                                 
04037
GMO Global (U.S.+) Equity Allocation Fund
 
         354,022,616.54
 
         367,559,139.53
 
         380,712,739.96
                                 
04040
GMO Core Plus Bond Fund
 
      2,043,420,008.52
 
      1,429,976,412.60
 
      1,427,890,275.05
                                 
04047
GMO Tax-Managed U.S. Equities Fund
 
         116,521,320.62
 
         120,988,816.57
 
         124,161,170.58
                                 
04053
GMO Tax-Managed Small/Mid Cap Fund
 
           23,714,300.23
 
           24,283,384.71
 
           24,663,450.63
                                 
04055
GMO Special Purpose Holding Fund
 
              1,437,247.82
 
                 782,649.32
 
                 793,637.98
                                 
04061
GMO Benchmark-Free Allocation Fund
 
      1,294,958,418.18
 
      1,329,008,835.50
 
      1,334,937,755.70
                                 
04062
GMO U.S. Quality Equity Fund
 
      5,368,214,985.80
 
      5,664,961,073.28
 
      6,030,233,251.30
                                 
04077
GMO World Opportunity Overlay Fund
 
      1,563,002,360.18
 
      1,351,837,110.92
 
      1,366,453,696.50
                                 
04079
GMO Alternative Asset Opportunity Fund
 
         172,850,640.13
 
         174,921,407.59
 
         173,061,888.70
                                 
04083
GMO World Opportunities Equity Allocation Fund
 
         908,445,765.99
 
         951,625,626.65
 
         975,497,287.79
                                 
04084
GMO Strategic Opportunities Allocation Fund
 
         529,561,457.29
 
         552,887,942.25
 
         567,993,827.35
                                 
04065
GMO Short-Duration Collateral Fund
 
      6,961,151,970.15
 
      7,173,630,123.50
 
      7,237,741,627.78
                                 
04087
GMO Short-Duration Collateral Share Fund
 
           50,178,777.99
 
           47,990,119.77
 
           47,386,482.19
                                 
44001
GMO U.S. Core Equity Fund
 
      6,168,819,458.09
 
      5,910,743,914.00
 
      4,723,916,609.07
                                 
44002
GMO U.S. Growth Fund
 
         289,115,228.22
 
         293,943,167.69
 
         298,527,568.70
                                 
44004
GMO U.S. Value Fund
 
           41,279,151.16
 
           42,361,230.52
 
           43,506,289.64
                                 
44012
GMO U.S. Small/Mid Cap Value Fund
 
           57,306,933.99
 
           59,145,220.62
 
           59,523,015.66
                                 
44016
GMO U.S. Small/Mid Cap Growth Fund
 
           24,699,970.17
 
           25,604,833.91
 
           26,011,285.82
                                 
04100
GMO Strategic Fixed Income Fund
 
      2,989,038,159.08
 
      3,981,528,468.27
 
      4,007,044,596.08
                                 
04101
GMO International Opportunities Equity Allocation Fund
 
         480,999,560.22
 
         543,910,322.37
 
         572,010,449.01
                                 
04102
GMO Inflation Indexed Plus Fund
 
      2,001,945,611.88
 
      1,580,909,242.90
 
      1,572,480,459.71
                                 
44051
GMO U.S. Intrinsic Value Fund
 
           35,635,792.84
 
           37,059,087.17
 
           38,103,290.32
                                 
04006
GMO International Intrinsic Value Fund
 
      7,882,796,153.13
 
      8,281,327,186.72
 
      8,475,173,718.27
                                 
04010
GMO International Small Companies Fund
 
         794,296,251.20
 
         813,391,101.75
 
         820,192,319.81
                                 
04018
GMO Emerging Markets Fund
 
    12,567,656,262.79
 
    13,422,345,729.84
 
    13,828,417,723.41
                                 
04024
GMO Alpha Only Fund
 
      1,868,434,536.18
 
      1,879,080,380.85
 
      1,885,714,914.08
                                 
04028
GMO Currency Hedged International Equity Fund
 
         224,762,498.22
 
         227,894,944.07
 
         234,483,039.20
                                 
04031
GMO Developed World Stock Fund
 
         486,991,375.03
 
         503,560,742.39
 
         518,968,446.59
                                 
04032
GMO Foreign Fund
 
      8,974,490,992.53
 
      9,396,048,449.66
 
      9,620,394,125.12
                                 
04043
GMO Emerging Countries Fund
 
         368,504,442.67
 
         391,367,619.16
 
         401,923,111.33
                                 
04046
GMO Emerging Markets Quality Fund
 
         836,871,258.54
 
         904,296,615.77
 
         936,903,240.88
                                 
04048
GMO Tax-Managed International Equities Fund
 
      1,110,968,956.97
 
      1,188,888,829.15
 
      1,221,444,951.60
                                 
04056
GMO Foreign Small Companies Fund
 
      1,122,494,439.70
 
      1,189,268,633.27
 
      1,222,936,971.99
                                 
04070
GMO Taiwan Fund
 
         310,433,343.14
 
         305,981,331.93
 
         302,667,515.18
                                 
04066Y
GMO Global Growth Fund
 
           19,172,842.70
 
           12,275,716.38
 
           12,645,706.26
                                 
44058
GMO International Growth Equity Fund
 
      3,854,857,542.55
 
      4,060,634,370.99
 
      4,146,886,258.85
                                 
44057
GMO International Core Equity Fund
 
      3,011,981,819.74
 
      3,713,953,645.62
 
      5,159,154,903.27
                                 
                                                 
 
Total
 
    83,534,110,022.63
 
    86,809,530,313.43
 
    88,841,651,438.28
                                 
                                                 
 
Fund Name
 
 June
 
 July
 
 August
                                 
                                                 
04005
GMO Short-Duration Investment Fund
 
           16,798,464.50
 
           11,242,543.48
 
              9,844,727.78
                                 
04008
GMO Tobacco-Free Core Fund
 
         284,452,427.65
 
         174,439,311.65
 
         157,229,746.72
                                 
04014
GMO U.S. Equity Allocation Fund
 
         140,535,265.37
 
         139,245,897.57
 
         128,932,680.92
                                 
04015
GMO International Bond Fund
 
         505,798,046.06
 
         518,303,145.33
 
         544,519,935.70
                                 
04021
GMO Emerging Country Debt Fund
 
      2,940,479,729.81
 
      2,944,277,016.28
 
      2,870,855,575.37
                                 
04025
GMO Domestic Bond Fund
 
         523,990,146.96
 
         580,356,240.91
 
         614,257,447.00
                                 
04026
GMO Currency Hedged International Bond Fund
 
         221,403,235.43
 
         252,720,655.23
 
         251,711,450.03
                                 
04029
GMO Global Bond Fund
 
         192,715,590.48
 
         213,802,855.24
 
         292,040,415.06
                                 
04030
GMO Real Estate Fund
 
           33,140,450.30
 
           30,738,314.89
 
           26,291,652.27
                                 
04036
GMO Global Balanced Asset Allocation Fund
 
      3,319,087,898.00
 
      3,501,139,214.20
 
      3,514,432,011.94
                                 
04035
GMO International Equity Allocation Fund
 
         840,835,871.91
 
         870,057,342.53
 
         815,609,958.43
                                 
04037
GMO Global (U.S.+) Equity Allocation Fund
 
         384,680,382.64
 
         389,511,850.07
 
         370,494,771.84
                                 
04040
GMO Core Plus Bond Fund
 
      1,510,207,780.19
 
      1,566,615,042.14
 
      1,358,927,285.28
                                 
04047
GMO Tax-Managed U.S. Equities Fund
 
         123,557,848.95
 
         121,442,918.55
 
         115,653,458.99
                                 
04053
GMO Tax-Managed Small/Mid Cap Fund
 
           22,261,562.36
 
           21,041,572.17
 
           18,964,012.24
                                 
04055
GMO Special Purpose Holding Fund
 
                 795,109.17
 
                 796,639.27
 
                 798,114.94
                                 
04061
GMO Benchmark-Free Allocation Fund
 
      1,342,000,386.06
 
      1,367,635,627.78
 
      1,336,940,022.72
                                 
04062
GMO U.S. Quality Equity Fund
 
      6,154,264,379.81
 
      6,333,230,707.28
 
      6,527,415,721.72
                                 
04077
GMO World Opportunity Overlay Fund
 
      1,436,505,003.00
 
      1,636,228,265.03
 
      1,680,922,275.54
                                 
04079
GMO Alternative Asset Opportunity Fund
 
         170,259,555.91
 
         162,902,452.85
 
         145,398,760.05
                                 
04083
GMO World Opportunities Equity Allocation Fund
 
         979,236,974.07
 
         982,381,540.71
 
         918,280,022.77
                                 
04084
GMO Strategic Balanced Allocation Fund
 
         576,705,791.39
 
         585,046,949.70
 
         560,324,010.90
                                 
04065
GMO Short-Duration Collateral Fund
 
      7,444,196,537.40
 
      7,766,447,001.31
 
      7,804,474,323.44
                                 
04087
GMO Short-Duration Collateral Share Fund
 
           47,210,526.32
 
           48,239,812.18
 
           48,270,100.89
                                 
04088
GMO Special Situation Fund
         
         294,105,411.21
                                 
44001
GMO U.S. Core Equity Fund
 
      4,522,775,993.98
 
      4,467,719,936.11
 
      4,317,309,835.41
                                 
44002
GMO U.S. Growth Fund
 
         296,127,990.99
 
         296,393,890.69
 
         271,675,566.95
                                 
44004
GMO U.S. Value Fund
 
           43,422,753.09
 
           41,543,561.46
 
           38,579,146.88
                                 
44012
GMO U.S. Small/Mid Cap Value Fund
 
           58,950,843.15
 
           57,272,412.69
 
           51,321,051.19
                                 
44016
GMO U.S. Small/Mid Cap Growth Fund
 
           25,526,428.59
 
           24,740,032.84
 
           22,789,512.86
                                 
04100
GMO Strategic Fixed Income Fund
 
      3,838,142,492.05
 
      2,855,058,120.31
 
      2,543,796,386.59
                                 
04101
GMO International Opportunities Equity Allocation Fund
 
         607,811,492.53
 
         666,146,237.42
 
         646,236,108.64
                                 
04102
GMO Inflation Indexed Plus Fund
 
      1,890,372,692.60
 
      3,258,224,508.60
 
      3,703,291,064.35
                                 
44051
GMO U.S. Intrinsic Value Fund
 
           37,897,553.27
 
           37,548,201.43
 
           35,494,979.59
                                 
04006
GMO International Intrinsic Value Fund
 
      8,571,779,409.27
 
      8,680,153,165.02
 
      8,146,835,536.79
                                 
04010
GMO International Small Companies Fund
 
         824,933,002.57
 
         890,799,630.83
 
         784,316,427.49
                                 
04018
GMO Emerging Markets Fund
 
    14,334,484,759.82
 
    15,257,881,401.08
 
    13,806,582,343.98
                                 
04024
GMO Alpha Only Fund
 
      1,818,817,915.86
 
      1,582,834,723.39
 
      1,599,699,092.59
                                 
04028
GMO Currency Hedged International Equity Fund
 
         237,593,844.54
 
         232,440,187.43
 
         189,682,644.83
                                 
04031
GMO Developed World Stock Fund
 
         523,154,087.45
 
         529,284,962.84
 
         497,463,393.01
                                 
04032
GMO Foreign Fund
 
      9,670,386,739.64
 
      9,800,241,272.20
 
      9,140,187,493.87
                                 
04043
GMO Emerging Countries Fund
 
         409,719,534.21
 
         438,461,019.96
 
         405,754,100.62
                                 
04046
GMO Emerging Markets Quality Fund
 
         981,650,782.81
 
      1,038,518,961.11
 
         948,439,695.56
                                 
04048
GMO Tax-Managed International Equities Fund
 
      1,236,012,138.89
 
      1,262,009,595.58
 
      1,181,542,879.40
                                 
04056
GMO Foreign Small Companies Fund
 
      1,224,648,793.64
 
      1,243,213,522.76
 
      1,141,244,517.85
                                 
04070
GMO Taiwan Fund
 
         320,214,323.58
 
         355,771,263.76
 
         338,163,048.84
                                 
04066Y
GMO Global Growth Fund
 
           12,766,276.25
 
           12,972,946.30
 
           12,293,602.37
                                 
44058
GMO International Growth Equity Fund
 
      4,155,668,544.03
 
      4,227,867,641.58
 
      3,939,588,638.62
                                 
44057
GMO International Core Equity Fund
 
      5,449,425,726.32
 
      5,676,713,983.67
 
      5,891,306,851.94
                                 
                                                 
 
Total
 
    90,303,403,082.84
 
    93,151,654,095.41
 
    90,060,287,813.98
                                 
                                                 
 
Fund Name
 
 September
 
 October
 
 November
                                 
                                                 
04005
GMO Short-Duration Investment Fund
 
              9,701,600.75
 
              9,450,144.24
 
              9,292,506.37
                                 
04008
GMO Tobacco-Free Core Fund
 
         107,623,618.04
 
         106,437,709.53
 
           83,244,656.65
                                 
04014
GMO U.S. Equity Allocation Fund
 
         129,598,187.44
 
         129,338,494.36
 
         103,446,574.81
                                 
04015
GMO International Bond Fund
 
         542,568,456.68
 
         543,889,187.87
 
         559,225,658.20
                                 
04021
GMO Emerging Country Debt Fund
 
      2,919,965,641.54
 
      2,989,534,020.22
 
      2,983,525,770.00
                                 
04025
GMO Domestic Bond Fund
 
         628,466,156.44
 
         631,383,441.90
 
         638,755,575.15
                                 
04026
GMO Currency Hedged International Bond Fund
 
         237,953,783.99
 
         198,217,188.46
 
         198,222,042.21
                                 
04029
GMO Global Bond Fund
 
         298,286,941.52
 
         300,422,412.02
 
         307,437,315.31
                                 
04030
GMO Real Estate Fund
 
           26,359,666.17
 
           27,579,151.37
 
           24,997,514.24
                                 
04036
GMO Global Balanced Asset Allocation Fund
 
      3,611,410,862.30
 
      3,865,816,954.76
 
      3,869,116,749.43
                                 
04035
GMO International Equity Allocation Fund
 
         850,875,191.50
 
         909,539,097.82
 
         869,271,700.77
                                 
04037
GMO Global (U.S.+) Equity Allocation Fund
 
         380,896,845.55
 
         394,634,679.52
 
         379,954,388.56
                                 
04040
GMO Core Plus Bond Fund
 
      1,357,543,371.82
 
      1,343,044,006.81
 
      1,215,916,846.97
                                 
04047
GMO Tax-Managed U.S. Equities Fund
 
         117,412,882.85
 
         107,489,275.48
 
           99,766,124.14
                                 
04053
GMO Tax-Managed Small/Mid Cap Fund
 
           18,753,872.57
 
           18,190,353.37
 
           16,594,144.15
                                 
04055
GMO Special Purpose Holding Fund
 
                 807,472.08
 
                 739,805.05
 
                 683,484.57
                                 
04061
GMO Benchmark-Free Allocation Fund
 
      1,362,082,926.67
 
      1,669,855,581.53
 
      1,657,885,472.19
                                 
04062
GMO U.S. Quality Equity Fund
 
      6,799,290,618.48
 
      6,990,376,566.84
 
      6,956,175,874.54
                                 
04077
GMO World Opportunity Overlay Fund
 
      1,686,633,023.39
 
      1,677,580,683.87
 
      1,651,731,452.54
                                 
04079
GMO Alternative Asset Opportunity Fund
 
           29,391,988.48
 
           30,097,793.89
 
           30,728,975.31
                                 
04083
GMO World Opportunities Equity Allocation Fund
 
         940,352,689.54
 
      1,082,218,262.18
 
      1,046,246,333.94
                                 
04084
GMO Strategic Balanced Allocation Fund
 
         984,709,332.90
 
      1,081,666,851.34
 
      1,065,864,840.87
                                 
04065
GMO Short-Duration Collateral Fund
 
      7,882,369,052.06
 
      7,943,669,357.62
 
      7,913,732,641.26
                                 
04087
GMO Short-Duration Collateral Share Fund
 
           47,257,957.71
 
           28,688,751.07
 
           28,335,294.08
                                 
04088
GMO Special Situation Fund
 
         334,770,116.56
 
         348,626,990.42
 
         575,356,105.41
                                 
44001
GMO U.S. Core Equity Fund
 
      4,437,164,162.64
 
      4,462,545,082.08
 
      4,210,991,391.67
                                 
44002
GMO U.S. Growth Fund
 
         273,300,256.54
 
         280,990,841.99
 
         268,853,794.44
                                 
44004
GMO U.S. Value Fund
 
           29,059,386.35
 
           15,447,847.36
 
           14,338,557.40
                                 
44012
GMO U.S. Small/Mid Cap Value Fund
 
           50,901,587.99
 
           50,464,498.66
 
           44,542,296.44
                                 
44016
GMO U.S. Small/Mid Cap Growth Fund
 
           19,794,673.48
 
           17,243,004.00
 
           14,526,267.23
                                 
04100
GMO Strategic Fixed Income Fund
 
      2,514,796,941.62
 
      2,551,209,248.52
 
      2,558,266,147.00
                                 
04101
GMO International Opportunities Equity Allocation Fund
 
         673,927,544.11
 
         716,924,936.69
 
         727,972,953.05
                                 
04102
GMO Inflation Indexed Plus Fund
 
      3,758,791,170.96
 
      3,731,737,683.07
 
      3,766,272,124.51
                                 
44051
GMO U.S. Intrinsic Value Fund
 
           34,680,366.87
 
           34,408,637.48
 
           30,434,218.75
                                 
04006
GMO International Intrinsic Value Fund
 
      8,512,942,785.30
 
      8,907,027,416.39
 
      8,560,099,212.06
                                 
04010
GMO International Small Companies Fund
 
         805,673,286.16
 
         869,673,752.30
 
         801,758,927.54
                                 
04018
GMO Emerging Markets Fund
 
    14,639,596,211.66
 
    16,032,297,692.00
 
    15,173,401,985.56
                                 
04024
GMO Alpha Only Fund
 
      1,787,947,544.57
 
      1,868,710,493.59
 
      1,963,116,007.12
                                 
04028
GMO Currency Hedged International Equity Fund
 
         192,950,322.40
 
         197,612,965.36
 
         183,674,608.90
                                 
04031
GMO Developed World Stock Fund
 
         510,292,250.17
 
         533,041,423.23
 
         507,552,823.98
                                 
04032
GMO Foreign Fund
 
      9,368,061,310.50
 
      9,833,105,664.41
 
      9,593,698,691.81
                                 
04043
GMO Emerging Countries Fund
 
         435,817,511.01
 
         479,580,342.80
 
         463,949,263.45
                                 
04046
GMO Emerging Markets Quality Fund
 
      1,053,570,529.31
 
      1,162,300,354.70
 
      1,137,774,505.15
                                 
04048
GMO Tax-Managed International Equities Fund
 
      1,220,038,987.03
 
      1,293,665,738.97
 
      1,259,583,397.14
                                 
04056
GMO Foreign Small Companies Fund
 
      1,152,653,407.14
 
      1,194,376,690.34
 
      1,124,661,155.62
                                 
04070
GMO Taiwan Fund
 
         344,194,335.56
 
         344,709,840.64
 
         283,011,626.73
                                 
04066Y
GMO Global Growth Fund
 
           12,826,936.58
 
           13,504,255.46
 
           13,067,399.29
                                 
44058
GMO International Growth Equity Fund
 
      4,198,832,630.96
 
      4,416,285,141.00
 
      4,218,940,021.82
                                 
44057
GMO International Core Equity Fund
 
      6,227,404,667.02
 
      6,641,941,319.16
 
      6,428,820,099.05
                                 
                                                 
 
Total
 
    93,560,301,062.94
 
    98,077,291,631.72
 
    95,634,815,517.37
                                 
                                                 
 
Fund Name
 
 December
 
 January
 
 February
                                 
                                                 
04005
GMO Short-Duration Investment Fund
 
              8,908,912.03
 
              8,255,138.47
 
              7,881,582.78
                                 
04008
GMO Tobacco-Free Core Fund
 
           45,715,116.14
 
           43,453,316.57
 
           45,790,958.82
                                 
04014
GMO U.S. Equity Allocation Fund
 
         105,546,612.09
 
         102,010,200.77
 
           96,457,010.27
                                 
04015
GMO International Bond Fund
 
         524,021,881.80
 
         497,272,474.85
 
         501,955,107.96
                                 
04021
GMO Emerging Country Debt Fund
 
      3,009,345,001.29
 
      3,020,640,600.05
 
      2,876,191,638.74
                                 
04025
GMO Domestic Bond Fund
 
         671,011,572.18
 
         751,331,975.09
 
         730,611,221.45
                                 
04026
GMO Currency Hedged International Bond Fund
 
         193,266,039.80
 
         191,248,241.73
 
         167,618,457.70
                                 
04029
GMO Global Bond Fund
 
         318,184,885.56
 
         331,498,372.60
 
         330,124,896.59
                                 
04030
GMO Real Estate Fund
 
           24,134,534.29
 
           21,620,580.69
 
           20,955,780.75
                                 
04036
GMO Global Balanced Asset Allocation Fund
 
      3,862,090,914.15
 
      3,846,209,340.79
 
      3,875,990,556.51
                                 
04035
GMO International Equity Allocation Fund
 
         827,531,486.76
 
         768,693,462.44
 
         746,082,391.74
                                 
04037
GMO Global (U.S.+) Equity Allocation Fund
 
         385,197,994.61
 
         361,784,048.73
 
         355,821,583.29
                                 
04040
GMO Core Plus Bond Fund
 
      1,187,295,581.19
 
      1,178,374,643.52
 
      1,149,957,648.77
                                 
04047
GMO Tax-Managed U.S. Equities Fund
 
         100,401,418.74
 
           92,793,870.17
 
           89,879,494.53
                                 
04053
GMO Tax-Managed Small/Mid Cap Fund
 
              9,549,154.61
 
              6,537,734.31
                                     
04055
GMO Special Purpose Holding Fund
 
                 684,663.52
 
                 691,524.83
 
                 696,502.52
                                 
04061
GMO Benchmark-Free Allocation Fund
 
      1,657,958,528.33
 
      1,623,933,145.74
 
      1,605,887,900.02
                                 
04062
GMO U.S. Quality Equity Fund
 
      7,680,397,984.23
 
      8,181,633,039.14
 
      8,396,153,915.88
                                 
04077
GMO World Opportunity Overlay Fund
 
      1,631,997,598.20
 
      1,607,828,957.87
 
      1,511,732,030.50
                                 
04079
GMO Alternative Asset Opportunity Fund
 
           30,595,159.87
 
           31,412,075.66
 
           32,544,399.88
                                 
04083
GMO World Opportunities Equity Allocation Fund
 
      1,048,533,579.19
 
         982,283,969.64
 
         948,334,720.23
                                 
04084
GMO Strategic Balanced Allocation Fund
 
      1,073,695,380.39
 
      1,060,808,792.31
 
      1,091,802,637.06
                                 
04065
GMO Short-Duration Collateral Fund
 
      7,929,707,874.73
 
      7,863,375,115.49
 
      7,733,038,442.57
                                 
04087
GMO Short-Duration Collateral Share Fund
 
           21,298,221.70
 
           11,684,642.36
 
           10,781,550.11
                                 
04088
GMO Special Situation Fund
 
         624,093,724.82
 
         695,189,165.35
 
         703,242,855.75
                                 
44001
GMO U.S. Core Equity Fund
 
      4,159,721,558.20
 
      3,817,170,572.75
 
      3,768,868,716.11
                                 
44002
GMO U.S. Growth Fund
 
         266,633,973.79
 
         208,978,160.26
 
         199,931,258.84
                                 
44004
GMO U.S. Value Fund
 
           11,982,320.23
 
              1,937,072.89
                                     
44012
GMO U.S. Small/Mid Cap Value Fund
 
           43,204,776.80
 
           38,941,118.74
 
           40,202,791.84
                                 
44016
GMO U.S. Small/Mid Cap Growth Fund
 
           13,894,361.67
 
           12,276,182.43
 
           10,059,182.48
                                 
04100
GMO Strategic Fixed Income Fund
 
      2,539,520,154.19
 
      2,533,244,254.44
 
      4,763,821,713.56
                                 
04101
GMO International Opportunities Equity Allocation Fund
 
         747,348,941.11
 
         708,483,823.99
 
         703,585,218.04
                                 
04102
GMO Inflation Indexed Plus Fund
 
      3,650,707,689.96
 
      3,632,839,955.00
 
      1,004,353,471.22
                                 
44051
GMO U.S. Intrinsic Value Fund
 
           30,938,297.25
 
           30,204,682.44
 
           29,808,679.13
                                 
04006
GMO International Intrinsic Value Fund
 
      8,241,325,853.22
 
      7,495,970,579.93
 
      7,227,859,686.05
                                 
04010
GMO International Small Companies Fund
 
         736,792,388.25
 
         661,604,325.59
 
         663,420,338.61
                                 
04018
GMO Emerging Markets Fund
 
    14,773,179,686.03
 
    13,638,897,240.38
 
    13,311,952,144.83
                                 
04024
GMO Alpha Only Fund
 
      2,030,278,069.49
 
      2,124,447,711.27
 
      2,568,893,779.09
                                 
04028
GMO Currency Hedged International Equity Fund
 
           63,296,240.37
 
           31,611,821.66
 
           30,602,732.72
                                 
04031
GMO Developed World Stock Fund
 
         542,980,770.82
 
         512,447,785.08
 
         514,487,117.59
                                 
04032
GMO Foreign Fund
 
      9,510,463,381.30
 
      8,796,656,780.32
 
      8,439,206,827.79
                                 
04043
GMO Emerging Countries Fund
 
         454,907,896.55
 
         409,190,041.29
 
         395,808,885.05
                                 
04046
GMO Emerging Markets Quality Fund
 
      1,159,740,846.17
 
      1,090,299,879.50
 
      1,083,117,753.52
                                 
04048
GMO Tax-Managed International Equities Fund
 
      1,240,348,741.34
 
      1,147,908,304.97
 
      1,093,750,887.75
                                 
04056
GMO Foreign Small Companies Fund
 
      1,088,944,067.27
 
         999,048,701.20
 
         980,618,912.29
                                 
04070
GMO Taiwan Fund
 
         223,983,765.86
 
         205,575,171.66
 
         207,091,614.40
                                 
04066Y
GMO Global Growth Fund
 
           19,641,725.17
 
           29,956,302.88
 
           31,545,230.86
                                 
44058
GMO International Growth Equity Fund
 
      3,951,229,373.70
 
      3,513,564,601.37
 
      3,498,660,530.31
                                 
44057
GMO International Core Equity Fund
 
      6,227,896,531.63
 
      5,590,817,997.47
 
      5,397,668,094.24
                                 
                                                 
 
Total
 
    94,700,125,230.58
 
    90,512,637,496.69
 
    88,994,848,850.72