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)

40 Rowes Wharf, Boston, MA 02110

(Address of principal executive offices) (Zip Code)

J.B. Kittredge, Chief Executive Officer, 40 Rowes Wharf, Boston, MA 02110
(Name and address of agent for services)

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

Date of fiscal year end: 02/29/12

Date of reporting period: 08/31/11

TABLE OF CONTENTS

	Item 1. Reports to Stockholders
	Item 2. Code of Ethics
	Item 3. Audit Committee Financial Expert
	Item 4. Principal Accountant Fees and Services
	Item 5. Audit Committee of Listed Registrants
	Item 6. Schedule of Investments
	Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
	Item 8. Portfolio Managers of Closed-End Management Investment Companies
	Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
	Item 10. Submission of Matters to a Vote of Security Holders
	Item 11. Controls and Procedures
	Item 12. Exhibits
SIGNATURES

Item 1. Reports to Stockholders.

The semiannual reports for each series of the registrant for the periods ended August 31, 2011 are filed herewith.

GMO Alpha Only Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Alpha Only Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		82.8	%
Short-Term Investments		6.0
Swap Agreements		3.3
Investment Funds		2.2
Futures Contracts		2.2
Preferred Stocks		0.4
Forward Currency Contracts		0.0	Ù
Other		3.1
		100.0	%

*

The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Swap agreements and futures contracts in the table are based on the net unrealized appreciation/depreciation of the respective contracts. The Fund’s investment program involves having both long and short investment exposures. The additional short exposures that the Fund has to swap agreements and futures contracts based on notional amounts are (38.1%) and (57.3%) of net assets, respectively.

Ù

Rounds to 0.0%

1

GMO Alpha Only Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		MUTUAL FUNDS — 87.6%
		United States — 87.6%
		Affiliated Issuers
	22,190,076	GMO International Growth Equity Fund, Class IV		498,832,899
	24,365,806	GMO International Intrinsic Value Fund, Class IV		497,306,092
	30,933,718	GMO Quality Fund, Class VI		648,680,071
	28,825,726	GMO U.S. Core Equity Fund, Class VI		336,107,969
		Total United States		1,980,927,031
		TOTAL MUTUAL FUNDS (COST $1,936,293,111)		1,980,927,031
		INVESTMENT FUNDS — 2.0%
		United States — 2.0%
	1,036,341	Vanguard Emerging Markets ETF (a)		45,547,187
		TOTAL INVESTMENT FUNDS (COST $45,842,571)		45,547,187
		SHORT-TERM INVESTMENTS — 2.9%
		Time Deposits — 2.9%
USD	15,000,000	Commerzbank (Frankfurt) Time Deposit, 0.03%, due 09/01/11		15,000,000
USD	5,527,340	Deustche Bank (Frankfurt) Time Deposit, 0.03%, due 09/01/11		5,527,340
USD	15,000,000	Kredietbank ABB Insurance CERA Bank (Brussels) Time Deposit, 0.03%, due 09/01/11		15,000,000
USD	15,000,000	Royal Bank of Scotland (London) Time Deposit, 0.03%, due 09/01/11		15,000,000
USD	15,000,000	Societe Generale (Paris) Time Deposit, 0.03%, due 09/01/11		15,000,000
		Total Time Deposits		65,527,340
		TOTAL SHORT-TERM INVESTMENTS (COST $65,527,340)		65,527,340
		TOTAL INVESTMENTS — 92.5% (Cost $2,047,663,022)		2,092,001,558
		Other Assets and Liabilities (net) — 7.5%		170,651,938
		TOTAL NET ASSETS — 100.0%	$	2,262,653,496

2 See accompanying notes to the financial statements.

GMO Alpha Only Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement			Deliver/	Units of				Appreciation
Date	Counterparty		Receive	Currency		Value		(Depreciation)
Sales #
10/21/11		Bank of America, N.A.	AUD		4,912,247	$	5,217,873	$	(140,924	)
10/21/11		Deutsche Bank AG	AUD		7,963,498		8,458,965		(184,652	)
10/21/11		Royal Bank of Scotland PLC	AUD		6,042,541		6,418,491		(175,006	)
10/21/11		State Street Bank and Trust Company	AUD		7,324,457		7,780,165		(165,915	)
10/21/11		Bank of America, N.A.	CHF		5,980,971		7,433,028		190,566
10/21/11		Bank of New York Mellon	CHF		6,597,275		8,198,958		271,956
10/21/11		Barclays Bank PLC	CHF		8,810,178		10,949,108		266,048
10/21/11		Bank of America, N.A.	DKK		2,992,751		576,762		1,126
10/21/11		Barclays Bank PLC	DKK		7,488,281		1,443,140		1,777
10/21/11		Morgan Stanley Capital Services Inc.	DKK		5,630,080		1,085,028		958
10/21/11		Bank of New York Mellon	EUR		13,143,148		18,868,652		(2,123	)
10/21/11		Brown Brothers Harriman & Co.	EUR		11,709,295		16,810,174		49,337
10/21/11		Morgan Stanley Capital Services Inc.	EUR		13,589,160		19,508,958		21,192
10/21/11		Royal Bank of Scotland PLC	EUR		14,649,503		21,031,215		41,964
10/21/11		State Street Bank and Trust Company	EUR		8,425,608		12,096,026		(1,740	)
10/21/11		Bank of America, N.A.	GBP		3,968,901		6,439,122		46,066
10/21/11		Bank of New York Mellon	GBP		5,360,946		8,697,568		76,371
10/21/11		Brown Brothers Harriman & Co.	GBP		5,595,736		9,078,490		84,808
10/21/11		Deutsche Bank AG	GBP		9,670,542		15,689,432		144,147
10/21/11		JPMorgan Chase Bank, N.A.	GBP		8,204,184		13,310,421		121,469
10/21/11		Morgan Stanley Capital Services Inc.	GBP		6,857,488		11,125,549		168,450
10/21/11		State Street Bank and Trust and Company	GBP		2,007,815		3,257,467		28,583
10/21/11		Bank of New York Mellon	HKD		18,674,121		2,399,660		(1,009	)
10/21/11		Brown Brothers Harriman & Co.	HKD		16,069,259		2,064,931		(1,603	)
10/21/11		JPMorgan Chase Bank, N.A.	HKD		35,656,819		4,581,970		(3,421	)
10/21/11		Bank of America, N.A.	JPY		1,076,586,260		14,066,031		(15,801	)
10/21/11		Barclays Bank PLC	JPY		1,223,828,367		15,989,808		(63,668	)
10/21/11		JPMorgan Chase Bank, N.A.	JPY		909,118,951		11,878,004		(19,363	)
10/21/11		Royal Bank of Scotland PLC	JPY		538,195,012		7,031,734		(10,506	)
10/21/11		State Street Bank and Trust Company	JPY		1,417,432,542		18,519,325		(34,410	)
10/21/11		Barclays Bank PLC	NOK		9,439,425		1,754,722		(25,890	)
10/21/11		Morgan Stanley Capital Services Inc.	NOK		5,824,349		1,082,705		(17,602	)
10/21/11		Brown Brothers Harriman & Co.	NZD		498,401		423,078		(8,209	)

See accompanying notes to the financial statements. 3

GMO Alpha Only Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Currency Contracts — continued

								Net Unrealized
Settlement			Deliver/	Units of				Appreciation
Date	Counterparty		Receive	Currency		Value		(Depreciation)
10/21/11		Bank of America, N.A.	SEK		3,664,532	$	576,280	$	(9,410	)
10/21/11		Bank of New York Mellon	SEK		21,825,131		3,432,194		(54,304	)
10/21/11		JPMorgan Chase Bank, N.A.	SEK		9,883,287		1,554,234		(4,153	)
10/21/11		Morgan Stanley Capital Services Inc.	SEK		10,411,349		1,637,276		(25,829	)
10/21/11		State Street Bank and Trust Company	SEK		11,613,817		1,826,375		(28,744	)
10/21/11		Bank of New York Mellon	SGD		3,394,717		2,819,518		2,297
10/21/11		Deutsche Bank AG	SGD		3,360,527		2,791,121		5,705
						$	307,903,558	$	528,538

# Fund sells foreign currency; buys USD.

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Sales
91		Amesterdam Exchanges	September 2011	$	7,660,821	$	(21,456	)
646		CAC 40	September 2011		30,125,346		71,090
121		DAX	September 2011		25,111,670		5,929,783
801		FTSE 100 Index	September 2011		69,906,865		4,448,691
68		FTSE/MIB	September 2011		7,582,510		2,127,081
67		Hang Seng	September 2011		8,819,620		(330,823	)
86		IBEX 35	September 2011		10,777,197		(36,717	)
104		MSCI Singapore	September 2011		5,683,654		(231,059	)
635		OMXS 30	September 2011		9,561,433		(16,015	)
4,678		Russell 2000 Mini	September 2011		339,716,360		24,496,669
430		S&P 400 E-Mini Index	September 2011		37,599,200		2,416,342
9,669		S&P 500 E-Mini Index	September 2011		588,721,237		14,713,972
249		SPI 200	September 2011		28,658,088		1,691,779
680		TOPIX	September 2011		68,982,745		3,315,000
				$	1,238,906,746	$	58,574,337

4 See accompanying notes to the financial statements.

GMO Alpha Only Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Swap Agreements

Total Return Swaps

						Net Unrealized
Notional		Expiration				Appreciation/
Amount		Date	Counterparty	Fund Pays	Fund Receives	(Depreciation)
	48,194,814	1/27/2012	BNP Paribas	MSCI Daily Total Return EAFE	12 month USD LIBOR BBA -0.54%	$	4,276,347
	40,768,636	2/7/2012	Citibank N.A.	MSCI Daily Total Return EAFE	12 month USD LIBOR BBA -0.50%		4,064,620
	71,790,697	3/12/2012	JP Morgan Chase Bank, N.A.	MSCI Daily Total Return EAFE	12 month USD LIBOR BBA -0.59%		7,585,554
	34,844,229	3/15/2012	Morgan Stanley Capital Services Inc.	MSCI Daily Total Return EAFE	12 month USD LIBOR BBA -0.55%		2,286,719
	67,674,918	3/21/2012	BNP Paribas	MSCI Daily Total Return EAFE	12 month USD LIBOR BBA -0.60%		2,712,126
	41,682,173	4/3/2012	Deutsche Bank AG	MSCI Daily Total Return EAFE	12 month USD LIBOR BBA -0.65%		3,843,410
	199,997,901	5/9/2012	JP Morgan Chase Bank, N.A.	MSCI Daily Total Return EAFE	12 month USD LIBOR BBA -0.60%		25,018,463
	124,881,524	5/11/2012	BNP Paribas	MSCI Daily Total Return EAFE	12 month USD LIBOR BBA -0.61%		15,339,647
	58,999,209	6/12/2012	Citibank N.A.	MSCI Daily Total Return EAFE	12 month USD LIBOR BBA -0.56%		4,781,622
	55,599,968	7/19/2012	Citibank N.A.	MSCI Daily Total Return EAFE	12 month USD LIBOR BBA -0.52%		4,282,449
	42,003,150	8/7/2012	Citibank N.A.	MSCI Daily Total Return EAFE	12 month USD LIBOR BBA -0.54%		603,111
						$	74,794,068
Premiums to (Pay) Receive						$	—

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

BBA - British Banks Association

ETF - Exchange-Traded Fund

See accompanying notes to the financial statements. 5

GMO Alpha Only Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

LIBOR - London Interbank Offered Rate

MSCI - Morgan Stanley Capital International

(a) Represents an investment to obtain exposure in Emerging Markets. The Vanguard Emerging Markets ETF is a separate investment portfolio of Vanguard, Inc., a registered investment company. The Vanguard Emerging Markets ETF prospectus states that the fund invests substantially all (normally about 95%) of its assets in the common stocks included in the MSCI Emerging Market Index, while employing a form of sampling to reduce risk.

Currency Abbreviations:

AUD - Australian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

6 See accompanying notes to the financial statements.

GMO Alpha Only Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $111,369,911) (Note 2)	$	111,074,527
Investments in affiliated issuers, at value (cost $1,936,293,111) (Notes 2 and 10)		1,980,927,031
Receivable for investments sold		43,558,630
Receivable for Fund shares sold		4,123,909
Unrealized appreciation on open forward currency contracts (Note 4)		1,522,820
Due from broker on open futures contracts		108,860,267
Receivable for open swap contracts (Note 4)		74,794,068
Receivable for collateral on open swap contracts (Note 4)		115,614
Receivable for expenses reimbursed by Manager (Note 5)		887,841
Total assets		2,325,864,707
Liabilities:
Payable for investments purchased		42,003,150
Payable for Fund shares repurchased		4,995,423
Payable to affiliate for (Note 5):
Management fee		1,031,939
Shareholder service fee		208,158
Trustees and Trust Officers or agents unaffiliated with the Manager		1,489
Payable for variation margin on open futures contracts (Note 4)		13,692,695
Unrealized depreciation on open forward currency contracts (Note 4)		994,282
Accrued expenses		284,075
Total liabilities		63,211,211
Net assets	$	2,262,653,496

See accompanying notes to the financial statements. 7

GMO Alpha Only Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited) — (Continued)

Net assets consist of:
Paid-in capital	$	3,269,720,177
Accumulated undistributed net investment income		33,829,106
Accumulated net realized loss		(1,219,130,871	)
Net unrealized appreciation		178,235,084
	$	2,262,653,496
Net assets attributable to:
Class III shares	$	39,175,558
Class IV shares	$	2,223,477,938
Shares outstanding:
Class III		1,584,199
Class IV		89,843,298
Net asset value per share:
Class III	$	24.73
Class IV	$	24.75

8 See accompanying notes to the financial statements.

GMO Alpha Only Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	26,405,666
Total investment income		26,405,666
Expenses:
Management fee (Note 5)		6,169,789
Shareholder service fee – Class III (Note 5)		35,672
Shareholder service fee – Class IV (Note 5)		1,210,177
Custodian and fund accounting agent fees		152,260
Trustees fees and related expenses (Note 5)		50,054
Legal fees		49,772
Audit and tax fees		36,524
Transfer agent fees		20,516
Registration fees		8,828
Miscellaneous		23,777
Total expenses		7,757,369
Fees and expenses reimbursed by Manager (Note 5)		(269,924	)
Expense reductions (Note 2)		(17	)
Indirectly incurred fees waived or borne by Manager (Note 5)		(4,420,984	)
Shareholder service fee waived (Note 5)		(778,673	)
Net expenses		2,287,771
Net investment income (loss)		24,117,895
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,956,413
Investments in affiliated issuers		88,421,271
Realized gains distributions from affiliated issuers (Note 10)		5,618
Futures contracts		19,668,381
Swap contracts		(27,283,411	)
Foreign currency, forward contracts and foreign currency related transactions		(27,522,700	)
Net realized gain (loss)		55,245,572
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(5,253,147	)
Investments in affiliated issuers		(215,988,314	)
Futures contracts		132,509,944
Swap contracts		128,173,967
Foreign currency, forward contracts and foreign currency related transactions		10,416,229
Net unrealized gain (loss)		49,858,679
Net realized and unrealized gain (loss)		105,104,251
Net increase (decrease) in net assets resulting from operations	$	129,222,146

See accompanying notes to the financial statements. 9

GMO Alpha Only Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	24,117,895		$	23,200,055
Net realized gain (loss)		55,245,572			(92,835,579	)
Change in net unrealized appreciation (depreciation)		49,858,679			(11,601,214	)
Net increase (decrease) in net assets from operations		129,222,146			(81,236,738	)
Net share transactions (Note 9):
Class III		(23,023,272	)		(8,732,467	)
Class IV		166,361,528			360,299,813
Increase (decrease) in net assets resulting from net share transactions		143,338,256			351,567,346
Total increase (decrease) in net assets		272,560,402			270,330,608
Net assets:
Beginning of period		1,990,093,094			1,719,762,486
End of period (including accumulated undistributed net investment income of $33,829,106 and $9,711,211, respectively)	$	2,262,653,496		$	1,990,093,094

10 See accompanying notes to the financial statements.

GMO Alpha Only Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31,
	2011			Year Ended February 28/29,
	(Unaudited)			2011(a)			2010(a)			2009(a)			2008(a)			2007(a)
Net asset value, beginning of period	$	23.49		$	24.55		$	28.85		$	55.55		$	52.10		$	51.80
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.23			0.30			0.55			1.15			1.05			0.85
Net realized and unrealized gain (loss)		1.01			(1.36	)		(3.35	)		4.65			3.50			0.50
Total from investment operations		1.24			(1.06	)		(2.80	)		5.80			4.55			1.35
Less distributions to shareholders:
From net investment income		—			—			(1.50	)		(22.05	)		(1.10	)		(1.05	)
From net realized gains		—			—			—			(10.45	)		—			—
Total distributions		—			—			(1.50	)		(32.50	)		(1.10	)		(1.05	)
Net asset value, end of period	$	24.73		$	23.49		$	24.55		$	28.85		$	55.55		$	52.10
Total Return(c)		5.28	%**		(4.32	)%		(10.30	)%		11.92	%		8.74	%		2.64	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	39,176		$	59,746		$	71,481		$	121,711		$	176,067		$	166,626
Net expenses to average daily net assets(d)		0.23	%(e)*		0.23	%(e)		0.24	%(e)		0.23	%(e)		0.16	%(e)		0.15	%
Net investment income (loss) to average daily net assets(b)		1.94	%*		1.26	%		2.16	%		2.37	%		1.91	%		1.66	%
Portfolio turnover rate		70	%**		89	%		114	%		87	%		44	%		22	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(f)		0.45	%*		0.46	%		0.45	%		0.44	%		0.51	%		0.53	%
Redemption fees consisted of the following per share amounts:†		—			—			—		$	0.00	(g)	$	0.01		$	0.01

(a)	Per share amounts were adjusted to reflect a 1:5 reverse stock split effective November 15, 2010.
(b)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(c)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Ratios include reimbursement of direct operating expenses and waiver of expenses indirectly incurred through investment in the underlying funds (Note 5).
(g)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 11

GMO Alpha Only Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class IV share outstanding throughout each period)

	Six Months
	Ended
	August 31,
	2011			Year Ended February 28/29,
	(Unaudited)			2011(a)			2010(a)			2009(a)			2008(a)			2007(a)(b)
Net asset value, beginning of period	$	23.50		$	24.55		$	28.85		$	55.55		$	52.05		$	51.85
Income (loss) from investment operations:
Net investment income (loss)(c)†		0.24			0.31			0.55			1.20			1.05			1.00
Net realized and unrealized gain (loss)		1.01			(1.36	)		(3.35	)		4.60			3.55			0.30
Total from investment operations		1.25			(1.05	)		(2.80	)		5.80			4.60			1.30
Less distributions to shareholders:
From net investment income		—			—			(1.50	)		(22.05	)		(1.10	)		(1.10	)
From net realized gains		—			—			—			(10.45	)		—			—
Total distributions		—			—			(1.50	)		(32.50	)		(1.10	)		(1.10	)
Net asset value, end of period	$	24.75		$	23.50		$	24.55		$	28.85		$	55.55		$	52.05
Total Return(d)		5.32	%**		(4.28	)%		(10.30	)%		12.00	%		8.90	%		2.54	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	2,223,478		$	1,930,347		$	1,648,282		$	1,854,153		$	2,557,970		$	1,693,793
Net expenses to average daily net assets(e)		0.18	%(f)*		0.18	%(f)		0.18	% (f)		0.18	%(f)		0.11	%(f)		0.10	%*
Net investment income (loss) to average daily net assets(c)		1.95	%*		1.27	%		2.11	%		2.52	%		1.96	%		1.93	%*
Portfolio turnover rate		70	%**		89	%		114	%		87	%		44	%		22	%††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:(g)		0.44	%*		0.46	%		0.46	%		0.44	%		0.51	%		0.53	%*
Redemption fees consisted of the following per share amounts:†		—			—			—		$	0.00	(h)	$	0.01			—

(a)	Per share amounts were adjusted to reflect a 1:5 reverse stock split effective November 15, 2010.
(b)	Period from March 2, 2006 (commencement of operations) through February 28, 2007.
(c)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(d)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(e)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(f)	The net expense ratio does not include the effect of expense reductions (Note 2).
(g)	Ratios include reimbursement of direct operating expenses and waiver of expenses indirectly incurred through investment in the underlying funds (Note 5).
(h)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover of the Fund for the year ended February 28, 2007.
*	Annualized.
**	Not annualized.

12 See accompanying notes to the financial statements.

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Alpha Only Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks to outperform its benchmark, the Citigroup 3-Month Treasury Bill Index. The Fund’s investment program involves having both long and short investment exposures. The Fund seeks to construct a portfolio in which it has long investment exposure to asset classes and sub-asset classes that it expects will outperform relative to the asset classes and sub-asset classes to which it has short investment exposure.

To gain long investment exposure, the Fund invests primarily in shares of the GMO U.S. Equity Funds and the GMO International Equity Funds, and also may invest in shares of GMO Emerging Country Debt Fund (GMO Funds in which the Fund invests are collectively referred to as “underlying funds”). In addition, the Fund may gain long investment exposure by investing in securities directly, rather than through the underlying funds.

To gain short investment exposure, the Fund may use over-the-counter (“OTC”) and exchange-traded derivatives (including futures, swap contracts and currency forwards) and make short sales of securities (e.g., shares of exchange-traded funds), including short sales of securities the Fund does not own. The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

The Manager uses multi-year forecasts of relative value and risk among asset classes (e.g., foreign equity, U.S. equity, emerging country equity and emerging country debt) and sub-asset classes (e.g., small- to mid-cap stocks in the foreign equity asset class and quality stocks in the U.S. equity and emerging country equity asset classes) to select the underlying funds and securities in which the Fund invests or takes short positions and to decide how much to invest and/or short in each. The Manager changes the Fund’s holdings in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

13

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Throughout the period ended August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different shareholder service fee.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request by calling (617) 346-7646 (collect) or by visiting GMO’s website at www.gmo.com.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the funds in which the Fund invests (“underlying funds”) and other investment funds are generally valued at their net asset value. Investments held by the underlying funds are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based

14

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		43.5	%
Futures Contracts		0.7	%
Swap Agreements		3.3	%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

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

15

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Investment Funds
United States	$	45,547,187	$	—	$	—	$	45,547,187
TOTAL INVESTMENT FUNDS		45,547,187		—		—		45,547,187
Mutual Funds
United States		1,980,927,031		—		—		1,980,927,031
TOTAL MUTUAL FUNDS		1,980,927,031		—		—		1,980,927,031
Short-Term Investments		65,527,340		—		—		65,527,340
Total Investments		2,092,001,558		—		—		2,092,001,558
Derivatives *
Forward Currency Contracts
Foreign Currency risk		—		1,522,820		—		1,522,820
Futures Contracts
Equity risk		41,626,983		17,583,424		—		59,210,407
Swap Agreements
Equity risk		—		74,794,068		—		74,794,068
Total Derivatives		41,626,983		93,900,312		—		135,527,295
Total	$	2,133,628,541	$	93,900,312	$	—	$	2,227,528,853

16

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Derivatives *
Forward Currency Contracts
Foreign Currency risk	$	—	$	(994,282	)	$	—	$	(994,282	)
Futures Contracts
Equity risk		—		(636,070	)		—		(636,070	)
Total Derivatives		—		(1,630,352	)		—		(1,630,352	)
Total	$	—	$	(1,630,352	)	$	—	$	(1,630,352	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

            * Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s indirect investments in securities using Level 3 inputs were less than 0.1% of total net assets.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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

17

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

investments in securities are not separated on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital loss of $122,505,886.

18

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(710,774,856	)
February 28, 2019		(309,022,361	)
Total	$	(1,019,797,217	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	2,214,585,397	$	—	$	(122,583,839	)	$	(122,583,839	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the

19

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund’s investments in the underlying funds. The Fund and some of the underlying funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund or an underlying fund may affect the Fund’s or the underlying fund’s performance more than if the Fund or the underlying fund were diversified. The principal risks of investing in the Fund are summarized below, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

20

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund or an underlying fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. The Fund or an underlying fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. In addition, the value of the Fund’s shares will be adversely affected if the equity investments that are the subject of the Fund’s short positions appreciate in value.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent a Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Fund of Funds Risk — The Fund is indirectly exposed to all of the risks of an investment in the underlying funds, including the risk that the underlying funds in which it invests will not perform as expected or that the Fund will invest in underlying funds with higher fees or expenses.

21

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Risk — Fixed Income Securities — Typically, the market value of fixed income securities will decline during periods of rising interest rates and widening credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Leveraging Risk — The use of reverse repurchase agreements and other derivatives may cause the Fund’s portfolio to be leveraged. The Fund and some underlying funds are not limited in the extent to which they may use derivatives or in the absolute face value of their derivative positions. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Currency Risk — Fluctuations in exchange rates can adversely affect the market value of foreign currency holdings and investments denominated in foreign currencies, or that the U.S. dollar will decline in value relative to the foreign currency being hedged.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Real Estate Risk — To the extent an underlying fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.

22

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Short Sales Risk — The Fund runs the risk that the Fund’s loss on a short sale of securities that the Fund does not own is unlimited.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds, or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

23

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may use derivatives in an attempt to adjust elements of its 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 the Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting

24

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves

25

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. During the period ended August 31, 2011, the Fund used forward currency contracts to hedge some or all of the currency exposure of the underlying Funds and assets in which the Fund invests, adjust against anticipated currency exchange rate changes and adjust exposure to foreign currencies. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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

26

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Because regular trading on many foreign exchanges closes prior to the close of the NYSE, closing prices for these foreign futures contracts (including foreign index futures) do not reflect the events that occur after that close but before the close of the NYSE. As a result, the Fund and the underlying funds generally value foreign futures contracts using fair value prices, which are based on local closing prices adjusted by a factor, supplied by a third party vendor using that vendor’s proprietary models. During the period ended August 31, 2011, the Fund used futures contracts to hedge some or all of the broad market exposure of the underlying Funds and assets in which the Fund invests. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

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

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

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

27

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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.

28

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to hedge some or all of the broad market exposure of the underlying Funds and assets in which the Fund invests. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use

29

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Assets:
Unrealized appreciation on futures contracts *	$	—	$	—		$	—	$	59,210,407		$	—	$	59,210,407
Unrealized appreciation on forward currency contracts		—		1,522,820			—		—			—		1,522,820
Unrealized appreciation on swap agreements		—		—			—		74,794,068			—		74,794,068
Total	$	—	$	1,522,820		$	—	$	134,004,475		$	—	$	135,527,295
Liabilities:
Unrealized depreciation on futures contracts *	$	—	$	—		$	—	$	(636,070	)	$	—	$	(636,070	)
Unrealized depreciation on forward currency contracts		—		(994,282	)		—		—			—		(994,282	)
Total	$	—	$	(994,282	)	$	—	$	(636,070	)	$	—	$	(1,630,352	)

30

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the period ended August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Futures contracts	$	—	$	—		$	—	$	19,668,381		$	—	$	19,668,381
Forward currency contracts		—		(27,428,562	)		—		—			—		(27,428,562	)
Swap agreements		—		—			—		(27,283,411	)		—		(27,283,411	)
Total	$	—	$	(27,428,562	)	$	—	$	(7,615,030	)	$	—	$	(35,043,592	)
Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—		$	—	$	132,509,944		$	—	$	132,509,944
Forward currency contracts		—		10,418,968			—		—			—		10,418,968
Swap agreements		—		—			—		128,173,967			—		128,173,967
Total	$	—	$	10,418,968		$	—	$	260,683,911		$	—	$	271,102,879

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts) and notional amounts (swap agreements) outstanding at each month-end, was as follows for the period ended August 31, 2011.

	Forward
	currency		Futures		Swap
	contracts		contracts		agreements
Average amount outstanding	$	417,659,910	$	1,372,723,814	$	724,478,621

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.50% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.10% for

31

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Class IV shares. The Manager has contractually agreed through at least June 30, 2012 to waive the Fund’s shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by a class of shares of the Fund exceeds 0.15% for Class III shares and 0.10% for Class IV shares; provided, however, that the amount of this waiver will not exceed the respective Class’ shareholder service fee.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.50% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in other GMO Funds (excluding those Funds’ Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $50,054 and $7,580, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder	Indirect Shareholder
service fees)	Service Fees	Total Indirect Expenses
0.361%	0.063%	0.424%

32

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $1,843,430,150 and $1,585,522,849, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 86.53% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. Two of the shareholders are other funds of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.11% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 99.64% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares *			Amount
Shares sold		663,681		$	15,876,826			963,045		$	23,254,195
Shares repurchased		(1,623,191	)		(38,900,098	)		(1,329,071	)		(31,986,662	)
Net increase (decrease)		(959,510	)	$	(23,023,272	)		(366,026	)	$	(8,732,467	)

33

GMO Alpha Only Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares *			Amount
Shares sold		88,075,625		$	2,125,820,809			33,324,185		$	801,196,824
Shares repurchased		(80,389,242	)		(1,959,459,281	)		(18,265,845	)		(440,897,011	)
Net increase (decrease)		7,686,383		$	166,361,528			15,058,340		$	360,299,813

            * Shares were adjusted to reflect a 1:5 reverse stock split effective November 15, 2010.

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO International Growth Equity Fund, Class IV	$	442,255,674	$	251,620,204	$	158,096,870	$	3,824,404	$	—	$	498,832,899
GMO International Intrinsic Value Fund, Class IV		442,388,249		277,423,445		147,323,378		10,650,746		—		497,306,092
GMO Quality Fund, Class VI		580,359,319		286,723,371		216,243,042		8,013,771		—		648,680,071
GMO U.S. Core Equity Fund, Class VI		300,019,377		164,672,531		115,250,785		3,880,231		—		336,107,969
GMO U.S. Treasury Fund		95,036,569		840,042,130		935,132,721		36,514		5,618		—
Totals	$	1,860,059,188	$	1,820,481,681	$	1,572,046,796	$	26,405,666	$	5,618	$	1,980,927,031

34

GMO Alpha Only Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees observed that the comparative data provided by the third-party data services was based on peer groups that included funds with investment approaches that were substantially different from that of the Fund and gave correspondingly less weight to that information. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

35

GMO Alpha Only Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effects of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s

36

GMO Alpha Only Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

37

GMO Alpha Only Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.65	%	$	1,000.00	$	1,052.80	$	3.35
2) Hypothetical		0.65	%	$	1,000.00	$	1,021.87	$	3.30

38

GMO Alpha Only Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class IV
1) Actual		0.60	%	$	1,000.00	$	1,053.20	$	3.10
2) Hypothetical		0.60	%	$	1,000.00	$	1,022.12	$	3.05

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

39

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)
Consolidated Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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 private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)
Consolidated Investments Concentration Summary ^(a)
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		33.5	%
Swap Agreements**		29.4
Short-Term Investments		26.5
Futures Contracts**		10.6
Other		0.0	Ù
		100.0	%

(a)	GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO Alternative Asset Opportunity Fund. As such, the holdings of GMO Alternative Asset SPC Ltd. have been included with GMO Alternative Asset Opportunity Fund.
*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”). Swaps and futures concentrations use the notional value of respective contracts for purposes of computing asset class exposures.
**	Represents commodity exposure. See Consolidated Schedule of Investments.
Ù	Rounds to 0.0%.

1

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($) /
Shares		Description	Value ($)
		DEBT OBLIGATIONS — 32.5%
		U.S. Government — 32.5%
	8,009,280	U.S. Treasury Inflation Indexed Note, 2.00%, due 04/15/12 (a) (b) (c)		8,127,545
		TOTAL DEBT OBLIGATIONS (COST $8,168,470)		8,127,545
		MUTUAL FUNDS — 47.2%
		Affiliated Issuers — 47.2%
	791,020	GMO Short-Duration Collateral Fund		5,687,436
	243,984	GMO U.S. Treasury Fund		6,102,037
		TOTAL MUTUAL FUNDS (COST $12,907,018)		11,789,473
		SHORT-TERM INVESTMENTS — 18.7%
		Money Market Funds — 0.7%
	163,812	SSgA USD Liquidity Fund-Class I Stable NAV Shares, 0.09% (a) (d) (e)		163,812
	6,506	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (f)		6,506
		Total Money Market Funds		170,318
		U.S. Government — 18.0%
	400,000	U.S. Treasury Bill, 0.07%, due 05/31/12 (a) (g)		399,797
	4,100,000	U.S. Treasury Bill, 0.09%, due 07/26/12 (a) (g)		4,096,745
		Total U.S. Government		4,496,542
		TOTAL SHORT-TERM INVESTMENTS (COST $4,662,662)		4,666,860
		TOTAL INVESTMENTS — 98.4% (Cost $25,738,150)		24,583,878
		Other Assets Net Liabilities — 1.6%		407,045
		NET ASSETS — 100.0%	$	24,990,923

2 See accompanying notes to the consolidated financial statements.

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Futures Contracts ^(a)

						Net Unrealized
Number of			Expiration			Appreciation/
Contracts	Type		Date	Value		(Depreciation)
Buys
2		Coffee	December 2011	$	216,188	$	7,621
5		Corn	December 2011		191,875		17,316
8		Cotton No. 2	December 2011		423,240		(62,688	)
3		Gasoline RBOB	September 2011		362,414		22,731
1		Gold 100 OZ	December 2011		183,170		21,426
7		Lean Hogs	October 2011		239,400		(17,262	)
3		Soybean	November 2011		218,625		18,587
12		Sugar 11	September 2011		398,899		69,069
				$	2,233,811	$	76,800
Sales
4		Light Sweet Crude Oil	September 2011	$	355,240	$	(16,646	)
18		Live Cattle	October 2011		820,980		20,982
8		Natural Gas	September 2011		324,320		(12,902	)
4		Soybean Meal	December 2011		155,120		(10,017	)
1		Soybean Oil	December 2011		35,442		(178	)
11		Wheat	December 2011		435,325		(41,847	)
				$	2,126,427	$	(60,608	)

Swap Agreements ^(a)

Total Return Swaps

							Net Unrealized
Notional			Expiration				Appreciation/
Amount			Date	Counterparty	Fund Pays	Fund Receives	(Depreciation)
	12,035,357	USD	10/14/2011	Barclays Bank PLC	1 month T-Bill + 0.23%	Return on DJ-UBS Commodity Index (b)	$	457,548
Premiums to (Pay) Receive							$	—

See accompanying notes to the consolidated financial statements. 3

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Consolidated Schedule of Investments:

RBOB - Reformulated Blendstock for Oxygenate Blending.

(a)	All or a portion of this security is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Asset Opportunity Fund.
(b)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).
(c)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap contracts, forward currency contracts, and/or written options, if any (Note 4).
(d)	Fund is domiciled in Ireland.
(e)	Rate disclosed, the 7 day net yield, is as of August 31, 2011.
(f)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.
(g)	Rate shown represents yield-to-maturity.

Currency Abbreviations:

USD - United States Dollar

4 See accompanying notes to the consolidated financial statements.

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)


Consolidating Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

	GMO Alternative		GMO
	Asset Opportunity		Alternative Asset					Consolidated
	Fund		SPC Ltd.		Eliminations			Totals
Assets:
Investments in unaffiliated issuers, at value (consolidated cost $12,831,132) (Note 2)	$	6,506	$	12,787,899	$	—		$	12,794,405
Investments in affiliated issuers, at value (consolidated cost $12,907,018) (Note 2 and Note 10)		25,047,652		—		(13,258,179	)		11,789,473
Dividends and interest receivable		—		54,785		—			54,785
Receivable for open swap contracts (Note 4)		—		457,548		—			457,548
Receivable for expenses reimbursed by Manager (Note 5)		18,147		8,432		—			26,579
Total assets		25,072,305		13,308,664		(13,258,179	)		25,122,790
Liabilities:
Payable to affiliate for (Note 5):
Management fee		14,551		—		—			14,551
Shareholder service fee		3,118		—		—			3,118
Trustees and Chief Compliance Officer of GMO Trust fees		28		—		—			28
Payable for variation margin on open futures contracts (Note 4)		—		2,229		—			2,229
Accrued expenses		63,685		48,256		—			111,941
Total liabilities		81,382		50,485		—			131,867
Net assets	$	24,990,923	$	13,258,179	$	(13,258,179	)	$	24,990,923
Shareholders’ capital	$	24,990,923						$	24,990,923
Shares outstanding		784,809							784,809
Net asset value per share	$	31.84						$	31.84

See accompanying notes to the consolidated financial statements. 5

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)


Consolidating Statement of Operations — For the Six Months Ended August 31, 2011 (Unaudited)

	GMO Alternative			GMO
	Asset Opportunity			Alternative Asset					Consolidated
	Fund			SPC Ltd.			Eliminations		Totals
Investment Income:
Dividends from affiliated issuers (Note 10)	$	43,335		$	—		$	—	$	43,335
Interest		—			181,606			—		181,606
Total income (loss)		43,335			181,606			—		224,941
Expenses:
Management fee (Note 5)		88,694			—			—		88,694
Shareholder service fee (Note 5)		19,006			—			—		19,006
Audit and tax fees		41,216			9,660			—		50,876
Custodian and transfer agent fees		2,300			37,628			—		39,928
Trustees fees and related expenses (Note 5)		152			7,544			—		7,696
Legal fees		7,176			—			—		7,176
Miscellaneous		5,082			7,544			—		12,626
Total expenses		163,626			62,376			—		226,002
Fees and expenses reimbursed by Manager (Note 5)		(87,428	)		(62,376	)		—		(149,804	)
Net expenses		76,198			—			—		76,198
Net investment income (loss)		(32,863	)		181,606			—		148,743
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			5,391			—		5,391
Investments in affiliated issuers		440			—			—		440
Realized gains distribution from affiliated issuers (Note 10)		280			—			—		280
Futures contracts		—			(204,507	)		—		(204,507	)
Swap contracts		—			(360,947	)		—		(360,947	)
Net realized gain (loss)		720			(560,063	)		—		(559,343	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			(94,612	)		—		(94,612	)
Investments in affiliated issuers		(522,749	)		—			366,223		(156,526	)
Futures contracts		—			(108,813	)		—		(108,813	)
Swap contracts		—			215,659			—		215,659
Net unrealized gain (loss)		(522,749	)		12,234			366,223		(144,292	)
Net realized and unrealized gain (loss)		(522,029	)		(547,829	)		366,223		(703,635	)
Net increase (decrease) in net assets resulting from operations	$	(554,892	)	$	(366,223	)	$	366,223	$	(554,892	)

6 See accompanying notes to the consolidated financial statements.

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)


Consolidated Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	148,743		$	86,816
Net realized gain (loss)		(559,343	)		2,821,347
Change in net unrealized appreciation (depreciation)		(144,292	)		1,180,364
Net increase (decrease) in net assets from operations		(554,892	)		4,088,527
Fund share transactions: (Note 9)
Proceeds from sale of shares		39,746,106			1,001,547
Cost of shares repurchased		(39,746,106	)		(2,644,369	)
Net increase (decrease) in Fund share transactions		—			(1,642,822	)
Total increase (decrease) in net assets		(554,892	)		2,445,705
Net assets:
Beginning of period		25,545,815			23,100,110
End of period	$	24,990,923		$	25,545,815

See accompanying notes to the consolidated financial statements. 7

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Consolidated Financial Highlights
(For a share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	32.55		$	27.24		$	21.94		$	33.11		$	28.54		$	26.63
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.19			0.11			0.46			0.93			0.69			1.28
Net realized and unrealized gain (loss)		(0.90	)		5.20			4.84			(12.10	)		3.88	(b)		0.63
Total from investment operations		(0.71	)		5.31			5.30			(11.17	)		4.57			1.91
Net asset value, end of period	$	31.84		$	32.55		$	27.24		$	21.94		$	33.11		$	28.54
Total Return(c)		(2.18	)%**		19.49	%		24.16	%		(33.74	)%		16.01	%		7.17	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	24,991		$	25,546		$	23,100		$	22,389		$	33,972		$	174,514
Net expenses to average daily net assets(d)		0.60	%*		0.60	%		0.60	%		0.60	%(e)		0.60	%		0.60	%
Net investment income to average daily net assets(a)		1.17	%*		0.38	%		1.85	%		3.24	%		2.41	%		4.60	%
Portfolio turnover rate		9	%**		60	%		73	%		89	%		24	%		12	%
Fees and expenses reimbursed by the Manager to average daily net assets:		1.18	%*		1.15	%		1.06	%		0.73	%		0.21	%		0.12	%
Redemption fees consisted of the following per share amounts (Note 2):†		—			—		$	0.03		$	0.00	(f)		—			—

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(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)	Total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown. Calculation excludes redemption fees which are borne by the shareholder.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

8 See accompanying notes to the consolidated financial statements.

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Alternative Asset Opportunity Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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.

Effective October 3, 2011, the Fund implemented a new investment strategy. In accordance with that new strategy, the Fund changed its investment objective, benchmark, principal risks and GMO changed its voluntary management fee waiver. See Note 11 “Subsequent events” for more information. The information below for the Fund’s investment objective and benchmark is for the period prior to October 3, 2011.

The Fund seeks total return greater than that of its benchmark. The Fund’s benchmark is a composite of the Dow Jones-UBS Commodity Index, which is composed of futures contracts on nineteen physical commodities, and the J.P. Morgan U.S. 3 Month Cash Index, which is comprised of three month U.S. dollar Euro-deposits. The Dow Jones-UBS Commodity Index and J.P. Morgan U.S. 3 Month Cash Index each represent 50% of the composite benchmark. In constructing the Fund’s portfolio, the Manager does not seek to match the Fund’s portfolio composition to that of its benchmark, and the Fund’s portfolio composition may differ significantly from that of its benchmark.

The Manager pursues the Fund’s investment objectives by using investment strategies designed to complement broader asset allocation strategies being implemented by the Manager in other GMO asset allocation funds or accounts. Accordingly, the Fund is not a standalone investment.

The Fund’s investment program has two primary components. One component is intended to gain exposure to the investment returns of commodities and, from time to time, other alternative asset classes (e.g., currencies). “Commodities” include a range of assets with tangible properties, including oil, natural gas, agricultural products (e.g., wheat, corn, and livestock), precious metals (e.g., gold and silver), industrial metals (e.g., copper), and softs (e.g., cocoa, coffee, and sugar). The Fund typically gains exposure to commodities indirectly, by investing in a wholly owned subsidiary company (discussed below), which, in turn, invests in various commodity-related exchange-traded and over-the-counter (“OTC”) derivatives. The Fund also may use, directly or indirectly through its wholly owned subsidiary, a wide variety of other exchange-traded and OTC derivatives that are not linked to the value of a commodity or other commodity-related instruments (including financial futures, options and swap contracts). The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

9

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The second component of the Fund’s investment program consists of investments in U.S. and foreign fixed income securities, primarily asset-backed securities. The Fund has historically gained its investment exposure to fixed income securities through investment in GMO Short-Duration Collateral Fund (“SDCF”). SDCF has primarily invested in asset-backed securities issued by a wide range of private and government issuers.

A substantial portion of the Fund’s investments (through SDCF) in fixed income securities consist of asset-backed securities, including, but not limited to, securities backed by pools of residential and commercial mortgages, credit-card receivables, home equity loans, automobile loans, educational loans, corporate and sovereign bonds and bank loans made to corporations. In addition, the Fund may invest (including through SDCF) in government securities, corporate debt securities, money market instruments, and commercial paper, and enter into credit default swaps, reverse repurchase agreements and repurchase agreements. The Fund’s fixed income securities may include securities issued by a wide range of private issuers and, to a lesser extent, securities issued by federal, state, local, and foreign governments (including securities neither guaranteed nor insured by the U.S. government). The Fund may hold directly or indirectly (through SDCF) fixed income securities whose ratings, after the securities were acquired, were reduced below investment grade (also known as “junk bonds”). Because of the deterioration in credit markets that became acute in 2008, the Fund, including through its investment in SDCF, currently has and is expected to continue to have material exposure to below investment grade U.S. asset-backed securities.

In addition to its commodity-related investments, from time to time, the Fund may invest in a range of currency-related investments, including currency futures, forwards and options.

The Fund does not invest directly in commodities and commodity-related derivatives. Instead, to gain exposure to commodities and certain other assets, the Fund invests in a wholly owned subsidiary company. GMO serves as the investment manager to this company but does not receive any additional management or other fees for such services. The company invests primarily in commodity-related derivatives and fixed income securities.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds.

If deemed prudent by the Manager, the Fund will take temporary defensive measures until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund’s normal investment strategies. The Fund may not achieve its investment objective while it is taking temporary defensive measures. The Fund has previously taken temporary defensive positions and has availed itself of the right to honor redemption requests in-kind. The Fund does not seek to maintain a specified interest rate duration for its portfolio.

Currently, shares of the Fund are not publicly offered and are principally available for purchase by other GMO Funds and certain other accredited investors.

10

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The financial statements of the GMO funds in which the Fund invests, collectively referred to as the “underlying funds” should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect) or by visiting GMO’s website at www.gmo.com.

The Fund currently limits subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Basis of presentation and principles of consolidation

The accompanying consolidated financial statements include the accounts of the GMO Alternative Asset Opportunity Fund and its wholly owned investment in GMO Alternative Asset SPC Ltd. The consolidated financial statements include 100% of the assets and liabilities of GMO Alternative Asset SPC Ltd. All significant interfund accounts and transactions have been eliminated in consolidation.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.7% of net assets. The underlying funds classify such securities (as defined below) as Level 3. For the period ended August 31, 2011, the

11

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 2.6% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

12

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations	$	—	$	8,127,545	$	—	$	8,127,545
Mutual Funds		11,789,473		—		—		11,789,473
Short-Term Investments		4,666,860		—		—		4,666,860
Total Investments		16,456,333		8,127,545		—		24,583,878
Derivatives *
Futures Contracts
Commodity contract risk		177,732		—		—		177,732
Swap Agreements
Commodity contract risk		—		457,548		—		457,548
Total	$	16,634,065	$	8,585,093	$	—	$	25,219,158

LIABILITY VALUATION INPUTS

	Quoted Prices			Significant
	in Active			Other		Significant
	Markets for			Observable		Unobservable
	Identical Liabilities			Inputs		Inputs
Description	(Level 1)			(Level 2)		(Level 3)		Total
Derivatives *
Futures Contracts
Commodity contract risk	$	(161,540	)	$	—	$	—	$	(161,540	)
Total	$	(161,540	)	$	—	$	—	$	(161,540	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

13

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s indirect investments in securities and derivative financial instruments using Level 3 inputs were 16.9% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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 agreements

The Fund may invest in loans to corporate, governmental, or other borrowers. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. 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. When investing in a loan participation, (i) the 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) the 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, the Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When the Fund purchases assignments of loans, it acquires direct rights against the borrower. The Fund had no loan agreements outstanding at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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

14

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

under the repurchase agreement. The value of the securities acquired is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

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

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though

15

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Taxes

The Fund has elected to be treated as a partnership for U.S. federal income tax purposes. As a partnership, the Fund is not itself subject to U.S. federal income tax. Instead, each shareholder is required to take into account in determining its tax liability its distributive share of items of Fund income, gain, loss, deduction, credit, and tax preference for each taxable year substantially as though such items have been realized directly by the shareholder and without regard to whether any distribution by the Fund has been or will be received. The Fund trades securities for its own account and, as such, is generally not subject to U.S. tax on such earnings (other than certain withholding taxes). The Manger intends to conduct the business of the Fund to the maximum extent practicable so that the Fund’s activities do not constitute a U.S. trade or business. Accordingly, no provision (benefit) for U.S. federal and state income tax is reflected in the accompanying financial statements. Dividends and other revenue may be subject to withholding or similar taxes imposed by the country in which such dividends or other revenue originate. The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes and associated penalty and interest amounts related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	32,813,869	$	1,600	$	(8,231,591	)	$	(8,229,991	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did

16

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

Distributions

Because the Fund has elected to be treated as a partnership for U.S. federal income tax purposes, it is not required to make distributions to its shareholders. It is the policy of the Fund to declare and pay distributions as determined by the Trustees (or their delegates). Distributions made by the Fund, if any, other than distributions made in partial or complete redemption of shareholders’ interests in the Fund, are reported in the Fund’s Statement of Changes in Net Assets as cash distributions to shareholders.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 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. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

17

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

3. Investment risks

The information below describes the Fund’s investment risks for the period prior to October 3, 2011. See Note 11 “Subsequent events” for the Fund’s investment risks beginning October 3, 2011.

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

Because the Fund invests in its wholly-owned subsidiary, other GMO Funds, including SDCF, and unaffiliated money market funds, it is exposed to the risks to which its wholly-owned subsidiary and the other underlying funds in which it invests are exposed, as well as the risk that investments made through its wholly-owned subsidiary will not perform as expected. Therefore, unless otherwise noted herein, the principal risks summarized below include both direct and indirect principal risks of the Fund, and as indicated above, references in this section to investments made by the Fund include those made both directly by the Fund and indirectly by the Fund through its wholly-owned subsidiary, another GMO Fund or an unaffiliated money market fund.

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

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Liquidity Risk — Low trading volume, lack of a market maker, a large size position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics,

18

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Market Risk — Fixed Income Securities — Typically, the value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans and home equity loans), creates additional risk. The Fund also is subject to this risk because it seeks indirect exposure to various types of commodities, which may include oil, natural gas, agriculture, precious metals, industrial metals and softs, as an integral part of its investment program.

19

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds, or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

• Fund of Funds Risk — The Fund is indirectly exposed to all of the risks of an investment in the underlying funds, including the risk that the underlying funds in which it invests will not perform as expected or that the Fund will invest in underlying funds with higher fees or expenses.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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 their investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

20

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

21

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

22

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the 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 not collateralized. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust exposure to certain markets and enhance the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

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

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is

23

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

24

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

25

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to adjust exposure to certain markets. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Commodity
	contracts		contracts		contracts		contracts		contracts			Total
Assets:
Unrealized appreciation on futures contracts *	$	—	$	—	$	—	$	—	$	177,732		$	177,732
Unrealized appreciation on swap agreements		—		—		—		—		457,548			457,548
Total	$	—	$	—	$	—	$	—	$	635,280		$	635,280
Liabilities:
Unrealized depreciation on futures contracts *	$	—	$	—	$	—	$	—	$	(161,540	)	$	(161,540	)
Total	$	—	$	—	$	—	$	—	$	(161,540	)	$	(161,540	)

26

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Commodity
	contracts		contracts		contracts		contracts		contracts			Total
Net Realized Gain (Loss) on:
Futures contracts	$	—	$	—	$	—	$	—	$	(204,507	)	$	(204,507	)
Swap agreements		—		—		—		—		(360,947	)		(360,947	)
Total	$	—	$	—	$	—	$	—	$	(565,454	)	$	(565,454	)
Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—	$	—	$	—	$	(108,813	)	$	(108,813	)
Swap agreements		—		—		—		—		215,659			215,659
Total	$	—	$	—	$	—	$	—	$	106,846		$	106,846

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The derivative financial instruments outstanding as of period end (as disclosed in the Schedule of Investments) serve as indicators of the volume of derivative activity for the Fund during the period.

5. Fees and other transactions with affiliates

The information below describes the Fund’s fees and other transactions with affiliates for the period prior to October 3, 2011. See Note 11 “Subsequent events” for a description of the Fund’s fees and other transactions with affiliates for the period beginning October 3, 2011.

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.70% of average daily net assets. For the period ending August 31, 2011, the Manager voluntarily agreed to waive the Fund’s management fee by 0.25% and to reimburse the Fund to the extent the Fund’s total annual operating expenses exceed 0.45% of the Fund’s average daily net assets (excluding the Fund’s Excluded Fund Fees and Expenses described below). The Manager may change or terminate these voluntary waivers and reimbursements at any time, and these voluntary waivers and reimbursements are in addition to the Manager’s contractual expense reimbursement agreement described below. During any period for which these voluntary waivers and reimbursements are in effect, the Fund will incur management fees at an annual rate lower than 0.70% of the Fund’s average daily net assets, and, as a result, total annual operating expenses after expense reimbursement for the Fund will be lower. The Fund

27

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15%.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s total annual operating expenses that exceed 0.70% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities-lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). The Manager also has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Expense Reimbursement Amount. The Fund’s contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $7,696 and $21, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011 , these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
0.001%	0.000%	0.000%	0.001%

28

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s investments in commodity-related derivatives are generally made through GMO Alternative Asset SPC Ltd., a wholly owned subsidiary organized as a Bermuda limited liability company, which GMO serves as investment manager but does not receive any additional management or other fees for such services.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	—
Investments (non-U.S. Government securities)		2,492,981		1,875,000

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

As of August 31, 2011, 97.56% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. Each shareholder is another fund of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, none of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and all of the Fund’s shares were held by accounts for which the Manager had investment discretion.

29

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
	Shares			Amount			Shares			Amount
Shares sold		1,255,814		$	39,746,106			33,402		$	1,001,547
Shares repurchased		(1,255,814	)		(39,746,106	)		(96,619	)		(2,644,369	)
Net increase (decrease)		—		$	—			(63,217	)	$	(1,642,822	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions
	beginning of				Sales		Dividend		of Realized		Return of		Value, end
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		of Period
GMO Short-Duration Collateral Fund	$	8,210,791	$	—	$	—	$	41,637	$	—	$	2,365,147	$	5,687,436
GMO U.S. Treasury Fund		5,481,937		2,492,981		1,875,000		1,698		280		—		6,102,037
Totals	$	13,692,728	$	2,492,981	$	1,875,000	$	43,335	$	280	$	2,365,147	$	11,789,473

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by the underlying funds will be determined through tax year ending February 29, 2012.

11. Subsequent events

Effective October 3, 2011, the Fund implemented a new investment strategy. In accordance with that new strategy, the Fund changed its investment objective, benchmark, principal risks and GMO changed its voluntary management fee waiver. The information described below is effective beginning October 3, 2011.

The Fund’s shares are principally available only to other GMO Funds and certain other accredited investors. The Fund is managed by GMO.

30

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund pays an investment management fee to GMO at the annual rate of 0.70% of average daily net assets. The Fund offers a single class of shares. The Fund pays shareholder service fees to the Manager at the annual rate of 0.15% of average daily net assets. Subject to Excluded Fund Fees and Expenses, the Manager has contractually agreed to reimburse the Fund to the extent the Fund’s total annual operating expenses exceed 0.70% of average daily net assets. In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to 0.70% of the Fund’s average daily net assets. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to this date without the consent of the Fund’s Board of Trustees. In addition to these contractual expense limitations, the Manager has voluntarily agreed to waive the Fund’s management fee to 0.60% of average daily net assets and to reimburse the Fund to the extent the Fund’s total annual operating expenses exceed 0.60% of average daily net assets (excluding Excluded Fund Fees and Expenses). The Manager may change or terminate these voluntary waivers and reimbursements at any time, at which point the Fund will incur management fees equal to 0.70% of average daily net assets. During any period for which these voluntary waivers and reimbursements are in effect, the Fund will incur management fees at an annual rate lower than 0.70% of the Fund’s average daily net assets, and, as a result, net annual operating expenses for the Fund will be lower. For these purposes, “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, compensation and expenses of Trust Officers and agents who are not affiliated with GMO, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes).

The Fund’s investment objective is long-term total return.

The Fund plans to pursue its investment objective by investing in a range of global equity, bond, currency, and commodity markets using exchange traded futures and forward foreign exchange contracts as well as making other investments. The Fund seeks to take advantage of the Manager’s proprietary quantitative investment models for global tactical asset allocation and equity, bond, currency and commodity market selection.

In addition, the Fund normally invests assets not held as margin for futures or forward transactions or paid as option premiums in U.S. and non-U.S. fixed income securities. The Fund may hold cash directly (i.e., Treasury-Bills), invest in money market funds or hold shares of other series of the Trust, including Short-Duration Collateral Fund and U.S. Treasury Fund.

31

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Manager’s models for this active quantitative process are based on the following strategies:

Value-Based Strategies. Value factors compare the price of an asset class or market to an economic fundamental value. Generally, value strategies include yield analysis and mean reversion analysis.

Sentiment-Based Strategies. Generally, sentiment-based strategies assess factors such as risk aversion, analyst behavior and momentum.

The Manager may eliminate strategies or add new strategies in response to additional research, changing market conditions, or other factors.

To gain exposure to commodities and certain other assets, the Fund invests in a wholly-owned subsidiary company. GMO serves as the investment manager to this company but does not receive any additional management or other fees for such services. The company invests primarily in commodity- related derivatives and fixed income securities, but may also invest in any other investments in which the Fund may invest directly. References to the Fund in this summary of the Fund’s investment strategy may refer to actions undertaken by the Fund or the subsidiary company. The Fund does not invest directly in commodities and commodity-related derivatives.

If deemed prudent by the Manager, the Fund will take temporary defensive measures until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund’s normal investment strategies. The Fund may not achieve its investment objective while it is taking temporary defensive measures. The Fund has previously taken temporary defensive positions and has availed itself of the right to honor redemption requests in-kind. The Fund does not seek to maintain a specified interest rate duration for its portfolio.

The Fund’s benchmark is the Citigroup 3 Month Treasury Bill Index, which is a short-term Treasury bill index independently maintained and published by Citigroup.

The principal risks of an investment in the Fund include Derivatives Risk, Currency Risk, Market Risk — Equity Securities, Market Risk — Fixed Income Securities, Commodities Risk, Foreign Investment Risk, Counterparty Risk, Short Sales Risk, Management and Operational Risk, Credit Risk, Liquidity Risk, Leveraging Risk, Market Risk — Asset-Backed Securities, Fund of Funds Risk, Large Shareholder Risk, and Market Disruption and Geopolitical Risk. The Fund is a non-diversified investment company under the 1940 Act, and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified.

32

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three- and five-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees observed that the Fund’s purpose is to complement broader asset allocation strategies being implemented by the Manager in other asset allocation funds or accounts and noted that the Fund is not separately available. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

33

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s

34

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

35

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

36

GMO Alternative Asset Opportunity Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
1) Actual		0.60	%	$	1,000.00	$	978.20	$	2.98
2) Hypothetical		0.60	%	$	1,000.00	$	1,022.12	$	3.05

            * Expenses are calculated using the Fund’s annualized expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

37

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		110.4	%
Short-Term Investments		2.0
Options Purchased		1.2
Futures Contracts		(0.3	)
Written Options		(0.7	)
Swap Agreements		(1.2	)
Reverse Repurchase Agreements		(10.8	)
Other		(0.6	)
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).

1

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)/
Shares/Notional Amount		Description	Value ($)
		DEBT OBLIGATIONS — 110.4%
		U.S. Government — 110.4%
	180,000,000	U.S. Treasury Note, 1.00%, due 07/15/13		182,685,600
	185,000,000	U.S. Treasury Note, 1.13%, due 06/15/13 (a) (b)		188,043,250
	50,000,000	U.S. Treasury Strip Coupon, due 08/15/22		37,101,700
		Total U.S. Government		407,830,550
		TOTAL DEBT OBLIGATIONS (COST $399,945,815)		407,830,550
		MUTUAL FUNDS — 0.7%
		Affiliated Issuers — 0.7%
	110,794	GMO U.S. Treasury Fund		2,770,961
		TOTAL MUTUAL FUNDS (COST $2,770,961)		2,770,961
		OPTIONS PURCHASED — 1.2%
		Options on Interest Rate Swaps — 1.2%
USD	300,000,000	Swaption Call, Expires 12/01/11, Strike 1.00%,		2,815,800
		Upon potential excercise of the option, the Fund will enter into a swap with a notional amount of 300,000,000 USD in which it will pay a 3 month USD LIBOR and will receive 1.00%, maturing on December 5, 2013, (OTC) (CP - Merrill Lynch Capital Services Inc.)
USD	250,000,000	Swaption Call, Expires 05/21/12, Strike 0.77%,		871,500
		Upon potential excercise of the option, the Fund will enter into a swap with a notional amount of 250,000,000 USD in which it will pay a 3 month USD LIBOR and will receive 0.77%, maturing on May 23, 2013, (OTC) (CP - Merrill Lynch Capital Services Inc.)

2 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Notional Amount/
Shares		Description	Value ($)
USD	250,000,000	Swaption Call, Expires 05/20/13, Strike 0.77%,		731,500
		Upon potential excercise of the option, the Fund will enter into a swap with a notional amount of 250,000,000 USD in which it will pay a 3 month USD LIBOR and will receive 0.77%, maturing on May 22, 2014, (OTC) (CP - Merrill Lynch Capital Services Inc.)
		Total Options on Interest Rate Swaps		4,418,800
		TOTAL OPTIONS PURCHASED (COST $1,540,000)		4,418,800
		SHORT-TERM INVESTMENTS — 1.3%
		Money Market Funds — 1.3%
	4,863,102	State Street Institutional U.S. Government Money Market Fund-Institutional Class, 0.00%(c)		4,863,102
		TOTAL SHORT-TERM INVESTMENTS (COST $4,863,102)		4,863,102
		TOTAL INVESTMENTS — 113.6% (Cost $409,119,878)		419,883,413
		Other Assets and Liabilities (net) — (13.6%)		(50,310,097	)
		TOTAL NET ASSETS — 100.0%	$	369,573,316

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation/
Contracts	Type		Date	Value		(Depreciation)
Buys
2,550		Euro Dollar 90 Day	December 2011	$	634,280,625	$	758,956
Sales
2,550		Euro Dollar 90 Day	March 2013	$	634,216,875	$	(1,779,320	)

See accompanying notes to the financial statements. 3

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Reverse Repurchase Agreements

Face Value		Description	Market Value
USD	4,987,500	Deutsche Bank AG, 0.15%, dated 08/08/11, to be repurchased on demand at face value plus accrued interest with a stated maturity date of 9/7/11.	$	(4,987,999	)
USD	34,912,500	Deutsche Bank AG, 0.15%, dated 08/08/11, to be repurchased on demand at face value plus accrued interest with a stated maturity date of 9/7/11.		(34,915,991	)
			$	(39,903,990	)
Average balance outstanding			$	(34,150,036	)
Average interest rate				0.18	%
Maximum balance outstanding			$	(51,381,250	)

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

Written Options

A summary of open written option contracts for the Fund at August 31, 2011 is as follows:

Options on Interest Rate Swaps

Description of

Underlying Swap

Notional

Expiration

Receive

Fixed

Variable

Description

Amount

Date

Counterparty

(Pay) #

Rate

Rate

Premiums

Market Value

Call - OTC 2 Year Interest Rate Swap

600,000,000

USD

12/01/11

Merrill Lynch Capital Services Inc.

(Pay)

0.60%

3 Month LIBOR

$(360,000

)

$

(1,492,200

)

Call - OTC 2 Year Interest Rate Swap

250,000,000

USD

05/21/12

Merrill Lynch Capital Services Inc.

(Pay)

0.77%

3 Month LIBOR

(193,750

)

(1,232,250

)

$(553,750

)

$

(2,724,450

)

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

4 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Swap Agreements

Interest Rate Swaps

								Net Unrealized
Notional			Expiration		Receive	Fixed	Variable	Appreciation/
Amount			Date	Counterparty	(Pay) #	Rate	Rate	(Depreciation)
	380,000,000	USD	1/15/2014	Barclays Bank PLC	(Pay)	0.92%	3 month LIBOR	$	(2,738,643	)
	150,000,000	USD	1/15/2017	Barclays Bank PLC	Receive	2.19%	3 month LIBOR		5,364,203
	50,000,000	USD	8/15/2022	Barclays Bank PLC	(Pay)	0.00%	3 month LIBOR		(6,885,315	)
								$	(4,259,755	)
Premiums to (Pay) Receive								$	—

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

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

CP - Counterparty

LIBOR - London Interbank Offered Rate

OTC - Over-the-Counter

(a)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, swap contracts, forward currency contracts, and/or written options, if any (Note 4).
(b)	All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).
(c)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

Currency Abbreviations:

USD - United States Dollar

See accompanying notes to the financial statements. 5

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $406,348,917) (Note 2)	$	417,112,452
Investments in affiliated issuers, at value (cost $2,770,961) (Notes 2 and 10)		2,770,961
Receivable for investments sold		3,000,000
Receivable for Fund shares sold		283,593
Dividends and interest receivable		678,547
Receivable for open swap contracts (Note 4)		5,364,203
Receivable for expenses reimbursed by Manager (Note 5)		17,998
Total assets		429,227,754
Liabilities:
Payable for investments purchased		210
Payable for Fund shares repurchased		6,966,182
Payable to affiliate for (Note 5):
Management fee		100,914
Shareholder service fee		29,228
Trustees and Trust Officers or agents unaffiliated with the Manager		793
Payable for variation margin on open futures contracts (Note 4)		222,313
Payable for open swap contracts (Note 4)		9,623,958
Payable for reverse repurchase agreements (Note 2)		39,903,990
Written options outstanding, at value (premiums $553,750) (Note 4)		2,724,450
Accrued expenses		82,400
Total liabilities		59,654,438
Net assets	$	369,573,316

6 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited) — (Continued)

Net assets consist of:
Paid-in capital	$	373,673,501
Accumulated undistributed net investment income		5,120,010
Accumulated net realized loss		(12,532,911	)
Net unrealized appreciation		3,312,716
	$	369,573,316
Net assets attributable to:
Class III shares	$	77,992,181
Class VI shares	$	291,581,135
Shares outstanding:
Class III		3,184,868
Class VI		11,904,756
Net asset value per share:
Class III	$	24.49
Class VI	$	24.49

See accompanying notes to the financial statements. 7

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Interest	$	10,209,041
Dividends from affiliated issuers (Note 10)		6,340
Dividends		71
Total investment income		10,215,452
Expenses:
Management fee (Note 5)		857,738
Shareholder service fee – Class III (Note 5)		65,852
Shareholder service fee – Class VI (Note 5)		164,557
Custodian, fund accounting agent and transfer agent fees		46,552
Audit and tax fees		33,725
Interest expense (Note 2)		23,064
Legal fees		11,960
Trustees fees and related expenses (Note 5)		5,605
Registration fees		2,300
Miscellaneous		9,243
Total expenses		1,220,596
Fees and expenses reimbursed by Manager (Note 5)		(101,476	)
Expense reductions (Note 2)		(3	)
Net expenses		1,119,117
Net investment income (loss)		9,096,335
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		17,527,369
Investments in affiliated issuers		(5,355	)
Realized gains distributions from affiliated issuers (Note 10)		190
Futures contracts		(51,255,166	)
Written options		(77,000	)
Swap contracts		9,803,000
Foreign currency, forward contracts and foreign currency related transactions		26
Net realized gain (loss)		(24,006,936	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		7,666,826
Futures contracts		28,017,038
Written options		(2,501,525	)
Swap contracts		(1,255,338	)
Net unrealized gain (loss)		31,927,001
Net realized and unrealized gain (loss)		7,920,065
Net increase (decrease) in net assets resulting from operations	$	17,016,400

8 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	9,096,335		$	15,120,396
Net realized gain (loss)		(24,006,936	)		65,864,966
Change in net unrealized appreciation (depreciation)		31,927,001			(52,212,047	)
Net increase (decrease) in net assets from operations		17,016,400			28,773,315
Distributions to shareholders from:
Net investment income
Class III		(717,664	)		(800,265	)
Class VI		(4,096,214	)		(11,443,617	)
Total distributions from net investment income		(4,813,878	)		(12,243,882	)
Net realized gains
Class III		(3,981,023	)		(2,895,554	)
Class VI		(25,781,800	)		(28,083,138	)
Total distributions from net realized gains		(29,762,823	)		(30,978,692	)
		(34,576,701	)		(43,222,574	)
Net share transactions (Note 9):
Class III		32,355,549			10,435,994
Class VI		(183,100,087	)		(358,096,684	)
Increase (decrease) in net assets resulting from net share transactions		(150,744,538	)		(347,660,690	)
Total increase (decrease) in net assets		(168,304,839	)		(362,109,949	)
Net assets:
Beginning of period		537,878,155			899,988,104
End of period (including accumulated undistributed net investment income of $5,120,010 and $837,553, respectively)	$	369,573,316		$	537,878,155

See accompanying notes to the financial statements. 9

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout the period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28,
	(Unaudited)			2011			2010(a)
Net asset value, beginning of period	$	25.01		$	26.13		$	25.15
Income (loss) from investment operations:
Net investment income (loss)†		0.27			0.51			0.92
Net realized and unrealized gain (loss)		0.38			0.64			0.85
Total from investment operations		0.65			1.15			1.77
Less distributions to shareholders:
From net investment income		(0.17	)		(0.50	)		(0.60	)
From net realized gains		(1.00	)		(1.77	)		(0.19	)
Total distributions		(1.17	)		(2.27	)		(0.79	)
Net asset value, end of period	$	24.49		$	25.01		$	26.13
Total Return(b)		2.60	%**		4.51	%		7.07	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	77,992		$	48,676		$	40,225
Net operating expenses to average daily net assets(c)		0.40	%(d)*		0.41	%(d)		0.40	%*
Interest expense to average daily net assets(e)		0.01	%*		0.03	%		0.03	%*
Total net expenses to average daily net assets(c)		0.41	%*		0.44	%		0.43	%*
Net investment income (loss) to average daily net assets		2.14	%*		1.94	%		3.86	%*
Portfolio turnover rate		198	%**		315	%		116	%(f)**
Fees and expenses reimbursed by the Manager to average daily net assets:(g)		0.03	%*		0.04	%		0.04	%*

(a)	Period from March 27, 2009 (commencement of operations) through February 28, 2010.
(b)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(f)	Calculation represents portfolio turnover of the Fund for the period from March 18, 2009 (commencement of operations) through February 28, 2010.
(g)	Ratios include reimbursement of direct operating expenses and waiver of expenses indirectly incurred through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

10 See accompanying notes to the financial statements.

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Financial Highlights — (Continued)
(For a Class VI share outstanding throughout the period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28,
	(Unaudited)			2011			2010(a)
Net asset value, beginning of period	$	25.01		$	26.13		$	25.00
Income (loss) from investment operations:
Net investment income (loss)†		0.34			0.64			0.80
Net realized and unrealized gain (loss)		0.32			0.54			1.15
Total from investment operations		0.66			1.18			1.95
Less distributions to shareholders:
From net investment income		(0.18	)		(0.53	)		(0.63	)
From net realized gains		(1.00	)		(1.77	)		(0.19	)
Total distributions		(1.18	)		(2.30	)		(0.82	)
Net asset value, end of period	$	24.49		$	25.01		$	26.13
Total Return(b)		2.63	%**		4.60	%		7.83	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	291,581		$	489,202		$	859,763
Net operating expenses to average daily net assets(c)		0.30	%(d)*		0.31	%(d)		0.31	%*
Interest expense to average daily net assets(e)		0.01	%*		0.03	%		0.03	%*
Total net expenses to average daily net assets(c)		0.31	%*		0.34	%		0.34	%*
Net investment income (loss) to average daily net assets		2.73	%*		2.43	%		3.24	%*
Portfolio turnover rate		198	%**		315	%		116	%(f)**
Fees and expenses reimbursed by the Manager to average daily net assets:(f)		0.03	%*		0.04	%		0.04	%*

(a)	Period from March 18, 2009 (commencement of operations) through February 28, 2010.
(b)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(f)	Calculation represents portfolio turnover of the Fund for the period from March 18, 2009 (commencement of operations) through February 28, 2010.
(g)	Ratios include reimbursement of direct operating expenses and waiver of expenses indirectly incurred through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 11

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Asset Allocation Bond Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the Citigroup 3-Month Treasury Bill Index. The Manager pursues the Fund’s investment objective by using investment strategies designed to complement broader asset allocation strategies being implemented by the Manager in other GMO Asset Allocation Funds or accounts. Accordingly, the Fund is not a standalone investment. The Manager uses multi-year forecasts of relative value and risk to determine the Fund’s strategic direction.

Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in bonds. The term “bond” includes (i) obligations of an issuer to make payments of principal and/or interest (whether fixed or variable) on future dates and (ii) synthetic debt instruments created by the Manager by using derivatives (e.g., a futures contract, swap contract, currency forward or option). The Fund is permitted to invest in bonds of any kind (e.g., bonds of any maturity, duration or credit quality).

The Fund may invest in any sector of the bond market and is not required to maintain a minimum or maximum allocation of investments in any one sector. The sectors and types of bonds in which the Fund may invest include, but are not limited to: investment grade bonds denominated in various currencies, including bonds issued by the U.S. and foreign governments and their agencies or instrumentalities (as well as bonds neither guaranteed nor insured by the U.S. government), corporate bonds and taxable and tax-exempt municipal bonds; below investment grade bonds (also known as “junk bonds”); inflation indexed bonds issued by the U.S. government (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) and foreign governments and their agencies or instrumentalities (as well as bonds neither guaranteed nor insured by the U.S. and/or foreign governments) and inflation indexed bonds issued by corporations; sovereign debt of emerging countries and other bonds issued in emerging countries (including junk bonds); and asset-backed securities, including mortgage related and mortgage-backed securities.

The Fund may also invest in exchange traded and over-the-counter (“OTC”) derivatives, including futures contracts, currency options, currency forwards, reverse repurchase agreements, swap contracts (including credit default swaps), interest rate options, swaps on interest rates and other types of derivatives. The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

12

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may gain exposure to the investments described above through investments in shares of other GMO Funds, including GMO High Quality Short-Duration Bond Fund (to seek to generate a return in excess of that of the J.P. Morgan U.S. 3 Month Cash Index by investing in a wide variety of high quality U.S. and foreign debt investments), GMO Debt Opportunities Fund (to gain exposure to global credit markets) and GMO U.S. Treasury Fund (for cash management purposes). The Fund also may invest in unaffiliated money market funds for cash management purposes.

The Fund may invest up to 100% of its assets in junk bonds.

The Manager does not seek to maintain a specified interest rate duration for the Fund, and the Fund’s interest rate duration will change depending on the Fund’s investments and the Manager’s assessment of different sectors of the bond market. The Fund, if deemed prudent by the Manager, will take temporary defensive measures until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund’s normal investment strategies. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The financial statements of the underlying funds should be read in conjuction with the Fund’s financial statements. These financial statements are available, without charge, upon request be calling (617) 346-7646 (collect) or visiting GMO’s website at www.gmo.com.

For the period ended August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class VI. Each class of shares bears a different shareholder service fee.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market

13

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

14

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
U.S. Government	$	370,728,850	$	37,101,700	$	—	$	407,830,550
TOTAL DEBT OBLIGATIONS		370,728,850		37,101,700		—		407,830,550
Mutual Funds		2,770,961		—		—		2,770,961
Options Purchased		—		4,418,800		—		4,418,800
Short-Term Investments		4,863,102		—		—		4,863,102
Total Investments		378,362,913		41,520,500		—		419,883,413
Derivatives *
Futures Contracts Interest Rate Risk		758,956		—		—		758,956
Swap Agreements Interest Rate Risk		—		5,364,203		—		5,364,203
Total	$	379,121,869	$	46,884,703	$	—	$	426,006,572

15

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

LIABILITY VALUATION INPUTS

	Quoted Prices			Significant
	in Active			Other			Significant
	Markets for			Observable			Unobservable
	Identical Liabilities			Inputs			Inputs
Description	(Level 1)			(Level 2)			(Level 3)		Total
Derivatives *
Written Options Interest Rate Risk	$	—		$	(2,724,450	)	$	—	$	(2,724,450	)
Futures Contracts Interest Rate Risk		(1,779,320	)		—			—		(1,779,320	)
Swap Agreements Interest Rate Risk		—			(9,623,958	)		—		(9,623,958	)
Total	$	(1,779,320	)	$	(12,348,408	)	$	—	$	(14,127,728	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

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

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011 whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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

16

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statement 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.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. As of August 31, 2011, the Fund had received $39,900,000 from reverse repurchase agreements relating to securities with a market value, plus accrued interest, of $40,753,902. Reverse repurchase agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

17

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. The Fund had no inflation-indexed bonds outstanding at the end of the period.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards and future realized

18

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

losses, if any, subsequent to February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity. The Fund’s capital loss carryforwards expire as follows:

February 28, 2019 $ (19,383,532 )

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

						Net Unrealized
		Gross Unrealized		Gross Unrealized		Appreciation
Aggregate Cost		Appreciation		(Depreciation)		(Depreciation)
$	409,088,805	$	10,794,608	$	—	$	10,794,608

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the period ended February 28, 2010 through current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 and any increase or decrease is recorded

19

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Fixed Income Securities — Typically, the market value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics,

20

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers.

21

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another creates additional risk.

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

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

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

22

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero). 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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 their investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the

23

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

24

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust interest-rate exposure and enhance the

25

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund 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. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. During the period ended August 31, 2011, the Fund used purchased option contracts to adjust interest rate exposure. Option contracts purchased by the Fund and outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the period ended August 31, 2011, the Fund used written option contracts to adjust interest rate exposure. Written options outstanding at the end of the period are listed in the 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 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 Statement of Operations.

26

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For the period ended August 31, 2011, investment activity in options contracts written by the Fund was as follows:

	Puts						Calls
	Principal		Number				Principal			Number
	Amount		of Futures				Amount			of Futures
	of Contracts		Contracts		Premiums		of Contracts			Contracts			Premiums
Outstanding, beginning of period	$	—		—	$	—	$	(600,000,000	)		(500	)	$	(396,500	)
Options written		—		—		—		(250,000,000	)		—			(193,750	)
Options bought back		—		—		—		—			500			36,500
Options expired		—		—		—		—			—			—
Options sold		—		—		—		—			—			—
Outstanding, end of period	$	—		—	$	—	$	(850,000,000	)		—		$	(553,750	)

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

27

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

28

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to adjust interest rate exposure. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2011^Ù:

	Interest rate			Foreign currency		Credit		Equity		Other
	contracts			contracts		contracts		contracts		contracts		Total
Assets:
Investments, at value (purchased options)	$	4,418,800		$	—	$	—	$	—	$	—	$	4,418,800
Unrealized appreciation on futures contracts*		758,956			—		—		—		—		758,956
Unrealized appreciation on swap agreements		5,364,203			—		—		—		—		5,364,203
Total	$	10,541,959		$	—	$	—	$	—	$	—	$	10,541,959
Liabilities:
Written options outstanding	$	(2,724,450	)	$	—	$	—	$	—	$	—	$	(2,724,450	)
Unrealized depreciation on futures contracts*		(1,779,320	)		—		—		—		—		(1,779,320	)
Unrealized depreciation on swap agreements		(9,623,958	)		—		—		—		—		(9,623,958	)
Total	$	(14,127,728	)	$	—	$	—	$	—	$	—	$	(14,127,728	)

29

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate			Foreign currency		Credit		Equity		Other
	contracts			contracts		contracts		contracts		contracts		Total
Net Realized Gain (Loss) on:
Investments (purchased options)	$	1,005,350		$	—	$	—	$	—	$	—	$	1,005,350
Written options		(77,000	)		—		—		—		—		(77,000	)
Futures contracts		(51,255,166	)		—		—		—		—		(51,255,166	)
Swap agreements		9,803,000			—		—		—		—		9,803,000
Total	$	(40,523,816	)	$	—	$	—	$	—	$	—	$	(40,523,816	)
Change in Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	3,543,900		$	—	$	—	$	—	$	—	$	3,543,900
Written options		(2,501,525	)		—		—		—		—		(2,501,525	)
Futures contracts		28,017,038			—		—		—		—		28,017,038
Swap agreements		(1,255,338	)		—		—		—		—		(1,255,338	)
Total	$	27,804,075		$	—	$	—	$	—	$	—	$	27,804,075

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (futures contracts), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Futures		Swap
	contracts		agreements		Options
Average amount outstanding	$	3,785,942,438	$	1,851,500,000	$	1,609,166,667

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on

30

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares. The Manager has contractually agreed through at least June 30, 2012 to waive the Fund’s shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by a class of shares of the Fund exceeds 0.15% for Class III shares and 0.055% for Class VI shares; provided, however, that the amount of this waiver will not exceed the respective Class’ shareholder service fee.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.25% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in other GMO Funds (excluding those Funds’ Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $5,605 and $2,252, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

31

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

6. Purchases and sales of securities

For the period ended August 31, 2011, cost of purchases and proceeds from sales of securities, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	1,200,446,797	$	1,397,414,896
Investments (non-U.S. Government securities)		149,907,530		157,976,700

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 77.82% of the shares outstanding of the Fund were held by four shareholders, each holding more than 10% of the Fund’s outstanding shares. Two of these shareholders are other funds of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, none of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 99.98% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

32

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		2,186,148		$	55,396,133			923,852		$	24,389,447
Shares issued to shareholders in reinvestment of distributions		189,816			4,675,525			147,963			3,695,819
Shares repurchased		(1,137,507	)		(27,716,109	)		(664,641	)		(17,649,272	)
Net increase (decrease)		1,238,457		$	32,355,549			407,174		$	10,435,994

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class VI:	Shares			Amount			Shares			Amount
Shares sold		29,665,984		$	734,850,908			18,322,364		$	473,280,812
Shares issued to shareholders in reinvestment of distributions		1,174,715			28,940,469			1,483,358			37,317,130
Shares repurchased		(38,496,439	)		(946,891,464	)		(33,152,339	)		(868,694,626	)
Net increase (decrease)		(7,655,740	)	$	(183,100,087	)		(13,346,617	)	$	(358,096,684	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	9,857,886	$	149,031,530	$	156,113,100	$	6,340	$	190	$	2,770,961
Totals	$	9,857,886	$	149,031,530	$	156,113,100	$	6,340	$	190	$	2,770,961

11. Subsequent events

Subsequent to August 31, 2011, the Fund received redemption requests in the amount of $231,827,582.

33

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including a one-year period and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees observed that the Fund’s purpose is to complement broader asset allocation strategies being implemented by the Manager in other asset allocation funds or accounts and noted that the Fund is not separately available. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the

34

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal

35

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

36

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: the following information is in relation to the expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

37

GMO Asset Allocation Bond Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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 premiums and redemption fees. Therefore, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.41	%	$	1,000.00	$	1,026.00	$	2.09
2) Hypothetical		0.41	%	$	1,000.00	$	1,023.08	$	2.08
Class VI
1) Actual		0.31	%	$	1,000.00	$	1,026.30	$	1.58
2) Hypothetical		0.31	%	$	1,000.00	$	1,023.58	$	1.58

            * Expenses are calculated using each Class’s annualized net expense ratio (including interest expense and indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

38

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		61.7	%
Debt Obligations		19.7
Short-Term Investments		16.3
Preferred Stocks		1.5
Swap Agreements		0.3
Options Purchased		0.3
Loan Participations		0.2
Investment Funds		0.1
Loan Assignments		0.1
Futures Contracts		0.0	Ù
Rights/Warrants		0.0	Ù
Promissory Notes		0.0	Ù
Forward Currency Contracts		(0.1	)
Written Options		(0.1	)
Reverse Repurchase Agreements		(1.2	)
Other		1.2
		100.0	%

Country / Region Summary**	% of Investments
United States		47.6	%
Emerging***		17.4
Japan		10.4
Australia		9.6
United Kingdom		4.7
France		2.2
Germany		1.4
New Zealand		1.4
Netherlands		0.9
Switzerland		0.9
Italy		0.7
Canada		0.4
Hong Kong		0.4
Singapore		0.4
Spain		0.4
Belgium		0.3
Sweden		0.3
Denmark		0.2
Austria		0.1

1

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Country / Region Summary**	% of Investments
Finland		0.1	%
Greece		0.1
Ireland		0.1
		100.0	%

*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”) except for GMO Alpha Only Fund.
**	The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds except for GMO Alpha Only Fund and GMO Special Situations Fund. 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.
***	The “Emerging” exposure is comprised of: Argentina, Brazil, Chile, China, Colombia, Congo, Czech Republic, Egypt, Hungary, India, Indonesia, Malaysia, Mexico, Morocco, Philippines, Poland, Russia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand, Turkey and Venezuela.
Ù	Rounds to 0.0%

2

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 99.7%
		Affiliated Issuers — 99.7%
	5,345,847	GMO Alpha Only Fund, Class IV		132,309,712
	137,744	GMO Alternative Asset Opportunity Fund		4,385,783
	878,374	GMO Asset Allocation Bond Fund, Class VI		21,511,391
	2,834,797	GMO Currency Hedged International Equity Fund, Class III		59,445,703
	1,168,981	GMO Emerging Country Debt Fund, Class IV		11,339,113
	4,728,113	GMO Emerging Markets Fund, Class VI		60,803,533
	1,653,820	GMO Flexible Equities Fund, Class VI		29,636,461
	7,372,738	GMO Quality Fund, Class VI		154,606,311
	954,522	GMO Special Situations Fund, Class VI		25,686,189
	5,018,596	GMO Strategic Fixed Income Fund, Class VI		83,459,257
	173,215	GMO World Opportunity Overlay Fund		3,968,358
		TOTAL MUTUAL FUNDS (COST $631,569,130)		587,151,811
		DEBT OBLIGATIONS — 0.3%
		Asset-Backed Securities — 0.3%
		CMBS Collateralized Debt Obligations — 0.0%
	1,599,399	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.10%, due 11/23/52		15,994
		Insured Other — 0.0%
	2,500,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		175,000
		Insured Residential Mortgage-Backed Securities (United States) — 0.0%
	56,952	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.77%, due 08/15/30		35,529
		Residential Asset-Backed Securities (United States)u — 0.3%
	513,926	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 07/25/36		152,250
	1,192,537	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.37%, due 10/25/36		673,784
	114,775	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.52%, due 04/25/34		87,229

See accompanying notes to the financial statements. 3

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States)u — continued
	132,048	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.32%, due 08/25/36		51,664
	485,459	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.37%, due 03/25/36		223,311
	160,133	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.34%, due 02/25/37		75,262
	397,172	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.32%, due 04/25/37		343,554
		Total Residential Asset-Backed Securities (United States)		1,607,054
		Total Asset-Backed Securities		1,833,577
		U.S. Government Agency — 0.0%
	25,225	Agency for International Development Floater (Support of C.A.B.E.I.), 6 mo. U.S. Treasury Bill + .40%, 0.44%, due 10/01/12 (a)		25,059
	35,247	Agency for International Development Floater (Support of Honduras), 3 mo. U.S. Treasury Bill x 117%, 0.05%, due 10/01/11 (a)		35,200
	33,334	Agency for International Development Floater (Support of Zimbabwe), 3 mo. U.S. Treasury Bill x 115%, 0.05%, due 01/01/12 (a)		33,160
		Total U.S. Government Agency		93,419
		TOTAL DEBT OBLIGATIONS (COST $2,634,295)		1,926,996
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	23,573	State Street Institutional U.S. Government Money Market Fund-Institutional Class, 0.00% (b)		23,573
		TOTAL SHORT-TERM INVESTMENTS (COST $23,573)		23,573
		TOTAL INVESTMENTS — 100.0% (Cost $634,226,998)		589,102,380
		Other Assets and Liabilities (net) — (0.0%)		(135,419	)
		TOTAL NET ASSETS — 100.0%	$	588,966,961

4 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Notes to Schedule of Investments:

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

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

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

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

LIBOR - London Interbank Offered Rate

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

The rates shown on variable rate notes are the current interest rates at August 31, 2011, which are subject to change based on the terms of the security.

u	These securities are primarily backed by subprime mortgages.
(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.
(b)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

See accompanying notes to the financial statements. 5

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $2,657,868) (Note 2)	$	1,950,569
Investments in affiliated issuers, at value (cost $631,569,130) (Notes 2 and 10)		587,151,811
Receivable for investments sold		50,821
Receivable for Fund shares sold		2,334,129
Interest receivable		754
Receivable for expenses reimbursed by Manager (Note 5)		21,793
Miscellaneous receivable		46
Total assets		591,509,923
Liabilities:
Payable for Fund shares repurchased		2,384,996
Payable to affiliate for (Note 5):
Trustees and Trust Officers or agents unaffiliated with the Manager		945
Accrued expenses		157,021
Total liabilities		2,542,962
Net assets	$	588,966,961
Net assets consist of:
Paid-in capital	$	623,963,387
Distributions in excess of net investment income		(10,181,304	)
Accumulated net realized gain		20,309,496
Net unrealized depreciation		(45,124,618	)
	$	588,966,961
Net assets attributable to:
Class III shares	$	588,966,961
Shares outstanding:
Class III		25,705,093
Net asset value per share:
Class III	$	22.91

6 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	9,701,998
Interest		706,863
Dividends from unaffiliated issuers		7
Total investment income		10,408,868
Expenses:
Legal fees		56,856
Audit and tax fees		32,568
Trustees fees and related expenses (Note 5)		30,051
Custodian, fund accounting agent and transfer agent fees		26,128
Registration fees		24,909
Trust Officers or agents unaffiliated with the Manager (Note 5)		10,254
Miscellaneous		13,616
Total expenses		194,382
Fees and expenses reimbursed by Manager (Note 5)		(154,077	)
Expense reductions (Note 2)		(719	)
Net expenses		39,586
Net investment income (loss)		10,369,282
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		2,517,119
Investments in affiliated issuers		176,986,658
Realized gains distributions from affiliated issuers (Note 10)		37,414,553
Net realized gain (loss)		216,918,330
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(3,577,325	)
Investments in affiliated issuers		(168,340,161	)
Net unrealized gain (loss)		(171,917,486	)
Net realized and unrealized gain (loss)		45,000,844
Net increase (decrease) in net assets resulting from operations	$	55,370,126

See accompanying notes to the financial statements. 7

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	10,369,282		$	33,385,813
Net realized gain (loss)		216,918,330			(21,339,274	)
Change in net unrealized appreciation (depreciation)		(171,917,486	)		151,446,348
Net increase (decrease) in net assets from operations		55,370,126			163,492,887
Distributions to shareholders from:
Net investment income
Class III		(24,004,953	)		(41,863,110	)
Net share transactions (Note 9):
Class III		(2,613,078,575	)		1,314,856,688
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		107,106			914,185
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(2,612,971,469	)		1,315,770,873
Total increase (decrease) in net assets		(2,581,606,296	)		1,437,400,650
Net assets:
Beginning of period		3,170,573,257			1,733,172,607
End of period (including distributions in excess of net investment income of $10,181,304 and accumulated undistributed net investment income of $3,454,367, respectively)	$	588,966,961		$	3,170,573,257

8 See accompanying notes to the financial statements.

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	22.72		$	21.49		$	17.51		$	25.30		$	26.92		$	27.76
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.09			0.36			0.64			3.21			1.19			0.80
Net realized and unrealized gain (loss)		0.27			1.28			4.11			(6.72	)		1.18			1.63
Total from investment operations		0.36			1.64			4.75			(3.51	)		2.37			2.43
Less distributions to shareholders:
From net investment income		(0.17	)		(0.41	)		(0.75	)		(3.71	)		(1.12	)		(1.16	)
From net realized gains		—			—			(0.02	)		(0.57	)		(2.87	)		(2.11	)
Total distributions		(0.17	)		(0.41	)		(0.77	)		(4.28	)		(3.99	)		(3.27	)
Net asset value, end of period	$	22.91		$	22.72		$	21.49		$	17.51		$	25.30		$	26.92
Total Return(b)		1.59	%**		7.69	%		27.18	%		(15.11	)%		8.60	%		9.31	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	588,967		$	3,170,573		$	1,733,173		$	1,436,951		$	1,610,066		$	1,296,396
Net expenses to average daily net assets(c)(d)		0.00	%(e)*		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%
Net investment income (loss) to average daily net assets(a)		0.80	%*		1.63	%		3.14	%		14.05	%		4.30	%		2.94	%
Portfolio turnover rate		17	%**		19	%		24	%		40	%		57	%		45	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.01	%		0.01	%		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	%(f)	$	0.01		$	0.01		$	0.00	(f)	$	0.00	(f)	$	0.00	(f)

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	Net expenses to average daily net assets were less than 0.01%.
(e)	The net expense ratio does not include the effect of expense reductions.
(f)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 9

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Benchmark-Free Allocation Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks a positive total return. The Fund does not have a particular securities market index as a benchmark and does not seek to outperform a particular index or blend of indices (e.g., the Fund seeks positive return, not “relative” return). The Fund is a fund of funds and invests primarily in shares of other GMO Funds, which may include the GMO International Equity Funds, the GMO U.S. Equity Funds, the GMO Fixed Income Funds, GMO Alpha Only Fund, GMO Alternative Asset Opportunity Fund, GMO Debt Opportunities Fund, GMO High Quality Short-Duration Bond Fund, GMO Special Situations Fund and GMO World Opportunity Overlay Fund (GMO Funds in which the Fund invests are collectively referred to as “underlying funds”). In addition, the Fund may hold securities (particularly asset-backed securities) directly or through one or more subsidiaries or other entities. The Fund implements its strategy by allocating its assets among asset classes represented by the underlying funds (e.g., foreign equity, U.S. equity, emerging country equity, emerging country debt, foreign fixed income, U.S. fixed income and commodities). The Fund is not restricted in its exposure to any particular asset class, and at times may be substantially invested in underlying funds that primarily invest in a single asset class (e.g., GMO Fixed Income Funds). In addition, the Fund is not restricted in its exposure to any particular market. Although the Fund generally will have exposure to both emerging countries and developed countries, including the U.S., at times, it also may have substantial exposure to a particular country or type of country (e.g., emerging countries).

The Manager uses multi-year forecasts of relative value and risk among asset classes (e.g., foreign equity, U.S. equity, emerging country equity, emerging country debt, foreign fixed income, U.S. fixed income and commodities) to select the underlying funds in which the Fund invests and to decide how much to invest in each. The Manager changes the Fund’s holdings of underlying funds in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments. The Manager’s ability to shift investments among the underlying funds is not subject to any limits. The Fund may invest substantially all of its assets in a few underlying funds that primarily invest in the same asset class and may, at times, also invest a substantial portion of its assets in a single underlying fund.

10

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request by calling (617) 346-7646 (collect) or on GMO.com. As of August 31, 2011, shares of GMO Alternative Asset Opportunity Fund, GMO Special Situations Fund and GMO World Opportunity Overlay Fund were not publicly available for direct purchase.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other investment funds are generally valued at their net asset value. Investments held by the Fund and the underlying funds are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly and indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.7% of net assets. The Fund and the underlying funds classify such securities (as defined below) as Level 3.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of

11

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund either directly or through investments in the underlying funds that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below or in the disclosures in the underlying funds.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		34.2	%
Futures Contracts		(0.2	)
Swap Agreements		0.7

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 1.1% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements.

12

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: The Fund valued certain debt securities using quoted prices. The Fund valued certain other debt securities by using an estimated specified spread above the LIBOR rate.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds	$	587,151,811	$	—	$	—	$	587,151,811
Debt Obligations
Asset-Backed Securities		—		175,000		1,658,577		1,833,577
U.S. Government Agency		—		—		93,419		93,419
TOTAL DEBT OBLIGATIONS		—		175,000		1,751,996		1,926,996
Short-Term Investments		23,573		—		—		23,573
Total Investments		587,175,384		175,000		1,751,996		589,102,380
Total	$	587,175,384	$	175,000	$	1,751,996	$	589,102,380

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and derivative financial instruments using Level 3 inputs were 6.1% and (0.1)% of total net assets, respectively.

13

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

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

																						Net Change in
																						Unrealized
																						Appreciation
																						(Depreciation)
																						from
	Balances												Change in							Balances		Investments still
	as of							Accrued			Total		Unrealized			Transfers		Transfers		as of		Held as of
	February 28,							Discounts/			Realized		Appreciation			into		out of		August 31,		August 31,
	2011		Purchases		Sales			Premiums			Gain/(Loss)		(Depreciation)			Level 3*		Level 3*		2011		2011
Debt Obligations
Asset-Backed Securities	$	21,992,549	$	—	$	(19,711,808	)	$	100,963		$	1,489,740	$	(2,212,867	)	$	—	$	—	$	1,658,577	$	388,066
U.S. Government Agency		167,552		—		(74,697	)		(335	)		368		531			—		—		93,419		531
Total Debt Obligations		22,160,101		—		(19,786,505	)		100,628			1,490,108		(2,212,336	)		—		—		1,751,996		388,597
Total	$	22,160,101	$	—	$	(19,786,505	)	$	100,628		$	1,490,108	$	(2,212,336	)	$	—	$	—	$	1,751,996	$	388,597

            * The fund accounts for investments transferred into Level 3 at the value at the beginning of the period and transfers out of Level 3 at the value at the end of the period.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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

14

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards, post-October capital losses and losses realized in the future, if any, subsequent to February 28, 2011 could be subject to further limitations imposed by the Code related to share ownership activity. The Fund’s capital loss carryforwards expire as follows:

February 28, 2018	$	(111,308,319	)
February 28, 2019		(10,499,416	)
Total	$	(121,807,735	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership Activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	660,104,931	$	2,679,809	$	(73,682,360	)	$	(71,002,551	)

For the period ended August 31, 2011, the Fund had net realized gains attributed to redemption in-kind transactions of $152,840,355.

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way

15

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.09% of the amount invested or redeemed.

Purchase premiums and redemption fees are paid to and retained by the Fund to help offset non-de minimis 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) as

16

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing fee at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund’s investments in the underlying funds. Some of the underlying funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market value of a particular security held by those Funds may affect their performance more than if they were diversified. The principal risks of investing in the Fund are summarized below, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

17

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. An underlying fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Market Risk — Fixed Income Securities — Typically, the market value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience 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 capitalization.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund or an underlying fund from selling particular securities or unwinding

18

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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

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

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

19

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Commodities Risk — To the extent an underlying fund has exposure to global commodity markets, the value of its shares is affected by factors particular to the commodity markets and may fluctuate more than the value of shares of a fund with a broader range of investments.

• Leveraging Risk — The use of reverse repurchase agreements and other derivatives and securities lending may cause the Fund’s portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Real Estate Risk — To the extent an underlying fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.

• Short Sales Risk — The Fund runs the risk that an underlying fund’s loss on a short sale of securities that the underlying fund does not own is unlimited.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

The Fund invests (including through investment in underlying funds) in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit card receivables, which expose the Fund to additional types of market risk. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers. Payment of interest on asset backed securities and repayment of principal largely depend on the cash flows generated by the assets backing the securities. The market risk of a particular asset-backed security depends on many factors, including the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets and, if any, the level of credit support and the credit quality of the credit-support provider. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. The obligations of issuers (and obligors of underlying assets) also

20

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments.

21

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

5. Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not charge the Fund a management fee or shareholder service fee, but it receives management and 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 the Manager’s asset allocation decisions.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This contractual expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $30,051 and $10,254, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
0.429%	0.074%	0.003%	0.506%

22

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	74,697
Investments (non-U.S. Government securities)		562,666,158		426,919,409

Proceeds from sales of securities for in-kind transactions for the period ended August 31, 2011 were $2,725,183,510.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 25.58% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 6.31% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 84.92% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

23

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		9,237,047		$	211,006,908			59,229,938		$	1,321,541,427
Shares issued to shareholders in reinvestment of distributions		1,012,211			23,233,585			1,774,179			39,532,172
Shares repurchased		(124,118,981	)		(2,847,319,068	)		(2,092,173	)		(46,216,911	)
Purchase premiums		—			3,366			—			906,386
Redemption fees		—			103,740			—			7,799
Net increase (decrease)		(113,869,723	)	$	(2,612,971,469	)		58,911,944		$	1,315,770,873

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO Alpha Only Fund, Class IV	$	599,996,684	$	186,813,371	$	680,811,716	$	—	$	—	$	132,309,712
GMO Alternative Asset Opportunity Fund		24,921,958		—		19,873,053		—		—		4,385,783
GMO Asset Allocation Bond Fund, Class VI		244,450,911		70,233,544		287,452,367		902,697		11,911,427		21,511,391
GMO Currency Hedged International Equity Fund, Class III		363,301,368		43,268,223		328,054,098		—		1,635,149		59,445,703
GMO Emerging Country Debt Fund, Class IV		54,942,811		4,115,645		50,921,505		565,954		—		11,339,113
GMO Emerging Markets Fund, Class VI		340,226,922		54,384,899		312,663,814		—		23,867,977		60,803,533
GMO Flexible Equities Fund, Class VI		72,002,968		84,742,023		125,739,638		—		—		29,636,461
GMO Quality Fund, Class VI		851,695,924		79,143,435		786,280,048		8,233,347		—		154,606,311

24

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO Special Situations Fund, Class VI	$	148,674,177	$	9,442,288	$	128,597,086	$	—	$	—	$	25,686,189
GMO Strategic Fixed Income Fund, Class VI		417,114,334		30,522,730		385,007,267		—		—		83,459,257
GMO World Opportunity Overlay Fund		22,044,262		—		18,133,125		—		—		3,968,358
Totals	$	3,139,372,319	$	562,666,158	$	3,123,533,717	$	9,701,998	$	37,414,553	$	587,151,811

11. Subsequent events

On October 12, 2011, the Fund mailed a proxy statement to its shareholders seeking the approval of a new management contract. Under that new management contract, the Fund would pay GMO a management fee of 0.65%.

Subsequent to August 31, 2011, the Fund received redemption requests in the amount of $418,286,949.

25

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

1. Approval of renewal of management agreement for GMO Benchmark-Free Allocation Fund.

In determining to approve the renewal of the management agreement of the Fund (the “Current Management Contract”) for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Current Management Contract. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Current Management Contract. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Current Management Contract. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees considered that the Fund seeks a positive total return and does not seek to outperform a particular securities market index or blend of market indices. The Trustees also considered the Fund’s investment performance as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five- and seven-year periods and for the life of the Fund, and information prepared by the third-party data services, various other statistical measures of the Fund’s performance, and factors identified by the Manager as contributing to the Fund’s performance. The Trustees observed that the comparative data provided by the third-party data services was based on peer groups that included funds with investment approaches that were substantially different from that of the Fund and gave correspondingly less weight to that information. The

26

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Current Management Contract or the Fund’s shareholder servicing agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other funds of the Trust in which the Fund invests. The Trustees also considered other so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees noted that they had approved renewal of the Manager’s management agreements with the other funds of the Trust in which the Fund may invest and had concluded that the advisory fees charged to those funds were reasonable, after considering, among other things: possible economies of scale to the Manager in connection with its management of other funds; the Manager’s profitability with respect to those other funds and the Trust as a whole; and information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives to those funds in which the Fund invests.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the Current Management Contract. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the Current Management

27

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Contract was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Current Management Contract.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Current Management Contract for an additional twelve-month period commencing June 30, 2011.

2. Approval of new amended and restated management agreement for GMO Benchmark-Free Allocation Fund.

At a meeting of the Trust’s Board of Trustees held on June 3, 2011, the Trust’s Independent Trustees considered the terms of a proposed new amended and restated management agreement between the Trust, on behalf of the Fund, and the Manager, with respect to the Fund that will implement a new management fee for the Fund (the “New Management Contract”) and determined to recommend its approval to the full Board of Trustees. At a meeting held on June 14, 2011, the Board of Trustees, including all of the Independent Trustees, approved the New Management Contract and resolved to recommend approval of the New Management Contract by the Fund’s shareholders.

In connection with its consideration of the New Management Contract, the Independent Trustees met privately with its independent legal counsel and independent compliance consultant. In addition to the information the Board of Trustees took into account in connection with its approval of the Current Management Contract on May 31, 2011 described above, the Board of Trustees also considered the following factors, among others: (i) that the Manager is not currently being paid by the Fund for what the Trustees believe to be valuable asset allocation services; (ii) under the New Management Contract, the Manager’s management fee would be reduced or waived by an amount equal to the net management fees that are paid to the Manager and indirectly borne by the Fund as a result of the Fund’s investment in other funds of the Trust (after any waivers/reimbursements by the Manager to those other funds); (iii) the Fund’s management fee under the New Management Contract compares favorably with the fees paid by the Manager’s institutional accounts for the Manager’s real return strategies; (iv) the Fund’s current estimated total expenses under the New Management Contract would remain below the median of leading competitors identified by the Manager; and (v) the total direct and indirect fees paid by the Fund to the

28

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager for management services under the New Management Contract will be at least 0.65% of the Fund’s average daily net assets per annum and could be higher depending on the allocation of the Fund’s assets among other funds of the Trust.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services to be provided supported the approval of the New Management Contract.

Following their review, on June 14, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the New Management Contract for an initial period ending on the second anniversary of the agreement’s execution.

29

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including indirect management fees, indirect shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

30

GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.51	%	$	1,000.00	$	1,015.90	$	2.58
2) Hypothetical		0.51	%	$	1,000.00	$	1,022.57	$	2.59

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

31

GMO Benchmark-Free Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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 private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

GMO Benchmark-Free Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		61.7	%
Debt Obligations		19.5
Short-Term Investments		16.5
Preferred Stocks		1.5
Swap Agreements		0.3
Options Purchased		0.3
Loan Participations		0.1
Investment Funds		0.2
Loan Assignments		0.1
Futures Contracts		0.0	Ù
Rights/Warrants		0.0	Ù
Promissory Notes		0.0	Ù
Forward Currency Contracts		(0.1	)
Written Options		(0.1	)
Reverse Repurchase Agreements		(1.2	)
Other		1.2
		100.0	%

Country / Region Summary**	% of Investments
United States		47.4	%
Emerging***		17.5
Japan		10.4
Australia		9.7
United Kingdom		4.7
France		2.2
Germany		1.4
New Zealand		1.4
Netherlands		0.9
Switzerland		0.9
Italy		0.7
Canada		0.4
Hong Kong		0.4
Singapore		0.4
Spain		0.4
Belgium		0.3
Sweden		0.3
Denmark		0.2
Austria		0.1

1

GMO Benchmark-Free Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Country / Region Summary**	% of Investments
Finland		0.1	%
Greece		0.1
Ireland		0.1
		100.0	%

Ù	Rounds to 0.0%
*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”) except for GMO Alpha Only Fund.
**	The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds except for GMO Alpha Only Fund and GMO Special Situations Fund. 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.
***	The “Emerging” exposure is comprised of: Argentina, Brazil, Chile, China, Colombia, Congo, Czech Republic, Egypt, Hungary, India, Indonesia, Malaysia, Mexico, Morocco, Philippines, Poland, Russia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand, Turkey and Venezuela.

2

GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	25,148,509	GMO Alpha Only Fund, Class IV		622,425,608
	627,907	GMO Alternative Asset Opportunity Fund		19,992,562
	4,198,543	GMO Asset Allocation Bond Fund, Class VI		102,822,307
	13,159,844	GMO Currency Hedged International Equity Fund, Class III		275,961,932
	5,357,780	GMO Emerging Country Debt Fund, Class IV		51,970,465
	22,315,771	GMO Emerging Markets Fund, Class VI		286,980,821
	7,718,501	GMO Flexible Equities Fund, Class VI		138,315,545
	34,599,161	GMO Quality Fund, Class VI		725,544,408
	4,607,020	GMO Special Situations Fund, Class VI		123,974,921
	23,657,940	GMO Strategic Fixed Income Fund, Class VI		393,431,549
	798,754	GMO World Opportunity Overlay Fund		18,299,457
		TOTAL MUTUAL FUNDS (COST $2,762,513,884)		2,759,719,575
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	38,459	State Street Eurodollar Time Deposit, 0.01%, due 09/01/11		38,459
		TOTAL SHORT-TERM INVESTMENTS (COST $38,459)		38,459
		TOTAL INVESTMENTS — 100.0% (Cost $2,762,552,343)		2,759,758,034
		Other Assets and Liabilities (net) — (0.0%)		(18,241	)
		TOTAL NET ASSETS — 100.0%	$	2,759,739,793

See accompanying notes to the financial statements. 3

GMO Benchmark-Free Fund
(A Series of GMO Trust)


 
Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $38,459) (Note 2)	$	38,459
Investments in affiliated issuers, at value (cost $2,762,513,884) (Notes 2 and 10)		2,759,719,575
Receivable for Fund shares sold		7,634,602
Receivable for expenses reimbursed by Manager (Note 5)		23,459
Miscellaneous receivable		6,802
Total assets		2,767,422,897
Liabilities:
Payable for investments purchased		7,557,211
Payable for Fund shares repurchased		84,086
Payable to affiliate for (Note 5):
Trustees and Trust Officers or agents unaffiliated with the Manager		1,759
Accrued expenses		40,048
Total liabilities		7,683,104
Net assets	$	2,759,739,793
Net assets consist of:
Paid-in capital	$	2,759,343,195
Accumulated undistributed net investment income		2,774,417
Accumulated net realized gain		416,490
Net unrealized depreciation		(2,794,309	)
	$	2,759,739,793
Net assets attributable to:
Class III shares	$	2,759,739,793
Shares outstanding:
Class III		137,270,565
Net asset value per share:
Class III	$	20.10

4 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund
(A Series of GMO Trust)


Statement of Operations — Period from June 15, 2011 (commencement of operations) through
August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	2,779,306
Total investment income		2,779,306
Expenses:
Audit and tax fees		19,327
Custodian, fund accounting agent and transfer agent fees		11,319
Legal fees		7,931
Trustees fees and related expenses (Note 5)		3,080
Registration fees		693
Miscellaneous		11,390
Total expenses		53,740
Fees and expenses reimbursed by Manager (Note 5)		(48,851	)
Net expenses		4,889
Net investment income (loss)		2,774,417
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		416,490
Net realized gain (loss)		416,490
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(2,794,309	)
Net realized and unrealized gain (loss)		(2,377,819	)
Net increase (decrease) in net assets resulting from operations	$	396,598

See accompanying notes to the financial statements. 5

GMO Benchmark-Free Fund
(A Series of GMO Trust)


 
Statement of Changes in Net Assets

	Period from
	June 15, 2011
	(commencement
	of operations)
	through
	August 31, 2011
	(Unaudited)
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,774,417
Net realized gain (loss)		416,490
Change in net unrealized appreciation (depreciation)		(2,794,309	)
Net increase (decrease) in net assets from operations		396,598
Net share transactions (Note 9):
Class III		2,759,320,763
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		22,432
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		2,759,343,195
Total increase (decrease) in net assets		2,759,739,793
Net assets:
Beginning of period		—
End of period (including accumulated undistributed net investment income of $2,774,417)	$	2,759,739,793

6 See accompanying notes to the financial statements.

GMO Benchmark-Free Fund
(A Series of GMO Trust)


Financial Highlights
(For a Class III share outstanding throughout the period)

	Period from
	June 15, 2011
	(commencement
	of operations)
	through
	August 31, 2011
	(Unaudited)
Net asset value, beginning of period	$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.03
Net realized and unrealized gain (loss)		0.07	(b)
Total from investment operations		0.10
Net asset value, end of period	$	20.10
Total Return(c)		0.50	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	2,759,740
Net expenses to average daily net assets(d)(e)		0.00	%*
Net investment income (loss) to average daily net assets(a)		0.73	%*
Portfolio turnover rate		11	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		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 underlying funds in which the Fund invests.
(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 during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	Net expenses to average daily net assets were less than 0.01%.
(f)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 7

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

Benchmark-Free Fund (the “Fund”) commenced operations on June 15, 2011.

GMO Benchmark-Free Fund 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks a positive total return. The Fund does not have a particular securities market index as a benchmark and does not seek to outperform a particular index or blend of indices (e.g., the Fund seeks positive return, not “relative” return). The Fund is a fund of funds and invests primarily in shares of other GMO Funds, which may include the GMO International Equity Funds, the GMO U.S. Equity Funds, the GMO Fixed Income Funds, GMO Alpha Only Fund, GMO Alternative Asset Opportunity Fund, GMO Debt Opportunities Fund, GMO High Quality Short-Duration Bond Fund, GMO Special Situations Fund, and GMO World Opportunity Overlay Fund (GMO Funds in which the Fund invests are collectively referred to as, the “underlying funds”). In addition, the Fund may hold securities (particularly asset-backed securities) directly or through one or more subsidiaries or other entities. The Fund implements its strategy by allocating its assets among asset classes represented by the underlying funds (e.g., foreign equity, U.S. equity, emerging country equity, emerging country debt, foreign fixed income, U.S. fixed income, and commodities). The Fund is not restricted in its exposure to any particular asset class, and at times may be substantially invested in underlying funds that primarily invest in a single asset class (e.g., Fixed Income Funds). In addition, the Fund is not restricted in its exposure to any particular market. Although the Fund generally will have exposure to both emerging countries and developed countries, including the U.S., at times, it also may have substantial exposure to a particular country or type of country (e.g., emerging countries).

The Manager uses multi-year forecasts of relative value and risk among asset classes (e.g., foreign equity, U.S. equity, emerging country equity, emerging country debt, foreign fixed income, U.S. fixed income, and commodities) to select the underlying funds in which the Fund invests and to decide how much to invest in each. The Manager changes the Fund’s holdings of underlying funds in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments. The Manager’s ability to shift investments among the underlying funds is not subject to any limits. The Fund may invest substantially all of its assets in a few underlying funds that primarily invest in the same asset class and may, at times, also invest a substantial portion of its assets in a single underlying fund.

The Fund also may invest in unaffiliated money market funds and GMO U.S. Treasury Fund.

8

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Currently, shares of the Fund are not publicly offered and are principally available for purchase by other GMO Funds and certain other accredited investors.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request by calling (617) 346-7646 (collect). As of August 31, 2011, shares of GMO Alternative Asset Opportunity Fund, GMO Special Situations Fund and GMO World Opportunity Overlay Fund were not publicly available for direct purchase.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other investment funds are generally valued at their net asset value. Investments held by the underlying funds are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly and indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.7% of net assets. The Fund and the underlying funds classify such securities (as defined below) as Level 3.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of

9

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund, either directly or through investments in the underlying funds, that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below or in the disclosures in the underlying funds.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		34.2	%
Futures Contracts		(0.2	)%
Swap Agreements		0.7	%

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented less than 1.1% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements.

10

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds	$	2,759,719,575	$	—	$	—	$	2,759,719,575
Short-Term Investments		38,459		—		—		38,459
Total Investments		2,759,758,034		—		—		2,759,758,034
Total	$	2,759,758,034	$	—	$	—	$	2,759,758,034

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and derivative financial instruments using Level 3 inputs were 5.8% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at August 31, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all

11

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of tax basis earnings and profits, if significant, are reported in the financial statements as a return of capital for tax purposes.

Capital losses realized in the future, if any, could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	2,762,651,020	$	27,087,008	$	(29,979,994	)	$	(2,892,986	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at

12

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the period ended August 31, 2011.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.09% of the amount invested or redeemed.

Purchase premiums and redemption fees are paid to and retained by the Fund to help offset non-de minimis 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) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing fee, at any time.

13

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund’s investments in the underlying funds. Some of the underlying funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market value of a particular security held by those Funds may affect their performance more than if they were diversified. The principal risks of investing in the Fund are summarized below, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those

14

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

investments. An underlying fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Market Risk — Fixed Income Securities — Typically, the market value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience 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 capitalization.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund or an underlying fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

15

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Commodities Risk — To the extent an underlying fund has exposure to global commodity markets, the value of its shares is affected by factors particular to the commodity markets and may fluctuate more than the value of shares of a fund with a broader range of investments.

• Leveraging Risk — The use of reverse repurchase agreements and other derivatives and securities lending may cause the Fund’s portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

16

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Real Estate Risk — To the extent an underlying fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.

• Short Sales Risk — The Fund runs the risk that an underlying fund’s loss on a short sale of securities that the underlying fund does not own is unlimited.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness

17

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

of those securities (and underlying assets) caused credit spreads (the difference between yields on the asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the value of asset-backed and other fixed income securities. There can be no assurance these conditions will not occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments.

5. Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not charge the Fund a management fee or shareholder service fee, but it receives management and 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 the Manager’s asset allocation decisions.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and

18

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This contractual expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $3,080 and $1,809, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
0.435%	0.075%	0.003%	0.513%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and class exchanges, for the period ended August 31, 2011 aggregated $2,946,538,388 and $184,440,994, respectively.

7. Guarantees

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

19

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

8. Principal shareholders and related parties

As of August 31, 2011, 21.13% of the outstanding shares of the Fund were held by two shareholders. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, none of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and all of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Period from
	June 15, 2011
	(commencement of
	operations) through
	August 31, 2011
	(Unaudited)
Class III:	Shares			Amount
Shares sold		137,274,748		$	2,759,404,849
Shares repurchased		(4,183	)		(84,086	)
Purchase premiums		—			22,432
Net increase (decrease)		137,270,565		$	2,759,343,195

20

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO Alpha Only Fund, Class IV	$	—	$	660,088,867	$	50,168,287	$	—	$	—	$	622,425,608
GMO Alternative Asset Opportunity Fund		—		19,873,053		—		—		—		19,992,562
GMO Asset Allocation Bond Fund, Class VI		—		238,707,686		134,247,707		1,202,998		—		102,822,307
GMO Currency Hedged International Equity Fund, Class III		—		288,162,295		—		—		—		275,961,932
GMO Emerging Country Debt Fund, Class IV		—		51,325,960		—		217,065		—		51,970,465
GMO Emerging Markets Fund, Class VI		—		299,398,796		—		—		—		286,980,821
GMO Flexible Equities Fund, Class VI		—		142,547,699		—		—		—		138,315,545
GMO Quality Equity Fund, Class VI		—		725,346,727		25,000		1,359,243		—		725,544,408
GMO Special Situations Fund, Class VI		—		124,390,899		—		—		—		123,974,921
GMO Strategic Fixed Income Fund, Class VI		—		378,563,281		—		—		—		393,431,549
GMO World Opportunity Overlay Fund		—		18,133,125		—		—		—		18,299,457
Totals	$	—	$	2,946,538,388	$	184,440,994	$	2,779,306	$	—	$	2,759,719,575

21

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the initial management agreement of the Fund, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. At a meeting on April 27, 2011, the Trustees discussed materials provided by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to the Trustees for purposes of considering the Manager’s proposal to establish the Fund as a new series of the Trust and the proposed new management agreement between the Trust, on behalf of the Fund, and the Manager.

At meetings throughout the year, the Trustees had considered information relevant to approval of the Fund’s management agreement, including information provided at meetings with the Manager’s investment advisory personnel (including members of the Manager’s Asset Allocation Division, the investment division that would be responsible for day-to-day management of the Fund) with respect to other series of the Trust (collectively, the “funds”). In addition to that information the Trustees considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel who would be providing services under the Fund’s management agreement and information concerning the investment philosophy of, and investment process to be applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention to be devoted by the Manager’s senior management to the Fund. The Trustees considered the business reputation of the Manager and its professional liability insurance coverage.

Since the Fund had not yet commenced operations, the Trustees were unable to consider its performance. However, the Trustees considered the qualifications and experience of the Asset Allocation Division personnel, the support those personnel received from the Manager, the investment techniques that would be used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

The Trustees gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing agreement. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques to be used to manage the Fund. Since the Fund had not yet commenced operations, the Trustees were unable to review the Manager’s profitability with respect to the Fund. The Trustees did, however, consider how the proposed fees compared to fees paid by other asset allocation funds of the Trust and so-called “fallout benefits” to the Manager and also possible reputational value to be derived from serving as investment manager to the Fund. As the Fund had not yet commenced operations, the Trustees did not consider possible economies of scale to the Manager associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee to be charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors. The Trustees considered the rigor and discipline with which the Manager would be managing the Fund and the extent and quality of the resources, including human resources, to be brought

22

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services to be provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of other funds of the Trust. The Trustees also considered the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also took into account information concerning the Manager’s practices with respect to the execution of portfolio transactions that they received over the course of the year. Finally, the Trustees considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services to be provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund would be consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services to be provided by persons other than the Manager, considering, among other things, the Fund’s estimated total expenses, the Manager’s proposed contractual expense reimbursement arrangement with respect to the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services to be provided supported the approval of the Fund’s management agreement.

Following their review, on April 27, 2011, the Trustees who were not “interested persons” of the Trust, in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the Fund’s initial management agreement for an initial period ending on the second anniversary of the agreement’s execution.

23

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including indirect management fees, indirect shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, as outlined in the notes to the table below.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

24

GMO Benchmark-Free Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.51	%	$	1,000.00	$	1,005.00	$	1.08(a	)
2) Hypothetical		0.51	%	$	1,000.00	$	1,022.57	$	2.59(b	)

(a)	For the period June 15, 2011 (commencement of operations) through August 31, 2011. Expense is calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2011, multiplied by the average account value over the period, multiplied by 77 days in the period, divided by 366 days in the year.
(b)	For the period March 1, 2011 through August 31, 2011. Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

25

GMO Core Plus Bond Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Core Plus Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		87.1	%
Short-Term Investments		24.1
Options Purchased		0.4
Loan Participations		0.2
Loan Assignments		0.1
Rights/Warrants		0.0	Ù
Futures Contracts		0.0	Ù
Promissory Notes		0.0	Ù
Forward Currency Contracts		0.0	Ù
Written Options		(0.0	)Ù
Reverse Repurchase Agreements		(1.5	)
Swap Agreements		(1.7	)
Other		(8.7	)
		100.0	%

Country / Region Summary**	% of Investments
United States		111.0	%
Euro Region***		13.8
Emerging****		3.5
Canada		1.6
Japan		0.3
Australia		0.2
New Zealand		0.0	Ù
Norway		0.0	Ù
Switzerland		(6.3	)
Sweden		(10.4	)
United Kingdom		(13.7	)
		100.0	%

Ù	Rounds to 0.0%.
*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).
**	The table above 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 exposures, taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (directly and indirectly). Duration is based on the Manager’s models. The greater the duration of a bond,

1

GMO Core Plus Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

	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 “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.
****	The “Emerging” exposure is comprised of: Brazil, Chile, China, Congo, Czech Republic, Egypt, Hungary, India, Indonesia, Malaysia, Mexico, Morocco, Philippines, Poland, Russia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand and Turkey.

2

GMO Core Plus Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 45.3%
		Albania — 2.9%
		Foreign Government Obligations — 2.9%
USD	14,281,227	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a)		6,854,989
		Australia — 0.2%
		Asset-Backed Securities — 0.2%
USD	181,534	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.31%, due 04/19/38		175,469
USD	255,453	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.35%, due 05/10/36		247,280
		Total Australia		422,749
		United Kingdom — 0.3%
		Asset-Backed Securities — 0.3%
USD	516,149	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.35%, due 01/13/39		474,856
USD	31,368	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .04%, 0.29%, due 12/20/54		29,518
USD	300,000	Permanent Master Issuer Plc, Series 07-1, Class 4A, 3 mo. LIBOR + .08%, 0.33%, due 10/15/33		298,470
		Total United Kingdom		802,844
		United States — 41.9%
		Asset-Backed Securities — 2.9%
USD	294,667	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.42%, due 05/25/37		14,733
USD	130,122	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, 1 mo. LIBOR + .04%, 0.25%, due 10/06/13		129,771
USD	1,027,852	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 07/25/36		304,501
USD	868,120	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 06/25/36		257,995
USD	103,272	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.33%, due 09/25/36		32,273
USD	140,472	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.61%, due 01/25/36		98,330

See accompanying notes to the financial statements. 3

GMO Core Plus Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		Asset-Backed Securities — continued
USD	43,637	Capital Auto Receivable Asset Trust, Series 07-2, Class A4B, 1 mo. LIBOR + .40%, 0.61%, due 02/18/14		43,659
USD	500,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.46%, due 09/15/17		501,135
USD	300,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.50%, due 01/25/24		299,475
USD	455,520	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.60%, due 06/28/19		419,078
USD	232,945	Daimler Chrysler Auto Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 1.85%, 2.06%, due 11/10/14		233,991
USD	644,503	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.38%, due 04/25/36		397,980
USD	96,290	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.38%, due 08/25/36		31,294
USD	384,420	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.41%, due 05/25/36		231,433
USD	791,599	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.45%, due 11/15/33		708,481
USD	800,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .57%, 1.32%, due 03/06/20		788,000
USD	161,820	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.37%, due 03/25/36		74,437
USD	700,000	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 06/25/36		217,000
USD	500,000	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.45%, due 02/25/37		132,500
USD	80,696	National Collegiate Student Loan Trust, Series 06-1, Class A2, 1 mo. LIBOR + .14%, 0.36%, due 08/25/23		79,566
USD	32,040	Residential Asset Securities Corp., Series 07-KS3, Class AI1, 1 mo. LIBOR + .11%, 0.33%, due 04/25/37		31,761
USD	62,159	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.51%, due 12/25/32		19,269
USD	110,854	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.41%, due 11/25/35		95,933
USD	287,479	Sierra Receivables Funding Co., Series 06-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .15%, 0.36%, due 05/20/18		282,883
USD	168,993	SLM Student Loan Trust, Series 07-A, Class A1, 3 mo. LIBOR + .03%, 0.28%, due 09/15/22		168,148

4 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		Asset-Backed Securities — continued
USD	43,041	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.51%, due 11/25/35		34,003
USD	348,517	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.41%, due 07/14/14		350,884
USD	659,525	Wachovia Auto Owner Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.15%, 1.36%, due 03/20/14		662,539
USD	400,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.34%, due 02/15/17		396,312
				7,037,364
		Corporate Debt — 0.5%
USD	350,000	CIT Group, Inc., 144A, 7.00%, due 05/02/16		345,625
USD	210,000	CIT Group, Inc., 144A, 7.00%, due 05/04/15		207,375
USD	490,000	CIT Group, Inc., 144A, 7.00%, due 05/02/17		480,200
USD	117,337	CIT Group, Inc., 7.00%, due 05/01/14		118,065
				1,151,265
		U.S. Government — 29.8%
USD	18,799,560	U.S. Treasury Inflation Indexed Note, 2.00%, due 04/15/12 (b) (c)		19,077,154
USD	30,000,000	U.S. Treasury Note, 2.50%, due 03/31/15 (c)		32,137,500
USD	10,100,000	U.S. Treasury Receipts, 0.00%, due 02/15/12 (d)		10,052,319
USD	10,100,000	U.S. Treasury Receipts, 0.00%, due 08/15/12 (d)		9,991,629
				71,258,602
		U.S. Government Agency — 8.7%
USD	20,000,000	Federal National Mortage Assoc.,TBA, 4.00%, due 10/01/40		20,668,750
		Total United States		100,115,981
		TOTAL DEBT OBLIGATIONS (COST $105,102,998)		108,196,563

See accompanying notes to the financial statements. 5

GMO Core Plus Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		MUTUAL FUNDS — 63.2%
		United States — 63.2%
		Affiliated Issuers
	746,827	GMO Emerging Country Debt Fund, Class IV		7,244,221
	7,417,054	GMO Short-Duration Collateral Fund		53,328,619
	93,858	GMO Special Purpose Holding Fund (e)		40,359
	1,669,718	GMO U.S. Treasury Fund		41,759,650
	2,119,934	GMO World Opportunity Overlay Fund		48,567,698
		Total United States		150,940,547
		TOTAL MUTUAL FUNDS (COST $156,736,596)		150,940,547
		SHORT-TERM INVESTMENTS — 0.7%
		Money Market Funds — 0.2%
	394,713	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (f)		394,713
		U.S. Government — 0.5%
USD	200,000	U.S. Treasury Bill, 0.07%, due 05/31/12 (c) (g)		199,898
USD	1,100,000	U.S. Treasury Bill, 0.08%, due 06/28/12 (c) (g)		1,099,247
		Total U.S. Government (COST $1,298,177)		1,299,145
		TOTAL SHORT-TERM INVESTMENTS (COST $1,692,890)		1,693,858
		TOTAL INVESTMENTS — 109.2% (Cost $263,532,484)		260,830,968
		Other Assets and Liabilities (net) — (9.2%)		(21,992,636	)
		TOTAL NET ASSETS — 100.0%	$	238,838,332

6 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Buys †
9/27/11		Citibank N.A.	AUD		1,700,000	$	1,811,433	$	(51,410	)
9/27/11		Credit Suisse International	AUD		800,000		852,439		16,463
9/27/11		Deutsche Bank AG	AUD		8,000,000		8,524,392		(52,052	)
10/04/11		Credit Suisse International	CAD		1,400,000		1,428,495		16,892
10/04/11		Deutsche Bank AG	CAD		2,500,000		2,550,884		(7,412	)
9/06/11		Citibank N.A.	CHF		2,000,000		2,482,110		(115,124	)
9/06/11		Credit Suisse International	CHF		500,000		620,527		(7,377	)
9/06/11		Deutsche Bank AG	CHF		2,800,000		3,474,954		7,453
9/06/11		Goldman Sachs International	CHF		600,000		744,633		(2,491	)
9/13/11		Deutsche Bank AG	EUR		6,100,000		8,761,443		35,393
10/11/11		Citibank N.A.	GBP		600,000		973,558		(19,436	)
10/11/11		Credit Suisse International	GBP		1,100,000		1,784,856		(30,038	)
10/11/11		Deutsche Bank AG	GBP		2,400,000		3,894,231		(34,809	)
10/11/11		Royal Bank of Scotland PLC	GBP		1,600,000		2,596,154		(23,547	)
9/20/11		Citibank N.A.	JPY		30,000,000		391,852		12,466
9/20/11		Deutsche Bank AG	JPY		320,000,000		4,179,759		130,100
9/20/11		Royal Bank of Scotland PLC	JPY		80,000,000		1,044,940		1,519
10/25/11		Deutsche Bank AG	NZD		14,400,000		12,220,910		370,718
						$	58,337,570	$	247,308
Sales #
9/27/11		Citibank N.A.	AUD		1,700,000	$	1,811,433	$	(64,836	)
9/27/11		Credit Suisse International	AUD		1,200,000		1,278,659		(31,571	)
9/27/11		Deutsche Bank AG	AUD		900,000		958,994		(53,126	)
10/04/11		Citibank N.A.	CAD		4,200,000		4,285,485		20,837
10/04/11		Credit Suisse International	CAD		3,900,000		3,979,379		(35,357	)
10/04/11		Deutsche Bank AG	CAD		2,700,000		2,754,955		90,325
10/04/11		Royal Bank of Scotland PLC	CAD		3,900,000		3,979,379		(3,156	)
9/06/11		Credit Suisse International	CHF		1,200,000		1,489,266		32,463
9/06/11		Deutsche Bank AG	CHF		6,400,000		7,942,751		(280,833	)
9/06/11		Royal Bank of Scotland PLC	CHF		500,000		620,528		58,050
9/13/11		Citibank N.A.	EUR		900,000		1,292,672		(28,802	)
9/13/11		Credit Suisse International	EUR		1,100,000		1,579,932		(14,943	)

See accompanying notes to the financial statements. 7

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Currency Contracts — continued

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
9/13/11		Deutsche Bank AG	EUR		1,200,000	$	1,723,563	$	1,176
9/13/11		Goldman Sachs International	EUR		900,000		1,292,672		(5,591	)
9/13/11		Royal Bank of Scotland PLC	EUR		1,900,000		2,728,974		(22,060	)
10/11/11		Deutsche Bank AG	GBP		3,100,000		5,030,048		22,952
9/20/11		Citibank N.A.	JPY		60,000,000		783,705		(15,011	)
9/20/11		Deutsche Bank AG	JPY		170,000,000		2,220,497		(2,667	)
9/20/11		Royal Bank of Scotland PLC	JPY		90,000,000		1,175,557		(10,855	)
10/25/11		Credit Suisse International	NZD		1,400,000		1,188,144		(31,772	)
						$	48,116,593	$	(374,777	)

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

Forward Cross Currency Contracts

								Net Unrealized
Settlement			Deliver/Units		Receive/In			Appreciation
Date	Counterparty		of Currency		Exchange For			(Depreciation)
10/18/11		Deutsche Bank AG	EUR	7,300,000		NOK	57,413,400	$	194,674
		Goldman Sachs
10/18/11		International	EUR	400,000		NOK	3,157,256		12,771
		Credit Suisse
10/18/11		International	NOK	6,305,040		EUR	800,000		(23,781	)
		Goldman Sachs
10/18/11		International	NOK	7,084,125		EUR	900,000		(25,072	)
		Credit Suisse
11/01/11		International	EUR	500,000		SEK	4,567,000		83
11/01/11		Deutsche Bank AG	EUR	600,000		SEK	5,482,260		391
								$	159,066

8 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Buys
8		Australian Government Bond 10 Yr.	September 2011	$	968,553	$	7,441
24		Canadian Government Bond 10 Yr.	December 2011		3,178,647		(23,610	)
119		Euro Bund	September 2011		23,054,996		221,737
147		U.S. Treasury Note 10 Yr. (CBT)	September 2011		19,114,594		(98,409	)
				$	46,316,790	$	107,159
Sales
13		U.S. Treasury Bond 30 Yr. (CBT)	September 2011	$	1,785,062	$	19,961
243		U.S. Treasury Note 2 Yr. (CBT)	September 2011		53,589,094		(136,541	)
65		U.S. Treasury Note 5 Yr. (CBT)	September 2011		8,027,500		(46,487	)
167		UK Gilt Long Bond	December 2011		34,389,455		222,402
				$	97,791,111	$	59,335

Swap Agreements

Credit Default Swaps

Maximum

Potential

Amount of

Future

Payments

Implied

by the Fund

Net Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

Under the

Appreciation/

Amount

Date

Counterparty

(Pay)Ù

Premium

Spread(1)

Entity

Contract(2)

(Depreciation)

2,000,000

USD

12/20/2013

Barclays Bank PLC

Receive

0.25%

3.93%

SLM Corp.

2,000,000

USD

$

(159,254

)

Premiums to (Pay) Receive

$

—

Ù

Receive - Fund receives premium and sells credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.

(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional

See accompanying notes to the financial statements. 9

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

	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.
(1)	Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of August 31, 2011, 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 agreement.
(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

								Net Unrealized
Notional			Expiration		Receive			Appreciation/
Amount			Date	Counterparty	(Pay)#	Fixed Rate	Variable Rate	(Depreciation)
	13,500,000	CHF	9/21/2016	Barclays Bank PLC	Receive	1.90%	6 Month CHF LIBOR	$	736,855
	6,900,000	CHF	9/21/2016	Citibank N.A.	Receive	1.90%	6 Month CHF LIBOR		376,615
	65,400,000	SEK	9/21/2016	Citibank N.A.	(Pay)	3.90%	3 Month SEK STIBOR		(653,761	)
				JPMorgan Chase
	42,600,000	SEK	9/21/2016	Bank, N.A.	(Pay)	3.90%	3 Month SEK STIBOR		(425,844	)
	52,000,000	SEK	9/21/2016	Barclays Bank PLC	(Pay)	3.90%	3 Month SEK STIBOR		(519,810	)
								$	(485,945	)
Premiums to (Pay) Receive								$	(104,875	)

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

Total Return Swaps

							Net Unrealized
Notional			Expiration				Appreciation/
Amount			Date	Counterparty	Fund Pays	Fund Receives	(Depreciation)
	175,000,000	USD	2/17/2012	Merrill Lynch Capital Services, Inc.	1 month LIBOR -0.15%	Lehman Aggregate Total Return Index	$	(900,219	)
Premiums to (Pay) Receive							$	—

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

10 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Notes to Schedule of Investments:

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

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

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

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

LIBOR - London Interbank Offered Rate

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

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

TBA - To Be Announced - Delayed Delivery Security

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

The rates shown on variable rate notes are the current interest rates at August 31, 2011, which are subject to change based on the terms of the security.

(a)	Security is backed by the U.S. Government.
(b)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).
(c)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap contracts, forward currency contracts, and/or written options, if any. (Note 4).
(d)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.
(e)	Underlying investment represents interests in defaulted claims. See “Other Matters” in Notes to Financial Statements for additional information.
(f)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.
(g)	Rate shown represents yield-to-maturity.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

See accompanying notes to the financial statements. 11

GMO Core Plus Bond Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $106,795,888) (Note 2)	$	109,890,421
Investments in affiliated issuers, at value (cost $156,736,596) (Notes 2 and 10)		150,940,547
Dividends and interest receivable		472,920
Unrealized appreciation on open forward currency contracts (Note 4)		1,024,726
Receivable for open swap contracts (Note 4)		1,113,470
Receivable for variation margin on open futures contracts (Note 4)		1,067,938
Receivable for expenses reimbursed by Manager (Note 5)		20,638
Total assets		264,530,660
Liabilities:
Payable for investments purchased – delayed delivery securities		20,796,885
Payable for Fund shares repurchased		100,000
Payable to affiliate for (Note 5):
Management fee		51,020
Shareholder service fee		22,504
Trustees and Trust Officers or agents unaffiliated with the Manager		137
Due to broker for open futures contracts		955,797
Unrealized depreciation on open forward currency contracts (Note 4)		993,129
Payable for open swap contracts (Note 4)		2,658,888
Accrued expenses		113,968
Total liabilities		25,692,328
Net assets	$	238,838,332
Net assets consist of:
Paid-in capital	$	415,580,217
Accumulated undistributed net investment income		1,867,552
Accumulated net realized loss		(174,458,338	)
Net unrealized depreciation		(4,151,099	)
	$	238,838,332
Net assets attributable to:
Class III shares	$	49,543,242
Class IV shares	$	189,295,090
Shares outstanding:
Class III		6,568,236
Class IV		25,047,313
Net asset value per share:
Class III	$	7.54
Class IV	$	7.56

12 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Interest	$	1,975,659
Dividends from affiliated issuers (Note 10)		489,571
Dividends from unaffiliated issuers		2
Total investment income		2,465,232
Expenses:
Management fee (Note 5)		293,573
Shareholder service fee – Class III (Note 5)		36,802
Shareholder service fee – Class IV (Note 5)		92,895
Custodian, fund accounting agent and transfer agent fees		62,560
Audit and tax fees		42,136
Legal fees		4,600
Registration fees		4,048
Trustees fees and related expenses (Note 5)		1,722
Miscellaneous		6,879
Total expenses		545,215
Fees and expenses reimbursed by Manager (Note 5)		(118,864	)
Expense reductions (Note 2)		(5	)
Indirectly incurred fees waived or borne by Manager (Note 5)		(15,731	)
Shareholder service fee waived (Note 5)		(3,714	)
Net expenses		406,901
Net investment income (loss)		2,058,331
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(561,156	)
Investments in affiliated issuers		(147,720	)
Realized gains distributions from affiliated issuers (Note 10)		1,236
Futures contracts		(3,853,304	)
Written options		358,868
Swap contracts		17,419,678
Foreign currency, forward contracts and foreign currency related transactions		(18,252	)
Net realized gain (loss)		13,199,350
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		1,122,286
Investments in affiliated issuers		(388,183	)
Futures contracts		62,120
Written options		(330,276	)
Swap contracts		(4,127,320	)
Foreign currency, forward contracts and foreign currency related transactions		535,051
Net unrealized gain (loss)		(3,126,322	)
Net realized and unrealized gain (loss)		10,073,028
Net increase (decrease) in net assets resulting from operations	$	12,131,359

See accompanying notes to the financial statements. 13

GMO Core Plus Bond Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,058,331		$	4,664,508
Net realized gain (loss)		13,199,350			13,355,190
Change in net unrealized appreciation (depreciation)		(3,126,322	)		16,689,965
Net increase (decrease) in net assets from operations		12,131,359			34,709,663
Distributions to shareholders from:
Net investment income
Class III		(655,371	)		(3,608,961	)
Class IV		(2,445,189	)		(18,732,766	)
Total distributions from net investment income		(3,100,560	)		(22,341,727	)
Net share transactions (Note 9):
Class III		(99,199	)		(10,173,273	)
Class IV		(1,199,423	)		(103,777,751	)
Increase (decrease) in net assets resulting from net share transactions		(1,298,622	)		(113,951,024	)
Total increase (decrease) in net assets		7,732,177			(101,583,088	)
Net assets:
Beginning of period		231,106,155			332,689,243
End of period (including accumulated undistributed net investment income of $1,867,552 and $2,909,781, respectively)	$	238,838,332		$	231,106,155

14 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	7.26		$	7.02		$	6.08		$	9.42		$	10.49		$	10.32
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.06			0.11			0.05			0.27			0.37			0.43
Net realized and unrealized gain (loss)		0.32			0.65			1.51			(2.08	)		(0.63	)		0.27
Total from investment operations		0.38			0.76			1.56			(1.81	)		(0.26	)		0.70
Less distributions to shareholders:
From net investment income		(0.10	)		(0.52	)		(0.62	)		(1.53	)		(0.81	)		(0.53	)
Total distributions		(0.10	)		(0.52	)		(0.62	)		(1.53	)		(0.81	)		(0.53	)
Net asset value, end of period	$	7.54		$	7.26		$	7.02		$	6.08		$	9.42		$	10.49
Total Return(b)		5.26	%**		10.93	%		26.84	%		(20.12	)%		(2.56	)%		6.85	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	49,543		$	47,773		$	55,839		$	73,730		$	125,506		$	187,045
Net operating expenses to average daily net assets(c)		0.39	%(d)*		0.39	%(d)		0.38	%(d)		0.39	%(d)		0.39	%(d)		0.39	%
Interest expense to average daily net assets		—			—			0.02	%(e)		—			—			—
Total net expenses to average daily net assets(c)		0.39	%(d)*		0.39	%(d)		0.40	%(d)		0.39	%(d)		0.39	%(d)		0.39	%
Net investment income (loss) to average daily net assets		1.71	%*		1.48	%		0.77	%		3.20	%		3.70	%		4.11	%
Portfolio turnover rate		10	%**		46	%		58	%		22	%		44	%		72	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.12	%*		0.11	%		0.09	%		0.08	%		0.06	%		0.06	%
Redemption fees consisted of the following per share amounts:†		—			—			0.00	(f)	$	0.01			—			—

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(f)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 15

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class IV share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	7.27		$	7.03		$	6.09		$	9.44		$	10.50		$	10.33
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.07			0.11			0.12			0.17			0.36			0.45
Net realized and unrealized gain (loss)		0.32			0.65			1.45			(1.99	)		(0.61	)		0.26
Total from investment operations		0.39			0.76			1.57			(1.82	)		(0.25	)		0.71
Less distributions to shareholders:
From net investment income		(0.10	)		(0.52	)		(0.63	)		(1.53	)		(0.81	)		(0.54	)
Total distributions		(0.10	)		(0.52	)		(0.63	)		(1.53	)		(0.81	)		(0.54	)
Net asset value, end of period	$	7.56		$	7.27		$	7.03		$	6.09		$	9.44		$	10.50
Total Return(b)		5.39	%**		10.97	%		26.87	%		(20.23	)%		(2.42	)%		6.90	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	189,295		$	183,333		$	276,850		$	233,848		$	1,017,792		$	2,182,618
Net operating expenses to average daily net assets(c)		0.34	%(d)*		0.34	%(d)		0.33	%(d)		0.34	%(d)		0.34	%(d)		0.34	%
Interest expense to average daily net assets		—			—			0.02	%(e)		—			—			—
Total net expenses to average daily net assets(c)		0.34	%(d)*		0.34	%(d)		0.35	%(d)		0.34	%(d)		0.34	%(d)		0.34	%
Net investment income (loss) to average daily net assets(a)		1.76	%*		1.48	%		1.78	%		1.89	%		3.60	%		4.33	%
Portfolio turnover rate		10	%**		46	%		58	%		22	%		44	%		72	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.12	%*		0.11	%		0.09	%		0.08	%		0.06	%		0.06	%
Redemption fees consisted of the following per share amounts:†		—			—			0.00	(f)	$	0.01			—			—

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(f)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

16 See accompanying notes to the financial statements.

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Core Plus Bond Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the Barclays Capital U.S. Aggregate Index. The Fund’s investment program has two principal components. One component seeks to replicate the Fund’s benchmark. The second component seeks to add value relative to the Fund’s benchmark by taking positions that may be unrelated to its benchmark in global interest rate, currency and credit markets (particularly in asset-backed and emerging country debt markets). These positions can cause the Fund’s performance to differ significantly from that of its benchmark.

In deciding on what positions to take in global interest rate and currency markets, and for the size of those positions, the Manager considers fundamental factors (e.g., inflation and current account positions) as well as price-based factors (e.g., interest and exchange rates). The Manager assesses the relative values across global interest rate and currency markets, and considers the merits of overweighting or underweighting positions in currencies and interest rates. The Manager also may consider the relative attractiveness of yield curve and duration positions in these markets.

In selecting credit investments, the Manager uses fundamental investment techniques to assess the expected performance of these investments relative to the Fund’s benchmark.

In implementing these strategies, the Fund may hold or invest in: derivatives, including without limitation, futures contracts, currency options, interest rate options, currency forwards, reverse repurchase agreements, credit default swaps and other swap contracts (to generate a return comparable to the Fund’s benchmark and to gain exposure to the global interest rate, credit and currency markets); bonds denominated in various currencies, including foreign and U.S. government bonds, asset-backed securities issued by foreign governments and U.S. government agencies (as well as bonds neither guaranteed nor insured by the U.S. government), corporate bonds, and mortgage-backed and other asset-backed securities issued by private issuers; shares of GMO Short-Duration Collateral Fund (“SDCF”) (to have exposure to asset-backed securities);shares of GMO World Opportunity Overlay Fund (“Overlay Fund”) (to gain exposure to the global interest rate, credit and currency markets); shares of GMO Emerging Country Debt Fund (“ECDF”) (to gain exposure to emerging country debt markets); shares of GMO U.S. Treasury Fund and unaffiliated money market funds (for cash management purposes); shares of GMO High Quality Short-Duration Bond Fund (to seek to generate a return in excess of that of the J.P. Morgan U.S. 3 Month Cash Index by

17

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

investing in a wide variety of high quality U.S. and foreign debt investments); and shares of GMO Debt Opportunities Fund (to gain exposure to global credit markets).

The Fund, primarily through its investments in shares of SDCF, Overlay Fund and ECDF, has and is expected to continue to have material exposure to below investment grade U.S. asset-backed and emerging country debt securities. The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

The Manager normally seeks to maintain the Fund’s estimated interest rate duration within +/- 2 years of the benchmark’s duration.

Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in bonds. The term “bond” includes (i) obligations of an issuer to make payments of principal and/or interest (whether fixed or variable) on future dates and (ii) synthetic debt instruments created by the Manager by using derivatives (e.g., a futures contract, swap contract, currency forward or option). The Fund, if deemed prudent by the Manager, will take temporary defensive measures until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund’s normal investment strategies. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the period ended August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different shareholder service fee.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request by calling (617) 346-7646 (collect) or at gmo.com. As of August 31, 2011, shares of SDCF, Overlay Fund and GMO Special Purpose Holding Fund (“SPHF”) were not publicly available for direct purchase.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of

18

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly and indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 9.2% of net assets. The Fund and the underlying funds classify such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivatives based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 7.9% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The

19

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include most recent quoted prices, interest rates, prepayment speeds, credit risk, yield curves and similar data. The Fund also used third party valuation services (which use industry models and inputs from pricing vendors) to value credit default swaps.

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: The Fund valued certain debt securities using quoted prices. The Fund valued certain other debt securities by using an estimated specified spread above the LIBOR rate or U.S. Treasury yield.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
Asset-Backed Securities	$	—	$	736,414	$	7,526,543	$	8,262,957
Corporate Debt		—		1,151,265		—		1,151,265
Foreign Government Obligations		—		6,854,989		—		6,854,989

20

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
U.S. Government	$	32,137,500	$	19,077,154	$	20,043,948	$	71,258,602
U.S. Government Agency		—		20,668,750		—		20,668,750
TOTAL DEBT OBLIGATIONS		32,137,500		48,488,572		27,570,491		108,196,563
Mutual Funds		150,900,188		40,359		—		150,940,547
Short-Term Investments		1,693,858		—		—		1,693,858
Total Investments		184,731,546		48,528,931		27,570,491		260,830,968
Derivatives *
Forward Currency Contracts
Foreign Currency Risk		—		1,024,726		—		1,024,726
Futures Contracts
Interest Rate Risk		471,541		—		—		471,541
Swap Agreements
Interest Rate Risk		—		1,113,470		—		1,113,470
Total	$	185,203,087	$	50,667,127	$	27,570,491	$	263,440,705

LIABILITY VALUATION INPUTS

	Quoted Prices			Significant
	in Active			Other			Significant
	Markets for			Observable			Unobservable
	Identical Liabilities			Inputs			Inputs
Description	(Level 1)			(Level 2)			(Level 3)		Total
Derivatives *
Forward Currency Contracts
Foreign Currency Risk	$	—		$	(993,129	)	$	—	$	(993,129	)
Futures Contracts
Interest Rate Risk		(305,047	)		—			—		(305,047	)
Swap Agreements
Credit Risk		—			(159,254	)		—		(159,254	)
Interest Rate Risk		—			(2,499,634	)		—		(2,499,634	)
Total	$	(305,047	)	$	(3,652,017	)	$	—	$	(3,957,064	)

21

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and derivative financial instruments using Level 3 inputs were 35.6% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

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

																					Net Change in
																					Unrealized
																					Appreciation
																					(Depreciation)
																					from
	Balances											Change in							Balances		Investments
	as of							Accrued		Total		Unrealized			Transfers		Transfers		as of		Still Held as
	February 28,							Discounts/		Realized		Appreciation			into		out of		August 31,		August 31,
	2011		Purchases		Sales			Premiums		Gain/(Loss)		(Depreciation)			level 3*		level 3*		2011		2011
Debt Obligations
Asset Backed Securities	$	9,187,027	$	—	$	(1,277,217	)	$	74,730	$	169,696	$	(627,693	)	$	—	$	—	$	7,526,543	$	(596,999	)
U.S Government Agency		19,856,848		—		—			639,939		—		(452,839	)		—		—		20,043,948		(452,839	)
Total	$	29,043,875	$	—	$	(1,277,217	)	$	714,669	$	169,696	$	(1,080,532	)	$	—	$	—	$	27,570,491	$	(1,049,838	)

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are

22

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 on the Statement 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.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

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

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

23

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Delayed delivery commitments

The 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. Collateral consisting of liquid securities or cash and cash equivalents is maintained with the custodian in an amount at least equal to these commitments. Delayed delivery commitments outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from

24

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital loss of $626,389.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards, post-October capital and currency losses and future realized losses, if any, subsequent to February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity. The Fund’s capital Loss carryforwards expire as follows:

February 28, 2014	$	(34,693,380	)
February 28, 2015		(2,795,728	)
February 29, 2016		(33,008,915	)
February 28, 2017		(74,050,257	)
February 28, 2018		(17,147,333	)
February 28, 2019		(138,723	)
Total	$	(161,834,336	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	289,145,951	$	5,592,349	$	(33,907,332	)	$	(28,314,983	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws

25

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 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. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

26

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Other matters

SPHF, an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the period ended August 31, 2011, the Fund received no distributions from SPHF in connection with the defaulted securities or the related litigation.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Fixed Income Securities — Typically, the market value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

27

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Derivatives Risk — The use of derivatives involves the risk that their value may or may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans and home equity loans), creates additional risk.

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

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

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

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds

28

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

29

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Agreements”) or other similar types of agreements with selected counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Agreements typically include representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse effect on the Fund’s operations.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange

30

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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 their investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal

31

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

32

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. During the period ended August 31, 2011, the Fund used forward currency contracts to adjust exposure to foreign currencies, adjust against anticipated currency exchange rate changes and hedge some or all of the broad market exposure of the underlying funds and assets in which the Fund invests. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

33

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust exposure to certain markets and enhance the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund 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. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. During the period ended August 31, 2011, the Fund used purchased option contracts to to adjust exposure to currencies and otherwise manage currency exchange rate risk. The Fund had no purchased option contracts outstanding at the end of the period.

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

34

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the period ended August 31, 2011, the Fund used written option contracts to adjust exposure to foreign currencies and otherwise manage currency exchange rate risk. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

For the period ended August 31, 2011, investment activity in options contracts written by the Fund was as follows:

	Puts								Calls
	Principal			Number					Principal		Number
	Amount			of					Amount		of
	of Contracts			Contracts		Premiums			of Contracts		Contracts		Premiums
Outstanding, beginning of period		(18,200,000	)		—	$	(358,868	)		—		—	$	—
Options written		—			—		—			—		—		—
Options exercised		18,200,000			—		358,868			—		—		—
Options expired		—			—		—			—		—		—
Options sold		—			—		—			—		—		—
Outstanding, end of period		—			—	$	—			—		—	$	—

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some

35

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

36

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to adjust interest rate exposure and adjust exposure to certain markets, achieve exposure to a reference entity’s credit, and/or provide a measure of protection against default loss. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

37

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate			Foreign currency			Credit			Equity		Other
	contracts			contracts			contracts			contracts		contracts		Total
Assets:
Unrealized appreciation on forward currency contracts	$	—		$	1,024,726		$	—		$	—	$	—	$	1,024,726
Unrealized appreciation on futures contracts *		471,541			—			—			—		—		471,541
Unrealized appreciation on swap agreements		1,113,470			—			—			—		—		1,113,470
Total	$	1,585,011		$	1,024,726		$	—		$	—	$	—	$	2,609,737
Liabilities:
Unrealized depreciation on forward currency contracts	$	—		$	(993,129	)	$	—		$	—	$	—	$	(993,129	)
Unrealized depreciation on futures contracts *		(305,047	)		—			—			—		—		(305,047	)
Unrealized depreciation on swap agreements		(2,499,634	)		—			(159,254	)		—		—		(2,658,888	)
Total	$	(2,804,681	)	$	(993,129	)	$	(159,254	)	$	—	$	—	$	(3,957,064	)

38

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the period ended August 31, 2011^Ù:

	Interest rate			Foreign currency			Credit			Equity		Other
	contracts			contracts			contracts			contracts		contracts		Total
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—		$	(687,680	)	$	—		$	—	$	—	$	(687,680	)
Written options		—			358,868			—			—		—		358,868
Futures contracts		(3,853,304	)		—			—			—		—		(3,853,304	)
Forward currency contracts		—			(25,955	)		—			—		—		(25,955	)
Swap agreements		17,411,508			—			8,170			—		—		17,419,678
Total	$	13,558,204		$	(354,767	)	$	8,170		$	—	$	—	$	13,211,607
Change in Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—		$	590,470		$	—		$	—	$	—	$	590,470
Written options		—			(330,276	)		—			—		—		(330,276	)
Futures contracts		62,120			—			—			—		—		62,120
Forward currency contracts		—			532,634			—			—		—		532,634
Swap agreements		(4,046,412	)		—			(80,908	)		—		—		(4,127,320	)
Total	$	(3,984,292	)	$	792,828		$	(80,908	)	$	—	$	—	$	(3,272,372	)

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts and futures contracts), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end, was as follows for the period ended August 31, 2011.

	Forward
	Currency		Futures		Swap
	Contracts		Contracts		Agreements		Options
Average amount outstanding	$	95,032,149	$	162,187,365	$	294,355,497	$	12,924,725

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and

39

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.10% for Class IV shares. The Manager has contractually agreed through at least June 30, 2012 to waive the Fund’s shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by a class of shares of the Fund exceeds 0.15% for Class III shares and 0.10% for Class IV shares; provided, however, that the amount of this waiver will not exceed the respective Class’s shareholder service fee.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.25% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in other GMO Funds (excluding those Funds’ Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $1,722 and $715, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

40

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
0.022%	0.003%	0.008%	0.033%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011, were as follows:

	Purchases		Sales
U.S. Government securities	$	20,796,875	$	—
Investments (non-U.S. Government securities)		55,330,393		22,682,731

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 95.40% of the outstanding shares of the Fund were held by four shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.05% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 21.42% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

41

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			436,418		$	3,104,427
Shares issued to shareholders in reinvestment of distributions		2,003			14,801			38,131			277,484
Shares repurchased		(15,156	)		(114,000	)		(1,850,226	)		(13,555,184	)
Net increase (decrease)		(13,153	)	$	(99,199	)		(1,375,677	)	$	(10,173,273	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares			Amount
Shares sold		1,351,085		$	10,025,144			1,318,105		$	9,642,494
Shares issued to shareholders in reinvestment of distributions		315,885			2,340,710			2,573,711			18,732,765
Shares repurchased		(1,833,254	)		(13,565,277	)		(18,067,031	)		(132,153,010	)
Net increase (decrease)		(166,284	)	$	(1,199,423	)		(14,175,215	)	$	(103,777,751	)

42

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Return		Value,
	beginning of				Sales		Dividend		of Realized		of		end of
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		period
GMO Emerging Country Debt Fund, Class IV	$	7,081,912	$	94,659	$	400,000	$	94,659	$	—	$	—	$	7,244,221
GMO Short-Duration Collateral Fund		76,989,022		—		—		390,415		—		22,176,951		53,328,619
GMO Special Purpose Holding Fund		46,929		—		—		—		—		—		40,359
GMO U.S. Treasury Fund		7,570,707		53,085,734		18,900,000		4,497		1,236		—		41,759,650
GMO World Opportunity Overlay Fund		47,034,438		2,150,000		1,100,000		—		—		—		48,567,698
Totals	$	138,723,008	$	55,330,393	$	20,400,000	$	489,571	$	1,236	$	22,176,951	$	150,940,547

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by the underlying funds will be determined through the fiscal year ending February 29, 2012.

43

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

44

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s

45

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

46

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

47

GMO Core Plus Bond Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.42	%	$	1,000.00	$	1,052.60	$	2.17
2) Hypothetical		0.42	%	$	1,000.00	$	1,023.03	$	2.14
Class IV
1) Actual		0.37	%	$	1,000.00	$	1,053.90	$	1.91
2) Hypothetical		0.37	%	$	1,000.00	$	1,023.28	$	1.88

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

48

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		77.8	%
Short-Term Investments		24.6
Futures Contracts		0.8
Options Purchased		0.3
Loan Participations		0.2
Loan Assignments		0.1
Forward Currency Contracts		0.1
Promissory Notes		0.0	Ù
Rights/Warrants		0.0	Ù
Written Options		(0.0	)Ù
Reverse Repurchase Agreements		(1.5	)
Swap Agreements		(1.6	)
Other		(0.8	)
		100.0	%

Country/Region Summary**	% of Investments
Euro Region***		95.0	%
Canada		7.2
United Kingdom		5.4
Emerging****		3.3
Australia		2.9
United States		0.9
Japan		0.3
Norway		0.0	Ù
New Zealand		0.0	Ù
Switzerland		(6.5	)
Sweden		(8.5	)
		100.0	%

*

The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).

**

The table above 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 exposures, taking into account the market value of securities and the notional amounts of swaps and other derivative contracts. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the greater its

1

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

	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 “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.
****	The “Emerging” exposure is associated only with investments in GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Russia, Argentina, Brazil, Philippines, Mexico, Venezuela, Colombia, Congo, Turkey, and Indonesia. Additional information about the fund’s emerging country exposure is available in the financial statements of GMO Emerging Country Debt Fund.
Ù	Rounds to 0.0%

2

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 33.7%
		Belgium — 0.9%
		Foreign Government Obligations
EUR	500,000	Belgium Government Bond, 4.25%, due 03/28/41		678,043
		Canada — 2.8%
		Foreign Government Obligations
CAD	2,000,000	Government of Canada, 3.50%, due 06/01/20		2,222,914
		France — 6.4%
		Foreign Government Obligations
EUR	3,300,000	Government of France, 4.00%, due 10/25/38		4,988,379
		Germany — 5.8%
		Foreign Government Obligations
EUR	2,500,000	Republic of Deutschland, 4.75%, due 07/04/34 (a)		4,538,984
		Italy — 4.3%
		Foreign Government Obligations
EUR	3,100,000	Republic of Italy, 4.00%, due 02/01/37		3,340,532
		Netherlands — 1.0%
		Foreign Government Obligations
EUR	500,000	Netherlands Government Bond, 3.75%, due 01/15/42		795,800
		Spain — 2.9%
		Foreign Government Obligations
EUR	1,900,000	Government of Spain, 4.70%, due 07/30/41		2,274,423
		United Kingdom — 4.6%
		Foreign Government Obligations
GBP	2,000,000	United Kingdom Gilt, 3.75%, due 09/07/19		3,566,066

See accompanying notes to the financial statements. 3

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value /
Shares		Description	Value ($)
		United States — 5.0%
		U.S. Government
USD	3,893,400	U.S. Treasury Inflation Indexed Note, 2.00%, due 04/15/12 (a) (b)		3,950,890
		TOTAL DEBT OBLIGATIONS (COST $24,139,539)		26,356,031
		MUTUAL FUNDS — 65.4%
		United States — 65.4%
		Affiliated Issuers
	243,110	GMO Emerging Country Debt Fund, Class IV		2,358,163
	2,683,050	GMO Short-Duration Collateral Fund		19,291,132
	5,496	GMO Special Purpose Holding Fund (c)		2,363
	540,365	GMO U.S. Treasury Fund		13,514,525
	698,896	GMO World Opportunity Overlay Fund		16,011,710
		Total United States		51,177,893
		TOTAL MUTUAL FUNDS (COST $52,694,671)		51,177,893
		SHORT-TERM INVESTMENTS — 1.3%
		Money Market Funds — 0.5%
	419,082	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (d)		419,082
		U.S. Government — 0.8%
USD	625,000	U.S. Treasury Bill, 0.08%, due 06/28/12 (a) (e)		624,572
		TOTAL SHORT-TERM INVESTMENTS (COST $1,043,168)		1,043,654
		TOTAL INVESTMENTS — 100.4% (Cost $77,877,378)		78,577,578
		Other Assets and Liabilities (net) — (0.4%)		(274,199	)
		TOTAL NET ASSETS — 100.0%	$	78,303,379

4 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Buys †
9/27/11		Citibank N.A.	AUD		600,000	$	639,329	$	(18,145	)
9/27/11		Credit Suisse International	AUD		300,000		319,665		6,174
9/27/11		Deutsche Bank AG	AUD		2,500,000		2,663,873		(15,880	)
10/04/11		Credit Suisse International	CAD		200,000		204,071		2,413
10/04/11		Deutsche Bank AG	CAD		800,000		816,283		(2,482	)
9/06/11		Goldman Sachs International	CHF		300,000		372,316		(1,245	)
9/06/11		Citibank N.A.	CHF		600,000		744,633		(34,537	)
9/06/11		Credit Suisse International	CHF		200,000		248,211		(2,951	)
9/06/11		Deutsche Bank AG	CHF		900,000		1,116,949		2,644
10/11/11		Deutsche Bank AG	GBP		600,000		973,558		(8,810	)
10/11/11		Credit Suisse International	GBP		400,000		649,038		(9,885	)
10/11/11		Citibank N.A.	GBP		100,000		162,260		(3,239	)
10/11/11		Royal Bank of Scotland PLC	GBP		600,000		973,558		(9,131	)
9/20/11		Deutsche Bank AG	JPY		100,000,000		1,306,175		40,656
9/20/11		Citibank N.A.	JPY		10,000,000		130,618		4,155
9/20/11		Royal Bank of Scotland PLC	JPY		30,000,000		391,852		886
10/25/11		Deutsche Bank AG	NZD		4,700,000		3,988,769		120,998
						$	15,701,158	$	71,621
Sales #
9/27/11		Credit Suisse International	AUD		400,000	$	426,220	$	(10,524	)
9/27/11		Citibank N.A.	AUD		500,000		532,775		(19,070	)
9/27/11		Deutsche Bank AG	AUD		300,000		319,665		(17,709	)
10/04/11		Deutsche Bank AG	CAD		3,000,000		3,061,061		100,361
10/04/11		Royal Bank of Scotland PLC	CAD		1,300,000		1,326,460		(1,052	)
10/04/11		Citibank N.A.	CAD		1,300,000		1,326,460		6,945
10/04/11		Credit Suisse International	CAD		1,200,000		1,224,424		(10,826	)
9/06/11		Deutsche Bank AG	CHF		2,100,000		2,606,215		(92,148	)
9/06/11		Royal Bank of Scotland PLC	CHF		200,000		248,211		23,220
9/06/11		Credit Suisse International	CHF		400,000		496,422		9,998
9/13/11		Citibank N.A.	EUR		200,000		287,260		(6,400	)
9/13/11		Royal Bank of Scotland PLC	EUR		700,000		1,005,411		(7,492	)
9/13/11		Credit Suisse International	EUR		900,000		1,292,672		(13,091	)

See accompanying notes to the financial statements. 5

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011

Forward Currency Contracts — continued

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
9/13/11		Goldman Sachs International	EUR		300,000	$	430,891	$	(1,864	)
9/13/11		Deutsche Bank AG	EUR		9,800,000		14,075,761		(54,245	)
10/11/11		Deutsche Bank AG	GBP		3,100,000		5,030,048		22,952
9/20/11		Citibank N.A.	JPY		20,000,000		261,235		(5,004	)
9/20/11		Royal Bank of Scotland PLC	JPY		30,000,000		391,852		(4,286	)
9/20/11		Deutsche Bank AG	JPY		50,000,000		653,087		(693	)
10/25/11		Credit Suisse International	NZD		400,000		339,470		(9,078	)
						$	35,335,600	$	(90,006	)

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

Forward Cross Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Units of Currency		Receive/In Exchange For			(Depreciation)
10/18/2011		Credit Suisse International	NOK	2,364,390		EUR	300,000	$	(8,918	)
10/18/2011		Deutsche Bank AG	EUR	2,400,000		NOK	18,868,000		62,731
10/18/2011		Goldman Sachs International	EUR	200,000		NOK	1,578,628		6,386
10/18/2011		Goldman Sachs International	NOK	2,361,375		EUR	300,000		(8,357	)
11/01/2011		Credit Suisse International	EUR	200,000		SEK	1,826,800		33
11/01/2011		Deutsche Bank AG	EUR	200,000		SEK	1,827,420		130
								$	52,005

6 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation/
Contracts	Type		Date	Value		(Depreciation)
Buys
8		Australian Government Bond 10 Yr.	September 2011	$	966,744	$	11,578
11		Australian Government Bond 3 Yr.	September 2011		1,248,199		33,064
17		Canadian Government Bond 10 Yr.	December 2011		2,248,208		(16,699	)
95		Euro BOBL	September 2011		16,613,564		491,843
35		Euro Bund	September 2011		6,765,345		47,298
56		Euro SCHATZ	September 2011		8,795,752		94,318
9		U.S. Treasury Note 10 Yr. (CBT)	September 2011		1,170,281		4,641
8		UK Gilt Long Bond	December 2011		1,642,390		(12,227	)
				$	39,450,483	$	653,816
Sales
3		U.S. Treasury Bond 30 Yr. (CBT)	September 2011	$	411,938	$	5,647
13		U.S. Treasury Note 2 Yr. (CBT)	September 2011		2,866,906		727
				$	3,278,844	$	6,374

Swap Agreements

Credit Default Swaps

Maximum

Potential

Amount of

Future

Payments

Net

Implied

by the Fund

Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

Under the

Appreciation/

Amount

Date

Counterparty

(Pay)Ù

Premium

Spread (1)

Entity

Contract (2)

(Depreciation)

14,000,000

USD

3/20/2014

Deutsche Bank AG

(Pay)

1.70%

3.61%

Republic of Italy

NA

$

588,093

10,000,000

USD

3/20/2019

Deutsche Bank AG

Receive

1.66%

3.54%

Republic of Italy

10,000,000

(1,075,716

)

$

(487,623

)

Premiums to (Pay) Receive

$

—

See accompanying notes to the financial statements. 7

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011

Ù	Receive - Fund receives premium and sells credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
	(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
(1)	Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of August 31, 2011, 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 agreement.
(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

								Net Unrealized
Notional			Expiration		Receive			Appreciation/
Amount			Date	Counterparty	(Pay)#	Fixed Rate	Variable Rate	(Depreciation)
	15,000,000	EUR	6/29/2013	Merrill Lynch Capital Services	Receive	2.02%	3 Month EUR LIBOR	$	150,816
	4,000,000	CHF	9/21/2016	Barclays Bank PLC	Receive	1.90%	6 Month CHF LIBOR		218,327
	2,400,000	CHF	9/21/2016	Citibank N.A.	Receive	1.90%	6 Month CHF LIBOR		130,996
	9,300,000	SEK	9/21/2016	Barclays Bank PLC	(Pay)	3.90%	3 Month SEK STIBOR		(92,966	)
	22,000,000	SEK	9/21/2016	Citibank N.A.	(Pay)	3.90%	3 Month SEK STIBOR		(219,919	)
	13,200,000	SEK	9/21/2016	JPMorgan Chase Bank, N.A.	(Pay)	3.90%	3 Month SEK STIBOR		(131,952	)
								$	55,302
Premiums to (Pay) Receive								$	(35,653	)

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

As of August 31, 2011, for the above contracts and/ or agreements, the fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

8 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011

Notes to Schedule of Investments:

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

EUR LIBOR - London Interbank Offered Rate denominated in Euros.

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

(a)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap contracts, forward currency contracts, and/or written options, if any (Note 4).
(b)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).
(c)	Underlying investment represents interests in defaulted claims. See “Other Matters” in Notes to Financial Statements for additional information.
(d)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.
(e)	Rate shown represents yield-to-maturity.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

See accompanying notes to the financial statements. 9

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $25,182,707) (Note 2)	$	27,399,685
Investments in affiliated issuers, at value (cost $52,694,671) (Notes 2 and 10)		51,177,893
Dividends and interest receivable		352,083
Unrealized appreciation on open forward currency contracts (Note 4)		410,682
Due from broker on open futures contracts		113,455
Receivable for open swap contracts (Note 4)		1,088,232
Receivable for expenses reimbursed by Manager (Note 5)		12,346
Total assets		80,554,376
Liabilities:
Payable to affiliate for (Note 5):
Management fee		16,547
Shareholder service fee		9,930
Trustees and Trust Officers or agents unaffiliated with the Manager		58
Payable for variation margin on open futures contracts (Note 4)		252,370
Unrealized depreciation on open forward currency contracts (Note 4)		377,062
Payable for open swap contracts (Note 4)		1,520,553
Accrued expenses		74,477
Total liabilities		2,250,997
Net assets	$	78,303,379
Net assets consist of:
Paid-in capital	$	92,579,491
Accumulated undistributed net investment income		1,432,115
Accumulated net realized loss		(16,638,754	)
Net unrealized appreciation		930,527
	$	78,303,379
Net assets attributable to:
Class III shares	$	78,303,379
Shares outstanding:
Class III		9,120,534
Net asset value per share:
Class III	$	8.59

10 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Interest	$	506,434
Dividends from affiliated issuers (Note 10)		171,848
Dividends from unaffiliated issuers		21
Total investment income		678,303
Expenses:
Management fee (Note 5)		94,257
Shareholder service fee – Class III (Note 5)		56,555
Audit and tax fees		36,064
Custodian, fund accounting agent and transfer agent fees		31,924
Legal fees		1,748
Registration fees		1,288
Trustees fees and related expenses (Note 5)		511
Miscellaneous		5,549
Total expenses		227,896
Fees and expenses reimbursed by Manager (Note 5)		(75,900	)
Expense reductions (Note 2)		(36	)
Indirectly incurred fees waived or borne by Manager (Note 5)		(4,707	)
Shareholder service fee waived (Note 5)		(1,112	)
Net expenses		146,141
Net investment income (loss)		532,162
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(301,267	)
Investments in affiliated issuers		1,779
Realized gains distributions from affiliated issuers (Note 10)		449
Futures contracts		1,887,990
Written options		157,744
Swap contracts		(230,520	)
Foreign currency, forward contracts and foreign currency related transactions		(1,340,139	)
Net realized gain (loss)		176,036
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		1,632,478
Investments in affiliated issuers		(238,791	)
Futures contracts		649,068
Written options		(145,176	)
Swap contracts		228,848
Foreign currency, forward contracts and foreign currency related transactions		896,112
Net unrealized gain (loss)		3,022,539
Net realized and unrealized gain (loss)		3,198,575
Net increase (decrease) in net assets resulting from operations	$	3,730,737

See accompanying notes to the financial statements. 11

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011		Year Ended
	(Unaudited)		February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	532,162	$	1,809,430
Net realized gain (loss)		176,036		67,923
Change in net unrealized appreciation (depreciation)		3,022,539		8,743,689
Net increase (decrease) in net assets from operations		3,730,737		10,621,042
Distributions to shareholders from:
Net investment income
Class III		—		(6,700,944	)
Net share transactions (Note 9):
Class III		3,773,571		(70,421,683	)
Total increase (decrease) in net assets		7,504,308		(66,501,585	)
Net assets:
Beginning of period		70,799,071		137,300,656
End of period (including accumulated undistributed net investment income of $1,432,115 and $899,953, respectively)	$	78,303,379	$	70,799,071

12 See accompanying notes to the financial statements.

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	8.18		$	7.98		$	7.00		$	8.79		$	9.21		$	9.04
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.06			0.12			0.09			0.26			0.33			0.17
Net realized and unrealized gain (loss)		0.35			0.47			1.39			(1.49	)		(0.62	)		0.15
Total from investment operations		0.41			0.59			1.48			(1.23	)		(0.29	)		0.32
Less distributions to shareholders:
From net investment income		—			(0.39	)		(0.42	)		(0.56	)		(0.01	)		—
From net realized gains		—			—			—			—			—			(0.14	)
Return of capital		—			—			(0.08	)		—			(0.12	)		(0.01	)
Total distributions		—			(0.39	)		(0.50	)		(0.56	)		(0.13	)		(0.15	)
Net asset value, end of period	$	8.59		$	8.18		$	7.98		$	7.00		$	8.79		$	9.21
Total Return(b)		5.01	%**		7.35	%		22.19	%		(13.93	)%		(3.08	)%		3.58	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	78,303		$	70,799		$	137,301		$	127,081		$	155,952		$	274,422
Net expenses to average daily net assets(c)		0.39	%(d)*		0.39	%(d)		0.39	%(d)		0.39	%(d)		0.38	%(d)		0.39	%(d)
Net investment income (loss) to average daily net assets(a)		1.41	%*		1.43	%		1.19	%		3.24	%		3.62	%		1.93	%
Portfolio turnover rate		7	%**		51	%		31	%		28	%		55	%		25	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.22	%*		0.17	%		0.12	%		0.13	%		0.09	%		0.06	%
Redemption fees consisted of the following per share amounts: †		—			—		$	0.01		$	0.00	(e)		—			—

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 13

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Currency Hedged International Bond Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the J.P. Morgan Non-U.S. Government Bond Index (Hedged) (ex-Japan). The Fund’s investment program has two principal components. One component seeks to replicate the Fund’s benchmark. The second component seeks to add value relative to the Fund’s benchmark by taking positions that may be unrelated to its benchmark in global interest rate, currency and credit markets (particularly in asset-backed and emerging country debt markets). These positions can cause the Fund’s performance to differ significantly from that of its benchmark.

In deciding on what positions to take in global interest rate and currency markets, and for the size of those positions, the Manager considers fundamental factors (e.g., inflation and current account positions) as well as price-based factors (e.g., interest and exchange rates). The Manager assesses the relative values across global interest rate and currency markets, and considers the merits of overweighting or underweighting positions in currencies and interest rates. The Manager also may consider the relative attractiveness of yield curve and duration positions in these markets.

In selecting credit investments, the Manager uses fundamental investment techniques to assess the expected performance of these investments relative to the Fund’s benchmark.

In implementing these strategies, the Fund may hold or invest in: derivatives, including without limitation, futures contracts, currency options, interest rate options, currency forwards, reverse repurchase agreements, credit default swaps and other swap contracts (to generate a return comparable to the Fund’s benchmark and to gain exposure to the global interest rate, credit and currency markets); bonds denominated in various currencies, including foreign and U.S. government bonds, asset-backed securities issued by foreign governments and U.S. government agencies (as well as bonds neither guaranteed nor insured by the U.S. government), corporate bonds, and mortgage-backed and other asset-backed securities issued by private issuers; shares of GMO Short-Duration Collateral Fund (“SDCF”) (to have exposure to asset-backed securities); shares of GMO World Opportunity Overlay Fund (“Overlay Fund”) (to gain exposure to the global interest rate, credit and currency markets); shares of GMO Emerging Country Debt Fund (“ECDF”) (to gain exposure to emerging country debt markets); shares of GMO U.S. Treasury Fund and unaffiliated money market funds (for cash management purposes); shares of GMO High Quality Short-Duration Bond Fund (to seek to generate a return in excess of that of the J.P. Morgan U.S. 3 Month Cash Index by

14

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

investing in a wide variety of high quality U.S. and foreign debt investments); and shares of GMO Debt Opportunities Fund (to gain exposure to global credit markets).

The Fund generally attempts to hedge at least 75% of its net foreign currency exposure into U.S. dollars.

The Fund, primarily through its investments in shares of SDCF, Overlay Fund and ECDF, has and is expected to continue to have material exposure to below investment grade U.S. asset-backed and emerging country debt securities. The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

The Manager normally seeks to maintain the Fund’s estimated interest rate duration within +/- 2 years of the benchmark’s duration.

Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in bonds. The term “bond” includes (i) obligations of an issuer to make payments of principal and/or interest (whether fixed or variable) on future dates and (ii) synthetic debt instruments created by the Manager by using derivatives (e.g., a futures contract, swap contract, currency forward or option). The Fund, if deemed prudent by the Manager, will take temporary defensive measures until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund’s normal investment strategies. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). As of August 31, 2011, shares of SDCF, GMO Special Purpose Holding Fund (“SPHF”) and Overlay Fund were not publicly available for direct purchase.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or

15

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.8% of net assets. The underlying funds classify such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 5.1% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The

16

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include most recent quoted prices, interest rates, prepayment speeds, credit risk, yield curves and similar data. The Fund also used third party valuation services (which use industry models and inputs from pricing vendors) to value credit default swaps.

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
U.S. Government	$	—	$	3,950,890	$	—	$	3,950,890
Foreign Government Obligations		—		22,405,141		—		22,405,141
TOTAL DEBT OBLIGATIONS		—		26,356,031		—		26,356,031
Mutual Funds		51,175,530		2,363		—		51,177,893
Short-Term Investments		1,043,654		—		—		1,043,654
Total Investments		52,219,184		26,358,394		—		78,577,578

17

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Derivatives *
Futures Contracts
Interest Rate Risk	$	689,116	$	—	$	—	$	689,116
Forward Currency Contracts
Foreign Currency Risk		—		410,682		—		410,682
Swap Agreements
Credit Risk		—		588,093		—		588,093
Interest Rate Risk		—		500,139		—		500,139
Total	$	52,908,300	$	27,857,308	$	—	$	80,765,608

LIABILITY VALUATION INPUTS

	Quoted Prices			Significant
	in Active			Other			Significant
	Markets for			Observable			Unobservable
	Identical Liabilities			Inputs			Inputs
Description	(Level 1)			(Level 2)			(Level 3)		Total
Derivatives *
Futures Contracts
Interest Rate Risk	$	(28,926	)	$	—		$	—	$	(28,926	)
Forward Currency Contracts
Foreign Currency Risk		—			(377,062	)		—		(377,062	)
Swap Agreements
Credit Risk		—			(1,075,716	)		—		(1,075,716	)
Interest Rate Risk		—			(444,837	)		—		(444,837	)
Total	$	(28,926	)	$	(1,897,615	)	$	—	$	(1,926,541	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

18

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and derivative financial instruments using Level 3 inputs were 25.8% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011 whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the

19

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are

20

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital losses of $4,468,208.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(1,749,220	)
February 28, 2018		(3,328,985	)
Total	$	(5,078,205	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

21

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	85,119,795	$	—	$	(6,542,217	)	$	(6,542,217	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 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. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may

22

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Other matters

SPHF, an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the period ended August 31, 2011, the Fund received no distributions from SPHF in connection with the defaulted securities or the related litigation.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Fixed Income Securities — Typically, the market value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics,

23

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may or may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans and home equity loans), creates additional risk.

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

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

24

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

The Fund invests (including through investment in underlying funds) in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit card receivables, which expose the Fund to additional types of market risk. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers. Payment of interest on asset backed securities and repayment of principal largely depend on the cash flows generated by the assets backing the securities. The market risk of a particular asset-backed security depends on many factors, including the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets and, if any, the level of credit support and the credit quality of the credit-support provider. Asset-backed securities involve risk of loss of principal if

25

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. The obligations of issuers (and obligors of underlying assets) also are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Agreements”) or other similar types of agreements with selected counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Agreements typically include representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and entitle a

26

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse effect on the Fund’s operations.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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 their investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

27

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may

28

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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. During the period ended August 31, 2011, the Fund used forward currency contracts to adjust exposure to foreign currencies and

29

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

otherwise adjust currency exchange rate risk. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust interest rate exposure and enhance the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund 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. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. During the period ended August 31, 2011, the Fund used purchased option contracts to adjust interest rate exposure, to adjust exposure to currencies and otherwise manage currency exchange rate risk. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a

30

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the period ended August 31, 2011, the Fund used written option contracts to adjust exposure to foreign currencies and otherwise manage currency exchange rate risk. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

For the period ended August 31, 2011, investment activity in options contracts written by the Fund was as follows:

	Puts								Calls
	Principal								Principal
	Amount			Number of					Amount		Number of
	of Contracts			Contracts		Premiums			of Contracts		Contracts		Premiums
Outstanding, beginning of period		(8,000,000	)		—	$	(157,744	)		—		—	$	—
Options written		—			—		—			—		—		—
Options exercised		—			—		—			—		—		—
Options expired		8,000,000			—		157,744			—		—		—
Options bought back		—			—		—			—		—		—
Outstanding, end of period		—			—	$	—			—		—	$	—

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

31

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a

32

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to adjust interest rate exposure, achieve exposure to a reference entity’s credit, and/or provide a measure of protection against default loss. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

33

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate			Foreign currency			Credit			Equity		Other
	contracts			contracts			contracts			contracts		contracts		Total
Assets:
Unrealized appreciation on futures contracts *	$	689,116		$	—		$	—		$	—	$	—	$	689,116
Unrealized appreciation on forward currency contracts		—			410,682			—			—		—		410,682
Unrealized appreciation on swap agreements		500,139			—			588,093			—		—		1,088,232
Total	$	1,189,255		$	410,682		$	588,093		$	—	$	—	$	2,188,030
Liabilities:
Unrealized depreciation on futures contracts *	$	(28,926	)	$	—		$	—		$	—	$	—	$	(28,926	)
Unrealized depreciation on forward currency contracts		—			(377,062	)		—			—		—		(377,062	)
Unrealized depreciation on swap agreements		(444,837	)		—			(1,075,716	)		—		—		(1,520,553	)
Total	$	(473,763	)	$	(377,062	)	$	(1,075,716	)	$	—	$	—	$	(1,926,541	)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit			Equity		Other
	contracts		contracts			contracts			contracts		contracts		Total
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—	$	(302,277	)	$	—		$	—	$	—	$	(302,277	)
Written options		—		157,744										157,744
Futures contracts		1,887,990		—			—			—		—		1,887,990
Forward currency contracts		—		(1,312,559	)		—			—		—		(1,312,559	)
Swap agreements		7,642		—			(238,162	)		—		—		(230,520	)
Total	$	1,895,632	$	(1,457,092	)	$	(238,162	)	$	—	$	—	$	200,378

34

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the period ended August 31, 2011^Ù: — continued

	Interest rate		Foreign currency			Credit			Equity		Other
	contracts		contracts			contracts			contracts		contracts		Total
Change in Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—	$	(259,547	)	$	—		$	—	$	—	$	(259,547	)
Written options		—		(145,176	)									(145,176	)
Futures contracts		649,068		—			—			—		—		649,068
Forward currency contracts		—		869,592			—			—		—		869,592
Swap agreements		323,497		—			(94,649	)		—		—		228,848
Total	$	972,565	$	464,869		$	(94,649	)	$	—	$	—	$	1,342,785

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts and futures contracts), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end, was as follows for the period:

	Forward
	currency		Futures
	contracts		contracts		Swap agreements		Options
Average amount outstanding	$	46,081,117	$	55,088,202	$	73,654,646	$	5,681,198

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan underwhich the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, an other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares. The Manager has contractually agreed through at least June 30, 2012 to waive the Fund’s shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by the Fund exceeds 0.15%; provided, however, that the amount of this waiver will not exceed 0.15%.

35

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Manager has contractually agreed to reimburse the Fund for expenses incurred by the Fund to the extent the Fund’s total annual operating expenses (excluding “Excluded Fund Fees and Expenses”, as defined below) exceed 0.25% of the Fund’s average daily net assets. Excluded Fund Fees and Expenses include shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its investment in other GMO Funds (excluding those Funds’ Excluded Fund Fees and Expenses); subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s expense reimbursement amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ending August 31, 2011 was $511 and $213, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011 , these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
0.016%	0.003%	0.008%	0.027%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $19,093,500 and $5,450,000, respectively.

36

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 94.52% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.03% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 94.52% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		465,968		$	3,779,000			6,521		$	52,298
Shares issued to shareholders in reinvestment of distributions		—			—			814,210			6,700,944
Shares repurchased		(655	)		(5,429	)		(9,377,297	)		(77,174,925	)
Net increase (decrease)		465,313		$	3,773,571			(8,556,566	)	$	(70,421,683	)

37

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Return		Value,
	beginning of				Sales		Dividend		of Realized		of		end of
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		period
GMO Emerging Country Debt Fund, Class IV	$	2,089,035	$	127,923	$	—	$	27,923	$	—	$	—	$	2,358,163
GMO Short-Duration Collateral Fund		27,850,062		—		—		141,230		—		8,022,306		19,291,132
GMO Special Purpose Holding Fund		2,748		—		—		—		—		—		2,363
GMO U.S. Treasury Fund		5,008,836		13,953,145		5,450,000		2,695		449		—		13,514,525
GMO World Opportunity Overlay Fund		14,255,462		1,600,000		—		—		—		—		16,011,710
Totals	$	49,206,143	$	15,681,068	$	5,450,000	$	171,848	$	449	$	8,022,306	$	51,177,893

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period of March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2012.

38

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

39

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s

40

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

41

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

42

GMO Currency Hedged International Bond Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.42	%	$	1,000.00	$	1,050.10	$	2.16
2) Hypothetical		0.42	%	$	1,000.00	$	1,023.03	$	2.14

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

43

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		92.1	%
Short-Term Investments		5.3
Preferred Stocks		0.9
Rights/Warrants		0.0	Ù
Forward Currency Contracts		(0.1	)
Futures Contracts		(0.8	)
Other		2.6
		100.0	%

Country / Region Summary**	% of Investments
United Kingdom		23.6	%
Japan		22.4
Germany		10.3
France		10.0
Switzerland		6.5
Italy		5.1
Spain		3.1
Canada		3.0
Hong Kong		2.7
Sweden		2.7
Singapore		2.6
Australia		2.1
Netherlands		1.2
Denmark		1.1
Finland		0.7
Austria		0.6
Belgium		0.6
Ireland		0.5
Greece		0.4
New Zealand		0.3
Norway		0.3
Israel		0.2
Portugal		0.0	Ù
		100.0	%

*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).
**	The table above shows indirect country exposure associated with investments in 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. The Fund attempts to hedge at least 70% of the foreign currency exposure in the underlying fund’s holdings relative to the U.S. Dollar. Therefore, the Fund’s currency exposures will be different than the country exposures noted above.
Ù	Rounds to 0.0%.

1

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		MUTUAL FUNDS — 98.5%
		United States — 98.5%
		Affiliated Issuers
	9,488,592	GMO International Growth Equity Fund, Class IV		213,303,540
	10,466,985	GMO International Intrinsic Value Fund, Class IV		213,631,173
		TOTAL MUTUAL FUNDS (COST $413,048,560)		426,934,713
		SHORT-TERM INVESTMENTS — 1.4%
		Time Deposits — 1.4%
USD	141,704	Bank of America (Charlotte) Time Deposit, 0.03%, due 09/01/11		141,704
EUR	7,015	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.13%, due 09/01/11		10,074
DKK	15	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.20%, due 09/01/11		3
USD	2,000,000	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		2,000,000
USD	2,000,000	HSBC Bank (New York) Time Deposit, 0.03%, due 09/01/11		2,000,000
USD	2,000,000	JPMorgan Chase (New York) Time Deposit, 0.03%, due 09/01/11		2,000,000
		Total Time Deposits		6,151,781
		TOTAL SHORT-TERM INVESTMENTS (COST $6,151,781)		6,151,781
		TOTAL INVESTMENTS — 99.9% (Cost $419,200,341)		433,086,494
		Other Assets and Liabilities (net) — 0.1%		289,484
		TOTAL NET ASSETS — 100.0%	$	433,375,978

2 See accompanying notes to the financial statements.

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Sales #
10/21/11		Bank of America, N.A.	AUD		2,736,794	$	2,907,070	$	(78,514	)
10/21/11		Barclays Bank PLC	AUD		15,106,904		16,046,814		(563,807	)
10/21/11		JPMorgan Chase Bank, N.A.	AUD		2,321,477		2,465,913		(63,718	)
10/21/11		Morgan Stanley Capital Services Inc.	AUD		4,585,677		4,870,985		(125,690	)
10/21/11		Royal Bank of Scotland PLC	AUD		6,715,716		7,133,549		(194,502	)
10/21/11		State Street Bank and Trust Company	AUD		4,607,576		4,894,247		(127,709	)
10/21/11		Bank of America, N.A.	CAD		1,736,750		1,771,393		(11,789	)
10/21/11		Barclays Bank PLC	CAD		832,000		848,596		(3,128	)
10/21/11		Deutsche Bank AG	CAD		2,161,000		2,204,106		(26,117	)
10/21/11		Royal Bank of Scotland PLC	CAD		1,719,249		1,753,543		(12,586	)
10/21/11		State Street Bank and Trust Company	CAD		1,011,000		1,031,167		(7,250	)
10/21/11		Bank of New York Mellon	CHF		3,799,379		4,721,790		156,620
10/21/11		Barclays Bank PLC	CHF		5,196,967		6,458,684		156,937
10/21/11		Brown Brothers Harriman & Co.	CHF		4,180,497		5,195,436		110,437
10/21/11		Deutsche Bank AG	CHF		9,754,433		12,122,609		524,060
10/21/11		JPMorgan Chase Bank, N.A.	CHF		1,530,575		1,902,167		66,254
10/21/11		Morgan Stanley Capital Services Inc.	CHF		1,215,116		1,510,121		46,363
10/21/11		State Street Bank and Trust Company	CHF		3,784,000		4,702,677		154,583
10/21/11		Bank of New York Mellon	DKK		23,630,000		4,553,968		(357	)
10/21/11		Brown Brothers Harriman & Co.	DKK		20,808,155		4,010,143		9,980
10/21/11		JPMorgan Chase Bank, N.A.	DKK		18,116,000		3,491,312		2,546
10/21/11		Morgan Stanley Capital Services Inc.	DKK		21,090,000		4,064,460		(24,984	)
10/21/11		State Street Bank and Trust Company	DKK		16,476,000		3,175,251		196
10/21/11		Bank of New York Mellon	EUR		5,153,983		7,399,195		(832	)
10/21/11		Barclays Bank PLC	EUR		6,899,535		9,905,155		15,134
10/21/11		Brown Brothers Harriman & Co.	EUR		1,636,183		2,348,948		6,894
10/21/11		JPMorgan Chase Bank, N.A.	EUR		18,899,307		27,132,346		21,687
10/21/11		Morgan Stanley Capital Services Inc.	EUR		12,466,375		17,897,058		(99,408	)
10/21/11		Royal Bank of Scotland PLC	EUR		9,448,068		13,563,897		(2,471	)

See accompanying notes to the financial statements. 3

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Currency Contracts — continued

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
10/21/11		State Street Bank and Trust Company	EUR		7,055,244	$	10,128,695	$	(1,457	)
10/21/11		Bank of America, N.A.	GBP		8,040,133		13,044,265		93,320
10/21/11		Bank of New York Mellon	GBP		5,052,133		8,196,551		71,971
10/21/11		Barclays Bank PLC	GBP		5,497,670		8,919,388		85,136
10/21/11		Brown Brothers Harriman & Co.	GBP		4,226,000		6,856,238		64,048
10/21/11		Deutsche Bank AG	GBP		891,416		1,446,228		13,287
10/21/11		JPMorgan Chase Bank, N.A.	GBP		4,433,732		7,193,261		65,645
10/21/11		Morgan Stanley Capital Services Inc.	GBP		14,365,586		23,306,644		55,816
10/21/11		Royal Bank of Scotland PLC	GBP		5,640,000		9,150,303		75,315
10/21/11		JPMorgan Chase Bank, N.A.	HKD		57,193,380		7,349,459		(4,039	)
10/21/11		Morgan Stanley Capital Services Inc.	HKD		10,690,000		1,373,686		(2,196	)
10/21/11		Bank of America, N.A.	JPY		1,407,000,929		18,383,032		(20,650	)
10/21/11		Bank of New York Mellon	JPY		282,314,160		3,688,548		(6,829	)
10/21/11		Brown Brothers Harriman & Co.	JPY		517,392,769		6,759,944		(19,109	)
10/21/11		Deutsche Bank AG	JPY		2,045,064,280		26,719,585		(68,883	)
10/21/11		Morgan Stanley Capital Services Inc.	JPY		26,784,868		349,955		(632	)
10/21/11		State Street Bank and Trust Company	JPY		2,544,986,057		33,251,264		(61,782	)
10/21/11		Bank of America, N.A.	NOK		3,340,774		621,026		(12,724	)
10/21/11		Barclays Bank PLC	NOK		38,428,750		7,143,631		(105,399	)
10/21/11		Morgan Stanley Capital Services Inc.	NOK		35,940,000		6,680,990		(158,036	)
10/21/11		JPMorgan Chase Bank, N.A.	NZD		375,000		318,327		(9,126	)
10/21/11		Morgan Stanley Capital Services Inc.	NZD		2,244,000		1,904,867		(54,510	)
10/21/11		State Street Bank and Trust Company	NZD		2,635,000		2,236,776		(63,358	)
10/21/11		Bank of America, N.A.	SEK		15,789,000		2,482,959		(40,543	)
10/21/11		Brown Brothers Harriman & Co.	SEK		12,090,886		1,901,398		(18,845	)
10/21/11		JPMorgan Chase Bank, N.A.	SEK		24,891,000		3,914,329		(100,314	)
10/21/11		State Street Bank and Trust Company	SEK		3,724,121		585,651		(9,217	)
10/21/11		Brown Brothers Harriman & Co.	SGD		3,880,571		3,223,050		(4,957	)
						$	397,212,650	$	(309,239	)

# Fund sells foreign currency; buys USD.

4 See accompanying notes to the financial statements.

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

See accompanying notes to the financial statements. 5

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $6,151,781) (Note 2)	$	6,151,781
Investments in affiliated issuers, at value (cost $413,048,560) (Notes 2 and 10)		426,934,713
Receivable for Fund shares sold		745,796
Unrealized appreciation on open forward currency contracts (Note 4)		1,796,229
Receivable for expenses reimbursed by Manager (Note 5)		212,024
Total assets		435,840,543
Liabilities:
Payable to affiliate for (Note 5):
Management fee		176,103
Shareholder service fee		48,918
Trustees and Trust Officers or agents unaffiliated with the Manager		196
Unrealized depreciation on open forward currency contracts (Note 4)		2,105,468
Accrued expenses		133,880
Total liabilities		2,464,565
Net assets	$	433,375,978
Net assets consist of:
Paid-in capital	$	430,048,983
Accumulated undistributed net investment income		14,458,871
Accumulated net realized loss		(24,708,751	)
Net unrealized appreciation		13,576,875
	$	433,375,978
Net assets attributable to:
Class III shares	$	433,375,978
Shares outstanding:
Class III		20,664,241
Net asset value per share:
Class III	$	20.97

6 See accompanying notes to the financial statements.

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	4,461,305
Interest		1,691
Total investment income		4,462,996
Expenses:
Management fee (Note 5)		1,044,553
Shareholder service fee – Class III (Note 5)		290,153
Custodian and fund accounting agent fees		70,196
Audit and tax fees		32,016
Transfer agent fees		13,064
Legal fees		6,992
Registration fees		3,127
Trustees fees and related expenses (Note 5)		2,909
Miscellaneous		7,674
Total expenses		1,470,684
Fees and expenses reimbursed by Manager (Note 5)		(131,651	)
Indirectly incurred fees waived or borne by Manager (Note 5)		(955,115	)
Shareholder service fee waived (Note 5)		(171,988	)
Net expenses		211,930
Net investment income (loss)		4,251,066
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		19,872,868
Foreign currency, forward contracts and foreign currency related transactions		(30,802,051	)
Net realized gain (loss)		(10,929,183	)
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(47,011,043	)
Foreign currency, forward contracts and foreign currency related transactions		10,525,441
Net unrealized gain (loss)		(36,485,602	)
Net realized and unrealized gain (loss)		(47,414,785	)
Net increase (decrease) in net assets resulting from operations	$	(43,163,719	)

See accompanying notes to the financial statements. 7

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,251,066		$	4,367,697
Net realized gain (loss)		(10,929,183	)		(20,715,135	)
Change in net unrealized appreciation (depreciation)		(36,485,602	)		49,288,760
Net increase (decrease) in net assets from operations		(43,163,719	)		32,941,322
Distributions to shareholders from:
Net realized gains
Class III		(2,322,849	)		—
Net share transactions (Note 9):
Class III		(11,184,086	)		431,710,108
Total increase (decrease) in net assets		(56,670,654	)		464,651,430
Net assets:
Beginning of period		490,046,632			25,395,202
End of period (including accumulated undistributed net investment income of $14,458,871 and $10,207,805, respectively)	$	433,375,978		$	490,046,632

8 See accompanying notes to the financial statements.

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011(a)			2010(a)			2009(a)			2008(a)			2007(a)
Net asset value, beginning of period	$	24.11		$	21.12		$	18.08		$	42.56		$	59.60		$	72.56
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.25			0.30			0.64			1.20			0.24			0.80
Net realized and unrealized gain (loss)		(3.24	)		2.69			4.40			(12.80	)		(2.32	)		9.36
Total from investment operations		(2.99	)		2.99			5.04			(11.60	)		(2.08	)		10.16
Less distributions to shareholders:
From net investment income		—			—			(2.00	)(c)		(1.60	)		—			(0.96	)
From net realized gains		(0.15	)		—			—			(11.28	)		(14.96	)		(22.16	)
Total distributions		(0.15	)		—			(2.00	)		(12.88	)		(14.96	)		(23.12	)
Net asset value, end of period	$	20.97		$	24.11		$	21.12		$	18.08		$	42.56		$	59.60
Total Return(d)		(12.45	)%**		14.16	%		29.15	%		(35.57	)%		(6.75	)%		15.60	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	433,376		$	490,047		$	25,395		$	25,417		$	30,273		$	227,096
Net expenses to average daily net assets(e)		0.11	%*		0.12	%		0.11	%		0.11	%(f)		0.08	%(f)		0.07	%
Net investment income (loss) to average daily net assets(b)		2.20	%*		1.32	%		3.25	%		3.96	%		0.42	%		1.23	%
Portfolio turnover rate		32	%**		32	%		15	%		17	%		11	%		18	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets(g):		0.65	%*		0.65	%		1.16	%		1.24	%		0.71	%		0.68	%

(a)	Per share amounts were adjusted to reflect a 1:8 reverse stock split effective November 15, 2010.
(b)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(c)	Distributions from net investment income include amounts (approximately $2.00 per share for 2010) from foreign currency transactions which are treated as realized capital gain for book purposes.
(d)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.
(e)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(f)	The net expense ratio does not include the effect of expense reductions (Note 2).
(g)	Ratios include reimbursement of direct operating expenses and waiver of expenses indirectly incurred through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 9

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Currency Hedged International Equity Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return greater than that of its benchmark, the MSCI EAFE Index (Hedged). The Fund is a fund of funds and invests primarily in other GMO Funds. The Fund may invest in GMO International Core Equity Fund, GMO International Intrinsic Value Fund, GMO International Growth Equity Fund, GMO International Small Companies Fund and GMO Flexible Equities Fund (GMO Funds in which the Fund invests are collectively referred to as “underlying funds”). In addition, the Fund may invest in securities directly. Under normal circumstances, the Fund invests directly and indirectly (through investment in the underlying funds) at least 80% of its assets in equity investments. The term “equity investments” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

The Manager uses multi-year forecasts of relative value and risk among major sectors in the international equity markets (e.g., large-cap value, large-cap growth, large-cap core, small- and mid-cap value and small- and mid-cap growth) to select the underlying funds and decide how much to invest in each. The Manager shifts investments among the underlying funds in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments.

The Manager assesses the currency exposure of the underlying funds’ holdings and then attempts to hedge at least 70% of that exposure relative to the U.S. dollar through the use of currency forwards and other derivatives. While the Fund’s benchmark is fully hedged, the Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund also may lend its portfolio securities. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request by calling (617) 346-7646 (collect) or visiting GMO’s website at www.gmo.com.

10

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Currency Abbreviations: — continued

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other investment funds are generally valued at their net asset value. Investments held by the underlying funds are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented less than 0.1% of net assets. The Fund classifies such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund either directly or through investments in the underlying funds that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures

11

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Currency Abbreviations: — continued

(to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below or in the disclosures in the underlying funds.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		88.3	%
Futures Contracts		(0.9	)%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

12

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds
United States	$	426,934,713	$	—	$	—	$	426,934,713
TOTAL MUTUAL FUNDS		426,934,713		—		—		426,934,713
Short-Term Investments		6,151,781		—		—		6,151,781
Total Investments		433,086,494		—		—		433,086,494
Derivatives*
Forward Currency Contracts
Foreign currency risk		—		1,796,229		—		1,796,229
Total	$	433,086,494	$	1,796,229	$	—	$	434,882,723

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Derivatives*
Forward Currency Contracts
Foreign currency risk	$	—	$	(2,105,468	)	$	—	$	(2,105,468	)
Total	$	—	$	(2,105,468	)	$	—	$	(2,105,468	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

            * Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

13

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s indirect investments in securities using Level 3 inputs were less than 0.1% of total net assets.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of

14

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Operations. Transaction based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of tax basis earnings and profits, if significant, are reported in the financial statements as a return of capital for tax purposes.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(6,392,893	)
Total	$	(6,392,893	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

						Net Unrealized
		Gross Unrealized		Gross Unrealized		Appreciation
Aggregate Cost		Appreciation		(Depreciation)		(Depreciation)
$	425,030,520	$	8,055,974	$	—	$	8,055,974

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and

15

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund’s investments in the underlying funds. The Fund and some of the underlying funds are non-diversified investment companies under the 1940 Act and therefore a

16

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

decline in the market value of a particular security held by the Fund or an underlying fund may affect the Fund’s or the underlying fund’s performance more than if the Fund or underlying fund were diversified. The principal risks of investing in the Fund are summarized below, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund or an underlying fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. The Fund or an underlying fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund and the underlying funds normally do not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or

17

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Currency Risk — Fluctuations in exchange rates can adversely affect the market value of the Fund’s foreign currency holdings and investments denominated in foreign currencies, or that the U.S. dollar will decline in value relative to the foreign currency being hedged by the Fund or an underlying fund.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The use of derivatives and securities lending may cause the Fund’s portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of investments decline.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

18

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

19

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

20

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. During the period ended August 31, 2011, the Fund used forward currency

21

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

contracts to hedge foreign currency exposure in the underlying Funds’ investments relative to the U.S. dollar. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. The Fund had no futures contracts outstanding at the end of the period.

Options

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

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

22

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security,

23

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

24

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity		Other
	contracts		contracts			contracts		contracts		contracts		Total
Assets:
Unrealized appreciation on forward currency contracts	$	—	$	1,796,229		$	—	$	—	$	—	$	1,796,229
Total	$	—	$	1,796,229		$	—	$	—	$	—	$	1,796,229
Liabilities:
Unrealized depreciation on forward currency contracts	$	—	$	(2,105,468	)	$	—	$	—	$	—	$	(2,105,468	)
Total	$	—	$	(2,105,468	)	$	—	$	—	$	—	$	(2,105,468	)

The Effect of Derivative Instruments on the Statement of Operations for the period ended August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity		Other
	contracts		contracts			contracts		contracts		contracts		Total
Net Realized Gain (Loss) on:
Forward currency contracts	$	—	$	(31,078,009	)	$	—	$	—	$	—	$	(31,078,009	)
Total	$	—	$	(31,078,009	)	$	—	$	—	$	—	$	(31,078,009	)
Change in Unrealized Appreciation (Depreciation) on:
Forward currency contracts	$	—	$	10,525,480		$	—	$	—	$	—	$	10,525,480
Total	$	—	$	10,525,480		$	—	$	—	$	—	$	10,525,480

25

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The derivative financial instruments outstanding as of period end (as disclosed in the Schedules of Investments) serve as indicators of the volume of derivative activity for the Fund during the period.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.54% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares. The Manager contractually agreed through at least June 30, 2012 to waive the Fund’s shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by the Fund exceeds 0.15%; provided, however, that the amount of this waiver will not exceed 0.15%.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.54% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in other GMO Funds (excluding those Funds’ Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $2,909 and $1,418, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

26

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder	Indirect Shareholder
service fees)	Service Fees	Total Indirect Expenses
0.496%	0.089%	0.585%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $128,756,091 and $161,568,724, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 94.03% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. Two of the shareholders are other funds of the Trust. On that date, no other shareholder owned more than 10% of outstanding shares of the Fund.

As of August 31, 2011, none of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 99.99% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

27

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares*			Amount
Shares sold		24,035,446		$	532,586,733			24,851,257		$	559,719,467
Shares issued to shareholders in reinvestment of distributions		101,302			2,322,849			—			—
Shares repurchased		(23,796,939	)		(546,093,668	)		(5,727,242	)		(128,009,359	)
Net increase (decrease)		339,809		$	(11,184,086	)		19,124,015		$	431,710,108

            * Shares were adjusted to reflect a 1:8 reverse stock split effective November 15, 2010.

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO International Growth Equity Fund, Class IV	$	243,215,675	$	60,475,430	$	83,246,862	$	1,180,645	$	—	$	213,303,540
GMO International Intrinsic Value Fund, Class IV		243,669,947		68,280,661		78,321,862		3,280,660		—		213,631,173
Totals	$	486,885,622	$	128,756,091	$	161,568,724	$	4,461,305	$	—	$	426,934,713

28

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

29

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors,the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s

30

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

31

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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, the second line of the table is useful in comparing ongoing costs

32

GMO Currency Hedged International Equity Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.70	%	$	1,000.00	$	875.50	$	3.30
2) Hypothetical		0.70	%	$	1,000.00	$	1,021.62	$	3.56

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

33

GMO Developed World Stock Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Developed World Stock Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.3	%
Mutual Funds		2.5
Preferred Stocks		0.6
Rights/Warrants		0.0	Ù
Forward Currency Contracts		0.0	Ù
Futures Contracts		(0.5	)
Other		2.1
		100.0	%

^Ù Rounds to 0.0%

Country Summary*	% of Investments
United States		53.7	%
Japan		11.0
United Kingdom		10.3
Italy		6.3
France		5.7
Germany		4.7
Spain		2.7
Singapore		2.2
Canada		1.3
Switzerland		0.7
Ireland		0.4
Austria		0.3
Australia		0.2
Sweden		0.2
Belgium		0.1
Greece		0.1
Hong Kong		0.1
		100.0	%

* The table above 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 agreements and other derivative financial instruments, if any.

1

GMO Developed World Stock Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Industry Group Summary	% of Equity Investments**
Pharmaceuticals, Biotechnology & Life Sciences		14.3	%
Energy		14.1
Capital Goods		9.2
Software & Services		7.6
Food, Beverage & Tobacco		6.5
Materials		5.9
Telecommunication Services		5.0
Technology Hardware & Equipment		4.5
Banks		4.3
Insurance		4.1
Automobiles & Components		3.2
Utilities		3.0
Health Care Equipment & Services		2.6
Food & Staples Retailing		2.5
Retailing		2.2
Transportation		1.9
Diversified Financials		1.9
Consumer Durables & Apparel		1.7
Real Estate		1.7
Consumer Services		1.5
Media		0.9
Household & Personal Products		0.8
Semiconductors & Semiconductor Equipment		0.5
Commercial & Professional Services		0.1
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

2

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.3%
		Australia — 0.8%
	13,256	BHP Billiton Ltd		563,986
	18,946	Commonwealth Bank of Australia		980,722
	355,869	Telstra Corp Ltd		1,153,202
		Total Australia		2,697,910
		Austria — 0.3%
	19,976	OMV AG		787,198
	3,575	Voestalpine AG		137,568
		Total Austria		924,766
		Belgium — 0.1%
	143,879	Dexia SA *		336,731
		Canada — 1.2%
	12,600	Barrick Gold Corp		641,387
	11,700	Canadian Pacific Railway Ltd		671,917
	44,300	EnCana Corp		1,125,029
	53,900	Husky Energy Inc		1,341,858
	15,400	Research In Motion Ltd *		498,184
		Total Canada		4,278,375
		France — 5.6%
	60,295	AXA		967,744
	34,704	BNP Paribas		1,785,050
	21,389	Bouygues SA		819,930
	8,438	Casino Guichard-Perrachon SA		701,980
	34,011	CNP Assurances		601,680
	8,576	Compagnie de Saint-Gobain		430,751
	5,739	Lafarge SA		238,806
	7,768	LVMH Moet Hennessy Louis Vuitton SA		1,310,957
	23,918	Peugeot SA		731,038
	3,368	PPR		560,449
	23,745	Renault SA		964,885

See accompanying notes to the financial statements. 3

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		France — continued
	62,861	Sanofi		4,584,325
	5,470	Schneider Electric SA		728,487
	35,961	STMicroelectronics NV		238,514
	58,944	Total SA		2,878,557
	8,371	Vinci SA		436,787
	56,985	Vivendi SA		1,385,550
		Total France		19,365,490
		Germany — 4.0%
	17,445	Allianz SE (Registered)		1,794,569
	23,392	BASF AG		1,663,480
	12,407	Bayerische Motoren Werke AG		1,003,800
	12,657	Daimler AG (Registered)		683,731
	16,317	Deutsche Lufthansa AG (Registered)		275,366
	92,558	E.ON AG		2,021,305
	9,144	Hannover Rueckversicherung AG (Registered)		431,508
	59,311	Infineon Technologies AG		503,643
	4,848	K+S AG		340,231
	4,194	Lanxess AG		260,920
	3,463	Linde AG		529,835
	8,657	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		1,129,339
	19,293	RWE AG		723,607
	1,615	Salzgitter AG		100,010
	4,125	Siemens AG (Registered)		424,331
	24,427	Suedzucker AG		854,147
	6,841	Volkswagen AG		1,039,109
		Total Germany		13,778,931
		Greece — 0.1%
	55,041	National Bank of Greece SA *		243,171

4 See accompanying notes to the financial statements.

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — 0.2%
	35,500	CLP Holdings Ltd		328,332
	77,937	Esprit Holdings Ltd		219,422
		Total Hong Kong		547,754
		Ireland — 0.4%
	86,227	CRH Plc		1,522,712
		Italy — 4.0%
	705,296	Enel SPA		3,439,986
	247,849	ENI SPA		4,983,319
	6,267	Exor SPA		149,734
	23,143	Fiat SPA		143,465
	77,385	Finmeccanica SPA		574,460
	62,404	Mediaset SPA		241,407
	58,266	Mediobanca SPA		537,075
	139,327	Parmalat SPA		328,701
	18,341	Saipem SPA		821,806
	917,930	Telecom Italia SPA		1,113,330
	726,388	Telecom Italia SPA-Di RISP		795,769
	529,599	UniCredit SPA		716,056
		Total Italy		13,845,108
		Japan — 9.9%
	34,000	Asahi Kasei Corp		226,917
	14,300	Astellas Pharma Inc		540,414
	137,000	Cosmo Oil Co Ltd		363,892
	10,900	Daito Trust Construction Co Ltd		1,010,661
	2,800	Fanuc Ltd		466,070
	31,000	Fuji Heavy Industries Ltd		194,479
	164,000	Hitachi Ltd		887,162
	15,600	Honda Motor Co Ltd		508,326
	97	INPEX Corp		661,284
	140,100	Itochu Corp		1,512,178
	184,720	JX Holdings Inc		1,176,047

See accompanying notes to the financial statements. 5

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	171,000	Kawasaki Kisen Kaisha Ltd		441,751
	227	KDDI Corp		1,702,951
	22,500	Komatsu Ltd		600,138
	156,000	Marubeni Corp		989,204
	215,000	Mazda Motor Corp *		463,081
	80,500	Mitsubishi Chemical Holdings Corp		566,714
	27,600	Mitsubishi Corp		664,105
	32,000	Mitsubishi Electric Corp		320,164
	44,100	Mitsui & Co Ltd		756,646
	87,000	Mitsui OSK Lines Ltd		368,363
	211,800	Mizuho Financial Group Inc		323,279
	10,900	Murata Manufacturing Co Ltd		665,273
	1,400	Nintendo Co Ltd		246,829
	55,400	Nippon Telegraph & Telephone Corp		2,593,874
	185,000	Nippon Yusen Kabushiki Kaisha		562,268
	128,600	Nissan Motor Co Ltd		1,182,531
	7,600	Nitto Denko Corp		297,748
	106	NTT Data Corp		342,173
	353	NTT Docomo Inc		643,503
	8,370	ORIX Corp		760,156
	251,100	Resona Holdings Inc		1,142,838
	41,000	Ricoh Company Ltd		372,757
	13,700	Sankyo Co Ltd		703,360
	70,100	Showa Shell Sekiyu KK		562,986
	10,500	SoftBank Corp		349,071
	348,700	Sojitz Corp		656,605
	151,900	Sumitomo Corp		1,990,910
	195,000	Taisei Corp		520,167
	4,000	Taisho Pharmaceutical Co Ltd		92,993
	44,200	Takeda Pharmaceutical Co Ltd		2,140,766
	56,000	TonenGeneral Sekiyu KK		642,556
	49,000	Toray Industries Inc		372,567
	37,100	Toyota Motor Corp		1,336,540

6 See accompanying notes to the financial statements.

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	52,200	Toyota Tsusho Corp		873,706
	5,160	Yamada Denki Co Ltd		379,444
		Total Japan		34,175,447
		Singapore — 2.0%
	476,000	Genting Singapore Plc *		657,595
	3,027,000	Golden Agri-Resources Ltd		1,657,998
	152,100	Keppel Corp Ltd		1,174,730
	111,000	Neptune Orient Lines Ltd		106,571
	178,728	Oversea-Chinese Banking Corp Ltd		1,300,122
	169,000	Sembcorp Industries Ltd		605,204
	33,200	Singapore Airlines Ltd		304,200
	471,600	Singapore Telecommunications		1,218,696
		Total Singapore		7,025,116
		Spain — 2.6%
	146,415	Banco Bilbao Vizcaya Argentaria SA		1,328,515
	175,146	Banco Popular Espanol SA		912,470
	279,826	Banco Santander SA		2,585,512
	57,306	Gas Natural SDG SA		1,047,482
	14,075	Indra Sistemas SA		251,803
	159,464	Mapfre SA		545,773
	39,451	Repsol YPF SA		1,135,405
	58,524	Telefonica SA		1,216,722
		Total Spain		9,023,682
		Sweden — 0.7%
	36,943	Atlas Copco AB Class A		832,471
	13,086	Boliden AB		179,697
	55,116	Svenska Cellulosa AB Class B		741,997
	49,342	Swedbank AB Class A		678,351
		Total Sweden		2,432,516

See accompanying notes to the financial statements. 7

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Switzerland — 0.7%
	28,762	Novartis AG (Registered)		1,678,235
	2,909	Zurich Financial Services AG *		655,375
		Total Switzerland		2,333,610
		United Kingdom — 10.1%
	32,482	3i Group Plc		112,077
	27,098	Antofagasta Plc		588,805
	74,275	ARM Holdings Plc		681,417
	80,662	AstraZeneca Plc		3,819,454
	226,838	Aviva Plc		1,250,004
	199,788	BAE Systems Plc		891,498
	305,997	Barclays Plc		845,472
	23,865	BHP Billiton Plc		812,264
	287,238	BP Plc		1,874,810
	9,459	British American Tobacco Plc		420,847
	605,680	BT Group Plc		1,679,834
	156,701	GlaxoSmithKline Plc		3,336,067
	91,122	Home Retail Group Plc		188,212
	622,817	Legal & General Group Plc		1,060,189
	80,113	Marks & Spencer Group Plc		418,800
	10,169	Next Plc		389,402
	609,891	Old Mutual Plc		1,184,207
	24,765	Rio Tinto Plc		1,509,637
	1,741,551	Royal Bank of Scotland Group Plc *		684,584
	119,073	Royal Dutch Shell Plc A Shares (London)		3,983,155
	98,760	Royal Dutch Shell Plc B Shares (London)		3,323,519
	43,556	Scottish & Southern Energy Plc		917,316
	19,484	Standard Chartered Plc		442,630
	34,120	Tate & Lyle Plc		320,971
	1,070,228	Vodafone Group Plc		2,808,552
	24,147	Wolseley Plc		625,893
	30,072	Xstrata Plc		522,272
		Total United Kingdom		34,691,888

8 See accompanying notes to the financial statements.

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United States — 52.6%
	37,800	3M Co.		3,136,644
	71,300	Abbott Laboratories		3,743,963
	5,700	Abercrombie & Fitch Co.-Class A		362,577
	48,000	Accenture Plc.-Class A		2,572,320
	13,300	ACE, Ltd.		858,914
	3,500	Affiliated Managers Group, Inc. *		305,060
	36,300	Alcoa, Inc.		465,003
	20,100	Allstate Corp. (The)		527,223
	10,000	Altera Corp.		363,900
	54,400	Altria Group, Inc.		1,479,136
	12,200	Amdocs Ltd. *		335,134
	17,100	Ameren Corp.		517,446
	12,600	American Express Co.		626,346
	13,500	Ameriprise Financial, Inc.		616,950
	7,900	Anadarko Petroleum Corp.		582,625
	82,600	Annaly Capital Management, Inc. REIT		1,497,538
	14,900	Apple, Inc. *		5,733,967
	11,500	Assurant, Inc.		404,455
	42,900	Automatic Data Processing, Inc.		2,146,287
	1,600	AutoZone, Inc. *		491,200
	6,200	AvalonBay Communities, Inc. REIT		845,556
	10,900	Baker Hughes, Inc.		666,099
	23,400	Baxter International, Inc.		1,309,932
	14,300	Becton, Dickinson and Co.		1,163,734
	11,100	Best Buy Co., Inc.		284,049
	5,500	Borg Warner, Inc. *		392,645
	3,200	Boston Properties, Inc. REIT		333,728
	21,200	Bristol–Myers Squibb Co.		630,700
	14,300	Capital One Financial Corp.		658,515
	21,800	Caterpillar, Inc.		1,983,800
	19,600	CB Richard Ellis Group, Inc. *		297,136
	24,600	CBS Corp.-Class B (Non Voting)		616,230
	6,000	Celanese Corp.-Class A		282,060
	27,100	Chevron Corp.		2,680,461

See accompanying notes to the financial statements. 9

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	1,800	Chipotle Mexican Grill, Inc. *		564,066
	17,000	CH Robinson Worldwide, Inc.		1,198,500
	41,800	Cisco Systems, Inc.		655,424
	5,900	Cliffs Natural Resources, Inc.		488,815
	23,900	Coach, Inc.		1,343,658
	124,700	Coca-Cola Co. (The)		8,785,115
	15,000	Cognizant Technology Solutions Corp.-Class A *		951,750
	13,700	Comcast Corp.-Class A (Non-Voting)		289,892
	18,900	Computer Sciences Corp.		579,474
	4,700	Concho Resources Inc. *		408,665
	55,453	ConocoPhillips		3,774,686
	6,600	CR Bard, Inc.		628,716
	28,600	CSX Corp.		627,484
	7,900	Cummins, Inc.		734,068
	10,500	Danaher Corp.		481,005
	10,800	Deere & Co.		872,856
	31,400	Discover Financial Services		790,024
	15,000	Dow Chemical Co. (The)		426,750
	27,800	Du Pont (E.I.) de Nemours & Co.		1,341,906
	4,300	Eastman Chemical Co.		355,739
	13,300	Eaton Corp.		571,235
	24,000	Ecolab, Inc.		1,286,400
	58,500	Eli Lilly & Co.		2,194,335
	20,100	EMC Corp. *		454,059
	7,200	Equity Residential REIT		440,496
	20,500	Expeditors International of Washington, Inc.		932,750
	69,700	Exxon Mobil Corp.		5,160,588
	9,600	FLIR Systems, Inc.		248,352
	11,000	FMC Technologies, Inc. *		489,060
	15,500	Forest Laboratories, Inc. *		530,720
	19,000	Freeport–McMoRan Copper & Gold, Inc.		895,660
	26,100	General Dynamics Corp.		1,672,488
	10,300	Genuine Parts Co.		566,706
	14,200	Google, Inc.-Class A *		7,681,632

10 See accompanying notes to the financial statements.

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	20,200	Halliburton Co.		896,274
	5,300	Hansen Natural Corp. *		452,196
	33,400	Hartford Financial Services Group, Inc. (The)		639,276
	7,300	Hess Corp.		433,182
	7,400	Honeywell International, Inc.		353,794
	18,600	Hormel Foods Corp.		513,546
	15,900	Hospitality Properties Trust REIT		373,332
	14,400	Intuit, Inc. *		710,352
	212,500	Johnson & Johnson		13,982,500
	4,300	Joy Global, Inc.		358,835
	35,700	Kimberly–Clark Corp.		2,469,012
	20,300	Las Vegas Sands Corp. *		945,371
	13,200	Leucadia National Corp.		391,116
	3,600	Liberty Media Corp. Capital-Class A *		256,716
	10,500	Limited Brands, Inc.		396,270
	42,700	Macy’s, Inc.		1,108,065
	34,200	Marathon Oil Corp.		920,664
	8,500	McDonald’s Corp.		768,910
	42,500	Medtronic, Inc.		1,490,475
	176,900	Merck & Co., Inc.		5,858,928
	167,500	Microsoft Corp.		4,455,500
	5,400	Mosaic Co. (The)		384,102
	11,200	NASDAQ OMX Group, Inc. (The) *		265,328
	11,300	National Oilwell Varco, Inc.		747,156
	2,000	Netflix, Inc. *		470,020
	25,500	Nike, Inc.-Class B		2,209,575
	21,200	NiSource, Inc.		452,832
	4,900	Noble Energy, Inc.		432,964
	5,500	Occidental Petroleum Corp.		477,070
	79,800	Oracle Corp.		2,239,986
	5,000	Parker Hannifin Corp.		367,150
	41,400	Paychex, Inc.		1,116,972
	7,200	Peabody Energy Corp.		351,360
	30,100	Pepco Holdings, Inc.		586,348

See accompanying notes to the financial statements. 11

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	85,500	PepsiCo, Inc.		5,508,765
	222,373	Pfizer, Inc.		4,220,639
	17,100	Philip Morris International, Inc.		1,185,372
	5,700	PPG Industries, Inc.		436,563
	2,100	Priceline.com, Inc. *		1,128,246
	15,000	ProLogis, Inc. REIT		408,450
	8,900	Prudential Financial, Inc.		446,869
	500	Public Storage REIT		61,865
	95,800	Qualcomm, Inc.		4,929,868
	5,400	Rockwell Automation, Inc.		346,302
	10,900	Rockwell Collins, Inc.		550,014
	22,400	RR Donnelley & Sons Co.		341,600
	16,700	Schlumberger Ltd.		1,304,604
	9,500	Sigma–Aldrich Corp.		611,705
	21,200	SLM Corp.		291,076
	17,800	Southern Copper Corp.		601,106
	22,400	Starbucks Corp.		865,088
	24,800	Stryker Corp.		1,211,232
	8,500	St Jude Medical, Inc.		387,090
	33,142	Supervalu, Inc.		264,142
	44,400	Sysco Corp.		1,240,092
	9,100	T. Rowe Price Group, Inc.		486,668
	24,100	TD Ameritrade Holding Corp.		370,658
	14,400	Teradata Corp. *		753,984
	4,200	Tiffany & Co.		302,232
	4,300	Time Warner Cable, Inc.		281,650
	18,200	Travelers Cos., Inc. (The)		918,372
	10,000	Union Pacific Corp.		921,700
	21,915	UnitedHealth Group, Inc.		1,041,401
	21,400	United Technologies Corp.		1,588,950
	48,700	Valero Energy Corp.		1,106,464
	8,400	Varian Medical Systems, Inc. *		478,464
	15,300	Viacom, Inc.-Class B		738,072
	15,100	Virgin Media, Inc.		382,936

12 See accompanying notes to the financial statements.

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	6,500	Visa, Inc.-Class A		571,220
	114,700	Wal–Mart Stores, Inc.		6,103,187
	13,000	WellPoint, Inc.		822,900
	9,900	Western Digital Corp. *		291,951
	15,100	Weyerhaeuser Co. REIT		272,253
	4,400	Whiting Petroleum Corp. *		207,284
	13,000	Williams Cos., Inc.		350,870
	3,800	WW Grainger, Inc.		585,580
	3,500	Wynn Resorts Ltd.		541,520
	8,100	Yum! Brands, Inc.		440,397
		Total United States		181,108,985
		TOTAL COMMON STOCKS (COST $332,515,380)		328,332,192
		PREFERRED STOCKS — 0.6%
		Germany — 0.6%
	5,368	Henkel AG & Co KGaA 1.77%		317,096
	13,133	Porsche Automobil Holding SE 1.10%		884,081
	5,687	Volkswagen AG 1.97%		945,462
		Total Germany		2,146,639
		TOTAL PREFERRED STOCKS (COST $1,818,180)		2,146,639
		RIGHTS/WARRANTS — 0.0%
		United States — 0.0%
	6,727	American International Group, Inc., Warrants, Strike 45.00, Expires 01/19/21 *		50,453
		TOTAL RIGHTS/WARRANTS (COST $125,109)		50,453

See accompanying notes to the financial statements. 13

GMO Developed World Stock Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		MUTUAL FUNDS — 2.5%
		United States — 2.5%
		Affiliated Issuers
	342,344	GMO U.S. Treasury Fund		8,562,028
		TOTAL MUTUAL FUNDS (COST $8,562,028)		8,562,028
		SHORT-TERM INVESTMENTS — 0.8%
		Time Deposits — 0.8%
AUD	9,498	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.00%, due 09/01/11		10,153
CAD	9,932	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.26%, due 09/01/11		10,142
CHF	8,334	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		10,342
DKK	52,392	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.20%, due 09/01/11		10,102
EUR	9,801	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.13%, due 09/01/11		14,079
GBP	6,169	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.11%, due 09/01/11		10,013
HKD	250,281	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		32,146
JPY	1,113,280	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		14,539
NOK	59,110	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.05%, due 09/01/11		11,019
SEK	65,337	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.10%, due 09/01/11		10,303
USD	2,386	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.03%, due 09/01/11		2,386
SGD	173,878	Citibank (New York) Time Deposit, 0.01%, due 09/01/11		144,381
USD	2,355,373	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		2,355,373
		Total Time Deposits		2,634,978
		TOTAL SHORT-TERM INVESTMENTS (COST $2,634,978)		2,634,978
		TOTAL INVESTMENTS — 99.2% (Cost $345,655,675)		341,726,290
		Other Assets and Liabilities (net) — 0.8%		2,585,065
		TOTAL NET ASSETS — 100.0%	$	344,311,355

14 See accompanying notes to the financial statements.

GMO Developed World Stock Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement			Deliver/	Units of				Appreciation
Date	Counterparty		Receive	Currency		Value		(Depreciation)
Buys †
10/21/11		Barclays Bank PLC	CAD		3,146,071	$	3,208,826	$	11,827
10/21/11		Brown Brothers Harriman & Co.	GBP		1,287,643		2,089,065		(19,515	)
10/21/11		JPMorgan Chase Bank, N.A.	GBP		789,209		1,280,408		(11,685	)
10/21/11		Morgan Stanley Capital Services Inc.	GBP		2,031,850		3,296,462		(30,020	)
10/21/11		Bank of America N.A.	HKD		7,800,772		1,002,414		733
10/21/11		Deutsche Bank AG	HKD		37,993,622		4,882,253		3,865
10/21/11		Royal Bank of Scotland PLC	HKD		33,609,622		4,318,901		2,530
10/21/11		Bank of America N.A.	SEK		12,141,987		1,909,434		31,178
10/21/11		Bank of New York Mellon	SEK		5,162,681		811,877		12,846
10/21/11		Brown Brothers Harriman & Co.	SEK		4,003,522		629,589		6,240
10/21/11		Bank of New York Mellon	SGD		3,066,619		2,547,013		(2,395	)
10/21/11		JPMorgan Chase Bank N.A.	SGD		3,392,840		2,817,959		(61	)
10/21/11		Morgan Stanley Capital Services Inc.	SGD		1,187,540		986,324		(1,597	)
10/21/11		Royal Bank of Scotland PLC	SGD		1,943,689		1,614,352		(618	)
10/21/11		State Street Bank and Trust Company	SGD		4,005,840		3,327,093		(2,506	)
						$	34,721,970	$	822
Sales #
10/21/11		Royal Bank of Scotland PLC	CHF		214,708	$	266,835	$	9,652
10/21/11		Bank of America N.A.	EUR		3,775,970		5,420,883		(1,259	)
10/21/11		Brown Brothers Harriman & Co.	EUR		1,803,658		2,589,379		7,600
10/21/11		Deutsche Bank AG	EUR		3,741,878		5,371,939		10,790
10/21/11		Morgan Stanley Capital Services Inc.	EUR		3,356,248		4,818,318		5,234
10/21/11		Bank of New York Mellon	JPY		56,992,510		744,630		(1,379	)
10/21/11		JPMorgan Chase Bank, N.A.	JPY		329,719,457		4,307,917		(7,023	)
						$	23,519,901	$	23,615

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

See accompanying notes to the financial statements. 15

GMO Developed World Stock Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Buys
1		FTSE 100	September 2011	$	87,274	$	3,675
68		FTSE/MIB	September 2011		7,582,510		(2,005,481	)
8		MSCI Singapore	September 2011		437,204		19,368
7		S&P 500 E-Mini Index	September 2011		426,213		(31,158	)
29		TOPIX	September 2011		2,941,911		(86,690	)
				$	11,475,112	$	(2,100,286	)
Sales
108		OMXS 30	September 2011	$	1,626,196	$	(3,521	)
18		SPI 200	September 2011		2,071,669		105,613
				$	3,697,865	$	102,092

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

16 See accompanying notes to the financial statements.

GMO Developed World Stock Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $337,093,647) (Note 2)	$	333,164,262
Investments in affiliated issuers, at value (cost $8,562,028) (Notes 2 and 10)		8,562,028
Foreign currency, at value (cost $219) (Note 2)		219
Dividends receivable		1,047,447
Foreign taxes receivable		86,954
Unrealized appreciation on open forward currency contracts (Note 4)		102,495
Due from broker on open futures contracts		1,516,568
Receivable for variation margin on open futures contracts (Note 4)		207,796
Receivable for expenses reimbursed by Manager (Note 5)		34,688
Miscellaneous receivable		342
Total assets		344,722,799
Liabilities:
Payable to affiliate for (Note 5):
Management fee		128,313
Shareholder service fee		35,117
Trustees and Trust Officers or agents unaffiliated with the Manager		213
Payable for foreign currency purchased		234
Unrealized depreciation on open forward currency contracts (Note 4)		78,058
Accrued expenses		169,509
Total liabilities		411,444
Net assets	$	344,311,355
Net assets consist of:
Paid-in capital	$	444,113,125
Accumulated undistributed net investment income		4,773,244
Accumulated net realized loss		(98,678,681	)
Net unrealized depreciation		(5,896,333	)
	$	344,311,355
Net assets attributable to:
Class III shares	$	159,477,744
Class IV shares	$	184,833,611
Shares outstanding:
Class III		9,114,113
Class IV		10,551,887
Net asset value per share:
Class III	$	17.50
Class IV	$	17.52

See accompanying notes to the financial statements. 17

GMO Developed World Stock Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers (net of withholding taxes of $432,080)	$	6,344,886
Dividends from affiliated issuers (Note 10)		3,282
Interest		2,587
Total investment income		6,350,755
Expenses:
Management fee (Note 5)		843,137
Shareholder service fee – Class III (Note 5)		132,376
Shareholder service fee – Class IV (Note 5)		99,113
Custodian and fund accounting agent fees		116,288
Audit and tax fees		39,560
Transfer agent fees		19,964
Legal fees		6,716
Trustees fees and related expenses (Note 5)		2,778
Registration fees		1,012
Miscellaneous		15,441
Total expenses		1,276,385
Fees and expenses reimbursed by Manager (Note 5)		(197,616	)
Expense reductions (Note 2)		(5	)
Net expenses		1,078,764
Net investment income (loss)		5,271,991
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		9,702,654
Investments in affiliated issuers		5,352
Realized gains distributions from affiliated issuers (Note 10)		543
Futures contracts		(300,911	)
Foreign currency, forward contracts and foreign currency related transactions		(140,546	)
Net realized gain (loss)		9,267,092
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(43,976,534	)
Futures contracts		(2,582,819	)
Foreign currency, forward contracts and foreign currency related transactions		171,008
Net unrealized gain (loss)		(46,388,345	)
Net realized and unrealized gain (loss)		(37,121,253	)
Net increase (decrease) in net assets resulting from operations	$	(31,849,262	)

18 See accompanying notes to the financial statements.

GMO Developed World Stock Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,271,991		$	7,059,392
Net realized gain (loss)		9,267,092			3,518,289
Change in net unrealized appreciation (depreciation)		(46,388,345	)		61,745,938
Net increase (decrease) in net assets from operations		(31,849,262	)		72,323,619
Distributions to shareholders from:
Net investment income
Class III		(1,743,567	)		(4,894,827	)
Class IV		(2,039,662	)		(4,765,301	)
Total distributions from net investment income		(3,783,229	)		(9,660,128	)
Net share transactions (Note 9):
Class III		(34,096,050	)		6,993,972
Class IV		2,041,398			4,933,764
Increase (decrease) in net assets resulting from net share transactions		(32,054,652	)		11,927,736
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		97,310			22,800
Class IV		10			125
Increase in net assets resulting from purchase premiums and redemption fees		97,320			22,925
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(31,957,332	)		11,950,661
Total increase (decrease) in net assets		(67,589,823	)		74,614,152
Net assets:
Beginning of period		411,901,178			337,287,026
End of period (including accumulated undistributed net investment income of $4,773,244 and $3,284,482, respectively)	$	344,311,355		$	411,901,178

See accompanying notes to the financial statements. 19

GMO Developed World Stock Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	19.24		$	16.28		$	11.34		$	21.88		$	24.58		$	22.24
Income (loss) from investment operations:
Net investment income (loss)†		0.26			0.33			0.29			0.51			0.54			0.43
Net realized and unrealized gain (loss)		(1.81	)		3.09			5.03			(10.20	)		(0.74	)		2.84
Total from investment operations		(1.55	)		3.42			5.32			(9.69	)		(0.20	)		3.27
Less distributions to shareholders:
From net investment income		(0.19	)		(0.46	)		(0.38	)		(0.64	)		(0.67	)		(0.32	)
From net realized gains		—			—			—			(0.21	)		(1.83	)		(0.61	)
Total distributions		(0.19	)		(0.46	)		(0.38	)		(0.85	)		(2.50	)		(0.93	)
Net asset value, end of period	$	17.50		$	19.24		$	16.28		$	11.34		$	21.88		$	24.58
Total Return(a)		(8.11	)%**		21.41	%		47.03	%		(45.56	)%		(1.73	)%		14.87	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	159,478		$	210,780		$	171,842		$	155,560		$	309,609		$	282,446
Net expenses to average daily net assets		0.60	%(b)(d)*		0.60	%(b)(d)		0.60	%(b)		0.61	%(c)		0.62	%(c)		0.62	%
Net investment income (loss) to average daily net assets		2.78	%*		1.93	%		1.93	%		2.79	%		2.15	%		1.83	%
Portfolio turnover rate		25	%**		34	%		47	%		50	%		53	%		43	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.11	%*		0.11	%		0.11	%		0.12	%		0.11	%		0.12	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.01		$	0.00	(e)	$	0.02		$	0.01		$	0.02		$	0.03

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

20 See accompanying notes to the financial statements.

GMO Developed World Stock Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class IV share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	19.26		$	16.30		$	11.35		$	21.90		$	24.59		$	22.25
Income (loss) from investment operations:
Net investment income (loss)†		0.27			0.34			0.30			0.51			0.56			0.45
Net realized and unrealized gain (loss)		(1.81	)		3.09			5.04			(10.20	)		(0.74	)		2.82
Total from investment operations		(1.54	)		3.43			5.34			(9.69	)		(0.18	)		3.27
Less distributions to shareholders:
From net investment income		(0.20	)		(0.47	)		(0.39	)		(0.65	)		(0.68	)		(0.32	)
From net realized gains		—			—			—			(0.21	)		(1.83	)		(0.61	)
Total distributions		(0.20	)		(0.47	)		(0.39	)		(0.86	)		(2.51	)		(0.93	)
Net asset value, end of period	$	17.52		$	19.26		$	16.30		$	11.35		$	21.90		$	24.59
Total Return(a)		(8.09	)%**		21.44	%		47.16	%		(45.52	)%		(1.66	)%		14.88	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	184,834		$	201,121		$	165,445		$	112,438		$	206,408		$	209,937
Net expenses to average daily net assets		0.55	%(b)(d)*		0.55	%(b)(d)		0.55	%(b)		0.56	%(c)		0.57	%(c)		0.57	%
Net investment income (loss) to average daily net assets		2.84	%*		1.98	%		1.94	%		2.82	%		2.22	%		1.93	%
Portfolio turnover rate		25	%**		34	%		47	%		50	%		53	%		43	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.11	%*		0.11	%		0.11	%		0.12	%		0.11	%		0.12	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	(e)	$	0.00	(e)		—(f	)		—(f	)		—(f	)	$	0.02

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	Purchase premiums and redemption fees were less than $0.01 per share.
(f)	The class received no purchase premiums or redemption fees.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 21

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Developed World Stock Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks high total return.  The Manager seeks to achieve the Fund’s investment objective by investing in stocks or groups of stocks that the Manager believes will provide higher returns than the MSCI World Index.

The Manager uses active investment management methods, which means that stocks are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting stocks for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify stocks that the Manager believes present positive return potential relative to other stocks. Some of these methods evaluate individual stocks or a group of stocks (e.g., stocks of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of a stock or a group of stocks. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of a stock or group of stocks relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, market capitalization, and exposure to groups such as industry, sector, country or currency.

As a substitute for direct investments in stocks, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options, forward currency contracts and swap contracts. In addition, the Fund may lend its portfolio securities.

Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in stocks tied economically to developed markets. For this purpose, the term “stock” refers to investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts, and the term “developed markets” refers to those countries included in the MSCI World Index, a global developed markets equity

22

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

index, and countries with similar characteristics (e.g., countries that have sustained economic development, sufficient liquidity for listed companies and accessible markets). The Manager may make investments tied economically to emerging countries.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the period ended August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different shareholder service fee.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of

23

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		42.1	%
Futures Contracts		(0.6	)%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

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

24

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks
Australia	$	—	$	2,697,910	$	—	$	2,697,910
Austria		—		924,766		—		924,766
Belgium		—		336,731		—		336,731
Canada		4,278,375		—		—		4,278,375
France		—		19,365,490		—		19,365,490
Germany		—		13,778,931		—		13,778,931
Greece		—		243,171		—		243,171
Hong Kong		—		547,754		—		547,754
Ireland		—		1,522,712		—		1,522,712
Italy		—		13,845,108		—		13,845,108
Japan		—		34,175,447		—		34,175,447
Singapore		—		7,025,116		—		7,025,116
Spain		—		9,023,682		—		9,023,682
Sweden		—		2,432,516		—		2,432,516
Switzerland		—		2,333,610		—		2,333,610
United Kingdom		—		34,691,888		—		34,691,888
United States		181,108,985		—		—		181,108,985
TOTAL COMMON STOCKS		185,387,360		142,944,832		—		328,332,192
Preferred Stocks
Germany		—		2,146,639		—		2,146,639
TOTAL PREFERRED STOCKS		—		2,146,639		—		2,146,639
Rights/Warrants
United States		—		50,453		—		50,453
TOTAL RIGHTS/WARRANTS		—		50,453		—		50,453

25

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds
United States	$	8,562,028	$	—	$	—	$	8,562,028
TOTAL MUTUAL FUNDS		8,562,028		—		—		8,562,028
Short-Term Investments		2,634,978		—		—		2,634,978
Total Investments		196,584,366		145,141,924		—		341,726,290
Derivatives *
Forward Currency Contracts Foreign Currency risk		—		102,495		—		102,495
Futures Contracts Equity risk		—		128,656		—		128,656
Total Derivatives		—		231,151		—		231,151
Total	$	196,584,366	$	145,373,075	$	—	$	341,957,441

LIABILITY VALUATION INPUTS

	Quoted Prices			Significant
	in Active			Other			Significant
	Markets for			Observable			Unobservable
	Identical Liabilities			Inputs			Inputs
Description	(Level 1)			(Level 2)			(Level 3)		Total
Derivatives *
Forward Currency Contracts Foreign Currency risk	$	—		$	(78,058	)	$	—	$	(78,058	)
Futures Contracts Equity risk		(31,158	)		(2,095,692	)		—		(2,126,850	)
Total Derivatives		(31,158	)		(2,173,750	)		—		(2,204,908	)
Total	$	(31,158	)	$	(2,173,750	)	$	—	$	(2,204,908	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

            * Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a

26

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

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

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

27

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(12,590,155	)
February 28, 2018		(76,431,352	)
February 28, 2019		(13,491,492	)
Total	$	(102,512,999	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	352,414,349	$	30,966,237	$	(41,654,296	)	$	(10,688,059	)

28

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

29

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.25% of the amount invested or redeemed. An additional purchase premium and redemption fee of 0.005% is charged for any purchases/redemptions (or any portion of a purchase/redemption) effected in a currency other than the U.S. dollar.

Purchase premiums and redemption fees are paid to and retained by the Fund (and are allocated pro rata among the classes) to help offset non-de minimis 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) as a result of the purchase or redemption, by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing fee, at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

30

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest

31

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange

32

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under

33

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse

34

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. During the period ended August 31, 2011, the Fund used forward currency contracts to manage against anticipated currency exchange rate changes and adjust exposure to foreign currencies. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily

35

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust exposure to certain securities markets and maintain the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

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

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

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

36

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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.

37

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated

38

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants received as a result of corporate actions. Rights and/or warrants held by the Fund at the end of the period are listed in the Fund’s Schedule of Investments.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Assets:
Investments, at value (rights and/or warrants)	$	—	$	—		$	—	$	50,453		$	—	$	50,453
Unrealized appreciation on forward currency contracts		—		102,495			—		—			—		102,495
Unrealized appreciation on futures contracts *		—		—			—		128,656			—		128,656
Total	$	—	$	102,495		$	—	$	179,109		$	—	$	281,604
Liabilities:
Unrealized depreciation on forward currency contracts	$	—	$	(78,058	)	$	—	$	—		$	—	$	(78,058	)
Unrealized depreciation on futures contracts *		—		—			—		(2,126,850	)		—		(2,126,850	)
Total	$	—	$	(78,058	)	$	—	$	(2,126,850	)	$	—	$	(2,204,908	)

The Effect of Derivative Instruments on the Statement of Operations for the period ended August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	—		$	—	$	4		$	—	$	4
Forward currency contracts		—		(123,423	)		—		—			—		(123,423	)
Futures contracts		—		—			—		(300,911	)		—		(300,911	)
Total	$	—	$	(123,423	)	$	—	$	(300,907	)	$	—	$	(424,330	)

39

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the period ended August 31, 2011^Ù: — continued

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Change in Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	—	$	—	$	(27,580	)	$	—	$	(27,580	)
Forward currency contracts		—		171,008		—		—			—		171,008
Futures contracts		—		—		—		(2,582,819	)		—		(2,582,819	)
Total	$	—	$	171,008	$	—	$	(2,610,399	)	$	—	$	(2,439,391	)

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), outstanding at each month-end, was as follows for the period ended August 31, 2011.

	Forward				Rights
	Currency		Futures		and/or
	Contracts		Contracts		Warrants
Average amount outstanding	$	64,508,618	$	16,673,173	$	83,241

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.45% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.10% for Class IV shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.45% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and

40

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $2,778 and $1,365, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and interest	Indirect Shareholder
expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $95,548,438 and $129,837,879, respectively.

7. Guarantees

In the normal course of business the Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Fund. Based on experience, the Manager is of the view that the risk of loss

41

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

to the Fund in connection with the Fund’s indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

8. Principal shareholders and related parties

As of August 31, 2011, 78.75% of the outstanding shares of the Fund were held by four shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.01% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		91,156		$	1,745,625			350,679		$	6,192,421
Shares issued to shareholders in reinvestment of distributions		70,716			1,332,295			227,058			3,832,385
Shares repurchased		(2,003,664	)		(37,173,970	)		(176,281	)		(3,030,834	)
Purchase premiums		—			4,375			—			15,520
Redemption fees		—			92,935			—			7,280
Net increase (decrease)		(1,841,792	)	$	(33,998,740	)		401,456		$	7,016,772

42

GMO Developed World Stock Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares		Amount
Shares sold		143		$	2,739			9,942	$	168,463
Shares issued to shareholders in reinvestment of distributions		108,147			2,039,662			281,957		4,765,301
Shares repurchased		(50	)		(1,003	)		—		—
Purchase premiums		—			7			—		125
Redemption fees		—			3			—		—
Net increase (decrease)		108,240		$	2,041,408			291,899	$	4,933,889

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	11,923,000	$	22,164,000	$	25,530,304	$	3,282	$	543	$	8,562,028
Totals	$	11,923,000	$	22,164,000	$	25,530,304	$	3,282	$	543	$	8,562,028

43

GMO Developed World Stock Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three- and five-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

44

GMO Developed World Stock Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

45

GMO Developed World Stock Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

46

GMO Developed World Stock Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

47

GMO Developed World Stock Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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 premiums and redemption fees. Therefore, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.60	%	$	1,000.00	$	918.90	$	2.89
2) Hypothetical		0.60	%	$	1,000.00	$	1,022.12	$	3.05
Class IV
1) Actual		0.55	%	$	1,000.00	$	919.10	$	2.65
2) Hypothetical		0.55	%	$	1,000.00	$	1,022.37	$	2.80

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

48

GMO Domestic Bond Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Domestic Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		93.8	%
Short-Term Investments		6.3
Swap Agreements		(0.0	)Ù
Other		(0.1	)
		100.0	%

*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).
Ù	Rounds to 0.0%.

1

GMO Domestic Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($) /
Shares		Description	Value ($)
		DEBT OBLIGATIONS — 9.9%
		Corporate Debt — 2.6%
	9,312,000	Health Care Property Investors, Inc., Series G, MTN, 5.63%, due 02/28/13		9,736,674
		U.S. Government — 7.1%
	27,031,320	U.S. Treasury Inflation Indexed Note, 2.00%, due 04/15/12 (a)		27,430,464
		U.S. Government Agency — 0.2%
	503,093	Agency for International Development Floater (Support of Jamaica), 6 mo. U.S. Treasury Bill + 0.79%, 0.80%, due 03/30/19 (b)		488,482
	233,336	Agency for International Development Floater (Support of Zimbabwe), 3 mo. U.S. Treasury Bill x 115%, 0.05%, due 01/01/12 (b)		232,123
		Total U.S. Government Agency		720,605
		TOTAL DEBT OBLIGATIONS (COST $37,602,651)		37,887,743
		MUTUAL FUNDS — 85.2%
		Affiliated Issuers — 85.2%
	45,578,624	GMO Short-Duration Collateral Fund		327,710,310
	1,483	GMO Special Purpose Holding Fund (c)		637
	16,817	GMO U.S. Treasury Fund		420,599
		TOTAL MUTUAL FUNDS (COST $349,226,550)		328,131,546
		SHORT-TERM INVESTMENTS — 5.1%
		Money Market Funds — 5.1%
	19,682,545	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (d)		19,682,545
		TOTAL SHORT-TERM INVESTMENTS (COST $19,682,545)		19,682,545
		TOTAL INVESTMENTS — 100.2% (Cost $406,511,746)		385,701,834
		Other Assets and Liabilities (net)— (0.2%)		(596,092	)
		Net Assets — 100.0%		385,105,742

2 See accompanying notes to the financial statements.

GMO Domestic Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Swap Agreements

Credit Default Swaps

Maximum

Potential

Amount of

Future

Payments

Net

Implied

by the Fund

Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

Under the

Appreciation/

Amount

Date

Counterparty

(Pay)

Premium

Spread (1)

Entity

Contract (2)

(Depreciation)

11,500,000

USD

3/20/2013

Barclays Bank PLC

(Pay)

0.61%

1.25%

Healthcare Care Properties

NA

$

99,876

Premiums to (Pay) Receive

$

—

Ù	Receive - Fund receives premium and sells credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
	(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
(1)	Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of August 31, 2011, 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 agreement.
(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
	As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

See accompanying notes to the financial statements. 3

GMO Domestic Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Notes to Schedule of Investments:

MTN - Medium Term Note

The rates shown on variable rate notes are the current interest rates at August 31, 2011, which are subject to change based on the terms of the security.

(a)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).
(b)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(c)	Underlying investment represents interests in defaulted claims. See “Other Matters” in Notes to Financial Statements for additional information.
(d)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

Currency Abbreviations:

USD - United States Dollar

4 See accompanying notes to the financial statements.

GMO Domestic Bond Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $57,285,196) (Note 2)	$	57,570,288
Investments in affiliated issuers, at value (cost $349,226,550) (Notes 2 and 10)		328,131,546
Dividends and interest receivable		210,613
Receivable for open swap contracts (Note 4)		99,876
Receivable for expenses reimbursed by Manager (Note 5)		32,309
Total assets		386,044,632
Liabilities:
Payable for Fund shares repurchased		796,952
Payable to affiliate for (Note 5):
Management fee		33,124
Shareholder service fee		24,884
Trustees and Trust Officers or agents unaffiliated with the Manager		258
Accrued expenses		83,672
Total liabilities		938,890
Net assets	$	385,105,742
Net assets consist of:
Paid-in capital	$	427,104,140
Accumulated undistributed net investment income		54,667
Accumulated net realized loss		(21,343,029	)
Net unrealized depreciation		(20,710,036	)
	$	385,105,742
Net assets attributable to:
Class III shares	$	81,753,788
Class VI shares	$	303,351,954
Shares outstanding:
Class III		24,431,459
Class VI		90,424,893
Net asset value per share:
Class III	$	3.35
Class VI	$	3.35

See accompanying notes to the financial statements. 5

GMO Domestic Bond Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	2,399,499
Interest		902,290
Dividends from unaffiliated issuers		124
Total investment income		3,301,913
Expenses:
Management fee (Note 5)		231,430
Shareholder service fee – Class III (Note 5)		73,705
Shareholder service fee – Class VI (Note 5)		100,261
Custodian, fund accounting agent and transfer agent fees		36,064
Audit and tax fees		27,232
Legal fees		10,672
Trustees fees and related expenses (Note 5)		3,475
Registration fees		2,659
Miscellaneous		9,128
Total expenses		494,626
Fees and expenses reimbursed by Manager (Note 5)		(197,586	)
Net expenses		297,040
Net investment income (loss)		3,004,873
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		14,971
Investments in affiliated issuers		72
Realized gains distributions from affiliated issuers (Note 10)		30
Swap contracts		(35,465	)
Net realized gain (loss)		(20,392	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(759,882	)
Investments in affiliated issuers		(9,116,088	)
Swap contracts		170,750
Net unrealized gain (loss)		(9,705,220	)
Net realized and unrealized gain (loss)		(9,725,612	)
Net increase (decrease) in net assets resulting from operations	$	(6,720,739	)

6 See accompanying notes to the financial statements.

GMO Domestic Bond Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,004,873		$	8,567,060
Net realized gain (loss)		(20,392	)		(1,692,963	)
Change in net unrealized appreciation (depreciation)		(9,705,220	)		45,516,138
Net increase (decrease) in net assets from operations		(6,720,739	)		52,390,235
Distributions to shareholders from (Note 2):
Net investment income
Class III		(598,693	)		(1,756,513	)
Class VI		(2,371,307	)		(6,704,779	)
Total distributions from net investment income		(2,970,000	)		(8,461,292	)
Return of capital
Class III		(28,017,215	)		(49,386,398	)
Class VI		(104,012,786	)		(176,952,317	)
Total distributions from return of capital		(132,030,001	)		(226,338,715	)
		(135,000,001	)		(234,800,007	)
Net share transactions (Note 9):
Class III		(8,577,390	)		(13,361,510	)
Class VI		(3,679,254	)		(53,179,239	)
Increase (decrease) in net assets resulting from net share transactions		(12,256,644	)		(66,540,749	)
Total increase (decrease) in net assets		(153,977,384	)		(248,950,521	)
Net assets:
Beginning of period		539,083,126			788,033,647
End of period (including accumulated undistributed net investment income of $54,667 and $19,794, respectively)	$	385,105,742		$	539,083,126

See accompanying notes to the financial statements. 7

GMO Domestic Bond Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	4.57		$	5.99		$	7.99		$	9.47		$	9.81		$	9.81
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.02			0.06			0.09			0.39			0.42			0.43
Net realized and unrealized gain (loss)		(0.08	)		0.34			1.33			(1.36	)		(0.01	)		0.06
Total from investment operations		(0.06	)		0.40			1.42			(0.97	)		0.41			0.49
Less distributions to shareholders:
From net investment income		(0.02	)		(0.06	)		(0.16	)		(0.50	)		(0.75	)		(0.49	)
From net realized gains		—			—			(0.46	)		(0.01	)		—			—
Return of capital		(1.14	)		(1.76	)		(2.80	)		—			—			—
Total distributions		(1.16	)		(1.82	)		(3.42	)		(0.51	)		(0.75	)		(0.49	)
Net asset value, end of period	$	3.35		$	4.57		$	5.99		$	7.99		$	9.47		$	9.81
Total Return(b)		(1.54	)%**		8.19	%		23.87	%		(10.39	)%		4.35	%		5.09	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	81,754		$	120,397		$	173,619		$	337,524		$	144,286		$	94,159
Net expenses to average daily net assets(c)		0.20	%*		0.20	%(d)		0.21	%		0.26	%(d)		0.25	%(d)		0.25	%
Net investment income (loss) to average daily net assets(a)		1.21	%*		1.25	%		1.37	%		4.43	%		4.28	%		4.42	%
Portfolio turnover rate		1	%**		8	%		30	%		68	%		22	%		17	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.09	%*		0.08	%		0.07	%		0.02	%		0.03	%		0.03	%
Redemption fees consisted of the following per share amounts:†		—			—		$	0.00	(e)	$	0.00	(e)		—			—

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

8 See accompanying notes to the financial statements.

GMO Domestic Bond Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class VI share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	4.58		$	5.99		$	7.99		$	9.48		$	9.82		$	9.82
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.03			0.07			0.09			0.44			0.57			0.48
Net realized and unrealized gain (loss)		(0.10	)		0.35			1.33			(1.41	)		(0.15	)		0.02
Total from investment operations		(0.07	)		0.42			1.42			(0.97	)		0.42			0.50
Less distributions to shareholders:
From net investment income		(0.02	)		(0.07	)		(0.17	)		(0.51	)		(0.76	)		(0.50	)
From net realized gains		—			—			(0.46	)		(0.01	)		—			—
Return of capital		(1.14	)		(1.76	)		(2.79	)		—			—			—
Total distributions		(1.16	)		(1.83	)		(3.42	)		(0.52	)		(0.76	)		(0.50	)
Net asset value, end of period	$	3.35		$	4.58		$	5.99		$	7.99		$	9.48		$	9.82
Total Return(b)		(1.79	)%**		8.46	%		23.87	%		(10.40	)%		4.42	%		5.19	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	303,352		$	418,686		$	614,415		$	720,731		$	581,526		$	327,796
Net expenses to average daily net assets(c)		0.11	%*		0.11	%(d)		0.12	%		0.16	%(d)		0.16	%(d)		0.16	%
Net investment income (loss) to average daily net assets(a)		1.32	%*		1.33	%		1.43	%		5.02	%		5.87	%		4.85	%
Portfolio turnover rate		1	%**		8	%		30	%		68	%		22	%		17	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.09	%*		0.08	%		0.08	%		0.02	%		0.03	%		0.03	%
Redemption fees consisted of the following per share amounts:†		—			—		$	0.00	(e)	$	0.00	(e)		—			—

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 9

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Domestic Bond Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund’s investment objective is total return in excess of that of its benchmark, the Barclays Capital U.S. Government Index. The Fund is not currently pursuing its investment objective or an active investment program and is not acquiring new investments.

Historically, the Fund has implemented its strategies: (i) synthetically by using exchange-traded and over-the-counter (“OTC”) derivatives and investing in other GMO Funds and/or (ii) directly by purchasing bonds. The Fund principally holds shares of GMO Short-Duration Collateral Fund (“SDCF”) (a Fund that primarily holds U.S. asset-backed securities).

The Fund has also invested in and may continue to hold: U.S. bonds (including U.S. government bonds, U.S. corporate bonds and asset-backed securities); derivatives, including without limitation, futures contracts, reverse repurchase agreements, credit default swaps and other swap contracts; shares of GMO U.S. Treasury Fund (for cash management purposes); and foreign bonds.

Because of the deterioration in credit markets that became acute in 2008, the Fund, including through its investment in SDCF, currently has and is expected to continue to have material exposure to below investment grade U.S. asset-backed securities (also known as “junk bonds”). The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

The Manager does not seek to maintain a specified interest rate duration for the Fund.

Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in bonds tied economically to the U.S. The term “bond” includes (i) obligations of an issuer to make payments of principal and/or interest (whether fixed or variable) on future dates and (ii) synthetic debt instruments created by the Manager by using derivatives (e.g., a futures contract, swap contract, currency forward or option).

As of August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class VI. Each class of shares bears a different shareholder service fee.

10

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Since April 2009, the Fund has declared and paid distributions when it has acquired a meaningful cash position rather than reinvesting that cash in portfolio securities. The Fund currently intends to continue this practice. A substantial portion of any such distributions could constitute a return of capital to shareholders for tax purposes.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). As of August 31, 2011, shares of SCDF and GMO Special Purpose Holding Fund (“SPHF”) were not publicly available for direct purchase.

The Fund currently limits subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly and indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 2.8% of net assets. The Fund and the underlying funds classify such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

11

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held indirectly for which no alternative pricing source was available represented 9.8% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include most recent quoted prices, interest rates, prepayment speeds, credit risk, yield curves and similar data. The Fund also used third party valuation services (which use industry models and market data from pricing vendors) to value credit default swaps.

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund used the following fair value techniques on Level 3 investments: The Fund valued certain debt securities by using an estimated specified spread above the LIBOR rate.

12

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices
	in Active		Significant
	Markets for		Other		Significant
	Identical		Observable		Unobservable
	Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
Corporate Debt	$	—	$	9,736,674	$	—	$	9,736,674
U.S. Government		—		27,430,464		—		27,430,464
U.S. Government Agency		—		—		720,605		720,605
TOTAL DEBT OBLIGATIONS		—		37,167,138		720,605		37,887,743
Mutual Funds		328,130,909		637		—		328,131,546
Short-Term Investments		19,682,545		—		—		19,682,545
Total Investments		347,813,454		37,167,775		720,605		385,701,834
Derivatives *
Swap Agreements
Credit Risk		—		99,876		—		99,876
Total	$	347,813,454	$	37,267,651	$	720,605	$	385,801,710

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and derivative financial instruments using Level 3 inputs were 63.2% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

13

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

																					Net Change in
																					Unrealized
																					Appreciation
																					(Depreciation)
																					from
																					Investments
	Balances												Change in						Balances		Still
	as of							Accrued		Total			Unrealized		Transfer		Transfer		as of		Held as of
	February 28,							Discounts/		Realized			Appreciation		into		out of		August 31,		August 31,
	2011		Purchases		Sales			Premiums		Gain/(Loss)			(Depreciation)		Level 3*		Level 3*		2011		2011
Debt Obligations
U.S. Government Agency	$	983,567	$	—	$	(264,791	)	$	25	$	(16	)	$	1,820	$	—	$	—	$	720,605	$	1,820
Total	$	983,567	$	—	$	(264,791	)	$	25	$	(16	)	$	1,820	$	—	$	—	$	720,605	$	1,820

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be

14

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. The Fund is permitted to, and will from time to time, declare and pay distributions from net investment income, if any, more frequently (e.g. monthly). As of August 31, 2011, all distributions have been paid in cash. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or

15

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of tax basis earnings and profits, if significant, are reported in the Fund’s financial statements as a return of capital for tax purposes. Such amounts are estimated for the six months ended August 31, 2011.

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital losses of $797,187.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(3,229,648	)
February 28, 2019		(814,498	)
Total	$	(4,044,146	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	422,986,875	$	429,884	$	(37,714,925	)	$	(37,285,041	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did

16

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 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. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Other matters

SPHF, an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the period ended August 31, 2011, the Fund received no distributions from SPHF in connection with the defaulted securities or the related litigation.

17

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans and home equity loans), creates additional risk.

• Market Risk — Fixed Income Securities — Typically, the market value of the Fund’s fixed income securities will decline during periods of widening of credit spreads.

• Derivatives Risk — The use of derivatives involves the risk that their value may or may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

18

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

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

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

The Fund invests (including through investment in underlying funds) in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit card receivables, which expose the Fund to additional types of market risk. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers. Payment of interest on asset backed securities and repayment of principal largely depend on the cash flows generated by the assets backing the securities. The market risk of a particular asset-backed security depends on many factors, including the deal structure (e.g., determination as to the amount of

19

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets and, if any, the level of credit support and the credit quality of the credit-support provider. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. The obligations of issuers (and obligors of underlying assets) also are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Agreements”) or other similar types of agreements with selected counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The

20

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

ISDA Agreements typically include representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse effect on the Fund’s operations.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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 their investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

21

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

22

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are

23

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. The Fund had no futures contracts outstanding at the end of the period.

Options

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

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

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 Statement of Operations.

24

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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

25

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used credit default swap agreements to provide a measure of protection against default loss. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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

26

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

warrants or rights may limit the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Assets:
Unrealized appreciation on swap agreements	$	—	$	—	$	99,876	$	—	$	—	$	99,876
Total	$	—	$	—	$	99,876	$	—	$	—	$	99,876

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit			Equity		Other
	contracts		contracts		contracts			contracts		contracts		Total
Net Realized Gain (Loss) on:
Swap agreements	$	—	$	—	$	(35,465	)	$	—	$	—	$	(35,465	)
Total	$	—	$	—	$	(35,465	)	$	—	$	—	$	(35,465	)
Change in Unrealized Appreciation (Depreciation) on:
Swap agreements	$	—	$	—	$	170,750		$	—	$	—	$	170,750
Total	$	—	$	—	$	170,750		$	—	$	—	$	170,750

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The derivative financial instruments outstanding as of period end (as disclosed in the Schedule of Investments) serve as indicators of the volume of derivative activity for the Fund during the period.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.10% of average daily net assets. The Manager has voluntarily agreed to waive the Fund’s management fee by 0.05% and to reimburse the Fund to the extent the Fund’s total annual operating expenses exceed 0.05% of the Fund’s average daily net assets (excluding the Fund’s Excluded Fund Fees

27

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

and Expenses described below). The Manager may change or terminate these voluntary waivers and reimbursements at any time, and these voluntary waivers and reimbursements are in addition to the Manager’s contractual expense reimbursement agreement described below. During any period for which these voluntary waivers and reimbursements are in effect, the Fund will incur management fees at an annual rate lower than 0.10% of the Fund’s average daily net assets, and, as a result, total annual operating expenses after expense reimbursement for the Fund will be lower. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares. The Manager has contractually agreed through at least June 30, 2012 to waive the Fund’s shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by a class of shares of the Fund exceeds 0.15% for Class III shares and 0.055% for Class VI shares; provided, however, that the amount of this waiver will not exceed the respective Class’s shareholder service fee.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.10% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). The Manager also has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $3,475 and $1,768, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

28

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder of the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
0.003%	0.000%	0.000%	0.003%

6. Purchases and sales of securities

For the period ended August 31, 2011, cost of purchases and proceeds from sales of securities, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	1,402,202
Investments (non-U.S. Government securities)		3,110,000		17,353,000

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 89.08% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. One of the shareholders is another fund of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, none of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 99.47% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

29

GMO Domestic Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		466,901		$	1,676,175			—		$	—
Shares repurchased		(2,370,324	)		(10,253,565	)		(2,670,650	)		(13,361,510	)
Net increase (decrease)		(1,903,423	)	$	(8,577,390	)		(2,670,650	)	$	(13,361,510	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class VI:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			—		$	—
Shares repurchased		(996,368	)		(3,679,254	)		(11,101,709	)		(53,179,239	)
Net increase (decrease)		(996,368	)	$	(3,679,254	)		(11,101,709	)	$	(53,179,239	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Return		Value,
	beginning of				Sales		Dividend		of Realized		of		end of
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		period
GMO Short-Duration Collateral Fund	$	473,106,122	$	—	$	—	$	2,399,147	$	—	$	136,279,830	$	327,710,310
GMO Special Purpose Holding Fund		741		—		—		—		—		—		637
GMO U.S. Treasury Fund		14,663,527		3,110,000		17,353,000		352		30		—		420,599
Totals	$	487,770,390	$	3,110,000	$	17,353,000	$	2,399,499	$	30	$	136,279,830	$	328,131,546

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2012.

30

GMO Domestic Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

31

GMO Domestic Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s

32

GMO Domestic Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

33

GMO Domestic Bond Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

34

GMO Domestic Bond Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.20	%	$	1,000.00	$	984.60	$	1.00
2) Hypothetical		0.20	%	$	1,000.00	$	1,024.13	$	1.02
Class VI
1) Actual		0.11	%	$	1,000.00	$	982.10	$	0.55
2) Hypothetical		0.11	%	$	1,000.00	$	1,024.58	$	0.56

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

35

GMO Emerging Countries Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Emerging Countries Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		87.9	%
Preferred Stocks		9.7
Investment Funds		1.0
Mutual Funds		0.3
Short-Term Investments		0.2
Other		0.9
		100.0	%

Country Summary*	% of Investments
Brazil		17.3	%
South Korea		17.2
China		14.5
Russia		13.4
Taiwan		10.3
Indonesia		4.9
Thailand		4.8
India		3.1
Poland		2.7
South Africa		2.2
Turkey		2.2
Czech Republic		1.6
Egypt		1.5
Hungary		1.4
Mexico		1.2
Philippines		0.9
Malaysia		0.3
Chile		0.2
Morocco		0.2
Sri Lanka		0.1
		100.0	%

* The table above 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 agreements and other derivative financial instruments, if any.

1

GMO Emerging Countries Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Industry Group Summary	% of Equity Investments**
Energy		21.4	%
Banks		17.2
Materials		16.0
Telecommunication Services		15.0
Semiconductors & Semiconductor Equipment		5.4
Technology Hardware & Equipment		4.1
Automobiles & Components		3.9
Utilities		3.7
Capital Goods		2.8
Software & Services		2.2
Food, Beverage & Tobacco		1.9
Real Estate		1.2
Insurance		1.1
Diversified Financials		1.0
Consumer Durables & Apparel		0.5
Retailing		0.5
Pharmaceuticals, Biotechnology & Life Sciences		0.5
Food & Staples Retailing		0.4
Consumer Services		0.4
Media		0.2
Health Care Equipment & Services		0.2
Household & Personal Products		0.2
Transportation		0.2
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

2

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 87.9%
		Brazil — 9.3%
	44,102	Banco Bradesco ADR		787,221
	242,600	Banco do Brasil SA		4,072,035
	8,000	Banco Santander Brasil SA ADR		76,960
	40,100	BR Malls Participacoes SA		447,123
	19,260	Brasil Telecom SA ADR		437,395
	2,600	Braskem SA Sponsored ADR		61,854
	2,100	Centrais Eletricas Brasileiras SA ADR		28,287
	21,470	Centrais Eletricas Brasileiras SA Sponsored ADR		223,932
	9,500	CETIP SA		148,596
	20,809	Cia de Saneamento Basico do Estado de Sao Paulo		601,303
	4,760	Cia de Saneamento Basico do Estado de Sao Paulo ADR		274,462
	22,800	Cia de Saneamento de Minas Gerais-Copasa MG *		448,294
	4,500	Cia Paranaense de Energia Sponsored ADR		99,090
	17,200	Cielo SA		441,912
	20,400	Companhia Energetica de Minas Gerais Sponsored ADR		385,968
	27,900	Cyrela Brazil Realty SA		264,471
	27,300	Electrobras (Centro)		279,534
	58,300	Gerdau SA		418,600
	17,760	Gerdau SA Sponsored ADR		153,269
	124,190	Itau Unibanco Holding SA ADR		2,255,290
	30,000	Light SA		516,364
	5,300	MPX Mineracao e Energia SA *		124,518
	7,900	MRV Engenharia e Participacoes SA		66,499
	118,430	Petroleo Brasileiro SA (Petrobras) ADR		3,440,391
	9,300	Porto Seguro SA		115,673
	37,700	Redecard SA		580,219
	11,800	Sul America SA		131,202
	16,960	Telecomunicacoes de Sao Paulo SA ADR		538,819
	4,538	Tim Participacoes SA ADR		141,313
	12,200	Ultrapar Participacoes SA		212,977
	13,900	Ultrapar Participacoes SA Sponsored ADR		246,586
	17,500	Usinas Siderurgicas de Minas Gerais SA		250,094
	5,500	Usinas Siderurgicas de Minas Gerais SA Sponsored ADR		41,415

See accompanying notes to the financial statements. 3

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Brazil — continued
	15,900	Vale SA		447,465
	113,100	Vale SA Sponsored ADR		3,193,944
		Total Brazil		21,953,075
		Chile — 0.2%
	560	Embotelladora Andina SA ADR Class B		15,339
	15,206	Empresa National de Telecomunicaciones SA		336,226
		Total Chile		351,565
		China — 14.2%
	184,000	Agile Property Holdings Ltd		249,947
	475,000	Agricultural Bank of China Ltd Class H		229,142
	54,500	Anhui Conch Cement Co Ltd Class H		228,261
	1,200	Baidu Inc Sponsored ADR *		174,936
	3,959,000	Bank of China Ltd Class H		1,642,049
	958,100	Bank of Communications Co Ltd Class H		711,151
	117,000	Belle International Holdings Ltd		240,573
	654,000	China CITIC Bank Class H *		352,378
	318,900	China Coal Energy Co Class H		430,153
	471,200	China Communication Services Corp Ltd Class H		239,210
	763,000	China Communications Construction Co Ltd Class H		554,854
	1,359,000	China Construction Bank Class H		1,011,404
	1,400	China Life Insurance Co Ltd ADR		53,144
	97,000	China Life Insurance Co Ltd Class H		245,889
	18,438	China Merchants Holdings International Co Ltd		55,162
	221,500	China Minsheng Banking Corp Ltd		183,744
	555,964	China Mobile Ltd		5,686,707
	13,982	China Mobile Ltd Sponsored ADR		715,459
	186,000	China National Building Material Co Ltd Class H		313,915
	14,000	China Overseas Land & Investment Ltd		29,949
	14,800	China Pacific Insurance Group Co Ltd		58,182
	3,175,083	China Petroleum & Chemical Corp Class H		3,128,231
	201,000	China Shenhua Energy Co Ltd Class H		938,327
	76,000	China State Construction International Holdings Ltd		60,692

4 See accompanying notes to the financial statements.

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		China — continued
	500	China Telecom Corp Ltd ADR		32,965
	3,031,900	China Telecom Corp Ltd Class H		1,993,807
	904,000	China Unicom Hong Kong Ltd		1,894,488
	14,600	China Unicom Hong Kong Ltd ADR		308,790
	14,000	China Yurun Food Group Ltd		31,954
	188,200	Citic Pacific Ltd		382,539
	6,000	CNOOC Ltd		12,197
	2,880	CNOOC Ltd ADR		585,187
	192,000	Cosco Pacific Ltd		264,209
	640,000	Country Garden Holdings Co		285,449
	234,000	Dongfeng Motor Group Co Ltd Class H		374,930
	229,000	Evergrande Real Estate Group Ltd		141,646
	544,000	GCL-Poly Energy Holdings Ltd		241,991
	711,000	GOME Electrical Appliances Holdings Ltd		308,395
	46,000	Guangzhou R&F Properties Co Ltd Class H		55,674
	36,000	Hengan International Group Co Ltd		308,765
	318,000	Hopson Development Holdings Ltd		256,390
	3,222,000	Industrial and Commercial Bank of China Ltd Class H		2,121,675
	14,500	Inner Mongolia Yitai Coal Co Class B		82,750
	125,775	Jiangxi Copper Co Ltd Class H		362,163
	336,000	Lenovo Group Ltd		225,783
	129,070	Lianhua Supermarket Holdings Co Ltd		220,989
	139,500	Longfor Properties		202,600
	8,500	Netease.Com Inc ADR *		429,760
	41,000	Nine Dragons Paper Holdings Ltd		29,504
	1,000	PetroChina Co Ltd ADR		128,500
	1,650,315	PetroChina Co Ltd Class H		2,098,370
	122,000	PICC Property & Casualty Co Ltd Class H		215,645
	52,000	Ping An Insurance (Group) Co of China Ltd Class H		417,037
	23,000	Shanghai Industrial Holdings Ltd		76,095
	102,251	Sino-Ocean Land Holdings Ltd		48,477
	2,600	Sohu.com, Inc. *		212,550
	1,100	Tencent Holdings Ltd		26,245
	120,000	Tingyi (Cayman Islands) Holding Corp		338,438

See accompanying notes to the financial statements. 5

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		China — continued
	365,000	Want Want China Holdings Ltd		303,403
	137,000	Yangzijiang Shipbuilding Holdings Ltd		131,970
	100,000	Yanzhou Coal Mining Co Ltd Class H		291,341
	3,800	Yanzhou Coal Mining Co Ltd Sponsored ADR		110,428
	794,000	Zijin Mining Group Co Ltd Class H		372,604
		Total China		33,459,162
		Czech Republic — 1.6%
	47,293	CEZ AS		2,219,593
	4,017	Komercni Banka AS		846,221
	4,045	Pegas Nonwovens SA		110,790
	356	Philip Morris CR AS		224,286
	12,508	Telefonica 02 Czech Republic AS		319,718
		Total Czech Republic		3,720,608
		Egypt — 1.5%
	14,835	Alexandria Mineral Oils Co		162,679
	142,606	Commercial International Bank		663,129
	2,155	EFG-Hermes Holding GDR *		11,883
	53,230	EFG-Hermes Holding SAE *		147,236
	8,394	Egyptian Co for Mobile Services		140,061
	60,139	Egyptian Kuwaiti Holding Co SAE		70,516
	28,313	ElSwedy Electric Co		127,632
	11,890	Orascom Construction Industries		480,134
	908	Orascom Construction Industries GDR		37,040
	670,080	Orascom Telecom Holding SAE *		399,431
	104,741	Orascom Telecom Holding SAE GDR (Registered Shares) *		310,671
	19,791	Oriental Weavers Co		100,041
	51,980	Sidi Kerir Petrochemicals Co		119,353
	131,908	South Valley Cement		87,190
	285,006	Talaat Moustafa Group *		189,575
	204,104	Telecom Egypt		515,671
		Total Egypt		3,562,242

6 See accompanying notes to the financial statements.

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Hungary — 1.3%
	1,327	Egis Gyogyszergyar Nyrt		112,149
	136,180	Magyar Telekom Nyrt		365,900
	377	MOL Hungarian Oil and Gas Nyrt *		34,748
	112,391	OTP Bank Nyrt		2,455,568
	923	Richter Gedeon Nyrt		170,662
		Total Hungary		3,139,027
		India — 3.0%
	2,781	ACC Ltd		61,387
	12,182	Ambuja Cements Ltd		35,398
	90,679	Aurobindo Pharma Ltd		249,956
	5,081	Bharat Petroleum Corp Ltd		74,398
	49,523	Bharti Airtel Ltd		436,085
	9,575	Cairn India Ltd *		58,364
	5,619	Canara Bank Ltd		52,073
	48,276	Essar Oil Ltd *		93,702
	9,017	Grasim Industries Ltd * (a)		447,129
	7,654	HCL Technologies Ltd		69,336
	49,491	Hindustan Zinc Ltd		140,478
	105,561	Idea Cellular Ltd *		230,471
	11,693	Indian Oil Corp Ltd		77,947
	3,816	Infosys Technologies Ltd		197,051
	8,260	Infosys Technologies Ltd Sponsored ADR		426,381
	32,588	Ipca Laboratories Ltd		219,769
	19,867	Mphasis Ltd		154,043
	74,980	Oil & Natural Gas Corp Ltd		430,593
	25,779	Reliance Communications Ltd		44,827
	33,396	Reliance Industries Ltd		572,862
	1,402	Reliance Industries Ltd Sponsored GDR,144A		48,428
	109,352	Sesa Goa Ltd		564,696
	198,925	Shree Renuka Sugars Ltd		251,026
	46,668	Steel Authority of India Ltd		109,917
	131,855	Sterlite Industries India Ltd		376,648

See accompanying notes to the financial statements. 7

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		India — continued
	2,900	Sterlite Industries India Ltd ADR		33,611
	51,432	Tata Consultancy Services Ltd		1,173,277
	24,251	Tata Steel Ltd		248,197
	17,043	Wipro Ltd		124,908
	6,500	Wipro Ltd ADR		64,870
		Total India		7,067,828
		Indonesia — 4.8%
	51,500	Astra Agro Lestari Tbk PT		133,729
	602,000	Astra International Tbk PT		4,828,977
	98,000	Bank Central Asia Tbk PT		94,535
	229,500	Bank Danamon Indonesia Tbk PT		144,285
	1,040,172	Bank Mandiri Tbk PT		864,077
	673,000	Bank Negara Indonesia (Persero) Tbk PT		336,188
	1,687,500	Bank Rakyat Tbk PT		1,350,789
	64,500	Bumi Resources Tbk PT		19,930
	574,000	Indofood Sukses Makmur Tbk PT		418,569
	90,500	Indosat Tbk PT		57,190
	732,500	Kalbe Farma Tbk PT		308,664
	825,500	Perusahaan Gas Negara PT		297,067
	139,000	Tambang Batubara Bukit Asam Tbk PT		319,438
	1,280,500	Telekomunikasi Indonesia Tbk PT		1,106,312
	15,700	Telekomunikasi Indonesia Tbk PT Sponsored ADR		537,254
	167,575	United Tractors Tbk PT		477,770
		Total Indonesia		11,294,774
		Malaysia — 0.3%
	36,200	AirAsia Berhad		40,837
	190,300	AMMB Holdings Berhad		408,737
	82,860	Genting Berhad		264,108
	64,900	Landmarks Berhad *		25,097
	12,900	Petronas Chemicals Group Bhd		27,265
		Total Malaysia		766,044

8 See accompanying notes to the financial statements.

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Mexico — 1.2%
	58,140	America Movil SAB de CV Class L ADR		1,486,058
	37,200	Grupo Financiero Banorte SAB de CV Class O		150,598
	63,700	Grupo Televisa SA-Series CPO		282,867
	50,645	Telefonos de Mexico SAB de CV Class L Sponsored ADR		866,536
		Total Mexico		2,786,059
		Morocco — 0.2%
	537	Attijariwafa Bank		26,185
	27,286	Maroc Telecom		499,482
		Total Morocco		525,667
		Philippines — 0.9%
	123,600	Alliance Global Group Inc		30,347
	2,118,500	Lopez Holding Corp *		251,615
	132,007	Metropolitan Bank & Trust Co		228,858
	16,945	Philippine Long Distance Telephone Co		948,679
	8,790	Philippine Long Distance Telephone Co Sponsored ADR		506,831
	80,000	Universal Robina Corp		75,160
	315,000	Vista Land & Lifescapes Inc		23,902
		Total Philippines		2,065,392
		Poland — 2.6%
	4,932	Asseco Poland SA		72,707
	24,978	Grupa Lotos SA *		267,322
	69,852	KGHM Polska Miedz SA		4,238,901
	72,081	PGE SA		516,028
	18,139	Polski Koncern Naftowy Orlen SA *		249,916
	40,398	Polskie Gornictwo Naftowe i Gazownictwo SA		57,064
	183,198	Tauron Polska Energia SA		339,264
	83,774	Telekomunikacja Polska SA		502,735
		Total Poland		6,243,937

See accompanying notes to the financial statements. 9

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Russia — 12.0%
	3,979	Cherepovets MK Severstal GDR (Registered Shares)		61,804
	48,840	Gazprom Neft Class S		214,046
	6,614	Gazprom Neft JSC Sponsored ADR		144,991
	841,380	Gazprom OAO Sponsored ADR		10,454,995
	46,022	KamAZ *		76,421
	85,011	Lukoil OAO ADR		5,111,539
	22,323	Magnit OJSC Sponsored GDR (Registered Shares)		529,732
	21,347	Magnitogorsk Iron & Steel Works Sponsored GDR (Registered Shares)		169,824
	15,190	Mechel Sponsored ADR		286,483
	55,537	MMC Norilsk Nickel JSC ADR		1,390,483
	10,607	NovaTek OAO Sponsored GDR (Registered Shares)		1,441,916
	39,599	OAO Tatneft Sponsored GDR (Registered Shares)		1,344,284
	433,884	Rosneft OJSC GDR (Registered Shares)		3,416,855
	134,828	Sberbank Sponsored ADR *		1,603,105
	135,350	Surgutneftegas Sponsored ADR		1,153,959
	12,206	Tatneft		66,631
	57,000	United Co RUSAL Plc *		62,228
	16,115	Uralkali Sponsored GDR (Registered Shares)		811,931
		Total Russia		28,341,227
		South Africa — 2.1%
	14,825	Absa Group Ltd		295,071
	15,400	African Bank Investments Ltd		78,062
	5,967	ArcelorMittal South Africa Ltd		52,827
	115,599	Aveng Ltd		561,215
	10,898	Bidvest Group Ltd		244,018
	190,276	FirstRand Ltd		547,760
	46,225	MTN Group Ltd		950,902
	8,464	Murray & Roberts Holdings Ltd		33,611
	13,304	Nedbank Group Ltd		269,995
	6,325	Remgro Ltd		103,018
	31,607	RMB Holdings Ltd		114,793

10 See accompanying notes to the financial statements.

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	20,646	Sanlam Ltd		80,392
	709	Sasol Ltd		34,180
	15,553	Shoprite Holdings Ltd		244,773
	128,128	Telkom South Africa Ltd		655,141
	21,286	Vodacom Group Ltd		274,586
	31,400	Wilson Bayly Holmes-Ovcon Ltd		456,864
		Total South Africa		4,997,208
		South Korea — 15.7%
	22	Amorepacific Corp		23,959
	22,679	BS Financial Group Inc *		283,969
	807	CJ CheilJedang Corp		248,215
	31,302	DGB Financial Group Inc *		454,779
	8,830	Dongbu Insurance Co Ltd		429,890
	8,783	GS Holdings Corp		601,063
	37,062	Hana Financial Group Inc		1,257,251
	2,280	Hankook Tire Co Ltd		85,887
	8,584	Hanwha Chemical Corp		298,363
	18,477	Hanwha Corp		701,040
	875	Honam Petrochemical Corp		295,278
	38,769	Hynix Semiconductor Inc		700,162
	5,476	Hyosung Corp		407,083
	271	Hyundai Department Store Co Ltd		45,987
	2,790	Hyundai Heavy Industries Co Ltd		914,886
	8,287	Hyundai Hysco		374,708
	3,155	Hyundai Mipo Dockyard		408,754
	4,443	Hyundai Mobis		1,416,533
	5,513	Hyundai Motor Co		1,058,626
	4,820	Hyundai Steel Co		494,077
	76,105	Industrial Bank of Korea		1,151,507
	9,737	INTOPS Co Ltd		162,412
	21,108	Kangwon Land Inc		552,675
	17,124	KB Financial Group Inc		710,330

See accompanying notes to the financial statements. 11

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	769	KCC Corp		216,008
	10,720	Kia Motors Corp		716,139
	108,740	Korea Exchange Bank		828,023
	6,446	Korea Investment Holdings Co Ltd		235,545
	2,201	Korea Kumho Petrochemical Co Ltd		379,942
	1,676	Korea Zinc Co Ltd		663,577
	13,260	KT Corp		458,332
	12,100	KT Corp Sponsored ADR		206,789
	30,592	KT&G Corp		1,971,947
	734	LG Chem Ltd		262,519
	3,500	LG Display Co Ltd ADR		34,790
	189	LG Household & Health Care Ltd		83,484
	85,328	LG Uplus Corp		400,764
	1,301	Lotte Shopping Co Ltd		535,123
	827	NCSoft Corp		272,489
	785	NHN Corp *		154,008
	350	OCI Company Ltd		103,039
	7,520	POSCO		2,861,319
	2,857	S-Oil Corp		329,259
	47,580	Samho International Co Ltd *		106,474
	859	Samsung C&T Corp		62,012
	1,676	Samsung Engineering Co Ltd		381,604
	3,887	Samsung Fire & Marine Insurance Co Ltd		841,504
	1,477	Samsung SDI Co Ltd		195,746
	904	Samsung Securities Co Ltd		54,242
	7,738	Samsung Electronics Co Ltd		5,433,964
	45,567	Shinhan Financial Group Co Ltd		1,925,749
	3,879	SK C&C Co Ltd		517,269
	989	SK Innovation Co Ltd		158,456
	6,467	SK Telecom Co Ltd		941,264
	66,539	SK Telecom Co Ltd ADR		1,069,947
	4,528	SK Holdings Co Ltd		704,235
	88,136	Woori Finance Holdings Co Ltd		988,145
		Total South Korea		37,171,141

12 See accompanying notes to the financial statements.

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Sri Lanka — 0.1%
	165,122	Hatton National Bank Plc		326,799
	10,386	Hatton National Bank Plc (Non Voting)		10,627
		Total Sri Lanka		337,426
		Taiwan — 10.1%
	198,432	Advanced Semiconductor Engineering Inc		180,138
	237,660	Asia Cement Corp		316,223
	182,871	Asustek Computer Inc		1,555,167
	201,000	Catcher Technology Co Ltd		1,589,893
	30,620	Chang Hwa Commercial Bank		22,794
	529,168	China Development Financial Holding Corp		173,709
	275,550	China Petrochemical Development Corp		406,803
	908,672	China Steel Corp		991,190
	722,136	Chinatrust Financial Holding Co Ltd		593,417
	721,594	Chunghwa Telecom Co Ltd		2,491,801
	4,200	Chunghwa Telecom Co Ltd ADR		146,034
	1,373,577	Compal Electronics Inc		1,484,121
	523,314	Far Eastone Telecommunications Co Ltd		838,487
	52,450	First Financial Holding Co Ltd		40,589
	201,000	Formosa Chemicals & Fibre Co		614,979
	38,822	Formosa Petrochemical Corp		113,578
	182,000	Formosa Plastics Corp		570,333
	70,350	Foxconn Technology Co Ltd		251,168
	149,092	Fubon Financial Holding Co Ltd		213,772
	121,091	Hon Hai Precision Industry Co Ltd		308,582
	8,772	HTC Corp		231,144
	12,184	Largan Precision Co Ltd		350,764
	266,353	Lite-On Technology Corp		290,502
	944,520	Mega Financial Holding Co Ltd		840,676
	348,289	Nan Ya Plastics Corp		835,094
	102,793	Novatek Microelectronics Corp Ltd		271,954

See accompanying notes to the financial statements. 13

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	155,962	Pegatron Corp *		152,076
	144,100	Powertech Technology Inc		349,247
	830,200	ProMOS Technologies Inc *		11,501
	634,715	Quanta Computer Inc		1,296,018
	124,000	Shin Kong Financial Holdings *		44,142
	6,000	Siliconware Precision Industries Co		5,538
	8,000	Siliconware Precision Industries Co Sponsored ADR		36,720
	893,880	Taishin Financial Holding Co Ltd		406,893
	234,000	Taiwan Cement Corp		314,287
	313,476	Taiwan Mobile Co Ltd		851,400
	1,024,660	Taiwan Semiconductor Manufacturing Co Ltd		2,457,317
	30,296	TPK Holding Co Ltd *		741,794
	1,791,000	United Microelectronics Corp		702,994
	20,400	United Microelectronics Corp Sponsored ADR		40,596
	537,394	Wistron Corp		675,613
		Total Taiwan		23,809,048
		Thailand — 4.7%
	287,390	Advanced Info Service Pcl (Foreign Registered) (a)		1,087,727
	1,811,088	Asian Property Development Pcl (Foreign Registered) (a)		366,223
	13,000	Bangkok Bank Pcl (Foreign Registered) (a)		71,069
	145,250	Bangkok Bank Pcl NVDR		777,063
	215,300	Bangkok Dusit Medical Service Pcl (Foreign Registered) (a)		453,112
	73,000	Bank of Ayudhya Pcl NVDR		62,258
	11,850	Banpu Pcl (Foreign Registered) (a)		250,437
	267,200	Charoen Pokphand Foods Pcl (Foreign Registered) (a)		280,940
	132,800	Electricity Generating Pcl (Foreign Registered) (a)		407,697
	57,910	Kasikornbank Pcl (Foreign Registered) (a)		245,957
	75,000	Kasikornbank Pcl NVDR		319,797
	354,700	Krung Thai Bank Pcl (Foreign Registered) (a)		226,280
	763,700	LPN Development Pcl (Foreign Registered) (a)		285,587
	150,400	PTT Aromatics & Refining Pcl (Foreign Registered) (a)		172,010
	71,000	PTT Chemical Pcl (Foreign Registered) (a)		323,836

14 See accompanying notes to the financial statements.

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	261,822	PTT Pcl (Foreign Registered) (a)		2,879,094
	46,939	Siam Cement Pcl (Foreign Registered) (a)		592,449
	76,800	Siam Cement Pcl NVDR		856,511
	289,550	Siam Commercial Bank Pcl (Foreign Registered) (a)		1,151,727
	54,570	Thai Oil Pcl (Foreign Registered) (a)		122,182
	24,300	Total Access Communication Pcl (Foreign Registered) (a)		56,588
	29,550	Total Access Communication Pcl NVDR		68,814
		Total Thailand		11,057,358
		Turkey — 2.1%
	170,144	Arcelik AS		602,488
	73,695	Emlak Konut Gayrimenkul Yatirim Ortakligi		96,758
	463,889	Eregli Demir ve Celik Fabrikalari TAS		906,638
	53,858	Haci Omer Sabanci Holding AS		194,804
	13,658	Koc Holding AS		48,868
	34,033	Tupras-Turkiye Petrol Rafineriler AS		652,192
	232,544	Turk Telekomunikasyon AS		1,072,110
	137,369	Turkcell Iletisim Hizmet AS *		616,432
	1,400	Turkcell Iletisim Hizmetleri AS ADR *		15,764
	103,331	Turkiye Garanti Bankasi		382,627
	11,776	Turkiye IS Bankasi Class C		30,675
	74,881	Turkiye Vakiflar Bankasi TAO Class D		137,125
	29,687	Turkiye Halk Bankasi AS		187,503
	17,581	Yapi ve Kredi Bankasi AS *		35,312
		Total Turkey		4,979,296
		TOTAL COMMON STOCKS (COST $209,365,963)		207,628,084
		PREFERRED STOCKS — 9.7%
		Brazil — 7.6%
	25,300	AES Tiete SA 8.78%		357,750
	106,849	Banco Bradesco SA 0.68%		1,889,440
	46,500	Banco do Estado do Rio Grande do Sul SA Class B 0.65%		503,295

See accompanying notes to the financial statements. 15

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Brazil — continued
	27,400	Bradespar SA 4.26%		608,449
	12,200	Brasil Telecom SA 2.50%		91,582
	24,700	Braskem SA, Class A 4.41%		293,253
	48,100	Centrais Eletricas Brasileiras SA Class B 8.10%		638,755
	13,785	Cia Energetica de Minas Gerais 5.94%		255,454
	3,900	Companhia Paranaense de Energia Class B 0.89%		85,747
	20,500	Eletropaulo Metropolitana SA 12.77%		362,250
	7,000	Gerdau SA 1.75%		59,803
	122,552	Itausa-Investimentos Itau SA 0.57%		737,514
	13,500	Klabin SA 4.71%		45,116
	43,600	Metalurgica Gerdau SA 2.33%		470,263
	10,524	Petroleo Brasileiro SA (Petrobras) 0.62%		137,508
	152,590	Petroleo Brasileiro SA Sponsored ADR 0.56%		4,066,524
	57,400	Tele Norte Leste Participacoes ADR 3.83%		751,940
	123,000	Usinas Siderrurgicas de Minas Gerais SA Class A 4.83%		927,194
	10,756	Vale SA Class A 3.03%		274,660
	208,730	Vale SA Preference A Sponsored ADR 5.74%		5,391,496
		Total Brazil		17,947,993
		Chile — 0.0%
	5,093	Embotelladora Andina SA B Shares 2.00%		23,737
		Russia — 1.1%
	2,061,494	Surgutneftegaz Class S 10.51%		995,646
	1,112	Transneft 0.82%		1,523,610
		Total Russia		2,519,256
		South Korea — 1.0%
	6,993	Hyundai Motor Co 2.35%		448,127
	3,789	Samsung Electronics Co Ltd (Non Voting) 0.99%		1,948,510
		Total South Korea		2,396,637
		TOTAL PREFERRED STOCKS (COST $23,842,453)		22,887,623

16 See accompanying notes to the financial statements.

GMO Emerging Countries Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		INVESTMENT FUNDS — 1.0%
		United States — 1.0%
	53,905	Vanguard Emerging Markets ETF (b)		2,369,125
		TOTAL INVESTMENT FUNDS (COST $2,311,614)		2,369,125
		MUTUAL FUNDS — 0.3%
		United States — 0.3%
		Affiliated Issuers
	26,871	GMO U.S. Treasury Fund		672,049
		TOTAL MUTUAL FUNDS (COST $672,049)		672,049
		SHORT-TERM INVESTMENTS — 0.2%
		Time Deposits — 0.2%
HKD	864,966	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		111,103
ZAR	508	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.46%, due 09/01/11		72
USD	439,189	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		439,189
		Total Time Deposits		550,364
		TOTAL SHORT-TERM INVESTMENTS (COST $550,364)		550,364
		TOTAL INVESTMENTS — 99.1% (Cost $236,742,443)		234,107,245
		Other Assets and Liabilities (net) — 0.9%		2,229,747
		TOTAL NET ASSETS — 100.0%	$	236,336,992

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

See accompanying notes to the financial statements. 17

GMO Emerging Countries Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

ETF - Exchange-Traded Fund

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

GDR - Global Depository Receipt

MSCI - Morgan Stanley Capital International

NVDR - Non-Voting Depository Receipt

* Non-income producing security.

(a)

Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(b)

Represents an investment to obtain exposure in Emerging Markets. The Vanguard Emerging Markets ETF is a separate investment portfolio of Vanguard, Inc., a registered investment company. The Vanguard Emerging Markets ETF prospectus states that the fund invests substantially all (normally about 95%) of its assets in the common stocks included in the MSCI Emerging Market Index, while employing a form of sampling to reduce risk.

Currency Abbreviations:

HKD - Hong Kong Dollar

USD - United States Dollar

ZAR - South African Rand

18 See accompanying notes to the financial statements.

GMO Emerging Countries Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $236,070,394) (Note 2)	$	233,435,196
Investments in affiliated issuers, at value (cost $672,049) (Notes 2 and 10)		672,049
Foreign currency, at value (cost $879,012) (Note 2)		878,756
Receivable for investments sold		1,265,497
Receivable for Fund shares sold		6,491
Dividends and interest receivable		914,336
Foreign taxes receivable		322,259
Receivable for expenses reimbursed by Manager (Note 5)		40,276
Miscellaneous receivable		4,439
Total assets		237,539,299
Liabilities:
Payable for investments purchased		34,711
Payable for Fund shares repurchased		537,055
Payable to affiliate for (Note 5):
Management fee		128,562
Shareholder service fee		26,421
Administration fee – Class M		4,333
Trustees and Trust Officers or agents unaffiliated with the Manager		152
Payable for 12b-1 fee – Class M		11,671
Payable for foreign currency purchased		133
Accrued expenses		459,269
Total liabilities		1,202,307
Net assets	$	236,336,992

See accompanying notes to the financial statements. 19

GMO Emerging Countries Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited) — (Continued)

Net assets consist of:
Paid-in capital	$	247,407,604
Accumulated undistributed net investment income		3,658,600
Accumulated net realized loss		(12,098,282	)
Net unrealized depreciation		(2,630,930	)
	$	236,336,992
Net assets attributable to:
Class III shares	$	210,267,355
Class M shares	$	26,069,637
Shares outstanding:
Class III		19,172,507
Class M		2,413,836
Net asset value per share:
Class III	$	10.97
Class M	$	10.80

20 See accompanying notes to the financial statements.

GMO Emerging Countries Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends (net of withholding taxes of $843,149)	$	5,580,512
Interest		786
Dividends from affiliated issuers (Note 10)		420
Total investment income		5,581,718
Expenses:
Management fee (Note 5)		850,569
Shareholder service fee – Class III (Note 5)		174,561
12b-1 fee – Class M (Note 5)		36,208
Administration fee – Class M (Note 5)		28,965
Custodian and fund accounting agent fees		470,672
Audit and tax fees		76,452
Transfer agent fees		23,644
Registration fees		19,100
Legal fees		5,796
Trustees fees and related expenses (Note 5)		1,897
Miscellaneous		19,655
Total expenses		1,707,519
Fees and expenses reimbursed by Manager (Note 5)		(118,016	)
Expense reductions (Note 2)		(125	)
Net expenses		1,589,378
Net investment income (loss)		3,992,340
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net capital gains tax of $4,534)		14,867,744
Investments in affiliated issuers		945
Realized gains distributions from affiliated issuers (Note 10)		82
Foreign currency, forward contracts and foreign currency related transactions (net of foreign transaction tax of $52,369)		(136,603	)
Net realized gain (loss)		14,732,168
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(29,952,702	)
Foreign currency, forward contracts and foreign currency related transactions		(13,968	)
Net unrealized gain (loss)		(29,966,670	)
Net realized and unrealized gain (loss)		(15,234,502	)
Net increase (decrease) in net assets resulting from operations	$	(11,242,162	)

See accompanying notes to the financial statements. 21

GMO Emerging Countries Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,992,340		$	2,481,786
Net realized gain (loss)		14,732,168			49,410,598
Change in net unrealized appreciation (depreciation)		(29,966,670	)		4,843,251
Net increase (decrease) in net assets from operations		(11,242,162	)		56,735,635
Distributions to shareholders from:
Net investment income
Class III		—			(2,619,986	)
Class M		—			(337,720	)
Total distributions from net investment income		—			(2,957,706	)
Net share transactions (Note 9):
Class III		(11,728,840	)		10,750,817
Class M		(1,079,372	)		(10,657,117	)
Increase (decrease) in net assets resulting from net share transactions		(12,808,212	)		93,700
Total increase (decrease) in net assets		(24,050,374	)		53,871,629
Net assets:
Beginning of period		260,387,366			206,515,737
End of period (including accumulated undistributed net investment income of $3,658,600 and distributions in excess of net investment income of $333,740, respectively)	$	236,336,992		$	260,387,366

22 See accompanying notes to the financial statements.

GMO Emerging Countries Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	11.50		$	9.24		$	5.06		$	15.26		$	16.04		$	19.20
Income (loss) from investment operations:
Net investment income (loss)†		0.18			0.11			0.09			0.24			0.23			0.32
Net realized and unrealized gain (loss)		(0.71	)		2.28			4.23			(8.10	)		4.87			2.50
Total from investment operations		(0.53	)		2.39			4.32			(7.86	)		5.10			2.82
Less distributions to shareholders:
From net investment income		—			(0.13	)		(0.12	)		(0.22	)		(0.30	)		(0.36	)
From net realized gains		—			—			(0.02	)		(2.12	)		(5.58	)		(5.62	)
Total distributions		—			(0.13	)		(0.14	)		(2.34	)		(5.88	)		(5.98	)
Net asset value, end of period	$	10.97		$	11.50		$	9.24		$	5.06		$	15.26		$	16.04
Total Return		(4.61	)%**(a)		25.89	%(a)		85.52	%(a)		(58.58	)%(a)		30.68	%(a)		16.20	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	210,267		$	231,921		$	174,933		$	89,902		$	371,540		$	339,268
Net expenses to average daily net assets		1.18	%*(b)(c)		1.15	%(b)(c)		1.17	%(b)		1.16	%(d)		1.11	%(d)		1.06	%
Net investment income (loss) to average daily net assets		3.08	%*		1.05	%		1.10	%		2.25	%		1.31	%		1.74	%
Portfolio turnover rate		45	%**		124	%		138	%		128	%		72	%		58	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.09	%*		0.15	%		0.25	%		0.14	%		0.03	%		—

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 23

GMO Emerging Countries Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class M share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	11.34		$	9.12		$	5.00		$	15.07		$	15.90		$	19.05
Income (loss) from investment operations:
Net investment income (loss)†		0.16			0.08			0.07			0.16			0.18			0.30
Net realized and unrealized gain (loss)		(0.70	)		2.24			4.17			(7.92	)		4.82			2.44
Total from investment operations		(0.54	)		2.32			4.24			(7.76	)		5.00			2.74
Less distributions to shareholders:
From net investment income		—			(0.10	)		(0.10	)		(0.19	)		(0.25	)		(0.27	)
From net realized gains		—			—			(0.02	)		(2.12	)		(5.58	)		(5.62	)
Total distributions		—			(0.10	)		(0.12	)		(2.31	)		(5.83	)		(5.89	)
Net asset value, end of period	$	10.80		$	11.34		$	9.12		$	5.00		$	15.07		$	15.90
Total Return		(4.76	)%**(a)		25.48	%(a)		84.90	%(a)		(58.67	)%(a)		30.29	%(a)		15.89	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	26,070		$	28,467		$	31,582		$	20,948		$	31,386		$	29,423
Net expenses to average daily net assets		1.48	%*(b)(c)		1.45	%(b)(c)		1.47	%(c)		1.48	%(d)		1.41	%(d)		1.36	%
Net investment income (loss) to average daily net assets		2.78	%*		0.80	%		0.83	%		1.68	%		0.99	%		1.63	%
Portfolio turnover rate		45	%**		124	%		138	%		128	%		72	%		58	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.09	%*		0.15	%		0.25	%		0.23	%		0.03	%		—

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

24 See accompanying notes to the financial statements.

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Emerging Countries Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the S&P/IFCI Composite Index. The Fund typically makes equity investments directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in companies tied economically to emerging countries. “Emerging countries” include all countries that are not treated as “developed market countries” in the MSCI World Index or MSCI EAFE Index. The term “equity investments” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to emerging countries. In addition to investing in companies tied economically to emerging countries, the Fund may invest in companies that the Manager believes are likely to benefit from growth in the emerging markets.

The Manager uses proprietary quantitative techniques and fundamental analysis to evaluate and select countries, sectors and equity investments.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives and exchange-traded funds (“ETFs”). The Manager also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include options, futures, warrants, swap contracts and reverse repurchase agreements. The Fund’s foreign currency exposure may differ from the currency exposure represented by its equity investments. In addition, the Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark. In addition, the Fund may lend its portfolio securities.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the period ended August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class M. Class M shares bear an administration fee and a 12b-1 fee while Class III shares bear a

25

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

shareholder service fee (See Note 5). The principal economic difference between the classes of shares is the type and level of fees they bear.

The Fund currently limits subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 4.0% of net assets. The Fund classifies such securities (as defined below) as Level 3. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including

26

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		70.6	%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: Certain of the Fund’s securities in Thailand and India were valued at the local price as adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations.

27

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks
Brazil	$	21,953,075	$	—	$	—	$	21,953,075
Chile		351,565		—		—		351,565
China		2,751,719		30,707,443		—		33,459,162
Czech Republic		—		3,720,608		—		3,720,608
Egypt		—		3,562,242		—		3,562,242
Hungary		—		3,139,027		—		3,139,027
India		524,862		6,095,837		447,129		7,067,828
Indonesia		537,254		10,757,520		—		11,294,774
Malaysia		—		766,044		—		766,044
Mexico		2,786,059		—		—		2,786,059
Morocco		—		525,667		—		525,667
Philippines		506,831		1,558,561		—		2,065,392
Poland		—		6,243,937		—		6,243,937
Russia		2,246,686		26,094,541		—		28,341,227
South Africa		—		4,997,208		—		4,997,208
South Korea		1,766,305		35,404,836		—		37,171,141
Sri Lanka		—		337,426		—		337,426
Taiwan		223,350		23,585,698		—		23,809,048
Thailand		—		2,084,443		8,972,915		11,057,358
Turkey		15,764		4,963,532		—		4,979,296
TOTAL COMMON STOCKS		33,663,470		164,544,570		9,420,044		207,628,084
Preferred Stocks
Brazil		17,947,993		—		—		17,947,993
Chile		23,737		—		—		23,737
Russia		2,519,256		—		—		2,519,256
South Korea		—		2,396,637		—		2,396,637
TOTAL PREFERRED STOCKS		20,490,986		2,396,637		—		22,887,623

28

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Investment Funds
United States	$	2,369,125	$	—	$	—	$	2,369,125
TOTAL INVESTMENT FUNDS		2,369,125		—		—		2,369,125
Mutual Funds
United States		672,049		—		—		672,049
TOTAL MUTUAL FUNDS		672,049		—		—		672,049
Short-Term Investments		550,364		—		—		550,364
Total Investments		57,745,994		166,941,207		9,420,044		234,107,245
Total	$	57,745,994	$	166,941,207	$	9,420,044	$	234,107,245

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net value of the Fund’s direct investments in securities using Level 3 inputs was 4.0% of total net assets.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

29

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

																							Net Change in
																							Unrealized
																							Appreciation
																							(Depreciation)
																							from
	Balances												Change in								Balances		Investments
	as of							Accrued		Total			Unrealized			Transfer		Transfer			as of		Still Held as
	February 28,							Discounts/		Realized			Appreciation			into		out of			August 31,		August 31,
	2011		Purchases		(Sales)			Premiums		Gain/(Loss)			(Depreciation)			Level 3*		Level 3*			2011		2011
Common Stocks
Egypt	$	2,848,899	$	794,300	$	(429,217	)	$	—	$	(25,116	)	$	(56,735	)	$	—	$	(3,132,131	)**	$	—	$	—
India		526,696		408,802		(420,053	)		—		(37,994	)		(30,322	)		—		—			447,129		(22,038	)
Russia		2,973,126		2,000,648		(3,259,128	)		—		402,551			(436,247	)		—		(1,680,950	)**		—		—
Thailand		8,703,006		2,994,656		(3,416,295	)		—		1,077,490			(385,942	)		—		—			8,972,915		711,626
Preferred Stocks																								—
Russia		2,878,315		19,723		(94,017	)		—		13,243			(298,008	)				(2,519,256	)**		—		—
Total	$	17,930,042	$	6,218,129	$	(7,618,710	)	$	—	$	1,430,174		$	(1,207,254	)	$	—	$	(7,332,337	)	$	9,420,044	$	689,588

*	The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.
**	Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore,

30

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital loss of $313,302.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(23,106,078	)
Total	$	(23,106,078	)

31

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	239,852,150	$	16,618,800	$	(22,363,705	)	$	(5,744,905	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

32

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service, 12b-1, and administration fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of value of those investments. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other

33

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind. In addition, the Fund may buy securities that are less liquid than those in its benchmark.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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. The Fund may buy securities that have smaller market capitalizations than those in its benchmark.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

34

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Focused Investment Risk — Focusing investments in a limited number of countries and geographic regions creates additional risk.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The Fund also may use currency derivatives in an attempt to reduce some aspect of

35

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives

36

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to

37

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may purchase 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. By purchasing options the Fund alters its exposure to the

38

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some

39

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

40

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

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

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011 the Fund held right and/or warrants received as a result of corporate actions. The Fund held no rights or warrants at the end of the period.

41

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	—	$	—	$	7,849	$	—	$	7,849
Total	$	—	$	—	$	—	$	7,849	$	—	$	7,849

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The volume of derivative activity, based on absolute values (rights and/or warrants) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Rights and/or
	Warrants
Average amount outstanding	$	5,862

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.65% of average daily net assets. The Fund has adopted a Shareholder Service Plan underwhich the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

Holders of Class M shares of the Fund pay GMO an administration fee for support services provided to Class M shareholders. That fee is paid monthly at the annual rate of 0.20% of the average daily net assets of Class M shares. Pursuant to a Rule 12b-1 distribution and service plan adopted by the Fund, holders of Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily net assets of Class M shares, for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or for the provision of services to Class M shareholders. The Trustees currently limit payments on Class M shares to 0.25% of the Fund’s average daily net assets of Class M shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 1.00% of the Fund’s average daily net assets (the “Expense Reimbursement

42

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means administration fees and distribution (12b-1) fees (Class M Shares only), shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $1,897 and $887, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder of the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $116,024,337 and $123,604,136, respectively.

43

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 45.25% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.16% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and 3.00% of the Fund’s shares were held by accounts for which the Manager had investment discretion

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,539,072		$	17,051,384			3,527,850		$	35,095,642
Shares issued to shareholders in reinvestment of distributions		—			—			168,351			1,906,554
Shares repurchased		(2,531,414	)		(28,780,224	)		(2,462,544	)		(26,251,379	)
Net increase (decrease)		(992,342	)	$	(11,728,840	)		1,233,657		$	10,750,817

44

GMO Emerging Countries Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class M:	Shares			Amount			Shares			Amount
Shares sold		70,677		$	828,582			218,838		$	2,332,605
Shares issued to shareholders in reinvestment of distributions		—			—			30,131			337,720
Shares repurchased		(166,454	)		(1,907,954	)		(1,202,896	)		(13,327,442	)
Net increase (decrease)		(95,777	)	$	(1,079,372	)		(953,927	)	$	(10,657,117	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	14	$	11,728,668	$	11,057,578	$	420	$	82	$	672,049
Totals	$	14	$	11,728,668	$	11,057,578	$	420	$	82	$	672,049

45

GMO Emerging Countries Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

46

GMO Emerging Countries Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

47

GMO Emerging Countries Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

48

GMO Emerging Countries Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, distribution (12b-1) and/or administration fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

49

GMO Emerging Countries Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		1.18	%	$	1,000.00	$	953.90	$	5.80
2) Hypothetical		1.18	%	$	1,000.00	$	1,019.20	$	5.99
Class M
1) Actual		1.48	%	$	1,000.00	$	952.40	$	7.26
2) Hypothetical		1.48	%	$	1,000.00	$	1,017.70	$	7.51

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

50

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		102.7	%
Loan Participations		6.6
Loan Assignments		1.9
Short-Term Investments		1.7
Rights/ Warrants		0.7
Promissory Notes		0.1
Futures Contracts		0.0	Ù
Options Purchased		0.0	Ù
Written Options		0.0	Ù
Forward Currency Contracts		(0.2	)
Swap Agreements		(0.8	)
Reverse Repurchase Agreements		(14.4	)
Other		1.7
		100.0	%

Country/Region Summary**	% of Investments
Mexico		9.7	%
Argentina		9.3
Philippines		8.7
Turkey		8.1
Venezuela		6.0
Brazil		5.4
Indonesia		4.7
Russia		4.7
Colombia		4.3
Congo		3.0
United States		3.0
Uruguay		2.6
Dominican Republic		2.3
Iraq		2.2
Peru		2.2
Ukraine		2.2
Ivory Coast		2.0
United Kingdom		1.7
Pakistan		1.5
El Salvador		1.3
South Africa		1.3
Vietnam		1.3
Italy		1.0

1

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Country/Region Summary**	% of Investments
South Korea		1.0	%
Austria		0.9
Trinidad		0.9
Lithuania		0.8
Croatia		0.7
Serbia		0.7
Sri Lanka		0.7
Angola		0.5
Bahamas		0.5
Belize		0.5
Greece		0.5
Qatar		0.5
Bosnia		0.4
Gabon		0.4
Nigeria		0.3
Senegal		0.3
Tunisia		0.3
Chile		0.2
Egypt		0.2
Grenada		0.2
Iceland		0.2
Israel		0.2
Jamaica		0.2
Latvia		0.2
Thailand		0.2
Ecuador		0.1
Kazakhstan		0.1
Malaysia		0.1
Ghana		0.0	Ù
Albania		0.0	Ù
Panama		(0.1	)
Lebanon		(0.1	)
Hungary		(0.1	)
		100.0	%

2

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

*	The table above incorporates aggregate indirect asset class exposure associated with investments in the funds of GMO Trust (“underlying funds”).
**	The table above 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 exposures, taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments, if any. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (directly or indirectly). Duration is based on the Manager’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.
Ù	Rounds to 0.0%.

3

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 99.4%
		Albania — 0.3%
		Foreign Government Obligations
USD	9,639,573	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a)		4,626,995
		Argentina — 14.1%
		Foreign Government Obligations — 12.6%
USD	9,000,000	Province of Buenos Aires, Reg S, Step Up, 4.00%, due 05/15/35		3,645,000
EUR	14,500,000	Republic of Argentina, Step Up, 2.26%, due 12/31/38		6,352,925
DEM	3,830,000	Republic of Argentina Discount Bond, Series DM, 6 mo. DEM LIBOR + .81%, 1.00%, due 03/31/23 (b)		1,687,815
USD	2,431,234	Republic of Argentina Discount Bond, 8.28%, due 12/31/33		1,434,428
EUR	35,354,179	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		33,645,931
EUR	351,220,524	Republic of Argentina GDP Linked, due 12/15/35 (c)		70,634,004
ARS	28,000,000	Republic of Argentina GDP Linked, due 12/15/35 (c) (d)		893,827
USD	24,331,990	Republic of Argentina GDP Linked, due 12/15/35 (c)		4,136,438
ARS	28,000,000	Republic of Argentina Global Par Bond, Step Up, due 12/31/38 (d)		2,870,486
USD	7,500,000	Republic of Argentina Par Bond, Step Up, 2.50%, due 12/31/38		2,992,500
EUR	185,500,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		86,203,343
				214,496,697
		Judgments — 1.5%
USD	32,000,000	Republic of Argentina Discount Bond, Series L-GL, 6 mo. LIBOR + .81%, 6.17%, due 03/31/23 (b) (d) (e)		16,320,000
USD	15,000,000	Republic of Argentina Global Par Bond, Series L-GP, Step Up, due 03/31/23 (b) (d) (e)		8,670,000
				24,990,000
		Total Argentina		239,486,697
		Bahamas — 0.2%
		Foreign Government Obligations
USD	2,500,000	Commonwealth of Bahamas, Reg S, 6.95%, due 11/20/29		2,737,500

4 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, 2011 (Unaudited)

Par Value		Description	Value ($)
		Barbados — 0.3%
		Foreign Government Obligations
USD	4,800,000	Government of Barbados, Reg S, 7.00%, due 08/04/22		4,992,000
		Belize — 0.5%
		Foreign Government Obligations
USD	12,925,000	Government of Belize, Reg S, Step Up, 6.00%, due 02/20/29 (f)		8,013,500
		Bosnia & Herzegovina — 0.6%
		Foreign Government Obligations
DEM	18,428,120	Bosnia & Herzegovina, Series A, Reg S, 6 mo. DEM LIBOR + .81%, 2.51%, due 12/11/17		10,895,614
		Brazil — 5.0%
		Corporate Debt — 0.6%
USD	9,000,000	Petrobras International Finance Co., 6.88%, due 01/20/40		9,968,420
		Foreign Government Agency — 0.6%
USD	9,000,000	Banco Nacional de Desenvolvimento Economico e Social, Reg S, 5.50%, due 07/12/20		9,562,500
		Foreign Government Obligations — 3.8%
USD	4,208,570	Brazilian Government International Exit Bonds, 6.00%, due 09/15/13		4,292,742
USD	164,779	Brazilian Government International Exit Bonds, Odd Lot, 6.00%, due 09/15/13		160,659
USD	42,000,000	Republic of Brazil, 8.25%, due 01/20/34 (f)		61,005,000
				65,458,401
		Total Brazil		84,989,321
		Chile — 0.1%
		Foreign Government Agency
USD	1,700,000	Empresa Nacional del Petroleo, Reg. S, 5.25%, due 08/10/20		1,776,500
		Colombia — 1.5%
		Foreign Government Agency — 0.6%
USD	8,000,000	Ecopetrol SA, 7.63%, due 07/23/19		9,740,000

See accompanying notes to the financial statements. 5

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		Foreign Government Obligations — 0.9%
USD	8,000,000	Republic of Colombia, 8.70%, due 02/15/16		9,440,000
USD	3,800,000	Republic of Colombia, 11.85%, due 03/09/28		6,322,060
				15,762,060
		Total Colombia		25,502,060
		Congo Republic (Brazzaville) — 4.5%
		Foreign Government Obligations
USD	108,440,600	Republic of Congo, Reg S, Series INTL, Step Up, 3.00%, due 06/30/29		76,992,826
		Croatia — 0.5%
		Foreign Government Obligations
USD	8,000,000	Croatia Government International Bond, 144A, 6.38%, due 03/24/21 (f)		7,880,000
		Dominican Republic — 4.0%
		Asset-Backed Securities — 1.4%
USD	27,052,008	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 01/15/26		24,346,808
		Foreign Government Obligations — 2.6%
USD	8,000,000	Dominican Republic, Reg S, 8.63%, due 04/20/27		8,720,000
USD	42,557,000	Dominican Republic Discount Bond, 6 mo. LIBOR + .81%, 1.22%, due 08/30/24		35,747,880
				44,467,880
		Total Dominican Republic		68,814,688
		Ecuador — 0.2%
		Foreign Government Obligations — 0.2%
USD	11,587,000	Republic of Ecuador, Step Up, Reg S, 10.00%, due 08/15/30 (b)		2,896,750
USD	1,375,909	Republic of Ecuador PDI (Global Bearer Capitalization Bond), PIK, 6 mo. LIBOR + .81%, 1.31%, due 02/27/15		343,977
		Total Ecuador		3,240,727
		Egypt — 0.2%
		Foreign Government Agency
USD	3,000,000	African Export-Import Bank, 8.75%, due 11/13/14		3,315,000

6 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, 2011 (Unaudited)

Par Value		Description	Value ($)
		El Salvador — 1.2%
		Foreign Government Obligations
USD	19,000,000	El Salvador Government International Bond, Reg S, 7.63%, due 02/01/41		19,855,000
		Gabon — 0.5%
		Foreign Government Obligations
USD	7,000,000	Gabonese Republic, Reg S, 8.20%, due 12/12/17		8,155,000
		Grenada — 0.2%
		Foreign Government Obligations
USD	6,350,000	Republic of Grenada, Reg S, Step Up, 2.50%, due 09/15/25		3,937,000
		Iceland — 0.3%
		Foreign Government Obligations
USD	6,000,000	Iceland Government International Bond, 144A, 4.88%, due 06/16/16		5,955,000
		Indonesia — 2.9%
		Foreign Government Agency
USD	10,600,000	Majapahit Holding BV, Reg. S, 7.75%, due 01/20/20		12,720,000
USD	31,000,000	Majapahit Holding BV, Reg S, 7.88%, due 06/29/37		37,355,000
		Total Indonesia		50,075,000
		Iraq — 0.8%
		Foreign Government Obligations
USD	15,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28 (f)		13,350,000
		Israel — 0.2%
		Foreign Government Agency
USD	3,000,000	Israel Electric Corp Ltd, Reg. S, 7.88%, due 12/15/26		3,311,250
		Ivory Coast — 2.1%
		Foreign Government Obligations
USD	65,439,000	Ivory Coast Government International Bond, Reg S, Step Up, 2.50%, due 12/31/32 (b)		35,173,462

See accompanying notes to the financial statements. 7

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		Latvia — 0.2%
		Foreign Government Obligations
USD	4,000,000	Republic of Latvia, 144A, 5.25%, due 06/16/21		3,965,000
		Lithuania — 0.7%
		Foreign Government Obligations
USD	4,000,000	Republic of Lithuania, Reg S, 7.38%, due 02/11/20		4,640,000
USD	6,000,000	Republic of Lithuania, 144A, 6.13%, due 03/09/21		6,420,000
USD	1,000,000	Republic of Lithuania, Reg S, 5.13%, due 09/14/17		1,034,420
		Total Lithuania		12,094,420
		Malaysia — 0.9%
		Asset-Backed Securities
MYR	50,000,000	Transshipment Megahub Berhad, Series F, 6.70%, due 11/02/12		15,253,101
		Mexico — 9.3%
		Foreign Government Agency — 3.0%
EUR	37,500,000	Pemex Project Funding Master Trust, Reg S, 5.50%, due 02/24/25		51,714,033
		Foreign Government Obligations — 6.3%
GBP	29,994,000	United Mexican States, GMTN, 6.75%, due 02/06/24		52,949,577
USD	55,000,000	United Mexican States, 5.75%, due 10/12/49		54,175,000
				107,124,577
		Total Mexico		158,838,610
		Nigeria — 0.4%
		Foreign Government Obligations
USD	6,100,000	Nigeria Government International Bond, Reg S, 6.75%, due 01/28/21		6,450,750
		Pakistan — 0.8%
		Foreign Government Obligations
USD	20,000,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		14,000,000

8 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, 2011 (Unaudited)

Par Value		Description	Value ($)
		Peru — 2.2%
		Foreign Government Obligations
USD	12,452,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25		6,475,040
USD	25,000,000	Peru Par Bond, Series 30 Yr., Step Up, 3.00%, due 03/07/27		21,750,000
USD	3,784,333	Peru Trust, Series 97-I-P, Class A3, Zero Coupon, due 12/31/15 (d) (g)		567,650
USD	1,253,404	Peru Trust, Series 1998 I-P, Zero Coupon, due 03/10/16 (d) (g)		188,010
USD	1,356,611	Peru Trust II, Series 98-A LB, Zero Coupon, due 02/28/16 (d) (g)		203,492
USD	8,000,000	Republic of Peru, Series 30 Yr., 5.63%, due 11/18/50		8,438,080
		Total Peru		37,622,272
		Philippines — 9.0%
		Foreign Government Agency — 8.3%
USD	35,651,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		45,455,025
USD	55,450,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		76,521,000
USD	8,500,000	National Power Corp., Global Bond, 8.40%, due 12/15/16		10,497,500
USD	6,296,000	Power Sector Assets & Liabilities Management Corp, Reg. S, 7.39%, due 12/02/24		7,712,600
				140,186,125
		Foreign Government Obligations — 0.7%
USD	3,000,000	Republic of Philippines, 6.50%, due 01/20/20		3,585,000
USD	8,000,000	Republic of Philippines, 5.50%, due 03/30/26		8,740,000
				12,325,000
		Total Philippines		152,511,125
		Qatar — 0.5%
		Foreign Government Agency
USD	4,000,000	Qatari Diar Finance QSC, Reg. S, 5.00%, due 07/21/20		4,350,000
USD	3,500,000	Qtel International Finance Ltd, Reg S, 5.00%, due 10/19/25		3,438,750
		Total Qatar		7,788,750
		Russia — 5.9%
		Corporate Debt — 5.0%
USD	36,200,000	Gaz Capital SA, Reg S, 9.25%, due 04/23/19 (f)		46,019,250
USD	3,000,000	Sberbank of Russia Via SB Capital SA, Reg. S, 5.72%, due 06/16/21		2,981,250
USD	14,900,000	Transcapital Ltd. (Transneft), Reg S, 8.70%, due 08/07/18		18,252,500

See accompanying notes to the financial statements. 9

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		Corporate Debt — continued
USD	9,000,000	VTB Capital SA, Reg S, 6.25%, due 06/30/35		9,292,500
USD	7,600,000	VTB Capital SA, 144A, 6.55%, due 10/13/20		7,657,000
				84,202,500
		Foreign Government Agency — 0.9%
USD	15,000,000	RSHB Capital SA, Reg S, 6.30%, due 05/15/17		15,805,500
		Total Russia		100,008,000
		Saint Lucia — 0.5%
		Corporate Debt
USD	8,000,000	First Citizens St Lucia Ltd, Reg S, 4.90%, due 02/09/16		8,200,000
		Senegal — 0.4%
		Foreign Government Obligations
USD	5,900,000	Republic of Senegal, 144A, 8.75%, due 05/13/21		6,195,000
		Serbia — 0.8%
		Foreign Government Obligations
USD	13,469,425	Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24		13,469,425
		South Africa — 0.9%
		Foreign Government Agency — 0.4%
ZAR	163,000,000	Eskom Holdings Ltd., Zero Coupon, due 12/31/32		2,482,233
ZAR	20,000,000	Transnet Ltd., 13.50%, due 04/18/28		3,674,498
				6,156,731
		Foreign Government Obligations — 0.5%
USD	7,500,000	South Africa Government International Bond, 6.25%, due 03/08/41		8,775,000
		Total South Africa		14,931,731

10 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, 2011 (Unaudited)

Par Value		Description	Value ($)
		South Korea — 1.2%
		Foreign Government Agency
USD	8,000,000	Export-Import Bank of Korea, 5.13%, due 06/29/20		8,520,000
USD	4,000,000	Korea Gas Corp., Reg S, 6.00%, due 07/15/14		4,367,200
USD	8,000,000	Korea Hydro & Nuclear Power Co Ltd, 144A, 4.75%, due 07/13/21		8,192,000
		Total South Korea		21,079,200
		Sri Lanka — 0.7%
		Foreign Government Obligations
USD	1,500,000	Republic of Sri Lanka, Reg S, 8.25%, due 10/24/12		1,584,300
USD	1,000,000	Republic of Sri Lanka, Reg S, 7.40%, due 01/22/15		1,093,700
USD	6,500,000	Republic of Sri Lanka, Reg S, 6.25%, due 10/04/20		6,646,250
USD	2,000,000	Sri Lanka Government International Bond, 144A, 6.25%, due 07/27/21		2,035,000
		Total Sri Lanka		11,359,250
		Thailand — 0.2%
		Foreign Government Agency
USD	4,000,000	PTTEP Canada International Finance Ltd, 144A, 5.69%, due 04/05/21		4,290,000
		Trinidad And Tobago — 0.9%
		Foreign Government Agency
USD	11,500,000	Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19		13,598,750
USD	1,375,000	Petroleum Company of Trinidad and Tobago Ltd., Reg. S, 6.00%, due 05/08/22		1,357,812
		Total Trinidad And Tobago		14,956,562
		Tunisia — 0.3%
		Foreign Government Agency
JPY	360,000,000	Banque Centrale De Tunisie, Series 6BR, 4.35%, due 08/15/17		5,018,937
		Turkey — 4.4%
		Foreign Government Obligations
USD	41,000,000	Republic of Turkey, 6.75%, due 05/30/40 (f)		45,356,250
USD	30,000,000	Republic of Turkey, 6.00%, due 01/14/41 (f)		29,925,000
		Total Turkey		75,281,250

See accompanying notes to the financial statements. 11

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		Ukraine — 0.7%
		Foreign Government Obligations
USD	4,000,000	City of Kyiv Via Kyiv Finance Plc, 144A, 9.38%, due 07/11/16		3,780,000
USD	8,000,000	Ukraine Government International Bond, 144A, 7.95%, due 02/23/21		8,280,000
				12,060,000
		United States — 6.5%
		Asset-Backed Securities — 2.9%
USD	3,431,936	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.69%, due 05/15/24		1,870,405
USD	155,281	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.56%, due 10/25/34		103,262
USD	1,267,622	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.66%, due 10/25/30		925,364
USD	17,695,251	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, 1 mo. LIBOR + .24%, 0.45%, due 12/15/35		8,493,721
USD	13,087,494	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, 1 mo. LIBOR + .24%, 0.45%, due 12/15/35		6,151,122
USD	7,944,415	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XL, 1 mo. LIBOR + .20%, 0.41%, due 05/15/36		3,006,961
USD	3,910,050	First Franklin Mortgage Loan Asset Backed Certificates, Series 05-FF10, Class A6M, 1 mo. LIBOR + .35%, 0.57%, due 11/25/35		901,267
USD	1,583,856	GSAMP Trust, Series 05-HE6, Class A2B, 1 mo. LIBOR + .19%, 0.41%, due 11/25/35		1,472,194
USD	9,250,000	Home Equity Asset Trust, Series 07-1, Class 2A4, 1 mo. LIBOR + .23%, 0.45%, due 05/25/37		115,625
USD	8,719,965	IXIS Real Estate Capital Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .16%, 0.38%, due 08/25/36		2,136,391
USD	13,000,000	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.38%, due 10/25/36 u		4,290,000
USD	6,710,829	Morgan Stanley ABS Capital I, Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.39%, due 03/25/36		4,160,714
USD	14,678,354	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 11/25/36 u		4,366,810
USD	14,874,065	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, 1 mo. LIBOR + .22%, 0.44%, due 11/25/36		4,015,999

12 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, 2011 (Unaudited)

Par Value		Description	Value ($)
		Asset-Backed Securities — continued
USD	12,868,000	Option One Mortgage Loan Trust, Series 06-3, Class 2A4, 1 mo. LIBOR + .22%, 0.44%, due 02/25/37		4,246,440
USD	8,000,000	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, 1 mo. LIBOR + .36%, 0.58%, due 04/25/37		2,680,000
				48,936,275
		U.S. Government — 3.6%
USD	60,164,154	U.S. Treasury Inflation Indexed Note, 2.00%, due 04/15/12 (c) (f) (h)		61,052,538
		Total United States		109,988,813
		Uruguay — 2.3%
		Foreign Government Obligations
USD	29,851,571	Republic of Uruguay, 7.63%, due 03/21/36		39,404,074
		Venezuela — 8.4%
		Corporate Debt — 0.7%
USD	20,000,000	Electricidad de Caracas Finance BV, 8.50%, due 04/10/18		11,950,000
		Foreign Government Agency — 1.2%
USD	29,000,000	Petroleos de Venezuela SA, Reg S, 8.50%, due 11/02/17		20,735,000
		Foreign Government Obligations — 6.5%
USD	23,100,000	Republic of Venezuela, Reg S, 8.25%, due 10/13/24		14,899,500
USD	30,500,000	Republic of Venezuela, Reg S, 7.75%, due 10/13/19 (f)		20,892,500
USD	35,000,000	Republic of Venezuela, Reg S, 9.00%, due 05/07/23		23,887,500
USD	57,500,000	Republic of Venezuela, Reg S, 12.75%, due 08/23/22		50,168,750
				109,848,250
		Total Venezuela		142,533,250

See accompanying notes to the financial statements. 13

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		Vietnam — 1.1%
		Foreign Government Obligations
USD	4,000,000	Socialist Republic of Vietnam, Series 30 Yr., 6 mo. LIBOR + .81%, 1.31%, due 03/13/28		3,200,000
USD	19,750,000	Socialist Republic of Vietnam, Series 30 Yr., Step Up, 4.00%, due 03/12/28		15,602,500
		Total Vietnam		18,802,500
		TOTAL DEBT OBLIGATIONS (COST $1,638,662,483)		1,689,177,160
		LOAN ASSIGNMENTS — 1.9%
		Angola — 0.2%
USD	2,300,000	Angolan Ministry of Finance Loan Agreement, 6 mo. LIBOR + 5.50%, 5.94%, due 03/07/13		2,127,500
USD	2,300,000	Angolan Ministry of Finance Loan Agreement, 6 mo. LIBOR + 5.50%, 5.94%, due 07/08/13		2,104,500
		Total Angola		4,232,000
		Dominican Republic — 0.2%
USD	3,200,135	Dominican Republic, 6 mo. LIBOR + 1.75%, 2.20%, due 08/15/15		2,601,070
		Indonesia — 1.0%
EUR	1,842,505	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21 (i)		1,985,070
USD	3,213,600	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		2,892,240
USD	3,213,600	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		2,892,240
USD	4,284,800	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		3,856,320
USD	717,901	Republic of Indonesia Loan Agreement, dated September 29, 1994, 7.24%, due 12/01/19		660,469
USD	2,335,068	Republic of Indonesia Loan Agreement, dated September 29, 1994, 6 mo. LIBOR + .88%, 1.19%, due 12/01/19		2,148,262
JPY	64,800,000	Republic of Indonesia Loan Agreement, 6 mo. JPY LIBOR + .88%, 1.19%, due 03/28/13		797,623

14 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, 2011 (Unaudited)

Par Value		Description	Value ($)
		Indonesia — continued
USD	1,319,999	Republic of Indonesia Loan Agreement, 6 mo. LIBOR +.88%, 1.19%, due 03/28/13		1,244,099
		Total Indonesia		16,476,323
		Vietnam — 0.5%
USD	18,000,000	Vietnam Shipbuilding Industry Group Loan Agreement, 6 mo. LIBOR + 1.50%, 1.90%, due 06/26/15 (b)		8,820,000
		TOTAL LOAN ASSIGNMENTS (COST $37,328,074)		32,129,393
		LOAN PARTICIPATIONS — 6.6%
		Egypt — 0.2%
CHF	3,708,432	Paris Club Loan Agreement (Participation with Standard Chartered Bank), due 01/03/24		3,813,290
		Indonesia — 1.8%
USD	395,520	Republic of Indonesia Loan Agreement (Participation with Citibank), 6 mo. LIBOR +.88%, 1.19%, due 12/14/19		355,968
USD	527,360	Republic of Indonesia Loan Agreement (Participation with Citibank), 6 mo. LIBOR +.88%, 1.19%, due 12/14/19		474,624
USD	395,520	Republic of Indonesia Loan Agreement (Participation with Citibank), 6 mo. LIBOR +.88%, 1.19%, due 12/14/19		355,968
JPY	383,098,604	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR +.88%, 1.19%, due 03/28/13		4,715,560
USD	10,524,000	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 3 mo. LIBOR + 1.25%, 1.53%, due 02/12/13		9,918,871
USD	8,800,187	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR +.88%, 1.19%, due 09/29/19		8,096,172
USD	6,477,988	Republic of Indonesia Loan Agreement (Participation with Morgan Stanley), 6 mo. LIBOR + .88%, 1.19%, due 12/14/19		5,830,189
		Total Indonesia		29,747,352

See accompanying notes to the financial statements. 15

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		Iraq — 2.7%
JPY	4,781,786,145	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), due 01/01/28		40,731,851
JPY	624,805,614	Republic of Iraq Paris Club Loan, T Chatani (Participation with Deutsche Bank), due 01/01/28		5,227,925
		Total Iraq		45,959,776
		Russia — 0.5%
EUR	57,042,402	Russian Foreign Trade Obligations (Participation with GML International Ltd) (b) (d)		9,134,404
		Vietnam — 1.4%
JPY	2,102,657,376	Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 0.95%, due 09/01/17		23,753,410
		TOTAL LOAN PARTICIPATIONS (COST $93,462,112)		112,408,232
		PROMISSORY NOTES — 0.1%
		Dominican Republic — 0.1%
USD	817,249	Dominican Republic Promissory Notes, 0.00%, due 09/15/11		813,163
		Ghana — 0.0%
USD	3,312,500	Republic of Ghana Promissory Notes, 0.00% (b) (d) (j)		331,250
		TOTAL PROMISSORY NOTES (COST $4,126,756)		1,144,413
		OPTIONS PURCHASED — 0.0%
		Options on Interest Rate Swaps — 0.0%
ILS	200,000,000	ILS Swaption Put, Expires 02/16/12, Strike 4.38%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 200,000,000 ILS in which it will receive 3 month ILS TELBOR and will pay 4.38%, maturing on February 20, 2013, (OTC) (CP — JPMorgan Chase Bank, N.A.)		5,164

16 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, 2011 (Unaudited)

Principal Amount /
Shares		Description	Value ($)
		Options on Interest Rate Swaps — continued
ILS	300,000,000	ILS Swaption Put, Expires 03/01/12, Strike 4.44%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 300,000,000 ILS in which it will receive 3month ILS TELBOR and will pay 4.44%, maturing on March 5, 2013, (OTC) (CP — JPMorgan Chase Bank, N.A.)		8,925
ZAR	800,000,000	ZAR Swaption Put, Expires 02/14/12, Strike 7.24%, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 800,000,000 ZAR in which it will receive 3 month ZAR JIBAR and will pay 7.24%, maturing on February 14, 2013, (OTC) (CP — JPMorgan Chase Bank, N.A.)		4,004
		Total Options on Interest Rate Swaps		18,093
		TOTAL OPTIONS PURCHASED (COST $1,188,216)		18,093
		MUTUAL FUNDS — 3.7%
		United States — 3.7%
		Affiliated Issuers
	3,976,082	GMO Short-Duration Collateral Fund		28,588,029
	21,409	GMO Special Purpose Holding Fund (k)		9,206
	1	GMO U.S. Treasury Fund		31
	1,515,449	GMO World Opportunity Overlay Fund		34,718,929
		Total United States		63,316,195
		TOTAL MUTUAL FUNDS (COST $66,524,792)		63,316,195
		RIGHTS/WARRANTS — 0.6%
		Nigeria — 0.3%
	25,000	Central Bank of Nigeria Oil Warrants, Expires 11/15/20 *		4,500,000
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 * (d)		—

See accompanying notes to the financial statements. 17

GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Venezuela — 0.3%
	205,145	Republic of Venezuela Oil Warrants, Expires 04/15/20 *		5,692,774
	6,660	Republic of Venezuela Oil Warrants, Expires 04/15/20 *		184,815
		Total Venezuela		5,877,589
		TOTAL RIGHTS/WARRANTS (COST $0)		10,377,589
		SHORT-TERM INVESTMENTS — 1.1%
		Money Market Funds — 1.1%
	18,360,089	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (1)		18,360,089
		TOTAL SHORT-TERM INVESTMENTS (COST $18,360,089)		18,360,089
		TOTAL INVESTMENTS — 113.4% (Cost $1,859,652,522)		1,926,931,164
		Other Assets and Liabilities (net) — (13.4%)		(227,476,159	)
		TOTAL NET ASSETS — 100.0%	$	1,699,455,005

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Sales #
9/13/11		Deutsche Bank AG	EUR		283,500,000	$	407,191,661	$	(1,644,911	)
10/11/11		Deutsche Bank AG	GBP		30,000,000		48,677,885		222,115
9/20/11		Deutsche Bank AG	JPY		4,600,000,000		60,084,040		(1,870,193	)
						$	515,953,586	$	(3,292,989	)

# Fund sells foreign currency; buys USD.

18 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Reverse Repurchase Agreements

Face Value		Description	Market Value
USD	16,856,250	Barclays Bank PLC, 0.12%, dated 08/18/11, to be repurchased on demand at face value plus accrued interest with a stated maturity date of 09/16/2011.	$	(16,857,037	)
USD	28,062,500	Barclays Bank PLC, 0.17%, dated 08/12/11, to be repurchased on demand at face value plus accrued interest with a stated maturity date of 09/12/2011.		(28,065,150	)
USD	8,271,417	Barclays Bank PLC, 0.55%, dated 07/22/11, to be repurchased on demand at face value plus accrued interest. (m)		(8,276,219	)
USD	28,400,000	Barclays Bank PLC, 0.60%, dated 02/04/11, to be repurchased on demand at face value plus accrued interest. (m)		(28,497,508	)
USD	31,225,868	Barclays Bank PLC, 0.70%, dated 02/14/11, to be repurchased on demand at face value plus accrued interest. (m)		(31,345,480	)
USD	1,894,500	JPMorgan Chase Bank, N.A., 0.20%, dated 07/12/11, to be repurchased on demand at face value plus accrued interest. (m)		(1,895,016	)
USD	14,193,583	JPMorgan Chase Bank, N.A., 0.25%, dated 06/15/11, to be repurchased on demand at face value plus accrued interest. (m)		(14,201,074	)
USD	19,965,000	JPMorgan Chase Bank, N.A., 0.70%, dated 03/04/11, to be repurchased on demand at face value plus accrued interest. (m)		(20,033,713	)
USD	15,082,222	JPMorgan Chase Bank, N.A., 0.70%, dated 08/03/11, to be repurchased on demand at face value plus accrued interest. (m)		(15,090,140	)
USD	36,015,188	JPMorgan Chase Bank, N.A., 0.75%, dated 02/04/11, to be repurchased on demand at face value plus accrued interest. (m)		(36,169,753	)
USD	30,958,125	JPMorgan Chase Bank, N.A., 0.75%, dated 02//15/11, to be repurchased on demand at face value plus accrued interest. (m)		(31,084,537	)

See accompanying notes to the financial statements. 19

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Reverse Repurchase Agreements — continued

Face Value		Description	Market Value
USD	10,851,250	JPMorgan Chase Bank, N.A., 0.75%, dated 07/12/11, to be repurchased on demand at face value plus accrued interest. (m)	$	(10,862,327	)
			$	(242,377,954	)
Average balance outstanding			$	(299,962,685	)
Average interest rate				0.48	%
Maximum balance outstanding			$	(351,205,903	)

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

Swap Agreements

Credit Default Swaps

Maximum

Potential

Amount of

Future

Payments

Implied

by the Fund

Net Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

Under the

Appreciation/

Amount

Date

Counterparty

(Pay)Ù

Premium

Spread (1)

Entity

Contract (2)

(Depreciation)

45,000,000

USD

10/20/2011

Goldman Sachs International

(Pay)

12.35%

2.00%

Republic of Argentina

N/A

$

(2,697,612

)

7,000,000

USD

10/20/2011

JP Morgan Chase Bank, N.A.

(Pay)

2.75%

2.00%

Republic of Argentina

N/A

(78,348

)

5,000,000

USD

10/25/2011

Deutsche Bank AG

Receive

4.70%

4.85%

Government of Ukraine

5,000,000

USD

81,691

8,000,000

USD

11/20/2011

JP Morgan Chase Bank, N.A.

(Pay)

2.16%

2.00%

Republic of Argentina

N/A

(52,204

)

1,847,320

USD

12/20/2011

Deutsche Bank AG

Receive

1.60%

2.24%

Stemcor UK Ltd.

1,847,320

USD

6,629

8,500,000

EUR

1/20/2012

Deutsche Bank AG

(Pay)

0.42%

0.98%

Republic of Kazakhstan

N/A

20,983

20 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Credit Default Swaps — continued

									Maximum
									Potential
									Amount of
									Future
									Payments
							Implied		by the Fund			Net Unrealized
Notional			Expiration		Receive	Annual	Credit	Reference	Under the			Appreciation/
Amount			Date	Counterparty	(Pay)Ù	Premium	Spread (1)	Entity	Contract (2)			(Depreciation)
	4,100,000,000	KZT	1/20/2012	Deutsche Bank AG	Receive	0.32%	0.74%	Republic of Kazakhstan		4,100,000,000	KZT	$	(35,970	)
	3,000,000	USD	2/25/2012	Deutsche Bank AG	Receive	3.68%	27.1%	Deutsche Bank Loan to Ukrtelekom		3,000,000	USD		(316,541	)
	5,000,000	USD	7/30/2012	JP Morgan Chase Bank, N.A.	Receive	3.05%	0.44%	Republic of Chile		5,000,000	USD		134,116
	5,000,000	USD	8/20/2012	JP Morgan Chase Bank, N.A.	Receive	3.50%	5.09%	Republic of Jamaica		5,000,000	USD		(71,359	)
	3,000,000	USD	8/28/2012	Deutsche Bank AG	Receive	3.75%	29.89%	Deutsche Bank Loan to Ukrtelekom		3,000,000	USD		(654,733	)
	15,000,000	USD	9/20/2012	JP Morgan Chase Bank, N.A.	(Pay)	1.15%	0.63%	Republic of Peru		N/A			(161,524	)
	2,000,000	USD	9/20/2012	Goldman Sachs International	(Pay)	9.20%	3.65%	Republic of Argentina		N/A			(199,620	)
	10,000,000	USD	9/20/2012	JP Morgan Chase Bank, N.A.	(Pay)	1.25%	1.47%	Gazprom OAO		N/A			(33,056	)
	85,000,000	PEN	9/20/2012	JP Morgan Chase Bank, N.A.	Receive	0.92%	0.46%	Republic of Peru		85,000,000	PEN		280,218
	10,000,000	USD	10/4/2012	JP Morgan Chase Bank, N.A.	Receive	2.95%	0.47%	Republic of Chile		10,000,000	USD		395,961
	4,000,000	USD	10/20/2012	UBS AG	(Pay)	4.13%	8.81%	Petroleos de Venezuela		N/A			150,608
	4,000,000	USD	10/20/2012	UBS AG	(Pay)	3.90%	8.81%	Petroleos de Venezuela		N/A			137,460
	42,000,000	USD	12/20/2012	Morgan Stanley Capital Services Inc.	(Pay)	1.20%	0.17%	Reference security within CDX Index		N/A			(668,429	)
	125,384,851	USD	12/20/2012	Morgan Stanley Capital Services Inc.	Receive	0.71%	0.02%	Reference security within CDX Index		125,384,851	USD		1,326,172
	22,000,000	USD	6/20/2013	Deutsche Bank AG	(Pay)	5.79%	5.19%	Republic of Argentina		N/A			(482,650	)
	93,587,772	RUB	6/21/2013	Deutsche Bank AG	Receive	2.35%	7.88%	VTB Leasing		93,587,772	RUB		(30,810	)

See accompanying notes to the financial statements. 21

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Credit Default Swaps — continued

Maximum

Potential

Amount of

Future

Payments

Implied

by the Fund

Net Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

Under the

Appreciation/

Amount

Date

Counterparty

(Pay)Ù

Premium

Spread (1)

Entity

Contract (2)

(Depreciation)

17,599,640

USD

6/24/2013

JP Morgan Chase Bank, N.A.

Receive

1.37%

3.2%

VTB Leasing

17,599,640

USD

$

(247,624

)

50,000,000

USD

8/20/2013

JP Morgan Chase Bank, N.A.

(Pay)

1.20%

0.93%

Republic of Peru

N/A

(278,920

)

277,250,000

PEN

8/20/2013

JP Morgan Chase Bank, N.A.

Receive

0.96%

0.82%

Republic of Peru

277,250,000

PEN

305,806

80,000,000

USD

10/20/2013

Deutsche Bank AG

Receive

4.05%

0.94%

Republic of Brazil

80,000,000

USD

6,504,087

12,225,000,000

JPY

10/20/2013

Deutsche Bank AG

(Pay)

3.20%

0.85%

Republic of Brazil

N/A

(9,683,075

)

7,335,000,000

JPY

10/20/2013

Deutsche Bank AG

(Pay)

3.95%

0.85%

Republic of Brazil

N/A

(7,547,784

)

130,000,000

USD

10/20/2013

Deutsche Bank AG

Receive

3.30%

0.94%

Republic of Brazil

130,000,000

USD

8,129,006

10,000,000

USD

12/24/2013

JP Morgan Chase Bank, N.A.

Receive

3.80%

1.62%

Republic of Turkey

10,000,000

USD

570,450

28,000,000

USD

3/20/2014

Deutsche Bank AG

(Pay)

1.70%

3.61%

Italy Government International Bond

N/A

1,176,185

14,000,000

USD

3/20/2014

Deutsche Bank AG

(Pay)

1.45%

0.45%

United Kingdom Government

N/A

(397,454

)

10,000,000

USD

3/20/2014

Deutsche Bank AG

(Pay)

1.85%

3.61%

Italy Government International Bond

N/A

381,330

39,000,000

USD

3/20/2014

Deutsche Bank AG

(Pay)

2.39%

33.19%

Hellenic Republic of Greece

N/A

15,907,401

39,000,000

USD

3/20/2014

Deutsche Bank AG

(Pay)

1.28%

0.45%

United Kingdom Government

N/A

(925,095

)

22 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Credit Default Swaps — continued

Maximum

Potential

Amount of

Future

Payments

Implied

by the Fund

Net Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

Under the

Appreciation/

Amount

Date

Counterparty

(Pay)Ù

Premium

Spread (1)

Entity

Contract (2)

(Depreciation)

14,000,000

USD

3/20/2014

Deutsche Bank AG

(Pay)

2.80%

33.19%

Hellenic Republic of Greece

N/A

$

5,621,978

14,000,000

USD

3/20/2014

Deutsche Bank AG

(Pay)

1.68%

3.61%

Italy Government International Bond

N/A

595,323

39,000,000

USD

3/20/2014

Deutsche Bank AG

(Pay)

1.49%

0.76%

Republic of Austria

N/A

(838,848

)

2,000,000

USD

8/24/2014

Deutsche Bank AG

(Pay)

4.25%

3.34%

Lebanese Republic

N/A

(51,870

)

15,000,000

USD

9/20/2014

Deutsche Bank AG

Receive

3.77%

1.48%

Russian Federation

15,000,000

USD

1,283,443

15,000,000

USD

9/20/2014

Deutsche Bank AG

(Pay)

4.03%

1.81%

Sberbank

N/A

(1,250,547

)

5,000,000

USD

3/20/2015

JP Morgan Chase Bank, N.A.

Receive

5.00%

5.04%

Government of Ukraine

5,000,000

USD

42,995

25,000,000

USD

3/20/2015

JP Morgan Chase Bank, N.A.

Receive

5.00%

5.04%

Government of Ukraine

25,000,000

USD

214,976

8,000,000

USD

3/20/2015

JP Morgan Chase Bank, N.A.

Receive

5.00%

5.04%

Government of Ukraine

8,000,000

USD

68,792

765,000,000

USD

3/20/2015

Deutsche Bank AG

Receive

3.80%

10.42%

Bolivarian Republic of Venezuela

765,000,000

USD

(132,416,267

)

575,500,000

EUR

3/20/2015

Deutsche Bank AG

(Pay)

3.72%

10.34%

Venezuela Eurobond

N/A

140,392,430

412,500,000

USD

4/20/2015

Deutsche Bank AG

Receive

4.40%

10.45%

Bolivarian Republic of Venezuela

412,500,000

USD

(66,301,818

)

300,000,000

EUR

4/20/2015

Deutsche Bank AG

(Pay)

4.32%

10.37%

Bolivarian Republic of Venezuela

N/A

67,921,858

30,000,000

USD

6/20/2015

Barclays Bank PLC

(Pay)

5.00%

N/A

CDX 13 Emerging Sovereign

N/A

(3,000,000

)

See accompanying notes to the financial statements. 23

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Credit Default Swaps — continued

Maximum

Potential

Amount of

Future

Payments

Implied

by the Fund

Net Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

Under the

Appreciation/

Amount

Date

Counterparty

(Pay)Ù

Premium

Spread (1)

Entity

Contract (2)

(Depreciation)

40,000,000

USD

6/20/2015

Barclays Bank PLC

(Pay)

5.00%

N/A

CDX 13 Emerging Sovereign

N/A

$

(4,000,000

)

11,000,000

USD

6/20/2015

Deutsche Bank AG

(Pay)

5.00%

N/A

CDX 13 Emerging Sovereign

N/A

(1,100,000

)

15,000,000

USD

9/20/2015

Barclays Bank PLC

(Pay)

1.00%

1.27%

Republic of Colombia

N/A

129,127

56,950,000,000

COP

11/20/2015

Citibank N.A.

Receive

1.81%

0.98%

Republic of Colombia

56,950,000,000

COP

1,173,725

15,000,000

USD

2/20/2016

Citibank N.A.

(Pay)

2.16%

1.34%

Republic of Colombia

N/A

(539,309

)

56,700,000,000

COP

2/20/2016

Citibank N.A.

Receive

1.46%

1.01%

Republic of Colombia

56,700,000,000

COP

583,858

114,800,000,000

COP

4/20/2016

Citibank N.A.

Receive

1.33%

1.04%

Republic of Colombia

114,800,000,000

COP

1,102,412

25,000,000

USD

4/20/2016

Citibank N.A.

(Pay)

1.90%

1.36%

Republic of Colombia

N/A

(773,897

)

18,333,333

EUR

6/17/2016

Deutsche Bank AG

Receive

5.60%

9.33%

Republic of Angola

18,333,333

EUR

506,475

20,000,000

USD

8/20/2016

Citibank N.A.

(Pay)

2.15%

1.41%

Republic of Colombia

N/A

(715,720

)

97,680,000,000

COP

8/20/2016

Citibank N.A.

Receive

1.51%

1.08%

Republic of Colombia

97,680,000,000

COP

1,046,717

32,500,000

USD

2/20/2017

Deutsche Bank AG

Receive

2.43%

10.76%

Bolivarian Republic of Venezuela

32,500,000

USD

(10,347,176

)

32,000,000

PEN

5/20/2017

Deutsche Bank AG

Receive

0.79%

1.2%

Republic of Peru

32,000,000

PEN

(212,832

)

2,500,000

USD

5/20/2017

Deutsche Bank AG

(Pay)

1.05%

1.51%

Republic of Peru

N/A

52,777

35,000,000

USD

7/20/2017

UBS AG

Receive

2.26%

2.4%

Republic of Turkey

35,000,000

USD

(173,538

)

4,500,000

USD

7/20/2017

JP Morgan Chase Bank, N.A.

Receive

3.33%

5.87%

Republic of Jamaica

4,500,000

USD

(522,611

)

24 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Credit Default Swaps — continued

									Maximum
									Potential
									Amount of
									Future
									Payments
							Implied		by the Fund			Net Unrealized
Notional			Expiration		Receive	Annual	Credit	Reference	Under the			Appreciation/
Amount			Date	Counterparty	(Pay)Ù	Premium	Spread (1)	Entity	Contract (2)			(Depreciation)
	10,000,000	USD	12/20/2018	Deutsche Bank AG	Receive	0.44%	0.86%	United Kingdom Government		10,000,000	USD	$	(273,655	)
	10,000,000	USD	3/20/2019	Deutsche Bank AG	Receive	1.70%	3.54%	Italy Government International Bond		10,000,000	USD		(1,051,328	)
	30,000,000	USD	3/20/2019	Deutsche Bank AG	Receive	2.25%	23.12%	Hellenic Republic of Greece		30,000,000	USD		(14,296,657	)
	30,000,000	USD	3/20/2019	Deutsche Bank AG	Receive	1.25%	0.87%	United Kingdom Government		30,000,000	USD		861,638
	10,000,000	USD	3/20/2019	Deutsche Bank AG	Receive	2.61%	23.12%	Hellenic Republic of Greece		10,000,000	USD		(4,675,371	)
	10,000,000	USD	3/20/2019	Deutsche Bank AG	Receive	1.35%	0.87%	United Kingdom Government		10,000,000	USD		358,272
	10,000,000	USD	3/20/2019	Deutsche Bank AG	Receive	1.62%	3.54%	Italy Government International Bond		10,000,000	USD		(1,100,104	)
	30,000,000	USD	3/20/2019	Deutsche Bank AG	Receive	1.46%	1.19%	Republic of Austria		30,000,000	USD		627,500
	20,000,000	USD	3/20/2019	Deutsche Bank AG	Receive	1.66%	3.54%	Italy Government International Bond		20,000,000	USD		(2,151,432	)
	6,000,000	USD	3/20/2020	Barclays Bank PLC	Receive	1.00%	4.37%	Republic of Croatia		6,000,000	USD		(1,219,439	)
	20,000,000	USD	8/15/2031	Goldman Sachs International	(Pay)	1.84%	1.84%	United Mexican States		N/A			(18,590	)
												$	(13,501,418	)
Premiums to (Pay) Receive												$	969,266

See accompanying notes to the financial statements. 25

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Ù	Receive - Fund receives premium and sells credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
	(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
(1)	Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of August 31, 2011, 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 agreement.
(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

								Net Unrealized
Notional			Expiration		Receive			Appreciation/
Amount			Date	Counterparty	(Pay) #	Fixed Rate	Variable Rate	(Depreciation)
	46,800,000	PEN	4/21/2014	JP Morgan Chase Bank, N.A.	Receive	5.03%	6 month LIBOR	$	1,135,344
	51,000,000	BRL	1/2/2013	JP Morgan Chase Bank, N.A.	Receive	13.80%	Floating Rate CDI		1,079,770
	43,000,000	PEN	2/16/2012	JP Morgan Chase Bank, N.A.	(Pay)	1.41%	6 month LIBOR		(162,963	)
								$	2,052,151
Premiums to (Pay) Receive								$	—

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

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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

26 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

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

CDI - Certificado de Deposito Interbancario

CP - Counterparty

DEM LIBOR - London Interbank Offered Rate denominated in Deutsche Marks

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

GDP - Gross Domestic Product

GMTN - Global Medium Term Note

ILS TELBOR - Tel Aviv Interbank Offered Rate dominated in Israeli Shekel.

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen

LIBOR - London Interbank Offered Rate

OTC - Over-the-Counter

PDI - Past Due Interest

PIK - Payment In Kind

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.

VRRB - Variable Rate Reduction Bond

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

ZAR JIBAR - Johannesburg Interbank Offered Rate dominated in South African Rand.

The rates shown on variable rate notes are the current interest rates at August 31, 2011, which are subject to change based on the terms of the security.

u	These securities are primarily backed by subprime mortgages.
*	Non-income producing security.
(a)	Security is backed by the U.S. Government.
(b)	Security is in default.
(c)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).
(d)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust.
(e)	Security represents a judgment against the Government of Argentina (“Argentina”) relating to Argentina’s failure to make payments on sovereign debt held by the Fund. See “Other Matters” in Notes to Financial Statements for additional information.
(f)	All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).
(g)	Peru Trust securities are currently in default. See “Other Matters” in Notes to Financial Statements for additional information.

See accompanying notes to the financial statements. 27

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

(h)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral requirements on swap contracts, forward currency contracts, and written options, if any (Note 4).
(i)	Non-performing. Borrower not currently paying interest.
(j)	Republic of Ghana promissory notes are currently in default. See “Other Matters” in Notes to Financial Statements for additional information.
(k)	Underlying investment represents interests in defaulted claims. See “Other Matters” in Notes to Financial Statements for additional information.
(l)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.
(m)	Reverse Repurchase Agreements have an open maturity date and can be closed on demand.

Currency Abbreviations:

ARS - Argentine Peso

BRL - Brazilian Real

CHF - Swiss Franc

COP - Colombian Peso

DEM - Deutsche Mark

EUR - Euro

GBP - British Pound

ILS - Israeli Shekel

JPY - Japanese Yen

KZT - Kazakhstan Tenge

MYR - Malaysian Ringgit

PEN - Peruvian Sol

RUB - Russian Ruble

USD - United States Dollar

ZAR - South African Rand

28 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $1,793,127,730) (Note 2)	$	1,863,614,969
Investments in affiliated issuers, at value (cost $66,524,792) (Notes 2 and 10)		63,316,195
Foreign currency, at value (cost $2,354,676) (Note 2)		1,677,105
Receivable for investments sold		9,180
Receivable for Fund shares sold		349,311
Interest receivable		27,719,213
Unrealized appreciation on open forward currency contracts (Note 4)		222,115
Receivable for collateral on open swap contracts (Note 4)		3,164,000
Receivable for open swap contracts (Note 4)		260,307,513
Interest receivable for open swap contracts		2,081,989
Receivable for closed swap contracts (Note 4)		56,139
Miscellaneous receivable (Note 2)		1,034,780
Total assets		2,223,552,509
Liabilities:
Payable for investments purchased		5,111,807
Payable for Fund shares repurchased		159,500
Payable to affiliate for (Note 5):
Management fee		502,333
Shareholder service fee		169,496
Trustees and Trust Officers or agents unaffiliated with the Manager		4,289
Unrealized depreciation on open forward currency contracts (Note 4)		3,515,104
Payable for open swap contracts (Note 4)		271,756,780
Payable for reverse repurchase agreements (Note 2)		242,377,954
Accrued expenses		500,241
Total liabilities		524,097,504
Net assets	$	1,699,455,005

See accompanying notes to the financial statements. 29

GMO Emerging Country Debt Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited) — (Continued)

Net assets consist of:
Paid-in capital	$	1,764,852,234
Accumulated undistributed net investment income		55,027,567
Accumulated net realized loss		(174,302,047	)
Net unrealized appreciation		53,877,251
	$	1,699,455,005
Net assets attributable to:
Class III shares	$	615,677,341
Class IV shares	$	1,083,777,664
Shares outstanding:
Class III		63,423,671
Class IV		111,745,306
Net asset value per share:
Class III	$	9.71
Class IV	$	9.70

30 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Interest	$	68,228,385
Dividends from unaffiliated issuers		377,986
Dividends from affiliated issuers (Note 10)		209,291
Total investment income		68,815,662
Expenses:
Management fee (Note 5)		3,003,382
Shareholder service fee – Class III (Note 5)		451,294
Shareholder service fee – Class IV (Note 5)		557,247
Interest expense (Note 2)		719,873
Custodian, fund accounting agent and transfer agent fees		515,660
Legal fees		138,000
Audit and tax fees		81,596
Registration fees		16,953
Trustees fees and related expenses (Note 5)		15,414
Miscellaneous		17,218
Total expenses		5,516,637
Expense reductions (Note 2)		(792	)
Net expenses		5,515,845
Net investment income (loss)		63,299,817
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issues		34,494,699
Swap contracts		(634,751	)
Foreign currency, forward contracts and foreign currency related transactions		(41,971,987	)
Net realized gain (loss)		(8,112,039	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		46,903,905
Investments in affiliated issuers		(448,185	)
Swap contracts		12,714,602
Foreign currency, forward contracts and foreign currency related transactions		18,271,512
Net unrealized gain (loss)		77,441,834
Net realized and unrealized gain (loss)		69,329,795
Net increase (decrease) in net assets resulting from operations	$	132,629,612

See accompanying notes to the financial statements. 31

GMO Emerging Country Debt Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	63,299,817		$	213,152,459
Net realized gain (loss)		(8,112,039	)		(27,277,843	)
Change in net unrealized appreciation (depreciation)		77,441,834			188,822,965
Net increase (decrease) in net assets from operations		132,629,612			374,697,581
Distributions to shareholders from:
Net investment income
Class III		(7,689,254	)		(64,721,761	)
Class IV		(13,839,427	)		(173,315,562	)
Total distributions from net investment income		(21,528,681	)		(238,037,323	)
Net share transactions (Note 9):
Class III		12,819,529			(84,189,171	)
Class IV		(112,236,908	)		(258,259,432	)
Increase (decrease) in net assets resulting from net share transactions		(99,417,379	)		(342,448,603	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		278,469			972,178
Class IV		514,195			2,233,723
Increase in net assets resulting from purchase premiums and redemption fees		792,664			3,205,901
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(98,624,715	)		(339,242,702	)
Total increase (decrease) in net assets		12,476,216			(202,582,444	)
Net assets:
Beginning of period		1,686,978,789			1,889,561,233
End of period (including accumulated undistributed net investment income of $55,027,567 and $13,256,431, respectively)	$	1,699,455,005		$	1,686,978,789

32 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund
(A Series of GMO Trust)


Statement of Cash Flows — Six Months Ended August 31, 2011 (Unaudited)

Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	132,629,612
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		(77,441,834	)
Net realized (gain) loss		8,112,039
Net amortization of discount and premium		(9,447,779	)
Investments purchased		(280,417,394	)
Proceeds from sale of investments		418,152,861
Short term investments, net		(5,912,211	)
Other proceeds (cost):
Swap contracts		246,966
Forward currency contracts		(42,541,968	)
Foreign currency and foreign currency related transactions		380,987
Changes in assets and liabilities:
(Increase) decrease in receivable for collateral on open swap contracts		(2,744,000	)
(Increase) decrease in dividends and interest receivable		(2,495,956	)
(Increase) decrease in interest receivable for open swap contracts		(351,935	)
(Increase) decrease in miscellaneous receivable		(885	)
Increase (decrease) in payable to affiliate for:
Management fee		24,857
Shareholder service fee payable		11,668
Trustee and Chief Compliance Officer of GMO Trust fees		(525	)
Increase (decrease) in accrued expenses		(9,551	)
Net cash provided by (used in) operating activities		138,194,952
Cash flows from financing activities:*
Proceeds from shares sold		131,732,125
Shares repurchased		(245,142,902	)
Purchase premiums and redemption fees		792,664
Cash distributions paid		(7,711,303	)
Increase (decrease) in payable for reverse repurchase agreements		(20,276,947	)
Net cash provided by (used in) financing activities		(140,606,363	)
Net increase in cash		(2,411,411	)
Cash and cash equivalents, beginning of period		4,088,516
Cash and cash equivalents, end of period	$	1,677,105
Supplemental disclosure of cash flow information:
* Reinvestment of dividends and distributions	$	13,817,378

See accompanying notes to the financial statements. 33

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	9.10		$	8.47		$	5.85		$	10.06		$	10.73		$	11.30
Income (loss) from investment operations:
Net investment income (loss)†		0.35			1.03	(a)		0.52			0.54			0.68			0.86
Net realized and unrealized gain (loss)		0.38			0.81			2.70			(3.77	)		(0.13	)		0.30
Total from investment operations		0.73			1.84			3.22			(3.23	)		0.55			1.16
Less distributions to shareholders:
From net investment income		(0.12	)		(1.21	)		(0.60	)		(0.77	)		(0.76	)		(0.94	)
From net realized gains		—			—			—			(0.21	)		(0.46	)		(0.79	)
Total distributions		(0.12	)		(1.21	)		(0.60	)		(0.98	)		(1.22	)		(1.73	)
Net asset value, end of period	$	9.71		$	9.10		$	8.47		$	5.85		$	10.06		$	10.73
Total Return(b)		8.06	%**		22.23	%		55.95	%		(32.75	)%		5.07	%		10.98	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	615,677		$	564,570		$	602,065		$	535,194		$	734,921		$	876,598
Net operating expenses to average daily net assets(c)		0.60	%(d)*		0.59	%(d)		0.58	%(d)		0.59	%(d)		0.57	%(d)		0.57	%
Interest expense to average daily net assets		0.08	%(e)*		0.08	%(f)		0.11	%(f)		0.23	%(f)		0.74	%(e)		0.48	%(e)
Total net expenses to average daily net assets		0.68	%(d)*		0.67	%(d)		0.69	%(d)		0.82	%(d)		1.31	%(d)		1.05	%
Net investment income (loss) to average daily net assets		7.37	%*		11.09	%(g)		6.98	%		6.36	%		6.36	%		7.91	%
Portfolio turnover rate		14	%**		21	%		36	%		38	%		53	%		83	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	(h)	$	0.02		$	0.05		$	0.00	(g)	$	0.01		$	0.01

(a)	Includes income per share of $0.40 as a result of the Fund’s participation in sovereign debt exchanges during the period. Excluding this income, the Fund’s net investment income per share would have been $0.63.
(b)	Calculation excludes purchase premiums and redemption fees which are borne by the shareholder and assumes the effect of reinvested distributions.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(f)	Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(g)	Includes income of 4.33% of average daily net assets as a result of the Fund’s participation in sovereign debt exchanges. Excluding this income, the Fund’s net investment income to average daily net assets would have been 6.76%.
(h)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

34 See accompanying notes to the financial statements.

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class IV share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	9.09		$	8.47		$	5.85		$	10.06		$	10.73		$	11.30
Income (loss) from investment operations:
Net investment income (loss)†		0.35			1.05	(a)		0.53			0.53			0.69			0.87
Net realized and unrealized gain (loss)		0.38			0.78			2.69			(3.76	)		(0.13	)		0.29
Total from investment operations		0.73			1.83			3.22			(3.23	)		0.56			1.16
Less distributions to shareholders:
From net investment income		(0.12	)		(1.21	)		(0.60	)		(0.77	)		(0.77	)		(0.94	)
From net realized gains		—			—			—			(0.21	)		(0.46	)		(0.79	)
Total distributions		(0.12	)		(1.21	)		(0.60	)		(0.98	)		(1.23	)		(1.73	)
Net asset value, end of period	$	9.70		$	9.09		$	8.47		$	5.85		$	10.06		$	10.73
Total Return(b)		8.07	%**		22.19	%		56.02	%		(32.66	)%		5.13	%		11.06	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,083,778		$	1,122,409		$	1,287,496		$	1,291,258		$	2,114,181		$	1,996,230
Net operating expenses to average daily net assets(c)		0.55	%(d)*		0.54	%(d)		0.53	%(d)		0.54	%(d)		0.53	%(d)		0.52	%
Interest expense to average daily net assets		0.08	%(e)*		0.07	%(f)		0.11	%(f)		0.23	%(f)		0.74	%(e)		0.48	%(e)
Total net expenses to average daily net assets		0.63	%(d)*		0.61	%(d)		0.64	%(d)		0.77	%(d)		1.27	%(d)		1.00	%
Net investment income (loss) to average daily net assets		7.38	%*		11.37	%(g)		7.03	%		6.46	%		6.45	%		7.97	%
Portfolio turnover rate		14	%**		21	%		36	%		38	%		53	%		83	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	(h)	$	0.02		$	0.04		$	0.00	(g)	$	0.00	(g)	$	0.01

(a)	Includes income per share of $0.41 as a result of the Fund’s perticipation in sovereign debt exchanges during the period. Excluding this income, the Fund’s net investment income per share would have been $0.64.
(b)	Calculation excludes purchase premiums and redemption fees which are borne by the shareholder and assumes the effect of reinvested distributions.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Interest expense incurred as a result of entering into reverse repurchase agreements included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(f)	Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(g)	Includes income of 4.43% of average daily net assets as a result of the Fund’s participation in sovereign debt exchanges. Excluding this income, the Fund’s net investment income to average daily net assets would have been 6.94%.
(h)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 35

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Emerging Country Debt Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the J.P. Morgan EMBI (Emerging Markets Bond Index) Global. The Fund invests primarily in sovereign debt of emerging countries denominated in currencies of developed markets (e.g., U.S. dollar, Euro, Japanese yen, Swiss franc and British pound sterling). Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in debt investments tied economically to emerging countries. The term “emerging countries” means the world’s less developed countries. The Fund typically gains its investment exposure by purchasing debt of sovereign issuers of emerging countries or by using derivatives, typically credit default swaps. The Fund also invests in U.S. and foreign asset-backed securities (including through GMO Short-Duration Collateral Fund (“SDCF”) and GMO World Opportunity Overlay Fund (“Overlay Fund”)). The Fund invests a substantial portion of its assets in below investment grade securities (also known as “junk bonds”). Generally, at least 75% of the Fund’s assets are denominated in, or hedged into, U.S. dollars.

In pursuing its investment objective, the Fund also typically uses exchange-traded and over-the-counter (“OTC”) derivatives, including options, swap contracts (in addition to credit default swaps), currency forwards (including currency forwards on currencies of developed markets), reverse repurchase agreements and futures. The Fund’s performance is likely to be more volatile than that of its benchmark.

The Manager emphasizes a “bottom-up” approach to examining and selecting investments and uses analytical techniques to identify inefficiencies in the pricing of emerging country debt investments and to identify investments the Manager believes are undervalued. The Manager also determines country allocations based on its outlook for a country.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds.

The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets. The Manager normally seeks to cause the Fund’s estimated interest rate duration to approximate that of its benchmark. The Fund, if deemed prudent by the Manager, will take temporary defensive measures until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the

36

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Fund’s normal investment strategies. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the period ended August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different shareholder service fee.

The financial statements of the series of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). As of August 31, 2011, shares of SDCF, GMO Special Purpose Holding Fund (“SPHF”) and Overlay Fund were not publicly available for direct purchase.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly and indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 2.4% of net assets. The Fund and the underlying funds classify such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on

37

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 20.1% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include most recent quoted prices, interest rates, prepayment speeds, credit risk, yield curves and similar data. The Fund also used third party valuation services (which use industry models and market data from pricing vendors) to value certain credit default swaps.

38

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: The Fund valued certain debt securities using quoted prices. In some cases, quoted prices or prices calculated by using industry models are adjusted by a specified discount for liquidity or other considerations (including the Argentine judgment described in Other Matters below). In addition, the Fund valued certain sovereign debt securities using comparable securities issued by the sovereign adjusted by a specified spread. The Fund valued certain other debt securities by using an estimated specified spread above the LIBOR rate. The Fund deemed certain defaulted securities to be worthless. The Fund also used third party valuation services to value certain credit default swaps using unobservable inputs.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
Asset-Backed Securities	$	—	$	1,870,405	$	86,665,779	$	88,536,184
Corporate Debt		—		114,320,920		—		114,320,920
Foreign Government Agency		—		211,035,258		154,475,830		365,511,088
Foreign Government Obligations		—		500,094,694		534,671,736		1,034,766,430
Judgments		—		—		24,990,000		24,990,000
U.S. Government		—		61,052,538		—		61,052,538
TOTAL DEBT OBLIGATIONS		—		888,373,815		800,803,345		1,689,177,160
Loan Assignments		—		—		32,129,393		32,129,393
Loan Participations		—		—		112,408,232		112,408,232
Promissory Notes		—		—		1,144,413		1,144,413
Options Purchased		—		18,093		—		18,093
Mutual Funds		63,306,989		9,206		—		63,316,195
Rights and Warrants		—		—		10,377,589		10,377,589
Short-Term Investments		18,360,089		—		—		18,360,089
Total Investments		81,667,078		888,401,114		956,862,972		1,926,931,164
Derivatives *
Forward Currency Contracts
Foreign Currency Risk		—		222,115		—		222,115

39

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Swap Agreements
Credit Risk	$	—	$	49,778,111	$	208,314,288	$	258,092,399
Interest Rate Risk		—		2,215,114		—		2,215,114
Total	$	81,667,078	$	940,616,454	$	1,165,177,260	$	2,187,460,792

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)			Total
Derivatives *
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(3,515,104	)	$	—		$	(3,515,104	)
Swap Agreements
Credit Risk		—		(61,521,312	)		(210,072,505	)		(271,593,817	)
Interest Rate Risk		—		(162,963	)		—			(162,963	)
Total	$	—	$	(65,199,379	)	$	(210,072,505	)	$	(275,271,884	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and derivative financial instruments using Level 3 inputs were 58.1% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

40

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

																								Net Change in
																								Unrealized
																								Appreciation
																								(Depreciation)
																								from
	Balances													Change in							Balances			Investments
	as of								Accrued		Total			Unrealized			Transfers		Transfers		as of			Still Held as
	February 28,								Discounts/		Realized			Appreciation			into		out of		August 31,			August 31,
	2011			Purchases		Sales			Premiums		Gain/(Loss)			(Depreciation)			Level 3*		Level 3*		2011			2011
Debt Obligations
Asset-Backed Securities	$	96,820,133		$	503,783	$	(6,865,650	)	$	7,617	$	199,606		$	(3,999,710	)	$	—	$	—	$	86,665,779		$	(3,999,710	)
Corporate Debt		8,020,000			—		(8,000,000	)		—		—			(20,000	)		—		—		—			—
Foreign Government Agency		137,425,666			27,840,937		(17,487,807	)		418,526		440,645			5,837,863			—		—		154,475,830			7,192,615
Foreign Government Obligations		523,408,255			38,506,995		(60,093,013	)		5,956,884		8,612,800			18,279,815			—		—		534,671,736			23,301,143
Judgments		28,170,000			—		—			317,859		—			(3,497,859	)		—		—		24,990,000			(3,497,859	)
Total Debt Obligations		793,844,054			66,851,715		(92,446,470	)		6,700,886		9,253,051			16,600,109			—		—		800,803,345			22,996,189
Loan Assignments		33,280,252			970,000		(2,098,372	)		459,426		492,681			(974,594	)		—		—		32,129,393			(974,594	)
Loan Participations		117,371,965			—		(7,463,505	)		1,027,390		2,265,531			(793,149	)		—		—		112,408,232			(793,149	)
Promissory Notes		1,071,677			—					39,247		—			33,489			—		—		1,144,413			33,489
Rights and Warrants		10,377,589			—		—			—		—			—			—		—		10,377,589			—
Total Investments		955,945,537			67,821,715		(102,008,347	)		8,226,949		12,011,263			14,865,855			—		—		956,862,972			21,261,935
Derivatives
Swap Agreements		(10,713,914	)		—		1,204,359			—		(1,204,359	)		8,955,697			—		—		(1,758,217	)		8,846,657
Total	$	945,231,623		$	67,821,715	$	(100,803,988	)	$	8,226,949	$	10,806,904		$	23,821,552		$	—	$	—	$	955,104,755		$	30,108,592

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

41

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Loan agreements

The Fund may invest in loans to corporate, governmental, or other borrowers. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. 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. When investing in a loan participation, (i) the 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) the 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, the Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When the Fund purchases assignments of loans, it acquires direct rights against the borrower. Loan agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. As of August 31, 2011, the Fund had received $241,775,903 from reverse repurchase agreements relating to securities with a market value, plus accrued interest, of $252,309,838.

42

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Reverse repurchase agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement

43

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(92,251,262	)
February 28, 2019		(66,474,254	)
Total	$	(158,725,516	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	1,867,449,386	$	232,358,386	$	(172,876,608	)	$	59,481,778

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws

44

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 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. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary. (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

45

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.50% of the amount invested or redeemed. Purchase premiums and redemption fees are paid to and retained by the Fund and are allocated pro rata among the classes to help offset non-de minimis 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) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee or modify or eliminate an existing fee at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

Other matters

In December 2005, the Fund entered into litigation against the Government of Argentina (“Argentina”) relating to Argentina’s failure to make payments on sovereign debt held by the Fund. A judgment was awarded in the Fund’s favor on September 24, 2007; however, the Fund’s ability to collect on this judgment remains uncertain, and the Fund is not able to transfer or sell the judgment without court consent. In late May 2010, Argentina commenced a public debt exchange in which certain defaulted debts, including legal judgments on those debts, were eligible to be exchanged for currently performing Argentina Bonds. The eligible portion of the Fund’s judgment was tendered in the debt exchange and the Fund received new bonds in June 2010. The remaining portion of the Fund’s judgment, which continues to

46

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

be valued according to the Fund’s valuation policy, represented 1.5% of the net assets of the Fund as of August 31, 2011.

Peru Trust, Series 1998 I-P; Peru Trust, Series 97-I-P; and Peru Trust II, Series 98-A LB (the “Peru Trusts”) held by the Fund are currently in default. The Peru Trusts hold obligations of Istituto per i Servizi Assicurativi e il Credito all’Espotazione (“SACE”), the Italian Agency for Insurance of Export Credits. The obligations are payable only to the extent SACE recovers amounts from the Government of Peru (“Peru”) in relation to certain export insurance policies. Peru fully paid all of its obligations to SACE on August 24, 2009; however, payments to the Peru Trusts by SACE remain outstanding. Litigation between the Peru Trusts and SACE is pending in Italy with respect to the outstanding payments. The Peru Trusts’ ability to recover such payments, and the Fund’s corresponding ability to receive payment with respect to its investment in the Peru Trusts, remains uncertain. The Peru Trusts, which continue to be valued according to the Fund’s valuation policy, represented 0.1% of the net assets of the Fund as of August 31, 2011. Costs associated with this action are borne by the Fund.

In July 2008, the Fund entered into litigation against GNPA Limited (“GNPA”) (an entity wholly owned by the government of Ghana) seeking payment on an unconditional promissory note issued by GNPA. A judgment was awarded in the Fund’s favor in February 2010; however, the Fund’s ability to collect on this judgment remains uncertain. The defaulted promissory note, which continues to be valued according to the Fund’s valuation policy, represented less than 0.1% of the net assets of the Fund as of August 31, 2011. Costs associated with this action are borne by the Fund.

In connection with the Fund’s purchase of Venezuelan bonds between 2000 and 2002, the Fund acquired warrants which (along with related payments on those warrants) have not been received in custody. The Fund’s trading counterparties have acknowledged their delivery obligations but have not necessarily accepted legal liability for payment. Because there can be no assurance that the Fund will receive the warrants (or related payments), the Fund values the warrants at fair value using methods determined in good faith by or at the discretion of the Trustees of GMO Trust. The value of any possible recovery is carried at $1,033,826, representing 0.1% of the net assets of the Fund on August 31, 2011, and is included in Miscellaneous receivables on the Statement of Assets and Liabilities.

SPHF, an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the period ended August 31, 2011, the Fund received no distributions from SPHF in connection with the defaulted securities or the related litigation.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by

47

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Fixed Income Securities — Typically, the market value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities. Because the Fund typically invests in securities that are of lesser quality than those in its benchmark, in rapidly declining markets, the percentage decline in the value of the Fund is likely to exceed that of its benchmark.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind. Sovereign debt of emerging countries is not widely traded and may be subject to purchase and sale restrictions. In addition, because the Fund typically invests in securities that are less liquid than those in its benchmark, in rapidly declining markets the percentage decline in the Fund’s investments is likely to exceed that of its benchmark.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g.,

48

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Focused Investment Risk — Focusing investments in a limited number of countries, regions, sectors or companies creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

49

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some

50

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Agreements”) or other similar types of agreements with selected counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Agreements typically include representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse effect on the Fund’s operations.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). 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 the Manager believes is highly correlated with the relevant currency.

51

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and

52

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives

53

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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. During the period ended August 31, 2011, the Fund used forward currency contracts to adjust exposure to foreign currencies and otherwise adjust currency exchange rate risk. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

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

54

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Options

The Fund 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. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. During the period ended August 31, 2011, the Fund used purchased option contracts to adjust interest rate exposure. Option contracts purchased by the Fund and outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

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

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

55

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a

56

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to adjust interest rate exposure, adjust exposure to certain markets, achieve exposure to a reference entity’s credit, and/or provide a measure of protection against default loss. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants to adjust exposure to certain markets. Additionally, the Fund owns warrants linked

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GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

to the price of oil. Rights and/or warrants held by the Fund at the end of the period are listed in the Fund’s Schedule of Investments.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate			Foreign currency			Credit			Equity		Other
	contracts			contracts			contracts			contracts		contracts		Total
Assets:
Investments, at value (purchased options, rights and/or warrants)	$	18,093		$	—		$	—		$	—	$	10,377,589	$	10,395,682
Unrealized appreciation on forward currency contracts		—			222,115			—			—		—		222,115
Unrealized appreciation on swap agreements		2,215,114			—			258,092,399			—		—		260,307,513
Total	$	2,233,207		$	222,115		$	258,092,399		$	—	$	10,377,589	$	270,925,310
Liabilities:
Unrealized depreciation on forward currency contracts	$	—		$	(3,515,104	)	$	—		$	—	$	—	$	(3,515,104	)
Unrealized depreciation on swap agreements		(162,963	)		—			(271,593,817	)		—		—		(271,756,780	)
Total	$	(162,963	)	$	(3,515,104	)	$	(271,593,817	)	$	—	$	—	$	(275,271,884	)

58

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate			Foreign currency			Credit			Equity		Other
	contracts			contracts			contracts			contracts		contracts		Total
Net Realized Gain (Loss) on:
Investments (purchased options, rights and/or warrants)	$	1,366,277		$	—		$	—		$	—	$	—	$	1,366,277
Forward currency contracts		—			(42,541,968	)		—			—		—		(42,541,968	)
Swap agreements		1,922,620			—			(4,030,745	)		—		1,473,374		(634,751	)
Total	$	3,288,897		$	(42,541,968	)	$	(4,030,745	)	$	—	$	1,473,374	$	(41,810,442	)
Change in Unrealized Appreciation (Depreciation) on:
Investments (purchased options, rights and/or warrants)	$	(2,214,849	)	$	—		$	—		$	—	$	—	$	(2,214,849	)
Forward currency contracts		—			18,460,506			—			—		—		18,460,506
Swap agreements		(610,890	)		—			12,228,190			—		1,097,302		12,714,602
Total	$	(2,825,739	)	$	18,460,506		$	12,228,190		$	—	$	1,097,302	$	28,960,259

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The volume of derivative activity, based on absolute values (forward currency contracts and rights and/or warrants), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Forward
	Currency						Rights and/or
	Contracts		Swap Agreements		Options		Warrants
Average amount outstanding	$	560,687,265	$	4,656,975,858	$	484,387,556	$	10,324,638

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.35% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on

59

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.10% for Class IV shares. The Manager has contractually agreed through at least June 30, 2012 to waive the Fund’s shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by a class of shares of the Fund exceeds 0.15% for Class III shares and 0.10% for Class VI shares; provided, however, that the amount of this waiver will not exceed the respective Class’s shareholder service fee.

The Manager has contractually agreed to reimburse the Fund for an amount equal to the fees and expenses incurred indirectly by the Fund through its investment in other GMO Funds (excluded those Funds’ Excluded Fund Fees and Expenses). “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $15,414 and $5,994, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
< 0.001%	0.000%	0.001%	0.001%

60

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	157,718,735
Investments (non-U.S. Government securities)		268,211,267		229,042,795

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 31.55% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.15% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and 20.44% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

61

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		2,024,612		$	19,210,273			9,633,356		$	87,460,313
Shares issued to shareholders in reinvestment of distributions		517,776			4,939,581			3,884,543			35,087,915
Shares repurchased		(1,187,305	)		(11,330,325	)		(22,497,488	)		(206,737,399	)
Purchase premiums		—			39,833			—			123,522
Redemption fees		—			238,636			—			848,656
Net increase (decrease)		1,355,083		$	13,097,998			(8,979,589	)	$	(83,216,993	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares			Amount
Shares sold		11,794,485		$	112,857,372			5,013,942		$	48,450,430
Shares issued to shareholders in reinvestment of distributions		931,563			8,877,797			10,139,974			91,560,463
Shares repurchased		(24,512,439	)		(233,972,077	)		(43,685,884	)		(398,270,325	)
Purchase premiums		—			73,727			—			308,772
Redemption fees		—			440,468			—			1,924,951
Net increase (decrease)		(11,786,391	)	$	(111,722,713	)		(28,531,968	)	$	(256,025,709	)

62

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Returm		Value,
	beginning of				Sales		Dividend		of Realized		of		end of
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		period
GMO Short-Duration Collateral Fund	$	41,271,731	$	—	$	—	$	209,291	$	—	$	11,888,463	$	28,588,029
GMO Special Purpose Holding Fund		10,705		—		—		—		—		—		9,206
GMO U.S. Treasury Fund		31		—		—		—		—		—		31
GMO World Opportunity Overlay Fund		34,370,376		—		—		—		—		—		34,718,929
Totals	$	75,652,843	$	—	$	—	$	209,291	$	—	$	11,888,463	$	63,316,195

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by the underlying funds will be determined through fiscal year ending February 29, 2012.

63

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

64

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

65

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

66

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

67

GMO Emerging Country Debt Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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 premiums and redemption fees. Therefore, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.68	%	$	1,000.00	$	1,080.60	$	3.56
2) Hypothetical		0.68	%	$	1,000.00	$	1,021.72	$	3.46
Class IV
1) Actual		0.63	%	$	1,000.00	$	1,080.70	$	3.30
2) Hypothetical		0.63	%	$	1,000.00	$	1,021.97	$	3.20

            * Expenses are calculated using each Class’s annualized net expense ratio (including interest expense and indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

68

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		90.5	%
Short-Term Investments		5.6
Mutual Funds		3.6
Investment Funds		2.3
Preferred Stocks		1.7
Other		(3.7	)
		100.0	%

Country Summary*	% of Investments
China		23.0	%
Thailand		15.3
Brazil		11.4
India		10.3
Indonesia		9.7
South Korea		7.3
United States		4.9
South Africa		4.8
Russia		4.3
Malaysia		2.4
Mexico		2.3
Taiwan		2.0
Turkey		1.4
Macau		0.5
Singapore		0.4
		100.0	%

* The table above 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 agreements and other derivative financial instruments, if any.

Industry Group Summary	% of Equity Investments**
Banks		15.3	%
Consumer Services		11.3
Automobiles & Components		10.9
Retailing		10.7
Food, Beverage & Tobacco		9.2
Telecommunication Services		7.4
Food & Staples Retailing		5.9
Real Estate		4.3

1

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Industry Group Summary	% of Equity Investments**
Utilities		3.7	%
Capital Goods		3.3
Software & Services		3.2
Diversified Financials		2.6
Energy		2.3
Media		2.3
Consumer Durables & Apparel		1.8
Pharmaceuticals, Biotechnology & Life Sciences		1.5
Household & Personal Products		1.1
Commercial & Professional Services		1.0
Materials		0.9
Health Care Equipment & Services		0.7
Technology Hardware & Equipment		0.6
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

2

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 90.5%
		Brazil — 8.8%
	8,600	Arcos Dorados Holdings Inc Class A		237,102
	45,200	Brasil Brokers Participacoes SA		218,632
	7,712	Companhia de Bebidas das Americas		220,426
	17,400	Fleury SA		251,398
	10,900	Gafisa SA ADR		102,678
	20,200	Itau Unibanco Holding SA ADR		366,832
	21,300	Light SA		366,618
	18,900	LPS Brasil Consultoria de Imoveis SA		414,948
	20,400	Multiplus SA		342,157
	17,100	PDG Realty SA Empreendimentos e Participacoes		84,109
	15,700	Redecard SA		241,629
	13,900	Telecomunicacoes de Sao Paulo SA ADR		441,603
		Total Brazil		3,288,132
		China — 21.2%
	156,000	Ajisen China Holdings Ltd		236,856
	3,110	Baidu Inc Sponsored ADR *		453,376
	218,000	Belle International Holdings Ltd		448,247
	12,700	China Lodging Group Ltd Sponsored ADR *		210,947
	128,000	China Mengniu Dairy Co Ltd		458,719
	66,000	Chow Sang Sang Holdings International Ltd		226,958
	388,000	Dah Chong Hong Holdings Ltd		545,149
	120,500	Digital China Holdings Ltd		205,690
	326,000	Dongfeng Motor Group Co Ltd Class H		522,338
	92,000	Galaxy Entertainment Group Ltd *		230,417
	962,000	GOME Electrical Appliances Holdings Ltd		417,265
	352,500	Great Wall Motor Co Ltd Class H		510,565
	179,000	Haier Electronics Group Co Ltd *		202,627
	437,000	Haitian International Holdings Ltd		405,066
	42,500	Hengan International Group Co Ltd		364,514
	452,000	Hengdeli Holdings Ltd		218,392
	5,600	Home Inns & Hotels Management Inc ADR *		214,144
	133,000	Intime Department Store Group Co Ltd		210,513

See accompanying notes to the financial statements. 3

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		China — continued
	844,450	Kingdee International Software Group Co Ltd		343,837
	312,000	Kunlun Energy Company Ltd		483,360
	7,200	New Oriental Education & Technology Group Inc Sponsored ADR *		219,600
	170,000	Sun Art Retail Group Ltd *		214,415
	150,000	Tingyi (Cayman Islands) Holding Corp		423,048
	210,000	Trinity Ltd		219,154
		Total China		7,985,197
		India — 9.5%
	3,065	Bayer Cropscience Ltd		53,425
	14,943	Bharti Airtel Ltd		131,584
	4,118	CMC Ltd		84,361
	12,718	Coromandel International Ltd		85,563
	147,085	Dish TV India Ltd *		253,875
	4,916	Glaxo SmithKline Consumer Healthcare Ltd		256,522
	1,575	HDFC Bank Ltd		16,359
	7,400	HDFC Bank Ltd ADR		246,864
	4,655	Hero Honda Motors Ltd		209,820
	129,471	Idea Cellular Ltd *		282,673
	35,319	Indraprastha Gas Ltd		332,081
	24,930	IndusInd Bank Ltd (a)		133,598
	29,789	Ipca Laboratories Ltd		200,893
	9,988	Jubilant Foodworks Ltd *		207,187
	5,805	Nestle India Ltd		555,263
	85,057	Petronet LNG Ltd		323,091
	51,214	Rallis India Ltd		187,291
	4,618	Whirlpool of India Ltd *		22,232
		Total India		3,582,682
		Indonesia — 8.9%
	99,000	Astra International Tbk PT		794,134
	2,385,500	Bank Bukopin Tbk PT		198,777
	268,000	Bank Central Asia Tbk PT		258,523
	397,500	Bank Danamon Indonesia Tbk PT		249,906

4 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	721,000	Bank Mandiri Tbk PT		598,939
	447,500	Bank Negara Indonesia (Persero) Tbk PT		223,543
	657,500	Indofood Sukses Makmur Tbk PT		479,459
	498,500	Kalbe Farma Tbk PT		210,060
	117,787	United Tractors Tbk PT		335,820
		Total Indonesia		3,349,161
		Malaysia — 2.2%
	100,300	AMMB Holdings Berhad		215,430
	67,000	Genting Berhad		213,555
	97,600	Hong Leong Bank Berhad		404,530
		Total Malaysia		833,515
		Macau — 0.5%
	54,000	Wynn Macau Ltd		173,694
		Mexico — 2.1%
	9,370	First Cash Financial Services, Inc. *		437,673
	16,000	Grupo Televisa SA Sponsored ADR		352,640
		Total Mexico		790,313
		Russia — 3.9%
	35,441	Magnit OJSC Sponsored GDR (Registered Shares)		841,026
	10,000	Mobile Telesystems Sponsored ADR		169,300
	4,897	Pharmstandard GDR (Registered Shares) *		98,050
	30,560	Sberbank Sponsored ADR *		363,359
		Total Russia		1,471,735
		Singapore — 0.4%
	6,673	Asia Pacific Breweries Ltd		143,558
		South Africa — 4.4%
	83,495	Growthpoint Properties Ltd		228,725
	23,107	Shoprite Holdings Ltd		363,658
	9,014	Tiger Brands Ltd		263,008

See accompanying notes to the financial statements. 5

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	35,051	Vodacom Group Ltd		452,152
	7,080	Wilson Bayly Holmes-Ovcon Ltd		103,013
	48,379	Woolworths Holdings Ltd		251,793
		Total South Africa		1,662,349
		South Korea — 6.8%
	2,903	GS Home Shopping Inc		352,984
	3,691	Hyundai Mobis		1,176,778
	2,882	Hyundai Motor Co		553,412
	9,825	Kangwon Land Inc		257,250
	397	ORION Corp		197,129
		Total South Korea		2,537,553
		Taiwan — 1.8%
	68,000	Chunghwa Telecom Co Ltd		234,817
	91,000	Taiwan Mobile Co Ltd		247,156
	112,000	Yungtay Engineering Co Ltd		200,135
		Total Taiwan		682,108
		Thailand — 14.1%
	108,300	Advanced Info Service Pcl (Foreign Registered) (a)		409,898
	98,300	Bangkok Bank Pcl NVDR		525,888
	145,400	BEC World Pcl (Foreign Registered) (a)		196,571
	196,600	Charoen Pokphand Foods Pcl (Foreign Registered) (a)		206,710
	247,000	CP ALL Pcl (Foreign Registered) (a)		422,954
	2,124,800	Hemaraj Land and Development Pcl (Foreign Registered) (a)		163,268
	668,100	Hemaraj Land and Development Pcl NVDR		51,336
	574,200	Home Product Center Pcl (Foreign Registered) (a)		195,516
	238,500	Kasikornbank Pcl NVDR		1,016,954
	886,300	Land & Houses Pcl NVDR		202,784
	216,700	Pruksa Real Estate Pcl (Foreign Registered) (REIT) (a)		136,848
	92,200	Pruksa Real Estate Pcl NVDR (REIT)		58,225
	121,600	Robinson Department Store Pcl (Foreign Registered) (a)		158,317
	86,300	Siam Commercial Bank Pcl (Foreign Registered) (a)		343,271

6 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	624,000	Siam Global House Pcl NVDR		198,967
	23,800	Siam Makro Pcl (Foreign Registered) (a)		195,576
	249,300	Thanachart Capital Pcl (Foreign Registered) (a)		262,752
	253,200	Tisco Financial Group Pcl NVDR		346,461
	90,700	Total Access Communication Pcl NVDR		211,215
		Total Thailand		5,303,511
		Turkey — 1.3%
	210,019	Dogus Otomotiv Servis ve Ticaret AS *		495,068
		United States — 4.6%
	31,500	Yum! Brands, Inc.		1,712,655
		TOTAL COMMON STOCKS (COST $32,766,777)		34,011,231
		PREFERRED STOCKS — 1.7%
		Brazil — 1.7%
	40,700	AES Tiete SA 8.78%		575,511
	12,400	Randon Participacoes SA 3.32%		81,244
		Total Brazil		656,755
		TOTAL PREFERRED STOCKS (COST $661,066)		656,755
		INVESTMENT FUNDS — 2.3%
		United States — 2.3%
	20,000	Vanguard Emerging Markets ETF (b)		879,000
		TOTAL INVESTMENT FUNDS (COST $877,991)		879,000

See accompanying notes to the financial statements. 7

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		MUTUAL FUNDS — 3.6%
		United States — 3.6%
		Affiliated Issuers
	53,980	GMO U.S. Treasury Fund		1,350,031
		TOTAL MUTUAL FUNDS (COST $1,350,031)		1,350,031
		SHORT-TERM INVESTMENTS — 5.6%
		Time Deposits — 5.6%
USD	330,000	Bank of America (Charlotte) Time Deposit, 0.03%, due 09/01/11		330,000
HKD	37,681	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		4,839
SGD	21,105	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		17,525
USD	747,999	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.03%, due 09/01/11		747,999
ZAR	411	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.46%, due 09/01/11		59
USD	330,000	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		330,000
USD	330,000	HSBC Bank (New York) Time Deposit, 0.03%, due 09/01/11		330,000
USD	330,000	JPMorgan Chase (New York) Time Deposit, 0.03%, due 09/01/11		330,000
		Total Time Deposits		2,090,422
		TOTAL SHORT-TERM INVESTMENTS (COST $2,090,422)		2,090,422
		TOTAL INVESTMENTS — 103.7% (Cost $37,746,287)		38,987,439
		Other Assets and Liabilities (net) — (3.7%)		(1,406,685	)
		TOTAL NET ASSETS — 100.0%	$	37,580,754

Notes to Schedule of Investments:

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

8 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

REIT - Real Estate Investment Trust

*	Non-income producing security.
(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(b)	Represents an investment to obtain exposure in Emerging Markets. The Vanguard Emerging Markets ETF is a separate investment portfolio of Vanguard, Inc., a registered investment company. The Vanguard Emerging Markets ETF prospectus states that the fund invests substantially all (normally about 95%) of its assets in the common stocks included in the MSCI Emerging Market Index, while employing a form of sampling to reduce risk.

Currency Abbreviations:

HKD - Hong Kong Dollar

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

See accompanying notes to the financial statements. 9

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $36,396,256) (Note 2)	$	37,637,408
Investments in affiliated issuers, at value (cost $1,350,031) (Notes 2 and 10)		1,350,031
Dividends receivable		23,677
Foreign taxes receivable		910
Receivable for foreign currency sold		261,818
Receivable for expenses reimbursed by Manager (Note 5)		55,732
Miscellaneous receivable		14
Total assets		39,329,590
Liabilities:
Foreign currency due to custodian		158,923
Payable for investments purchased		1,372,030
Payable to affiliate for (Note 5):
Management fee		31,514
Shareholder service fee		2,772
Trustees and Trust Officers or agents unaffiliated with the Manager		20
Accrued expenses		183,577
Total liabilities		1,748,836
Net assets	$	37,580,754
Net assets consist of:
Paid-in capital	$	36,076,504
Accumulated undistributed net investment income		80,952
Accumulated net realized gain		188,286
Net unrealized appreciation		1,235,012
	$	37,580,754
Net assets attributable to:
Class II shares	$	20,840,336
Class V shares	$	16,740,418
Shares outstanding:
Class II		960,082
Class V		770,669
Net asset value per share:
Class II	$	21.71
Class V	$	21.72

10 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Statement of Operations — Period from March 1, 2011 (commencement of operations) through August 31, 2011 (Unaudited)

Investment Income:
Dividends (net of withholding taxes of $12,443)	$	146,696
Interest		313
Dividends from affiliated issuers (Note 10)		127
Total investment income		147,136
Expenses:
Management fee (Note 5)		47,273
Shareholder service fee – Class II (Note 5)		6,595
Shareholder service fee – Class V (Note 5)		2,810
Custodian and fund accounting agent fees		137,198
Audit and tax fees		42,273
Transfer agent fees		18,932
Registration fees		9,516
Legal fees		274
Trustees fees and related expenses (Note 5)		90
Miscellaneous		8,897
Total expenses		273,858
Fees and expenses reimbursed by Manager (Note 5)		(207,664	)
Expense reductions (Note 2)		(10	)
Net expenses		66,184
Net investment income (loss)		80,952
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		256,625
Realized gains distributions from affiliated issuers (Note 10)		12
Foreign currency, forward contracts and foreign currency related transactions (net of foreign transaction taxes of $55,728)		(68,351	)
Net realized gain (loss)		188,286
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of change in foreign capital gains tax of $6,189)		1,234,963
Foreign currency, forward contracts and foreign currency related transactions		49
Net unrealized gain (loss)		1,235,012
Net realized and unrealized gain (loss)		1,423,298
Net increase (decrease) in net assets resulting from operations	$	1,504,250

See accompanying notes to the financial statements. 11

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Period from
	March 1, 2011
	(commencement
	of operations)
	through
	August 31, 2011
	(Unaudited)
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	80,952
Net realized gain (loss)		188,286
Change in net unrealized appreciation (depreciation)		1,235,012
Net increase (decrease) in net assets from operations		1,504,250
Net share transactions (Note 9):
Class II		20,088,000
Class V		15,699,669
Increase (decrease) in net assets resulting from net share transactions		35,787,669
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		162,000
Class V		126,835
Increase in net assets resulting from purchase premiums and redemption fees		288,835
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		36,076,504
Total increase (decrease) in net assets		37,580,754
Net assets:
Beginning of period		—
End of period (including accumulated undistributed net investment income of $80,952)	$	37,580,754

12 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class II share outstanding throughout the period)

	Period from
	March 24, 2011
	(commencement
	of operations)
	through
	August 31, 2011
Net asset value, beginning of period	$	20.89
Income (loss) from investment operations:
Net investment income (loss)†		0.12
Net realized and unrealized gain (loss)		0.70
Total from investment operations		0.82
Net asset value, end of period	$	21.71
Total Return(a)		3.93	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	20,840
Net expenses to average daily net assets		1.11	%(b)(c)*
Net investment income (loss) to average daily net assets		1.19	%*
Portfolio turnover rate		264	%**††
Fees and expenses reimbursed by the Manager to average daily net assets:		2.99	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.53

(a)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
††	Calculation represents portfolio turnover of the Fund for the period from March 1, 2011 through August 31, 2011.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 13

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class V share outstanding throughout the period)

	Period from
	March 1, 2011
	(commencement
	of operations)
	through
	August 31, 2011
Net asset value, beginning of period	$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.15
Net realized and unrealized gain (loss)		1.57
Total from investment operations		1.72
Net asset value, end of period	$	21.72
Total Return(a)		8.60	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	16,740
Net expenses to average daily net assets		0.99	%(b)(c)*
Net investment income (loss) to average daily net assets		1.36	%*
Portfolio turnover rate		264	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		3.55	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.42

(a)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

14 See accompanying notes to the financial statements.

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Emerging Domestic Opportunities Fund (the “Fund”), commenced operations on March 1, 2011.

The Fund 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return. The Fund typically makes equity investments directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in companies whose prospects are linked to the internal (“domestic”) development and growth of the world’s non-developed markets (“emerging markets”), including companies that provide goods and services to emerging market consumers. “Emerging markets” include all markets that are not treated as “developed markets” in the MSCI World Index or MSCI EAFE Index.

The term “equity investments” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments related to emerging markets. The Fund’s investments are not limited to investments in companies located in any particular country or geographic region, and may include investments in companies located in developed markets (e.g., the U.S.) that are related to, or whose prospects are linked to, emerging markets. The Fund does not control risk relative to the MSCI Emerging Markets (“EM”) Index or any other securities index.

The Manager uses fundamental analysis to evaluate and select countries, sectors and companies that it believes are most likely to benefit from domestic growth in emerging markets. In evaluating and selecting investments, the Manager may consider many factors, including the Manager’s assessment of a country’s and/or sector’s fundamentals or growth prospects as well as a company’s positioning relative to its competitors.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives and exchange-traded funds (“ETFs”). The Manager also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include options, futures, warrants, swap contracts and reverse repurchase agreements. The Fund’s foreign currency exposure may differ from the currency exposure represented by its equity investments. In addition, the Fund may lend its portfolio securities.

15

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

During the period ended August 31, 2011, the Fund had two classes of shares outstanding: Class II and Class V. Each class of shares bears a different shareholder service fee.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 7.5% of net assets. The Fund classifies such securities (as defined below) as Level 3. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of

16

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		62.0	%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund used the following fair value techniques on Level 3 investments: Certain of the Fund’s securities in Thailand and India were valued at the local price as adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations.

17

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks
Brazil	$	3,288,132	$	—	$	—	$	3,288,132
China		1,312,481		6,672,716		—		7,985,197
India		246,864		3,202,220		133,598		3,582,682
Indonesia		—		3,349,161		—		3,349,161
Malaysia		—		833,515		—		833,515
Macau		—		173,694		—		173,694
Mexico		790,313		—		—		790,313
Russia		532,659		939,076		—		1,471,735
Singapore		—		143,558		—		143,558
South Africa		—		1,662,349		—		1,662,349
South Korea		—		2,537,553		—		2,537,553
Taiwan		—		682,108		—		682,108
Thailand		—		2,611,830		2,691,681		5,303,511
Turkey		—		495,068		—		495,068
United States		1,712,655		—		—		1,712,655
TOTAL COMMON STOCKS		7,883,104		23,302,848		2,825,279		34,011,231
Preferred Stocks
Brazil		656,755		—		—		656,755
TOTAL PREFERRED STOCKS		656,755		—		—		656,755
Investment Funds
United States		879,000		—		—		879,000
TOTAL INVESTMENT FUNDS		879,000		—		—		879,000

18

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds
United States	$	1,350,031	$	—	$	—	$	1,350,031
TOTAL MUTUAL FUNDS		1,350,031		—		—		1,350,031
Short-Term Investments		2,090,422		—		—		2,090,422
Total Investments		12,859,312		23,302,848		2,825,279		38,987,439
Total	$	12,859,312	$	23,302,848	$	2,825,279	$	38,987,439

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities using Level 3 inputs were 7.5% of total net assets.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

19

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

																					Net Change in
																					Unrealized
																					Appreciation
																					(Depreciation)
																					from
	Balances											Change in									Investments
	as of							Accrued		Total		Unrealized			Transfers		Transfers		Balances as of		Still Held as
	February 28,							Discounts/		Realized		Appreciation			in to		out of		August 31,		August 31,
	2011		Purchases		Sales			Premiums		Gain/(Loss)		(Depreciation)			Level 3*		Level 3*		2011		2011
Common Stocks
India	$	—	$	151,403	$	—		$	—	$	—	$	(17,805	)	$	—	$	—	$	133,598	$	(17,805	)
Thailand		—		2,693,489		(244,477	)		—		66,472		176,197			—		—		2,691,681		176,197
Total	$	—	$	2,844,892	$	(244,477	)	$	—	$	66,472	$	158,392		$	—	$	—	$	2,825,279	$	158,392

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

20

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of tax basis earnings and profits, if significant, are reported in the financial statements as a return of capital for tax purposes.

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

21

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	37,785,994	$	1,741,136	$	(539,691	)	$	1,201,445

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the period ended August 31, 2011.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

22

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.80% of the amount invested or redeemed. Purchase premiums and redemption fees are paid to and retained by the Fund and are allocated pro rata among the classes to help offset non-de minimis 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) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing fee, at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

23

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of value of those investments. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments related to emerging markets, the economies of which tend to be more volatile than the economies of developed markets.

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

24

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Focused Investment Risk — The Fund’s investments in companies whose prospects are linked to the internal development and growth of emerging markets create additional risk because the performance of those companies is likely to be highly correlated.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations. The Fund is also subject to risk because the Fund does not seek to control risk relative to a particular securities market index or benchmark.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

25

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

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

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

26

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect

27

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

28

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the 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 not collateralized. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. The Fund had no futures contracts outstanding at the end of the period.

Options

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

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is

29

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

30

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

31

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights and/or warrants at the end of the period.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.75% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.22% for Class II share sand 0.085% for Class V shares.

The Manager has contractually agreed to reimburse the Fund to the extent the Fund’s total annual operating expenses exceed 0.75% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means expenses incurred indirectly by investment in other GMO Funds, all or a portion of the Fund’s custodial fee (up to 10% per annum), fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment

32

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $90 and $12, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder	Indirect Shareholder
service fees)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011, aggregated $73,686,453 and $38,277,943, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 69.71% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 36.55% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

33

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Period from March 1, 2011
	(commencement of operations)
	through August 31, 2011 (Unaudited)
Class II:	Shares			Amount
Shares sold		960,082		$	20,088,000
Purchase premiums		—			162,000
Net increase (decrease)		960,082		$	20,250,000
	Period from March 24, 2011
	(commencement of operations)
	through August 31, 2011 (Unaudited)
Class V:	Shares			Amount
Shares sold		771,909		$	15,727,567
Shares repurchased		(1,240	)		(27,898	)
Purchase premiums		—			126,610
Redemption fees		—			225
Net increase (decrease)		770,669		$	15,826,504

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	—	$	11,040,141	$	9,690,371	$	127	$	12	$	1,350,031
Totals	$	—	$	11,040,141	$	9,690,371	$	127	$	12	$	1,350,031

34

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

Since the Fund only recently commenced operations, the Trustees were unable to consider its performance for a full fiscal year. However, the Trustees considered the qualifications and experience of the Emerging Markets Division personnel, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

The Trustees gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately

35

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

managed accounts. Since the Fund only recently commenced operations, the Trustees were unable to review the Manager’s profitability with respect to the Fund. The Trustees did, however, consider how the fees compared to fees paid by other funds of the Trust and so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees also considered that the fee charged under the Fund’s investment agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. As the Fund only recently commenced operations, the Trustees did not consider possible economies of scale to the Manager associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

36

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

37

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

38

GMO Emerging Domestic Opportunities Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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 premiums and redemption fees. Therefore, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class II
1) Actual		1.11	%	$	1,000.00	$	1,039.30	$	4.95	(a)
2) Hypothetical		1.11	%	$	1,000.00	$	1,019.56	$	5.63	(b)
Class V
1) Actual		0.99	%	$	1,000.00	$	1,086.00	$	5.16	(c)
2) Hypothetical		0.99	%	$	1,000.00	$	1,020.16	$	5.03	(b)

(a)	For the period March 24, 2011 (commencement of operations) through August 31, 2011. Expense is calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2011, multiplied by the average account value over the period, multiplied by 160 days in the period, divided by 366 days in the year.
(b)	Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.
(c)	For the period March 1, 2011 (commencement of operations) through August 31, 2011. Expense is calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the period ended August 31, 2011, multiplied by the average account value over the period, multiplied by 183 days in the period, divided by 366 days in the year.

39

GMO Emerging Markets Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Emerging Markets Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		86.2	%
Preferred Stocks		10.0
Short-Term Investments		1.0
Investment Funds		0.8
Mutual Funds		0.8
Debt Obligations		0.3
Swap Agreements		0.0	Ù
Other		0.9
		100.0	%

^Ù Rounds to 0.0%.

Country Summary*	% of Investments
Brazil		17.8	%
South Korea		16.4
China		14.5
Russia		13.6
Taiwan		9.4
Indonesia		5.1
Thailand		5.1
India		3.6
Poland		2.4
Turkey		2.4
South Africa		1.8
Egypt		1.6
Czech Republic		1.4
Hungary		1.2
Mexico		1.2
Philippines		0.9
Malaysia		0.5
United States		0.5
Chile		0.2
Kazakhstan		0.1
Macau		0.1
Morocco		0.1
Sri Lanka		0.1
		100.0	%

1

GMO Emerging Markets Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Industry Group Summary	% of Equity Investments**
Energy		21.3	%
Banks		16.3
Materials		15.6
Telecommunication Services		13.5
Semiconductors & Semiconductor Equipment		5.6
Utilities		3.9
Automobiles & Components		3.9
Technology Hardware & Equipment		3.3
Capital Goods		3.3
Software & Services		2.1
Food, Beverage & Tobacco		1.9
Diversified Financials		1.3
Insurance		1.2
Retailing		1.2
Real Estate		1.1
Food & Staples Retailing		0.9
Consumer Services		0.8
Consumer Durables & Apparel		0.8
Pharmaceuticals, Biotechnology & Life Sciences		0.6
Media		0.6
Health Care Equipment & Services		0.2
Household & Personal Products		0.2
Commercial & Professional Services		0.2
Miscellaneous		0.1
Transportation		0.1
		100.0	%

*

The table above 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 agreements and other derivative financial instruments, if any.

**

Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts and ETFs, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

2

GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 86.2%
		Brazil — 9.6%
	174,700	Arcos Dorados Holdings Inc Class A		4,816,479
	2,622,010	Banco Bradesco ADR		46,802,879
	10,616,200	Banco do Brasil SA		178,192,640
	1,714,900	BR Malls Participacoes SA		19,121,474
	1,665,000	Brasil Brokers Participacoes SA		8,053,584
	754,065	Brasil Telecom SA ADR		17,124,816
	393,780	Centrais Eletricas Brasileiras SA ADR		5,304,217
	969,470	Centrais Eletricas Brasileiras SA Sponsored ADR		10,111,572
	717,363	CETIP SA		11,220,767
	6,200	Cia de Bebidas das Americas ADR		178,622
	1,040,302	Cia de Saneamento Basico do Estado de Sao Paulo		30,060,866
	114,182	Cia de Saneamento Basico do Estado de Sao Paulo ADR		6,583,734
	1,008,500	Cia de Saneamento de Minas Gerais-Copasa MG		19,829,166
	222,100	Cia Paranaense de Energia Sponsored ADR		4,890,642
	696,600	Cielo SA		17,897,443
	235,860	Companhia de Bebidas das Americas		6,741,397
	1,033,100	Companhia Energetica de Minas Gerais Sponsored ADR		19,546,252
	966,500	Cyrela Brazil Realty SA		9,161,684
	1,280,592	Electrobras (Centro)		13,112,413
	497,700	Fleury SA		7,190,841
	698,100	Gafisa SA ADR		6,576,102
	2,485,600	Gerdau SA		17,846,855
	935,700	Gerdau SA Sponsored ADR		8,075,091
	5,803,950	Itau Unibanco Holding SA ADR		105,399,732
	1,498,600	Light SA		25,794,108
	970,900	LPS Brasil Consultoria de Imoveis SA		21,316,009
	901,300	Multiplus SA		15,116,973
	886,600	PDG Realty SA Empreendimentos e Participacoes		4,360,876
	6,080,590	Petroleo Brasileiro SA (Petrobras) ADR		176,641,139
	321,300	Porto Seguro SA		3,996,319
	1,748,200	Redecard SA		26,905,522
	705,960	Telecomunicacoes de Sao Paulo SA ADR		22,428,349
	146,503	Tim Participacoes SA ADR		4,562,103

See accompanying notes to the financial statements. 3

GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Brazil — continued
	911,100	Ultrapar Participacoes SA		15,905,188
	59,900	Ultrapar Participacoes SA Sponsored ADR		1,062,626
	22,700	Usinas Siderurgicas de Minas Gerais SA Sponsored ADR		170,931
	1,723,800	Vale SA		48,511,992
	4,891,900	Vale SA Sponsored ADR		138,147,256
		Total Brazil		1,078,758,659
		Chile — 0.1%
	714,773	Empresa National de Telecomunicaciones SA		15,804,649
	34,654,284	Madeco SA *		1,689,519
		Total Chile		17,494,168
		China — 14.0%
	8,532,000	Agile Property Holdings Ltd		11,589,920
	27,414,940	Agricultural Bank of China Ltd Class H		13,225,097
	2,854,000	Ajisen China Holdings Ltd		4,333,245
	2,015,500	Anhui Conch Cement Co Ltd Class H		8,441,457
	85,500	Baidu Inc Sponsored ADR *		12,464,190
	182,212,640	Bank of China Ltd Class H		75,575,190
	36,491,480	Bank of Communications Co Ltd Class H		27,085,838
	6,945,000	Belle International Holdings Ltd		14,280,154
	11,528,200	Changsha Zoomlion Heavy Industry Science and Technology Development Co Ltd Class H		19,910,310
	31,305,000	China CITIC Bank Class H *		16,867,271
	11,569,700	China Coal Energy Co Class H		15,605,955
	18,767,700	China Communication Services Corp Ltd Class H		9,527,631
	15,121,800	China Communications Construction Co Ltd Class H		10,996,577
	76,944,099	China Construction Bank Class H		57,263,838
	44,600	China Life Insurance Co Ltd ADR		1,693,016
	3,175,000	China Life Insurance Co Ltd Class H		8,048,413
	196,200	China Lodging Group Ltd Sponsored ADR *		3,258,882
	2,048,000	China Mengniu Dairy Co Ltd		7,339,506
	10,177,000	China Minsheng Banking Corp Ltd		8,442,248
	24,804,942	China Mobile Ltd		253,718,650

4 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, 2011 (Unaudited)

Shares		Description	Value ($)
		China — continued
	330,300	China Mobile Ltd Sponsored ADR		16,901,451
	6,640,000	China National Building Material Co Ltd Class H		11,206,411
	1,210,140	China Ocean Resources Co Ltd		7,477,820
	61,400	China Petroleum & Chemical Corp ADR		6,049,128
	131,623,351	China Petroleum & Chemical Corp Class H		129,681,100
	9,466,000	China Shenhua Energy Co Ltd Class H		44,190,065
	34,595,000	China Shipping Container Lines Co Ltd Class H *		7,974,630
	26,500	China Telecom Corp Ltd ADR		1,747,145
	120,166,000	China Telecom Corp Ltd Class H		79,022,335
	4,656,400	China Ting Group Holding Ltd		466,197
	28,155,900	China Unicom Hong Kong Ltd		59,005,535
	1,657,600	China Unicom Hong Kong Ltd ADR		35,058,240
	8,184,400	Citic Pacific Ltd		16,635,793
	7,496,000	CNOOC Ltd		15,238,473
	36,020	CNOOC Ltd ADR		7,318,904
	6,574,000	Dah Chong Hong Holdings Ltd		9,236,625
	5,499,500	Digital China Holdings Ltd		9,387,512
	13,364,000	Dongfeng Motor Group Co Ltd Class H		21,412,644
	5,570,000	Galaxy Entertainment Group Ltd *		13,950,259
	20,460,000	GCL-Poly Energy Holdings Ltd		9,101,346
	33,444,000	GOME Electrical Appliances Holdings Ltd		14,506,269
	5,086,500	Great Wall Motor Co Ltd Class H		7,367,339
	4,428,000	Haier Electronics Group Co Ltd *		5,012,479
	21,080,100	Haitian International Holdings Ltd		19,539,685
	4,954,000	Harbin Power Equipment Co Ltd		6,301,348
	2,126,000	Hengan International Group Co Ltd		18,234,285
	13,384,000	Hengdeli Holdings Ltd		6,466,728
	106,700	Home Inns & Hotels Management Inc ADR *		4,080,208
	12,902,440	Hopson Development Holdings Ltd		10,402,694
	145,005,000	Industrial and Commercial Bank of China Ltd Class H		95,485,267
	2,135,500	Intime Department Store Group Co Ltd		3,380,075
	11,402,900	Jiangxi Copper Co Ltd Class H		32,834,113
	15,094,000	Kingdee International Software Group Co Ltd		6,145,869
	5,776,000	Kunlun Energy Company Ltd		8,948,356

See accompanying notes to the financial statements. 5

GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		China — continued
	4,236,160	Lianhua Supermarket Holdings Co Ltd		7,252,985
	2,742,000	Longfor Properties		3,982,293
	872,800	MGM China Holdings Ltd *		1,692,722
	5,952,700	Minth Group Ltd		6,628,264
	3,974,000	NVC Lighting Holdings Ltd		1,800,230
	6,356,172	Peace Mark Holdings Ltd * (a) (b)		—
	92,200	PetroChina Co Ltd ADR		11,847,700
	68,884,301	PetroChina Co Ltd Class H		87,586,174
	7,072,000	PICC Property & Casualty Co Ltd Class H		12,500,337
	3,299,000	Ping An Insurance (Group) Co of China Ltd Class H		26,457,802
	8,365,500	Sany Heavy Equipment International Holdings Co Ltd		8,333,795
	9,055,000	Sun Art Retail Group Ltd *		11,420,731
	4,079,700	Suntech Power Holdings Co Ltd ADR *		21,418,425
	5,546,000	Tingyi (Cayman Islands) Holding Corp		15,641,486
	3,204,000	Trinity Ltd		3,343,667
	18,109,000	Want Want China Holdings Ltd		15,052,953
	2,462,600	Weichai Power Co Ltd Class H		12,308,499
	5,057,400	Yanzhou Coal Mining Co Ltd Class H		14,734,293
	120,200	Yanzhou Coal Mining Co Ltd Sponsored ADR		3,493,012
		Total China		1,584,929,084
		Czech Republic — 1.3%
	1,997,442	CEZ AS		93,745,564
	154,900	Komercni Banka AS		32,631,230
	175,730	Pegas Nonwovens SA		4,813,114
	10,453	Philip Morris CR AS		6,585,571
	504,330	Telefonica 02 Czech Republic AS		12,891,233
		Total Czech Republic		150,666,712
		Egypt — 1.5%
	1,384,356	Alexandria Mineral Oils Co		15,180,673
	9,183,853	Arab Cotton Ginning		6,513,945
	6,043,724	Commercial International Bank		28,103,794
	47,687	EFG-Hermes Holding GDR *		262,950

6 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, 2011 (Unaudited)

Shares		Description	Value ($)
		Egypt — continued
	2,406,616	EFG-Hermes Holding SAE *		6,656,778
	440,755	Egyptian Co for Mobile Services		7,354,397
	1,209,203	ElSwedy Electric Co		5,450,942
	519,950	Orascom Construction Industries		20,996,255
	34,671	Orascom Construction Industries GDR		1,414,336
	22,042,052	Orascom Telecom Holding SAE *		13,139,144
	4,705,236	Orascom Telecom Holding SAE GDR (Registered Shares) *		13,956,163
	6,019,913	Sidi Kerir Petrochemicals Co		13,822,537
	9,606,106	South Valley Cement		6,349,565
	12,772,062	Talaat Moustafa Group *		8,495,463
	9,641,469	Telecom Egypt		24,359,272
		Total Egypt		172,056,214
		Hungary — 1.2%
	56,631	Egis Gyogyszergyar Nyrt		4,786,047
	5,980,185	Magyar Telekom Nyrt		16,068,075
	4,780,863	OTP Bank Nyrt		104,454,420
	42,444	Richter Gedeon Nyrt		7,847,863
		Total Hungary		133,156,405
		India — 3.5%
	502,627	Aban Offshore Ltd		4,175,133
	2,615,258	Aurobindo Pharma Ltd		7,208,946
	149,745	Bayer Cropscience Ltd		2,610,161
	2,838,553	Bharti Airtel Ltd		24,995,438
	168,601	CMC Ltd		3,453,965
	2,589,614	Coal India Ltd		21,184,935
	473,067	Coromandel International Ltd		3,182,658
	1,941,043	Dish TV India Ltd *		3,350,322
	63,607	Glaxo SmithKline Consumer Healthcare Ltd		3,319,073
	461,301	Grasim Industries Ltd * (a)		22,874,674
	117,600	HDFC Bank Ltd ADR		3,923,136
	8,736,910	Hexaware Technologies Ltd		14,567,957
	973,259	HSIL Ltd		4,339,901

See accompanying notes to the financial statements. 7

GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		India — continued
	3,172,808	Idea Cellular Ltd *		6,927,173
	1,783,935	Indraprastha Gas Ltd		16,773,162
	1,116,939	IndusInd Bank Ltd (a)		5,985,605
	90,546	Infosys Technologies Ltd		4,675,633
	483,590	Infosys Technologies Ltd Sponsored ADR		24,962,916
	1,683,941	Ipca Laboratories Ltd		11,356,245
	210,383	Jubilant Foodworks Ltd *		4,364,099
	1,199,857	Kiri Industries Ltd (c)		4,093,323
	362,422	MedQuist Holdings, Inc. *		2,989,981
	887,692	Mphasis Ltd		6,882,888
	104,695	Nestle India Ltd		10,014,348
	2,927,378	Oil & Natural Gas Corp Ltd		16,811,266
	3,325,874	Petronet LNG Ltd		12,633,392
	1,155,631	Rallis India Ltd		4,226,171
	908,630	Reliance Industries Ltd		15,586,300
	46,756	Reliance Industries Ltd Sponsored GDR 144A		1,615,041
	5,379,456	Sesa Goa Ltd		27,779,637
	7,523,338	Shree Renuka Sugars Ltd		9,493,811
	2,203,819	Sterlite Industries India Ltd		6,295,280
	413,600	Sterlite Industries India Ltd ADR		4,793,624
	2,151,941	Tata Consultancy Services Ltd		49,090,494
	754,173	Tata Steel Ltd		7,718,589
	582,481	Torrent Pharmaceuticals Ltd		7,626,193
	2,723,279	Welspun Corp Ltd		7,326,767
	467,183	Whirlpool of India Ltd *		2,249,074
		Total India		391,457,311
		Indonesia — 5.0%
	29,433,500	AKR Corporindo Tbk PT		9,463,201
	1,677,000	Astra Agro Lestari Tbk PT		4,354,646
	22,187,000	Astra International Tbk PT		177,974,266
	209,747,275	Bakrie Telecom Tbk PT *		9,312,603
	35,117,500	Bank Bukopin Tbk PT		2,926,249
	11,494,500	Bank Central Asia Tbk PT		11,088,043

8 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, 2011 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	10,997,500	Bank Danamon Indonesia Tbk PT		6,914,057
	54,727,702	Bank Mandiri Tbk PT		45,462,634
	25,558,500	Bank Negara Indonesia (Persero) Tbk PT		12,767,414
	66,128,500	Bank Rakyat Tbk PT		52,933,725
	52,876,500	Gajah Tunggal Tbk PT		18,710,405
	67,208,000	Global Mediacom Tbk PT		6,249,813
	31,629,050	Indofood Sukses Makmur Tbk PT		23,064,378
	48,770,000	Kalbe Farma Tbk PT		20,550,904
	7,952,000	Matahari Putra Prima Tbk PT		1,122,752
	60,883,500	Media Nusantara Citra Tbk PT		7,275,688
	41,445,000	Perusahaan Gas Negara PT		14,914,517
	4,938,000	Straits Asia Resources Ltd		11,179,549
	5,650,500	Tambang Batubara Bukit Asam Tbk PT		12,985,520
	55,444,000	Telekomunikasi Indonesia Tbk PT		47,901,891
	329,500	Telekomunikasi Indonesia Tbk PT Sponsored ADR		11,275,490
	17,786,612	United Tractors Tbk PT		50,711,033
		Total Indonesia		559,138,778
		Kazakhstan — 0.1%
	814,101	KazMunaiGas Exploration Production GDR		13,777,529
		Macau — 0.1%
	3,198,000	Wynn Macau Ltd		10,286,529
		Malaysia — 0.5%
	8,125,900	AMMB Holdings Berhad		17,453,256
	4,233,000	Genting Berhad		13,492,246
	2,688,399	Hong Leong Bank Berhad		11,142,797
	8,720,936	Lion Industries Corp Berhad		4,500,866
	2,037,027	Shangri-La Hotels Berhad		1,754,897
	3,766,200	UMW Holdings Berhad		9,211,600
		Total Malaysia		57,555,662

See accompanying notes to the financial statements. 9

GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Mexico — 1.1%
	19,817,000	America Movil SAB de CV Class L		25,376,759
	1,517,300	America Movil SAB de CV Class L ADR		38,782,188
	148,000	First Cash Financial Services, Inc *		6,913,080
	731,000	Grupo Financiero Banorte SAB de CV Class O		2,959,334
	209,900	Grupo Televisa SA Sponsored ADR		4,626,196
	2,633,800	Grupo Televisa SA-Series CPO		11,695,674
	2,189,820	Telefonos de Mexico SAB de CV Class L Sponsored ADR		37,467,820
		Total Mexico		127,821,051
		Morocco — 0.1%
	741,088	Maroc Telecom		13,565,942
		Philippines — 0.9%
	3,385,240	BDO Unibank, Inc.		4,719,763
	95,813,100	Lopez Holding Corp *		11,379,748
	5,492,432	Metropolitan Bank & Trust Co		9,522,123
	756,930	Philippine Long Distance Telephone Co		42,377,316
	367,200	Philippine Long Distance Telephone Co Sponsored ADR		21,172,752
	11,861,500	Universal Robina Corp		11,143,828
	7,040,800	Vista Land & Lifescapes Inc		534,250
		Total Philippines		100,849,780
		Poland — 2.1%
	339,714	Asseco Poland SA		5,008,031
	1,047,868	Grupa Lotos SA *		11,214,591
	2,578,311	KGHM Polska Miedz SA		156,462,303
	3,233,922	PGE SA		23,151,640
	954,619	Polski Koncern Naftowy Orlen SA *		13,152,557
	5,210,632	Synthos SA		9,436,359
	7,638,616	Tauron Polska Energia SA		14,145,960
		Total Poland		232,571,441
		Russia — 11.8%
	138,966	Bashneft OAO Class S		7,049,875
	1,648,382	Gazprom Neft Class S		7,224,186

10 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, 2011 (Unaudited)

Shares		Description	Value ($)
		Russia — continued
	363,341	Gazprom Neft JSC Sponsored ADR		7,965,110
	40,123,309	Gazprom OAO Sponsored ADR		498,572,599
	3,976,555	Lukoil OAO ADR		239,102,207
	1,281,871	Magnit OJSC Sponsored GDR (Registered Shares)		30,419,213
	892,861	Magnitogorsk Iron & Steel Works Sponsored GDR (Registered Shares)		7,103,073
	676,470	Mechel Sponsored ADR		12,758,224
	2,358,570	MMC Norilsk Nickel JSC ADR		59,051,659
	502,960	Mobile Telesystems Sponsored ADR		8,515,113
	457,966	NovaTek OAO Sponsored GDR (Registered Shares)		62,255,894
	1,967,066	OAO Tatneft Sponsored GDR (Registered Shares)		66,776,821
	175,155	Pharmstandard GDR (Registered Shares) *		3,507,034
	19,533,421	Rosneft OJSC GDR (Registered Shares)		153,826,511
	2,427,101	Rostelecom *		15,814,883
	135,000	Russia Petroleum Class S * (a)		1,350
	3	Sberbank Class S		9
	4,146,449	Sberbank Sponsored ADR		49,301,279
	6,237,210	Surgutneftegas Sponsored ADR		53,176,831
	989,978	Tatneft		5,404,137
	4,143,800	United Co RUSAL Plc *		4,523,843
	725,820	Uralkali Sponsored GDR (Registered Shares)		36,569,375
		Total Russia		1,328,919,226
		South Africa — 1.8%
	787,110	Absa Group Ltd		15,666,310
	90,330	African Bank Investments Ltd		457,881
	10,602,959	Blue Label Telecoms Ltd		7,443,881
	10,266,470	FirstRand Ltd		29,554,749
	1,190,489	Growthpoint Properties Ltd		3,261,204
	2,128,245	MTN Group Ltd		43,780,470
	225,602	Nedbank Group Ltd		4,578,430
	356,099	Remgro Ltd		5,799,920
	1,454,894	Sanlam Ltd		5,665,110
	854,137	Shoprite Holdings Ltd		13,442,401
	4,961,571	Telkom South Africa Ltd		25,369,374

See accompanying notes to the financial statements. 11

GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	208,783	Tiger Brands Ltd		6,091,819
	1,209,493	Vodacom Group Ltd		15,602,255
	1,646,095	Wilson Bayly Holmes-Ovcon Ltd		23,950,398
		Total South Africa		200,664,202
		South Korea — 15.0%
	1,081,495	BS Financial Group Inc *		13,541,661
	497,910	Cheil Worldwide Inc		7,357,061
	49,547	CJ CheilJedang Corp		15,239,563
	39,403	Daum Communications Corp		4,716,605
	1,280,822	DGB Financial Group Inc *		18,608,746
	373,869	Dongbu Insurance Co Ltd		18,201,882
	457,360	Dongkuk Steel Mill Co Ltd		13,187,887
	289,126	Edu Ark Co Ltd * (a)		—
	452,035	Finetex EnE Inc *		880,120
	1,516,640	Foosung Co Ltd *		10,360,984
	458,921	GS Holdings Corp		31,406,188
	57,213	GS Home Shopping Inc		6,956,701
	1,440,789	Hana Financial Group Inc		48,875,751
	352,527	Hanwha Chemical Corp		12,253,136
	813,975	Hanwha Corp		30,883,209
	30,727	Honam Petrochemical Corp		10,369,159
	1,608,540	Hynix Semiconductor Inc		29,049,981
	254,694	Hyosung Corp		18,933,835
	118,452	Hyundai Heavy Industries Co Ltd		38,842,313
	396,154	Hyundai Hysco		17,912,627
	243,550	Hyundai Marine & Fire Insurance Co Ltd		7,747,309
	137,977	Hyundai Mipo Dockyard		17,875,954
	225,123	Hyundai Mobis		71,774,534
	271,165	Hyundai Motor Co		52,070,068
	179,243	Hyundai Steel Co		18,373,414
	3,457,522	In the F Co Ltd * (c)		2,649,962
	3,324,454	Industrial Bank of Korea		50,300,653
	987,045	Kangwon Land Inc		25,843,994

12 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, 2011 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	688,236	KB Financial Group Inc		28,549,082
	29,403	KCC Corp		8,259,150
	498,419	Kia Motors Corp		33,296,372
	1,125,405	KleanNara Co Ltd *		5,203,496
	205,850	Kolon Corp		6,522,970
	81,916	Kolon Industries Inc		8,797,032
	4,334,198	Korea Exchange Bank		33,003,638
	381,261	Korea Investment Holdings Co Ltd		13,931,736
	44,522	Korea Kumho Petrochemical Co Ltd		7,685,487
	61,435	Korea Zinc Co Ltd		24,323,908
	501,226	KT Corp		17,324,880
	614,400	KT Corp Sponsored ADR		10,500,096
	910,307	KT&G Corp		58,677,983
	16,560	LG Chem Ltd		5,922,769
	3,323,362	LG Uplus Corp		15,608,980
	46,475	Lotte Shopping Co Ltd		19,115,938
	44,337	NCSoft Corp		14,608,639
	58,363	NHN Corp *		11,450,170
	17,492	OCI Company Ltd		5,149,620
	7,054	ORION Corp		3,502,642
	295,479	POSCO		112,428,167
	43,000	POSCO ADR		4,091,020
	504,840	Pumyang Construction Co Ltd *		1,333,364
	132,843	S-Oil Corp		15,309,679
	61,583	Samsung Engineering Co Ltd		14,021,669
	151,928	Samsung Fire & Marine Insurance Co Ltd		32,891,166
	70,593	Samsung SDI Co Ltd		9,355,642
	329,093	Samsung Electronics Co Ltd		231,103,590
	68,346	Seah Besteel Corp		4,229,454
	2,001,907	Shinhan Financial Group Co Ltd		84,604,459
	24,800	Shinsegae Co Ltd		7,450,191
	574,332	Simm Tech Co Ltd		6,576,382
	185,023	SK C&C Co Ltd		24,673,010
	54,837	SK Chemicals Co Ltd		4,220,060

See accompanying notes to the financial statements. 13

GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	35,122	SK Innovation Co Ltd		5,627,179
	438,628	SK Telecom Co Ltd		63,841,766
	1,785,600	SK Telecom Co Ltd ADR		28,712,448
	86,734	SKC Co Ltd		4,705,202
	262,658	SK Holdings Co Ltd		40,850,892
	1,329,260	Tong Yang Securities Inc		6,613,175
	3,579,890	Woori Finance Holdings Co Ltd		40,136,289
	594,100	Woori Investment & Securities Co Ltd		8,418,322
	570,032	Youngone Corp		9,714,827
		Total South Korea		1,686,555,838
		Sri Lanka — 0.1%
	20,990,000	Anilana Hotel & Properties (a) (d)		1,909,918
	5,781,854	Hatton National Bank Plc		11,443,072
	413,967	Hatton National Bank Plc (Non Voting)		423,599
		Total Sri Lanka		13,776,589
		Taiwan — 9.1%
	3,963,600	Advantech Co Ltd		11,484,037
	6,933,960	Asia Cement Corp		9,226,117
	4,804,070	Asustek Computer Inc		40,854,644
	8,281,229	Catcher Technology Co Ltd		65,503,813
	1,244,262	Cheng Uei Precision Industry Co Ltd		3,520,665
	14,176,000	China Life Insurance Co Ltd.		18,213,766
	13,477,700	China Petrochemical Development Corp		19,897,559
	43,872,802	China Steel Corp		47,856,970
	26,812,660	Chinatrust Financial Holding Co Ltd		22,033,387
	32,767,329	Chunghwa Telecom Co Ltd		113,151,800
	301,700	Chunghwa Telecom Co Ltd ADR		10,490,109
	55,234,311	Compal Electronics Inc		59,679,505
	1,749,000	Dynapack International Technology Corp		6,652,026
	19,033,994	Far Eastone Telecommunications Co Ltd		30,497,463
	3,348,000	Formosa Chemicals & Fibre Co		10,243,529
	1,255,792	Formosa Petrochemical Corp		3,673,965

14 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, 2011 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	1,799,700	Foxconn Technology Co Ltd		6,425,411
	2,720,503	Genesis Photonics Inc *		4,950,954
	5,558,732	Gintech Energy Corp		8,303,767
	9,577,000	Grand Pacific Petrochemical Corp		5,708,689
	2,620,000	Highwealth Construction Corp		5,066,059
	7,745,312	Hon Hai Precision Industry Co Ltd		19,737,743
	354,188	HTC Corp		9,332,908
	3,212,000	Kinsus Interconnect Technology Corp		11,706,008
	317,000	Largan Precision Co Ltd		9,126,090
	12,331,349	Lite-On Technology Corp		13,449,387
	36,615,000	Macronix International Co Ltd		15,518,043
	37,485,000	Mega Financial Holding Co Ltd		33,363,746
	20,259,697	Nan Ya Plastics Corp		48,576,749
	5,311,000	Neo Solar Power Corp		5,436,019
	4,449,658	Novatek Microelectronics Corp Ltd		11,772,206
	6,878,438	Pegatron Corp *		6,707,032
	4,826,000	Polaris Securities Co Ltd		3,454,562
	6,742,749	Powertech Technology Inc		16,342,027
	27,592,290	Quanta Computer Inc		56,340,424
	6,927,660	Radiant Opto-Electronics Corp		22,995,679
	636,000	Senao International Co Ltd		2,761,764
	38,490,923	Taishin Financial Holding Co Ltd		17,521,019
	11,912,000	Taiwan Cement Corp		15,999,074
	86,354	Taiwan Glass Industrial Corp		112,513
	8,309,640	Taiwan Mobile Co Ltd		22,568,960
	39,017,044	Taiwan Semiconductor Manufacturing Co Ltd		93,569,829
	225,700	TPK Holding Co Ltd *		5,526,240
	3,704,200	TSRC Corp		9,432,159
	66,235,000	United Microelectronics Corp		25,998,231
	1,119,400	United Microelectronics Corp Sponsored ADR		2,227,606
	23,724,205	Wistron Corp		29,826,121
	9,268,170	Yungtay Engineering Co Ltd		16,561,535
		Total Taiwan		1,029,397,909

See accompanying notes to the financial statements. 15

GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Thailand — 4.9%
	11,009,390	Advanced Info Service Pcl (Foreign Registered) (a)		41,668,828
	69,525,428	Asian Property Development Pcl (Foreign Registered) (a)		14,058,858
	62,000	Bangkok Bank Pcl (Foreign Registered) (a)		338,945
	7,090,610	Bangkok Bank Pcl NVDR		37,933,546
	7,341,786	Bangkok Dusit Medical Service Pcl (Foreign Registered) (a)		15,451,242
	419,350	Banpu Pcl (Foreign Registered) (a)		8,862,526
	7,099,700	BEC World Pcl (Foreign Registered) (a)		9,598,321
	9,171,400	Charoen Pokphand Foods Pcl (Foreign Registered) (a)		9,643,022
	4,414,100	CP ALL Pcl (Foreign Registered) (a)		7,558,545
	4,410,750	Electricity Generating Pcl (Foreign Registered) (a)		13,541,023
	14,594,100	Esso Thailand Pcl (Foreign Registered) (a)		5,019,237
	8,699,600	Glow Energy Pcl (Foreign Registered) (a)		15,741,003
	60,879,800	Hemaraj Land and Development Pcl (Foreign Registered) (a)		4,677,947
	37,382,000	Home Product Center Pcl (Foreign Registered) (a)		12,728,641
	4,746,000	Indorama Ventures Pcl (Foreign Registered) (a)		6,106,285
	3,766,120	Kasikornbank Pcl (Foreign Registered) (a)		15,995,599
	6,943,200	Kasikornbank Pcl NVDR		29,605,506
	10,454,200	Krung Thai Bank Pcl (Foreign Registered) (a)		6,669,240
	6,081,100	Pruksa Real Estate Pcl (Foreign Registered) (a)		3,840,267
	10,737,570	PTT Pcl (Foreign Registered)		118,074,398
	15,100,650	Robinson Department Store Pcl (Foreign Registered) (a)		19,660,266
	12,578,000	Saha Pathana International Holding Pcl (Foreign Registered) (a)		9,396,666
	2,485,428	Siam Cement Pcl (Foreign Registered) (a)		31,370,283
	1,278,000	Siam Cement Pcl NVDR		14,252,884
	11,747,180	Siam Commercial Bank Pcl (Foreign Registered) (a)		46,726,122
	2,548,700	Siam Global House Pcl (Foreign Registered)		812,672
	238,100	Siam Global House Pcl NVDR (a)		75,920
	3,108,050	Star Block Co Ltd (Foreign Registered) * (a) (b) (c)		—
	20	Thai Oil Pcl (Foreign Registered) (a)		45
	27,011,302	Thai Tap Water Supply Pcl (Foreign Registered) (a)		4,646,139
	16,876,200	Thanachart Capital Pcl (Foreign Registered) (a)		17,786,842
	4,012,600	Tisco Financial Group Pcl NVDR		5,490,554

16 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, 2011 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	4,190,200	Total Access Communication Pcl NVDR		9,757,830
	36,587,900	TPI Polene Pcl (Foreign Registered) (a)		15,774,279
		Total Thailand		552,863,481
		Turkey — 2.4%
	3,900,429	Akenerji Elektrik Uretim AS *		8,240,188
	2,098,397	Aygaz AS		10,463,897
	8,776,857	Dogus Otomotiv Servis ve Ticaret AS *		20,689,264
	3,938,327	Emlak Konut Gayrimenkul Yatirim Ortakligi		5,170,813
	5,997,856	Eregli Demir ve Celik Fabrikalari TAS		11,722,387
	1,275,944	Ford Otomotiv Sanayi AS		8,604,771
	2,384,960	Haci Omer Sabanci Holding AS		8,626,387
	5,293,585	Izmir Demir Celik Sanayii AS *		10,675,170
	16,750,165	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS Class D *		8,333,782
	4,616,296	Koza Anadolu Metal Madencilik Isletmeleri AS *		11,739,213
	42,150	Medya Holding AS (a) (b)		—
	1,619,001	Tupras-Turkiye Petrol Rafineriler AS		31,025,728
	9,942,558	Turk Telekomunikasyon AS		45,838,692
	5,911,584	Turkcell Iletisim Hizmet AS *		26,527,728
	132,500	Turkcell Iletisim Hizmetleri AS ADR *		1,491,950
	4,832,425	Turkiye Garanti Bankasi		17,894,119
	13,022,627	Turkiye Sise ve Cam Fabrikalari AS		24,565,941
	3,904,271	Turkiye Vakiflar Bankasi TAO Class D		7,149,655
	1,315,805	Turkiye Halk Bankasi AS		8,310,637
		Total Turkey		267,070,322
		TOTAL COMMON STOCKS (COST $9,687,887,943)		9,723,332,832
		PREFERRED STOCKS — 10.0%
		Brazil — 7.7%
	1,528,500	AES Tiete SA 8.78%		21,613,503
	4,593,571	Banco Bradesco SA 0.68%		81,229,363
	1,914,500	Banco do Estado do Rio Grande do Sul SA Class B 0.65%		20,721,675
	1,253,100	Bradespar SA 4.26%		27,826,550

See accompanying notes to the financial statements. 17

GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Brazil — continued
	2,311,300	Brasil Telecom SA 2.50%		17,350,358
	1,178,500	Braskem SA, Class A 4.41%		13,991,865
	1,739,300	Centrais Eletricas Brasileiras SA Class B 8.10%		23,097,432
	585,180	Cia Energetica de Minas Gerais 5.94%		10,844,155
	183,600	Companhia Paranaense de Energia Class B 0.89%		4,036,686
	961,500	Eletropaulo Metropolitana SA 12.77%		16,990,386
	912,900	Gerdau SA 1.75%		7,799,133
	5,795,841	Itausa-Investimentos Itau SA 0.57%		34,879,174
	2,281,500	Metalurgica Gerdau SA 2.33%		24,607,925
	1,615,404	Petroleo Brasileiro SA (Petrobras) 0.62%		21,107,107
	6,976,060	Petroleo Brasileiro SA Sponsored ADR 0.56%		185,911,999
	922,400	Randon Participacoes SA 3.32%		6,043,490
	2,133,800	Tele Norte Leste Participacoes ADR 3.83%		27,952,780
	5,969,500	Usinas Siderrurgicas de Minas Gerais SA Class A 4.83%		44,999,058
	592,008	Vale SA Class A 3.03%		15,117,234
	10,144,010	Vale SA Preference A Sponsored ADR 5.74%		262,019,778
		Total Brazil		868,139,651
		Russia — 1.4%
	12,936,187	Sberbank		31,833,537
	92,280,199	Surgutneftegaz Class S 10.51%		44,568,845
	12,100	Surgutneftegaz Sponsored ADR 8.49%		58,685
	2,622,835	TNK BP Holding 9.19%		6,772,477
	51,439	Transneft 0.82%		70,479,306
		Total Russia		153,712,850
		South Korea — 0.9%
	267,730	Hyundai Motor Co 2.35%		17,156,728
	176,232	Samsung Electronics Co Ltd (Non Voting) 0.99%		90,628,093
		Total South Korea		107,784,821
		TOTAL PREFERRED STOCKS (COST $1,151,985,151)		1,129,637,322

18 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, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		INVESTMENT FUNDS — 0.8%
		China — 0.1%
	199,464	Martin Currie China A Share Fund Ltd Class B * (a) (d)		8,173,451
	25,045	Martin Currie China A Share Fund Ltd Class S * (a) (d)		1,586,374
	245,374	Martin Currie China A Share Fund Ltd Class S * (a) (d)		2,204,561
		Total China		11,964,386
		India — 0.1%
	11,806	Fire Capital Mauritius Private Fund * (a) (d)		11,623,925
	1,371,900	TDA India Technology Fund II LP * (a) (d)		1,621,292
		Total India		13,245,217
		Poland — 0.0%
	1,749,150	Templeton EE FD * (a) (d)		241,948
		Russia — 0.1%
	9,500,000	NCH Eagle Fund LP * (a) (d)		10,063,606
	2,769	Steep Rock Russia Fund LP * (a) (d)		723,402
		Total Russia		10,787,008
		Ukraine — 0.0%
	16,667	Societe Generale Thalmann Ukraine Fund * (a) (d) (e)		4,000
		United States — 0.5%
	1,114,103	Vanguard Emerging Markets ETF (f)		48,964,827
		TOTAL INVESTMENT FUNDS (COST $77,107,872)		85,207,386
		DEBT OBLIGATIONS — 0.3%
		Poland — 0.2%
PLN	100,677,888	TRI Media Secured Term Note, 5.70% , due 02/07/13 (a) (d)		28,753,186

See accompanying notes to the financial statements. 19

GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value /
Shares		Description	Value ($)
		United States — 0.1%
USD	7,953,374	U.S. Treasury Inflation Indexed Note, 2.00% , due 04/15/12 (g)		8,070,814
		TOTAL DEBT OBLIGATIONS (COST $37,613,907)		36,824,000
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers
	8,064	GMO Special Purpose Holding Fund (h)		3,467
	3,550,724	GMO U.S. Treasury Fund		88,803,615
		TOTAL MUTUAL FUNDS (COST $88,803,615)		88,807,082
		SHORT-TERM INVESTMENTS — 1.0%
		Time Deposits — 1.0%
USD	44,600,000	BNP Paribas (Grand Cayman) Time Deposit, 0.12%, due 09/01/11		44,600,000
EUR	9	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.13%, due 09/01/11		13
GBP	225	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.11%, due 09/01/11		365
HKD	41,302,676	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		5,304,838
ZAR	1,509	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.46%, due 09/01/11		216
USD	69,874	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		69,874
USD	65,000,000	Societe Generale (Grand Cayman) Time Deposit, 0.12%, due 09/01/11		65,000,000
		Total Time Deposits		114,975,306
		TOTAL SHORT-TERM INVESTMENTS (COST $114,975,306)		114,975,306
		TOTAL INVESTMENTS — 99.1% (Cost $11,158,373,794)		11,178,783,928
		Other Assets and Liabilities (net) — 0.9%		96,816,472
		TOTAL NET ASSETS — 100.0%	$	11,275,600,400

20 See accompanying notes to the financial statements.

GMO Emerging Markets Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Additional information on each restricted security is as follows:

				Value as a
				Percentage
	Acquisition	Acquisition		of Fund’s		Value as of
Issuer Description	Date	Cost		Net Assets		August 31, 2011
Anilana Hotel & Properties	2/10/11	$	1,890,310		0.02%	$	1,909,918
Fire Capital Mauritius Private Fund **	9/06/06-10/26/09		12,180,554		0.10%		11,623,925
Martin Currie China A Share Fund Ltd Class B	1/20/06		2,159,084		0.07%		8,173,451
Martin Currie China A Share Fund Ltd Class S	10/14/08		—		0.03%		1,586,374
Martin Currie China A Share Fund Ltd Class S	4/23/10		2,453,738		0.03%		2,204,561
NCH Eagle Fund LP	1/08/03		9,500,000		0.09%		10,063,606
Societe Generale Thalmann Ukraine Fund	7/15/97		199,943		0.00%		4,000
Steep Rock Russia Fund LP	12/22/06-5/13/09		2,250,000		0.01%		723,402
TDA India Technology Fund II LP	2/23/00-3/23/04		787,800		0.01%		1,621,292
TRI Media Secured Term Note	8/7/09		29,505,475		0.26%		28,753,186
Templeton EE FD	12/05/97-6/24/02		471,720		0.00%		241,948
						$	66,905,663

** GMO Emerging Markets Fund has committed an additional $7,724,246 to this investment

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Swap Agreements

Total Return Swaps

							Net Unrealized
Notional			Expiration				Appreciation/
Amount			Date	Counterparty	Fund Pays	Fund Receives	(Depreciation)
	20,550,204	USD	9/23/2011	Morgan Stanley Capital Services Inc.	Depreciation of Total Return on TPK Holding Co Ltd + (Daily Fed Funds Rate -8.00%)	Appreciation of Total Return on TPK Holding Co Ltd	$	(2,825,586	)

See accompanying notes to the financial statements. 21

GMO Emerging Markets Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Total Return Swaps — continued

							Net Unrealized
Notional			Expiration				Appreciation/
Amount			Date	Counterparty	Fund Pays	Fund Receives	(Depreciation)
	4,393,156	USD	9/26/2011	Morgan Stanley Capital Services Inc.	Depreciation of Total Return on TPK Holding Co Ltd + (Daily Fed Funds Rate -8.00%)	Appreciation of Total Return on TPK Holding Co Ltd	$	(607,470	)
	21,748,165	USD	11/9/2011	Morgan Stanley Capital Services Inc.	Depreciation of Total Return on Asustek Computer Inc. + (Daily Fed Funds Rate -2.50%)	Appreciation of Total Return on Asustek Computer Inc.		867,523
	6,758,310	USD	10/19/2011	Morgan Stanley Capital Services Inc.	Depreciation of Total Return on Suntech Power Holdings Co Ltd + (Daily Fed Funds Rate -25.00%)	Appreciation of Total Return on Suntech Power Holdings Co Ltd		262,376
							$	(2,303,157	)
Premiums to (Pay) Receive							$	—

As of August 31, 2011, for the above contracts and/or agreements, the Fund has sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

ETF - Exchange-Traded Fund

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

GDR - Global Depository Receipt

22 See accompanying notes to the financial statements.

GMO Emerging Markets Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

NVDR - Non-Voting Depository Receipt

REIT - Real Estate Investment Trust

*	Non-income producing security.
(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(b)	Bankrupt issuer.
(c)	Affiliated company (Note 10).
(d)	Private placement securities are restricted as to resale.
(e)	The security is currently in full liquidation.
(f)	Represents an investment to obtain exposure to equitize cash. The Vanguard Emerging Markets ETF is a separate investment portfolio of Vanguard, Inc., a registered investment company. The Vanguard Emerging Markets ETF prospectus states that the fund invests substantially all (normally about 95%) of its assets in the common stocks included in the MSCI Emerging Market Index, while employing a form of sampling to reduce risk.
(g)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).
(h)	Underlying investment represents interests in defaulted claims. See “Other Matters” in Notes to Financial Statements for additional information.

Currency Abbreviations:

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

PLN - Polish Zloty

USD - United States Dollar

ZAR - South African Rand

See accompanying notes to the financial statements. 23

GMO Emerging Markets Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $11,055,625,155) (Note 2)	$	11,083,233,561
Investments in affiliated issuers, at value (cost $102,748,639) (Notes 2 and 10)		95,550,367
Foreign currency, at value (cost $40,174,559) (Note 2)		40,153,874
Receivable for investments sold		6,238,920
Receivable for Fund shares sold		24,617,233
Dividends and interest receivable		44,244,158
Foreign taxes receivable		3,547,412
Receivable for open swap contracts (Note 4)		1,129,899
Receivable for collateral on open swap contracts (Note 4)		2,820,136
Receivable for expenses reimbursed by Manager (Note 5)		286,912
Miscellaneous receivable		561,017
Total assets		11,302,383,489
Liabilities:
Payable for investments purchased		4,310,528
Payable for Fund shares repurchased		3,861,644
Payable to affiliate for (Note 5):
Management fee		6,933,535
Shareholder service fee		964,444
Trustees and Trust Officers or agents unaffiliated with the Manager		35,297
Payable for foreign currency purchased		4,611
Payable for open swap contracts (Note 4)		3,433,056
Miscellaneous payable		1,426,710
Accrued expenses		5,813,264
Total liabilities		26,783,089
Net assets	$	11,275,600,400

24 See accompanying notes to the financial statements.

GMO Emerging Markets Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited) — (Continued)

Net assets consist of:
Paid-in capital	$	10,562,617,277
Accumulated undistributed net investment income		179,941,043
Accumulated net realized gain		514,692,352
Net unrealized appreciation		18,349,728
	$	11,275,600,400
Net assets attributable to:
Class II shares	$	1,980,792,573
Class III shares	$	1,290,261,601
Class IV shares	$	1,620,320,379
Class V shares	$	759,771,429
Class VI shares	$	5,624,454,418
Shares outstanding:
Class II		153,608,897
Class III		99,807,170
Class IV		126,168,264
Class V		59,219,095
Class VI		437,507,306
Net asset value per share:
Class II	$	12.90
Class III	$	12.93
Class IV	$	12.84
Class V	$	12.83
Class VI	$	12.86

See accompanying notes to the financial statements. 25

GMO Emerging Markets Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends (net of withholding taxes of $35,942,586)	$	243,241,699
Interest		1,196,719
Dividends from affiliated issuers		26,392
Total investment income		244,464,810
Expenses:
Management fee (Note 5)		45,311,507
Shareholder service fee – Class II (Note 5)		2,413,780
Shareholder service fee – Class III (Note 5)		1,105,979
Shareholder service fee – Class IV (Note 5)		894,710
Shareholder service fee – Class V (Note 5)		337,876
Shareholder service fee – Class VI (Note 5)		1,626,590
Custodian and fund accounting agent fees		5,729,484
Legal fees		228,712
Audit and tax fees		123,740
Trustees fees and related expenses (Note 5)		107,723
Transfer agent fees		32,844
Registration fees		15,955
Miscellaneous		99,464
Total expenses		58,028,364
Fees and expenses reimbursed by Manager (Note 5)		(1,817,372	)
Expense reductions (Note 2)		(1,607	)
Net expenses		56,209,385
Net investment income (loss)		188,255,425
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax of $4,400)		727,997,423
Investments in affiliated issuers		8,112,855
Realized gains distributions from affiliated issuers (Note 10)		4,587
Swap contracts		(606,245	)
Foreign currency, forward contracts and foreign currency related transactions		(8,729,393	)
Net realized gain (loss)		726,779,227
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax of $2,727,836) (Note 2)		(1,318,444,222	)
Investments in affiliated issuers		(6,828,509	)
Swap contracts		(2,570,937	)
Foreign currency, forward contracts and foreign currency related transactions		(670,464	)
Net unrealized gain (loss)		(1,328,514,132	)
Net realized and unrealized gain (loss)		(601,734,905	)
Net increase (decrease) in net assets resulting from operations	$	(413,479,480	)

26 See accompanying notes to the financial statements.

GMO Emerging Markets Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	188,255,425		$	135,691,575
Net realized gain (loss)		726,779,227			2,192,367,778
Change in net unrealized appreciation (depreciation)		(1,328,514,132	)		124,841,149
Net increase (decrease) in net assets from operations		(413,479,480	)		2,452,900,502
Distributions to shareholders from:
Net investment income
Class II		—			(26,310,221	)
Class III		—			(16,761,896	)
Class IV		—			(20,469,482	)
Class V		—			(11,647,728	)
Class VI		—			(73,874,148	)
Total distributions from net investment income		—			(149,063,475	)
Net realized gains
Class II		(152,718,146	)		—
Class III		(108,338,373	)		—
Class IV		(124,074,906	)		—
Class V		(55,361,948	)		—
Class VI		(427,976,848	)		—
Total distributions from net realized gains		(868,470,221	)		—
Net share transactions (Note 9):
Class II		(114,964,903	)		(480,292,752	)
Class III		706,081			183,233,985
Class IV		168,422,900			(356,113,252	)
Class V		4,685,330			353,353,208
Class VI		454,408,183			893,190,677
Increase (decrease) in net assets resulting from net share transactions		513,257,591			593,371,866
Purchase premiums and redemption fees (Notes 2 and 9):
Class II		1,357,466			3,097,265
Class III		752,209			258,900
Class IV		1,808,067			1,255,191
Class V		194,351			288,218
Class VI		3,739,523			9,777,792
Increase in net assets resulting from purchase premiums and redemption fees		7,851,616			14,677,366
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		521,109,207			608,049,232
Total increase (decrease) in net assets		(760,840,494	)		2,911,886,259
Net assets:
Beginning of period		12,036,440,894			9,124,554,635
End of period (including accumulated undistributed net investment income of $179,941,043 and distributions in excess of net investment income of $8,314,382, respectively)	$	11,275,600,400		$	12,036,440,894

See accompanying notes to the financial statements. 27

GMO Emerging Markets Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class II share outstanding throughout the period)

							Period from
							August 12, 2009
							(commencement of
	Six Months Ended						operations)
	August 31, 2011			Year Ended			through
	(Unaudited)			February 28, 2011			February 28, 2010
Net asset value, beginning of period	$	14.46		$	11.63		$	10.62
Income (loss) from investment operations:
Net investment income (loss)†		0.21			0.16			0.02
Net realized and unrealized gain (loss)		(0.69	)		2.84			1.18
Total from investment operations		(0.48	)		3.00			1.20
Less distributions to shareholders:
From net investment income		—			(0.17	)		(0.19	)
From net realized gains		(1.08	)		—			—
Total distributions		(1.08	)		(0.17	)		(0.19	)
Net asset value, end of period	$	12.90		$	14.46		$	11.63
Total Return(a)		(3.80	)%**		25.77	%		11.21	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,980,793		$	2,304,697		$	2,265,637
Net expenses to average daily net assets(b)		1.05	%(c)*		1.07	%(c)		1.07	%*
Net investment income (loss) to average daily net assets		2.95	%*		1.21	%		0.30	%*
Portfolio turnover rate		51	%**		114	%		126	%**††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%*		0.03	%		0.03	%*
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.01		$	0.02		$	0.02

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover of the Fund for the six months ended August 31, 2009.
*	Annualized.
**	Not annualized.

28 See accompanying notes to the financial statements.

GMO Emerging Markets Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	14.49		$	11.66		$	6.30		$	20.48		$	20.67		$	22.49
Income (loss) from investment operations:
Net investment income (loss)†		0.22			0.16			0.21			0.23			0.25			0.41
Net realized and unrealized gain (loss)		(0.70	)		2.85			5.34			(10.65	)		5.94			3.00
Total from investment operations		(0.48	)		3.01			5.55			(10.42	)		6.19			3.41
Less distributions to shareholders:
From net investment income		—			(0.18	)		(0.19	)		(0.13	)		(0.31	)		(0.54	)
From net realized gains		(1.08	)		—			—			(3.63	)		(6.07	)		(4.69	)
Total distributions		(1.08	)		(0.18	)		(0.19	)		(3.76	)		(6.38	)		(5.23	)
Net asset value, end of period	$	12.93		$	14.49		$	11.66		$	6.30		$	20.48		$	20.67
Total Return(a)		(3.79	)%**		25.80	%		88.05	%		(58.62	)%		28.38	%		17.05	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,290,262		$	1,445,916		$	1,014,490		$	2,309,057		$	3,402,343		$	4,276,782
Net expenses to average daily net assets		1.00	%*(b)(c)		1.02	%(b)(c)		1.06	%(b)		1.10	%(d)		1.09	%(d)		1.07	%
Net investment income (loss) to average daily net assets		3.05	%*		1.17	%		2.25	%		1.77	%		1.04	%		1.87	%
Portfolio turnover rate		51	%**		114	%		126	%		99	%		60	%		44	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.01	%		0.01	%		0.01	%		0.00	%(e)		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.01		$	0.00	(f)	$	0.02		$	0.04		$	0.04		$	0.02

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
(e)	Ratio is less than 0.01%.
(f)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 29

GMO Emerging Markets Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class IV share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	14.40		$	11.58		$	6.27		$	20.40		$	20.62		$	22.45
Income (loss) from investment operations:
Net investment income (loss)†		0.22			0.17			0.16			0.25			0.23			0.42
Net realized and unrealized gain (loss)		(0.70	)		2.83			5.36			(10.62	)		5.95			2.99
Total from investment operations		(0.48	)		3.00			5.52			(10.37	)		6.18			3.41
Less distributions to shareholders:
From net investment income		—			(0.18	)		(0.21	)		(0.13	)		(0.33	)		(0.55	)
From net realized gains		(1.08	)		—			—			(3.63	)		(6.07	)		(4.69	)
Total distributions		(1.08	)		(0.18	)		(0.21	)		(3.76	)		(6.40	)		(5.24	)
Net asset value, end of period	$	12.84		$	14.40		$	11.58		$	6.27		$	20.40		$	20.62
Total Return(a)		(3.82	)%**		25.93	%		88.05	%		(58.59	)%		28.38	%		17.10	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,620,320		$	1,649,840		$	1,639,961		$	1,345,811		$	3,021,319		$	2,599,002
Net expenses to average daily net assets		0.95	%*(b)(d)		0.97	%(b)(d)		0.99	%(b)		1.06	%(c)		1.05	%(c)		1.03	%
Net investment income (loss) to average daily net assets		3.13	%*		1.29	%		1.54	%		1.86	%		0.98	%		1.94	%
Portfolio turnover rate		51	%**		114	%		126	%		99	%		60	%		44	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.01	%		0.01	%		0.01	%		0.00	%(e)		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.02		$	0.01		$	0.02		$	0.04		$	0.02		$	0.02

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	Ratio is less than 0.01%.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

30 See accompanying notes to the financial statements.

GMO Emerging Markets Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class V share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	14.39		$	11.57		$	6.26		$	20.39		$	20.61		$	22.44
Income (loss) from investment operations:
Net investment income (loss)†		0.22			0.15			0.20			0.22			0.23			0.43
Net realized and unrealized gain (loss)		(0.70	)		2.86			5.32			(10.58	)		5.96			2.98
Total from investment operations		(0.48	)		3.01			5.52			(10.36	)		6.19			3.41
Less distributions to shareholders:
From net investment income		—			(0.19	)		(0.21	)		(0.14	)		(0.34	)		(0.55	)
From net realized gains		(1.08	)		—			—			(3.63	)		(6.07	)		(4.69	)
Total distributions		(1.08	)		(0.19	)		(0.21	)		(3.77	)		(6.41	)		(5.24	)
Net asset value, end of period	$	12.83		$	14.39		$	11.57		$	6.26		$	20.39		$	20.61
Total Return(a)		(3.82	)%**		26.03	%		88.21	%		(58.59	)%		28.43	%		17.11	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	759,771		$	835,561		$	367,836		$	795,586		$	1,190,887		$	679,988
Net expenses to average daily net assets		0.90	%*(b)(d)		0.93	%(b)(d)		0.98	%(b)		1.03	%(c)		1.03	%(c)		1.01	%
Net investment income (loss) to average daily net assets		3.11	%*		1.15	%		2.12	%		1.81	%		0.98	%		1.97	%
Portfolio turnover rate		51	%**		114	%		126	%		99	%		60	%		44	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.04	%*		0.04	%		0.03	%		0.01	%		0.00	(e)		0.01	%
Redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	(f)	$	0.01		$	0.01		$	0.05		$	0.05		$	0.03

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	Ratio is less than 0.01%.
(f)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 31

GMO Emerging Markets Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class VI share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	14.41		$	11.59		$	6.27		$	20.42		$	20.63		$	22.45
Income (loss) from investment operations:
Net investment income (loss)†		0.23			0.17			0.13			0.23			0.25			0.42
Net realized and unrealized gain (loss)		(0.70	)		2.84			5.41			(10.61	)		5.95			3.01
Total from investment operations		(0.47	)		3.01			5.54			(10.38	)		6.20			3.43
Less distributions to shareholders:
From net investment income		—			(0.19	)		(0.22	)		(0.14	)		(0.34	)		(0.56	)
From net realized gains		(1.08	)		—			—			(3.63	)		(6.07	)		(4.69	)
Total distributions		(1.08	)		(0.19	)		(0.22	)		(3.77	)		(6.41	)		(5.25	)
Net asset value, end of period	$	12.86		$	14.41		$	11.59		$	6.27		$	20.42		$	20.63
Total Return(a)		(3.74	)%**		26.01	%		88.34	%		(58.61	)%		28.49	%		17.20	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	5,624,454		$	5,800,427		$	3,836,631		$	1,226,252		$	5,902,406		$	5,116,565
Net expenses to average daily net assets		0.87	%*(b)(d)		0.89	%(b)(d)		0.91	%(b)		1.00	%(c)		1.00	%(c)		0.98	%
Net investment income (loss) to average daily net assets		3.19	%*		1.29	%		1.18	%		1.83	%		1.05	%		1.93	%
Portfolio turnover rate		51	%**		114	%		126	%		99	%		60	%		44	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.04	%*		0.04	%		0.04	%		0.01	%		0.00	%(e)		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.01		$	0.03		$	0.02		$	0.07		$	0.03		$	0.02

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	Ratio is less than 0.01%.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

32 See accompanying notes to the financial statements.

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Emerging Markets Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the S&P/IFCI Composite Index. The Fund typically makes equity investments directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in companies tied economically to emerging markets. “Emerging markets” include all markets that are not treated as “developed markets” in the MSCI World Index or MSCI EAFE Index. The term “equity investments” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to emerging markets. In addition to investing in companies tied economically to emerging markets, the Fund may invest in companies that the Manager believes are likely to benefit from growth in the emerging markets.

The Manager uses proprietary quantitative techniques and fundamental analysis to evaluate and select countries, sectors and equity investments.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives and exchange-traded funds (“ETFs”). The Manager also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include options, futures, warrants, swap contracts and reverse repurchase agreements. The Fund’s foreign currency exposure may differ from the currency exposure represented by its equity investments. In addition, the Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark. In addition, the Fund may lend its portfolio securities.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the period ended August 31, 2011, the Fund had five classes of shares outstanding: Class II, Class III, Class IV, Class V and Class VI. Each class of shares bears a different shareholder service fee.

33

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 4.9% of net assets. The Fund classifies such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to

34

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the time of closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		68.6	%
Swap Agreements		(0.0	)

            ^Ù Rounds to 0.0%.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the fair value of equity securities that underlie futures (to the extent the market for such futures closes prior ro the time of closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: Certain of the Fund’s securities in Thailand and India were valued at the local price as adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations. The Fund valued various third-party investment funds based on valuations provided by fund sponsors and adjusted the values for liquidity considerations as well as the timing of the receipt of information. The Fund valued certain equity

35

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

securities based on the last traded exchange price adjusted for the movement in a securities index. The Fund valued certain debt securities by using an estimated specified spread above the Warsaw Interbank Offered Rate (WIBOR) and adjusted the values for liquidity considerations.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)			Total
Common Stocks
Brazil	$	1,078,758,659	$	—	$	—		$	1,078,758,659
Chile		17,494,168		—		—			17,494,168
China		138,443,754		1,446,485,330		0	*		1,584,929,084
Czech Republic		—		150,666,712		—			150,666,712
Egypt		—		172,056,214		—			172,056,214
Hungary		—		133,156,405		—			133,156,405
India		40,762,980		321,834,052		28,860,279			391,457,311
Indonesia		11,275,490		547,863,288		—			559,138,778
Kazakhstan		—		13,777,529		—			13,777,529
Macau		—		10,286,529		—			10,286,529
Malaysia		—		57,555,662		—			57,555,662
Mexico		127,821,051		—		—			127,821,051
Morocco		—		13,565,942		—			13,565,942
Philippines		21,172,752		79,677,028		—			100,849,780
Poland		—		232,571,441		—			232,571,441
Russia		99,017,822		1,229,900,054		1,350			1,328,919,226
South Africa		—		200,664,202		—			200,664,202
South Korea		61,912,310		1,624,643,528		0	*		1,686,555,838
Sri Lanka		—		11,866,671		1,909,918			13,776,589
Taiwan		12,717,715		1,016,680,194		—			1,029,397,909
Thailand		—		97,116,240		455,747,241			552,863,481
Turkey		1,491,950		265,578,372		0	*		267,070,322
TOTAL COMMON STOCKS		1,610,868,651		7,625,945,393		486,518,788			9,723,332,832

36

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Preferred Stocks
Brazil	$	868,139,651	$	—	$	—	$	868,139,651
Russia		146,940,373		—		6,772,477		153,712,850
South Korea		—		107,784,821		—		107,784,821
TOTAL PREFERRED STOCKS		1,015,080,024		107,784,821		6,772,477		1,129,637,322
Investment Funds
China		—		—		11,964,386		11,964,386
India		—		—		13,245,217		13,245,217
Poland		—		—		241,948		241,948
Russia		—		—		10,787,008		10,787,008
Ukraine		—		—		4,000		4,000
United States		48,964,827		—		—		48,964,827
TOTAL INVESTMENT FUNDS		48,964,827		—		36,242,559		85,207,386
Debt Obligations
Poland		—		—		28,753,186		28,753,186
United States		—		8,070,814		—		8,070,814
TOTAL DEBT OBLIGATIONS		—		8,070,814		28,753,186		36,824,000
Mutual Funds
United States		88,803,615		3,467		—		88,807,082
TOTAL MUTUAL FUNDS		88,803,615		3,467		—		88,807,082
Short-Term Investments		114,975,306		—		—		114,975,306
Total Short-Term Investments		114,975,306		—		—		114,975,306
Total Investments		2,878,692,423		7,741,804,495		558,287,010		11,178,783,928
Derivatives **
Swap Agreements
Equity risk		—		1,129,899		—		1,129,899
Total	$	2,878,692,423	$	7,742,934,394	$	558,287,010	$	11,179,913,827

37

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Derivatives **
Swap Agreements
Equity risk	$	—	$	(3,433,056	)	$	—	$	(3,433,056	)
Total	$	—	$	(3,433,056	)	$	—	$	(3,433,056	)

            * Represents the investment in securities that have no value at August 31, 2011.

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

            ** Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities using Level 3 inputs were 5.0% of total net assets.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

38

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

																							Net Change in
																							Unrealized
																							Appreciation
																							(Depreciation)
																							from
																							Investments
	Balances												Change in								Balances		Still
	as of							Accrued		Total			Unrealized			Transfer		Transfer			as of		Held as
	February 28,							Discounts/		Realized			Appreciation			into		out of			August 31,		August 31,
	2011		Purchases		Sales			Premiums		Gain/(Loss)			(Depreciation)			level 3*		level 3*			2011		2011
Common Stocks
Egypt	$	138,391,206	$	45,994,222	$	(24,105,634	)	$	—	$	382,794		$	(4,239,823	)	$	—	$	(156,422,765	)**	$	—	$	—
India		25,524,840		26,655,447		(19,598,131	)		—		(752,970	)		(2,968,907	)		—		—			28,860,279		(1,908,365	)
Russia		151,244,856		64,407,710		(145,269,803	)		—		23,091,817			(22,050,838	)		—		(71,422,392	)**		1,350		—
Sri Lanka		1,894,404		—		—			—		—			15,514			—		—			1,909,918		15,514
Thailand		408,898,018		230,214,294		(235,428,650	)		—		59,578,804			(7,515,225	)		—		—			455,747,241		47,604,722
Total Common Stocks		725,953,324		367,271,673		(424,402,218	)		—		82,300,445			(36,759,279	)		—		(227,845,157	)		486,518,788		45,711,871
Preferred Stocks
Russia		134,030,568		—		—			—		—			—			—		(127,258,091	)		6,772,477		(671,817	)
Total Preferred Stocks		134,030,568		—		—			—		—			—			—		(127,258,091	)		6,772,477		(671,817	)
Investment Funds
China		12,771,635		—		—			—		—			(807,249	)		—		—			11,964,386		(807,250	)
India		11,624,316		—		(793,764	)		—		(75,154	)		2,489,819			—		—			13,245,217		2,418,961
Poland		252,509		—		—			—		—			(10,561	)		—		—			241,948		(10,561	)
Russia		10,315,309		—		—			—		—			471,699			—		—			10,787,008		471,699
Ukraine		4,000		—		—			—		—			—			—		—			4,000		—
Total Investment Funds		34,967,769		—		(793,764	)		—		(75,154	)		2,143,708			—		—			36,242,559		2,072,849
Debt Obligations
Poland		27,902,437		—		—			—		—			850,749			—		—			28,753,186		850,750
Total	$	922,854,098	$	367,271,673	$	(425,195,982	)	$	—	$	82,225,291		$	(33,764,822	)	$	—	$	(355,103,248	)	$	558,287,010	$	47,963,653

*	The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.
**	Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. Fluctuations in

39

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from

40

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of tax basis earnings and profits, if significant, are reported in the financial statements as a return of capital for tax purposes.

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	11,364,030,677	$	636,216,772	$	(821,463,521	)	$	(185,246,749	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant

41

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.80% of the amount invested or redeemed. Purchase premiums and redemption fees are paid to and retained by the Fund and are allocated pro rata among the classes to help offset non-de minimis 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) as a result of the purchase or redemption, by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing fee, at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

42

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

Other matters

GMO Special Purpose Holding Fund (“SPHF”), an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the period ended August 31, 2011, the Fund received no distributions from SPHF in connection with the defaulted securities or the related litigation.

In addition, Indian regulators alleged in 2002 that the Fund violated some conditions under which it was granted permission to operate in India and have restricted the Fund’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of the Fund, a portion of the assets are not permitted to be withdrawn from the Fund’s local custodial account located in India. The amount of restricted assets is small relative to the size of the Fund, representing approximately 0.05% of the Fund’s total net assets as of August 31, 2011. The effect of this claim on the value of the restricted assets, and all matters relating to the Fund’s response to these allegations are subject to the supervision and control of the Trust’s Board of Trustees. The Fund’s costs in respect of this matter are being borne by the Fund.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

43

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of value of those investments. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging markets, the economies of which tend to be more volatile than the economies of developed markets.

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

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind. In addition, the Fund may buy securities that are less liquid than those in its benchmark.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than

44

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the securities of companies with larger market capitalizations. The Fund may buy securities that have smaller market capitalizations than those in its benchmark.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Focused Investment Risk — Focusing investments in a limited number of countries and geographic regions creates additional risk.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of

45

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under

46

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater

47

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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

48

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. The Fund had no futures contracts outstanding at the end of the period.

Options

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

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

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

49

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a

50

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to as a substitute for direct investment in securities. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants received as a result of corporate actions. The Fund held no rights or warrants at the end of the period.

51

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Assets:
Unrealized appreciation on swap agreements	$	—	$	—	$	—	$	1,129,899		$	—	$	1,129,899
Total	$	—	$	—	$	—	$	1,129,899		$	—	$	1,129,899
Liabilities:
Unrealized depreciation on swap agreements	$	—	$	—	$	—	$	(3,433,056	)	$	—	$	(3,433,056	)
Total	$	—	$	—	$	—	$	(3,433,056	)	$	—	$	(3,433,056	)

The Effect of Derivative Instruments on the Statement of Operations for the period ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	—	$	—	$	(365,020	)	$	—	$	(365,020	)
Swap agreements		—		—		—		(606,245	)		—	$	(606,245	)
Total	$	—	$	—	$	—	$	(971,265	)	$	—	$	(971,265	)
Change in Unrealized Appreciation (Depreciation) on:
Swap agreements	$	—	$	—	$	—	$	(2,570,937	)	$	—	$	(2,570,937	)
Total	$	—	$	—	$	—	$	(2,570,937	)	$	—	$	(2,570,937	)

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The volume of derivative activity, based on absolute values (rights and/or warrants) or notional amounts (swap agreements) outstanding at each month-end, was as follows for the period ended August 31, 2011.

	Rights
	and/or		Swap
	warrants		agreements
Average amount outstanding	$	269,485	$	35,042,593

52

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.75% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.22% for Class II shares, 0.15% for Class III shares, 0.105% for Class IV shares, 0.085% for Class V shares, and 0.055% for Class VI shares.

The Manager has contractually agreed to reimburse each class of the Fund to the extent the class’s total annual operating expenses exceed the following amounts of the class’s average daily net assets: 0.95% for Class II shares, 0.90% for Class III shares, 0.85% for Class IV shares, 0.80% for Class V shares, and 0.77% for Class VI shares (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes) and custodial fees. In addition, the Manager has contractually agreed to reimburse the Fund or class for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s or class’ Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $107,723 and $41,900, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

53

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder	Indirect Shareholder
service fees)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011, aggregated $6,126,709,454 and $6,310,000,798, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, the Fund had no shareholders who individually held more than 10% of the Fund’s outstanding shares.

As of August 31, 2011, 0.46% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 31.42% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

54

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class II:	Shares			Amount			Shares			Amount
Shares sold		6,976,624		$	100,050,305			35,785,616		$	476,705,333
Shares issued to shareholders in reinvestment of distributions		10,600,836			145,973,503			1,426,944			20,374,803
Shares repurchased		(23,320,095	)		(360,988,711	)		(72,671,205	)		(977,372,888	)
Purchase premiums		—			470,362			—			1,395,146
Redemption fees		—			887,104			—			1,702,119
Net increase (decrease)		(5,742,635	)	$	(113,607,437	)		(35,458,645	)	$	(477,195,487	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		3,926,284		$	59,954,863			36,731,569		$	521,804,130
Shares issued to shareholders in reinvestment of distributions		7,848,368			108,307,484			857,777			12,272,522
Shares repurchased		(11,725,910	)		(167,556,266	)		(24,854,916	)		(350,842,667	)
Purchase premiums		—			64,000			—			57,963
Redemption fees		—			688,209			—			200,937
Net increase (decrease)		48,742		$	1,458,290			12,734,430		$	183,492,885

55

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares			Amount
Shares sold		17,080,289		$	258,030,934			39,797,973		$	552,034,103
Shares issued to shareholders in reinvestment of distributions		8,760,052			120,100,318			1,038,348			14,761,210
Shares repurchased		(14,231,929	)		(209,708,352	)		(67,863,219	)		(922,908,565	)
Purchase premiums		—			295,756			—			833,956
Redemption fees		—			1,512,311			—			421,235
Net increase (decrease)		11,608,412		$	170,230,967			(27,026,898	)	$	(354,858,061	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class V:	Shares			Amount			Shares			Amount
Shares sold		3,899,323		$	54,727,629			33,763,871		$	458,262,225
Shares issued to shareholders in reinvestment of distributions		4,041,018			55,361,948			574,362			8,154,351
Shares repurchased		(6,806,394	)		(105,404,247	)		(8,048,145	)		(113,063,368	)
Purchase premiums		—			—			—			216,469
Redemption fees		—			194,351			—			71,749
Net increase (decrease)		1,133,947		$	4,879,681			26,290,088		$	353,641,426
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class VI:	Shares			Amount			Shares			Amount
Shares sold		63,592,209		$	855,274,723			119,556,582		$	1,519,036,550
Shares issued to shareholders in reinvestment of distributions		30,620,706			420,116,090			5,127,052			72,881,409
Shares repurchased		(59,234,286	)		(820,982,630	)		(53,233,430	)		(698,727,282	)
Purchase premium fees		—			1,774,094			—			7,210,034
Redemption fees		—			1,965,429			—			2,567,758
Net increase (decrease)		34,978,629		$	458,147,706			71,450,204		$	902,968,469

56

GMO Emerging Markets Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated companies and other funds of the Trust

An affiliated company is a company in which the Fund has or had ownership of at least 5% of the voting securities. A summary of the Fund’s transactions involving companies that are or were affiliates during the period ended August 31, 2011 is set forth below:

	Value,								Value,
	beginning of				Sales		Dividend		end of
Affiliate	period		Purchases		Proceeds		Income		period
In The F Co Ltd	$	2,759,050	$	—	$	21,203	$	—	$	2,649,692
Kiri Dyes & Chemicals Ltd		7,389,591		746,765		486,897		—		4,093,323
MedQuist Holdings, Inc. *		24,003,561		—		24,003,824		—		2,989,981
Pumyang Construction *		2,075,101		—		237,819		—		1,333,364
Star Block Co Ltd (Foreign Registered)		—		—		—		—		—
Totals	$	36,227,303	$	746,765	$	24,749,743	$	—	$	11,066,630

            * No longer an affiliate as of August 31, 2011.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO Special Purpose Holding Fund	$	4,032	$	—	$	—	$	—	$	—	$	3,467
GMO U.S. Treasury Fund		110,007,196		584,579,430		605,809,919		26,392		4,587		88,803,615
Totals	$	110,011,228	$	584,579,430	$	605,809,919	$	26,392	$	4,587	$	88,807,082

57

GMO Emerging Markets Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

58

GMO Emerging Markets Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

59

GMO Emerging Markets Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

60

GMO Emerging Markets Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

61

GMO Emerging Markets Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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 premiums and redemption fees. Therefore, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class II
1) Actual		1.05	%	$	1,000.00	$	962.00	$	5.18
2) Hypothetical		1.05	%	$	1,000.00	$	1,019.86	$	5.33
Class III
1) Actual		1.00	%	$	1,000.00	$	962.10	$	4.93
2) Hypothetical		1.00	%	$	1,000.00	$	1,020.11	$	5.08
Class IV
1) Actual		0.95	%	$	1,000.00	$	961.80	$	4.68
2) Hypothetical		0.95	%	$	1,000.00	$	1,020.36	$	4.82
Class V
1) Actual		0.90	%	$	1,000.00	$	961.80	$	4.44
2) Hypothetical		0.90	%	$	1,000.00	$	1,020.61	$	4.57
Class VI
1) Actual		0.87	%	$	1,000.00	$	962.60	$	4.29
2) Hypothetical		0.87	%	$	1,000.00	$	1,020.76	$	4.42

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

62

GMO Flexible Equities Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Flexible Equities Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		93.7	%
Short-Term Investments		5.7
Futures Contracts		(0.2	)
Forward Currency Contracts		(0.5	)
Other		1.3
		100.0	%

Country Summary*	% of Investments
Japan		100.0	%
		100.0	%

Industry Group Summary	% of Equity Investments**
Banks		15.1	%
Capital Goods		14.1
Materials		8.9
Real Estate		7.8
Retailing		6.9
Automobiles & Components		6.1
Telecommunication Services		5.2
Pharmaceuticals, Biotechnology & Life Sciences		4.3
Energy		4.2
Technology Hardware & Equipment		3.7
Food & Staples Retailing		3.4
Insurance		3.0
Software & Services		3.0
Utilities		2.6
Transportation		2.5
Consumer Durables & Apparel		2.2
Diversified Financials		2.1
Food, Beverage & Tobacco		1.4
Health Care Equipment & Services		1.1
Consumer Services		0.8
Commercial & Professional Services		0.8
Household & Personal Products		0.3
Media		0.3
Semiconductors & Semiconductor Equipment		0.2
		100.0	%

1

GMO Flexible Equities Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

*

The table above 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 agreements and other derivative financial instruments, if any.

**

Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

2

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 93.7%
		Japan — 93.7%
	19,200	ABC-Mart Inc		731,901
	955	Accordia Golf Co Ltd		759,374
	4,519	Advance Residence Investment Corp (REIT)		9,459,707
	526,700	Aeon Co Ltd		6,633,696
	183,000	Aichi Machine Industry Co Ltd		608,202
	47,000	Aisan Industry Co Ltd		453,945
	101,600	Aisin Seiki Co Ltd		3,407,752
	46,800	Alfresa Holdings Corp		1,847,810
	30,600	Alpen Co Ltd		544,356
	446,000	Alps Electric Co Ltd		4,078,589
	151,900	AOC Holdings Inc		876,949
	22,800	AOKI Holdings Inc		359,128
	42,600	Aoyama Trading Co Ltd		713,486
	32,200	Arc Land Sakamoto Co Ltd		550,107
	48,300	Arcs Co Ltd		879,144
	63,300	Arnest One Corp		677,793
	24,600	Asatsu–DK Inc		672,289
	366,300	Astellas Pharma Inc		13,842,916
	34,700	Axell Corp		735,035
	111,000	Bando Chemical Industries Ltd		431,109
	174,450	Belluna Co Ltd		1,312,484
	303,500	Best Denki Co Ltd *		891,367
	2,799	BIC Camera Inc		1,608,481
	135,500	Brother Industries Ltd		1,784,281
	571,000	Calsonic Kansei Corp		3,417,353
	100,000	Canon Inc		4,718,847
	68,800	Cawachi Ltd		1,415,936
	156,000	Central Glass Co Ltd		715,876
	213	Central Japan Railway Co		1,780,984
	307,720	Century Tokyo Leasing Corp		6,051,563
	1,727,000	Chiba Bank Ltd		11,284,683
	19,100	Chiyoda Integre Co Ltd *		243,427
	146,200	Chubu Electric Power Co Inc		2,770,394

See accompanying notes to the financial statements. 3

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	132,000	Chuetsu Pulp & Paper Co Ltd		234,026
	45,000	Chugoku Marine Paints Ltd		379,282
	55,600	Circle K Sunkus Co Ltd		936,346
	21,700	Coca–Cola Central Japan Co Ltd		289,820
	77,900	Cocokara fine Inc		2,065,668
	134,100	COMSYS Holdings Corp		1,355,701
	1,946,000	Cosmo Oil Co Ltd		5,168,863
	283,000	CSK Corp *		1,126,461
	10,988	Dai-ichi Life Insurance Co Ltd (The)		12,805,188
	662,350	Daiei Inc *		2,471,917
	75,000	Daifuku Co Ltd		428,655
	63,000	Daihatsu Diesel Manufacturing Co Ltd		332,134
	219,000	Daihatsu Motor Co Ltd		3,653,600
	75,000	Daiichi Jitsugyo Co Ltd		377,675
	93,700	Daiichikosho Co Ltd		1,804,038
	184,000	Daiichi Chuo Kisen Kaisha *		281,270
	8,400	Daikoku Denki Co Ltd		81,522
	69,000	Dainichiseika Color & Chemicals Manufacturing Co Ltd		353,618
	192,000	Daio Paper Corp		1,637,223
	379,800	Daito Trust Construction Co Ltd		35,215,515
	86,000	Daiwa Industries Ltd		443,375
	649,000	Daiwabo Holdings Co Ltd		1,537,151
	522	Daiwa Office Investment Corp (REIT)		1,596,664
	269,400	DCM Holdings Co Ltd		2,130,325
	96,212	Dena Co Ltd		5,017,846
	1,066,000	DIC Corp		2,352,663
	830	Digital Garage Inc *		2,661,494
	16,000	Doshisha Co Ltd		447,328
	14,000	DTS Corp		161,062
	304,300	Edion Corp		2,657,871
	96,800	Electric Power Development Co Ltd		2,722,124
	137,600	Elpida Memory Inc *		966,798
	17,200	Fanuc Ltd		2,862,999
	15,100	Fast Retailing Co Ltd		2,883,747

4 See accompanying notes to the financial statements.

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	216	Fields Corp		397,761
	32,300	Foster Electric Co Ltd		485,822
	161,000	Fujitsu General Ltd		1,204,262
	580,000	Fuji Electric Co Ltd		1,689,986
	30,000	Fuji Soft Inc		463,607
	324,000	Furukawa-Sky Aluminum Corp		1,041,784
	205,100	Futaba Industrial Co Ltd		1,413,256
	103,000	Fuyo General Lease Co Ltd		3,792,865
	504	Geo Corp		655,297
	159	Global One Real Estate Investment Co Ltd (REIT)		1,382,165
	175,000	Godo Steel Ltd		399,596
	11,550	Gulliver International Co Ltd		563,326
	144,000	Gunze Ltd		479,185
	99,000	H2O Retailing Corp		733,914
	18,800	Hajime Construction Co Ltd		527,917
	18,500	Hakuto Co Ltd		179,585
	201	Hankyu Reit Inc (REIT)		993,849
	806,000	Hanwa Co Ltd		3,498,081
	2,482,000	Haseko Corp *		1,768,439
	34,800	Heiwa Corp		622,967
	109,200	Heiwado Co Ltd		1,399,268
	34,700	Hikari Tsushin Inc		813,984
	437,000	Hino Motors Ltd		2,538,625
	44,300	Hisamitsu Pharmaceutical Co Inc		1,886,011
	74,600	Hitachi Chemical Co Ltd		1,300,837
	30,600	Hitachi Koki Co Ltd		249,947
	550,000	Hitachi Ltd		2,975,240
	9,800	Hogy Medical Co Ltd		440,480
	210,000	Hokuetsu Kishu Paper Co Ltd		1,509,624
	44,900	Hokkaido Electric Power Co Inc		730,644
	136,800	Honda Motor Co Ltd		4,457,628
	28,010	Honeys Co Ltd		327,363
	88,400	Hosiden Corp		711,023
	249,500	Hoya Corp		5,508,053

See accompanying notes to the financial statements. 5

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	52,200	Idemitsu Kosan Co Ltd		5,473,866
	1,168,000	IHI Corporation		2,962,687
	24,500	Inaba Denki Sangyo Co Ltd		726,573
	234,400	Inabata & Co Ltd		1,374,006
	955	INPEX Corp		6,510,575
	141,200	Isetan Mitsukoshi Holdings Ltd		1,440,097
	415,000	Isuzu Motors Ltd		1,868,178
	175,100	IT Holdings Corp		1,703,154
	149,400	Itochu Enex Co Ltd		824,976
	31,200	Itochu Techno-Solutions Corp		1,345,236
	5,100	Itochu-Shokuhin Co Ltd		193,587
	1,420,400	Itochu Corp		15,331,176
	20,100	Itoki Corp		48,144
	74,500	Ito En Ltd		1,366,532
	475,000	Iwatani Corp		1,641,859
	173,675	Izumiya Co Ltd		719,090
	162,000	Izumi Co Ltd		2,372,353
	24,300	Japan Drilling Co Ltd		850,387
	1,177	Japan Prime Realty Investment Corp (REIT)		3,285,833
	47,000	Japan Pulp & Paper Co Ltd		172,111
	301	Japan Excellent Inc (REIT)		1,511,763
	4,624	Japan Retail Fund Investment Corp (REIT)		6,974,607
	560,000	JFE Shoji Holdings Inc		2,522,488
	59,000	JFE Holdings Inc		1,371,312
	148,489	Joshin Denki Co Ltd		1,705,511
	21,000	JSP Corp		363,443
	150,900	JSR Corp		2,739,573
	346,000	JVC Kenwood Holdings Inc *		1,658,591
	2,132,900	JX Holdings Inc		13,579,422
	248,000	J–Oil Mills Inc		757,914
	136,940	K’s Holdings Corp		6,035,921
	30,400	Kaga Electronics Co Ltd		319,814
	1,549,000	Kajima Corp		4,924,709
	69,000	Kaken Pharmaceutical Co Ltd		963,717

6 See accompanying notes to the financial statements.

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	123,000	Kandenko Co Ltd		621,602
	229,000	Kaneka Corp.		1,380,828
	1,764,000	Kanematsu Corp *		1,697,146
	236,200	Kansai Electric Power Co Inc (The)		4,196,399
	157,800	Kanto Auto Works Ltd		1,408,360
	128,300	Kao Corp		3,408,464
	83,600	Kasumi Co Ltd		516,634
	65,100	Kato Sangyo Co Ltd		1,350,251
	2,150,000	Kawasaki Kisen Kaisha Ltd		5,554,175
	2,477	KDDI Corp		18,582,420
	88,900	Keiyo Co Ltd		537,236
	1,087	Kenedix Realty Investment Corp (REIT)		3,869,361
	14,600	Keyence Corp		3,932,245
	1,531,000	Kobe Steel Ltd		2,864,260
	178,600	Kohnan Shoji Co Ltd		3,325,515
	160,400	Kojima Co Ltd		1,165,480
	286,000	Krosaki Harima Corp		1,221,965
	585,000	Kurabo Industries Ltd		1,185,325
	36,300	Kuroda Electric Co Ltd		424,221
	247,000	KYB Co Ltd		1,651,027
	126,000	Kyodo Printing Co Ltd		323,937
	31,200	Kyoei Steel Ltd		483,474
	61,300	Kyoritsu Maintenance Co Ltd		991,432
	185,200	Kyowa Exeo Corp		1,839,027
	111,000	Kyudenko Corp		764,834
	53,900	Kyushu Electric Power Co Inc		894,257
	102,900	Lawson Inc		5,610,767
	115	M3 Inc		1,042,877
	387,000	Maeda Corp		1,280,957
	68,000	Maeda Road Construction Co Ltd		725,476
	14,800	Mars Engineering Corp		258,939
	1,776,000	Marubeni Corp		11,261,711
	304,300	Marudai Food Co Ltd		1,053,384
	141,074	Maruetsu Inc (The)		502,402

See accompanying notes to the financial statements. 7

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,203,000	Maruha Nichiro Holdings Inc		2,135,103
	35,000	Maruzen Showa Unyu Co Ltd		122,758
	46,000	Matsumotokiyoshi Holdings Co Ltd		941,309
	1,407,000	Mazda Motor Corp *		3,030,487
	305,100	Medipal Holdings Corp		2,819,453
	32,800	Megane TOP Co Ltd		576,515
	1,249	MID REIT Inc (REIT)		3,449,169
	79,800	Mikuni Coca–Cola Bottling Co Ltd		706,058
	20,500	Ministop Co Ltd		385,856
	189,100	Mirait Holdings Corp		1,513,548
	102,000	Mitsuba Corp		920,201
	31,800	Mitsubishi Shokuhin Co Ltd		807,338
	138,000	Mitsubishi Steel Manufacturing Co Ltd		422,711
	1,526,500	Mitsubishi Chemical Holdings Corp		10,746,439
	187,600	Mitsubishi Corp		4,513,991
	1,177,392	Mitsubishi Paper Mills Ltd *		1,208,561
	9,101,200	Mitsubishi UFJ Financial Group Inc		41,276,866
	136,390	Mitsubishi UFJ Lease & Finance Co Ltd		5,527,612
	2,201,000	Mitsui Chemicals Inc		7,641,044
	1,056,000	Mitsui Engineer & Shipbuilding Co Ltd		2,007,502
	505,000	Mitsui Matsushima Co Ltd		1,006,420
	100,100	Mitsui & Co Ltd		1,717,466
	68,000	Mitsui Home Co Ltd		360,003
	773,000	Mitsui Mining & Smelting Co Ltd		2,344,618
	928,000	Mitsui OSK Lines Ltd		3,929,205
	30,555,800	Mizuho Financial Group Inc		46,638,624
	474	Mori Hills REIT Investment Corp (REIT)		1,721,078
	387,000	Morinaga Milk Industry Co Ltd		1,674,409
	23,900	Moshi Moshi Hotline Inc		454,783
	3,400	Nafco Co Ltd		64,604
	372,000	Nakayama Steel Works Ltd *		440,136
	124,800	Namco Bandai Holdings Inc		1,737,489
	97,200	Namura Shipbuilding Co Ltd		381,643
	16,000	NEC Capital Solutions Ltd		216,005

8 See accompanying notes to the financial statements.

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	1,884,000	NEC Corp *		3,868,559
	21,300	NEC Mobiling Ltd		780,196
	21,200	NEC Fielding Ltd		266,591
	23,300	NEC Networks & System Integration Corp		361,351
	642	Net One Systems Co Ltd		1,740,780
	88,000	Nichias Corp		523,703
	38,300	Nichiha Corp		411,311
	202,200	Nichirei Corp		906,271
	83,000	Nihon Unisys Ltd		452,489
	198,000	Nihon Yamamura Glass Co Ltd		505,504
	42,300	Nintendo Co Ltd		7,457,765
	315,000	Nippon Coke & Engineering Co Ltd		507,391
	195,000	Nippon Corp		1,709,928
	221,000	Nippon Formula Feed Manufacturing Co Ltd *		326,258
	268,000	Nippon Road Co Ltd (The)		739,121
	17,000	Nippon Seiki Co Ltd		198,057
	128,000	Nippon Shokubai Co Ltd		1,612,517
	250,000	Nippon Soda Co Ltd		1,103,795
	139,000	Nippon Steel Trading Co Ltd		363,699
	84,000	Nippon Densetsu Kogyo Co Ltd		855,491
	197,000	Nippon Express Co Ltd		826,395
	39,000	Nippon Flour Mills Co Ltd		183,903
	23,000	Nippon Konpo Unyu Soko Co Ltd		252,594
	1,432,000	Nippon Light Metal Co Ltd		2,756,510
	246,700	Nippon Paper Group Inc		6,272,468
	281,600	Nippon Suisan Kaisha Ltd		1,043,154
	397,100	Nippon Telegraph & Telephone Corp		18,592,550
	2,473,000	Nippon Yusen Kabushiki Kaisha		7,516,155
	52,500	Nishimatsuya Chain Co Ltd		462,314
	1,844,984	Nishimatsu Construction Co Ltd		2,817,061
	148,000	Nissan Shatai Co Ltd		1,150,272
	159,300	Nissan Chemical Industries Ltd		1,661,162
	683,200	Nissan Motor Co Ltd		6,282,312
	128,500	Nissen Holdings Co Ltd		779,372

See accompanying notes to the financial statements. 9

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	711,000	Nisshin Steel Co Ltd		1,397,288
	169,000	Nisshin Oillio Group Ltd (The)		819,052
	154,000	Nissin Corp		391,415
	26,100	Nitori Holdings Co Ltd		2,675,745
	97,000	Nittetsu Mining Co Ltd		408,415
	75,400	Nitto Denko Corp		2,953,971
	468	Nomura Real Estate Office Fund (REIT)		3,009,792
	89,500	Nomura Research Institute Ltd		2,026,685
	70,000	NS United Kaiun Kaisha Ltd		118,910
	134,000	NTN Corp		672,874
	8,437	NTT Docomo Inc		15,380,269
	771,000	Obayashi Corp		3,793,638
	7,410	Obic Co Ltd		1,395,117
	446,000	OJI Paper Co Ltd		2,386,699
	20,000	Okamura Corp		136,699
	1,573,000	Oki Electric Industry Co Ltd *		1,533,458
	135	Okinawa Cellular Telephone Co		300,829
	29,600	Okinawa Electric Power Co		1,403,148
	50,000	Okuwa Co Ltd		611,867
	10,000	Onoken Co Ltd		92,658
	30,100	Ono Pharmaceutical Co Ltd		1,738,699
	61,040	ORIX Corp		5,543,599
	1,426,132	Osaka Gas Co Ltd		5,797,173
	157,000	Pacific Metals Co Ltd		1,055,671
	17,800	Paltac Corp		346,485
	38,200	Parco Co Ltd		307,753
	292	Pasona Group Inc		279,773
	1,250,000	Penta Ocean Construction Co Ltd		3,216,253
	3,175	PGM Holdings KK		1,665,592
	375,000	Pioneer Corp *		1,772,372
	41,690	Point Inc		1,973,284
	390	Premier Investment Corp (REIT)		1,697,796
	201,000	Press Kogyo Co Ltd		985,134
	619,000	Prima Meat Packers Ltd		819,926

10 See accompanying notes to the financial statements.

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	205,000	Rengo Co Ltd		1,505,249
	294,000	Ricoh Company Ltd		2,672,944
	82,300	Right On Co Ltd		454,580
	63,000	Riken Corp		274,873
	15,700	Riso Kagaku Corp		287,747
	476,700	Round One Corp		4,181,666
	215,000	Ryobi Ltd		932,568
	42,400	Ryohin Keikaku Co Ltd		2,271,167
	14,500	S Foods Inc		119,466
	21,400	Saint Marc Holdings Co Ltd		844,966
	144,000	San-Ai Oil Co Ltd		796,513
	178,000	Sanden Corp		720,838
	30,000	Sanki Engineering		163,537
	270,000	Sankyo–Tateyama Holdings Inc *		358,983
	93,200	Sankyo Co Ltd		4,784,903
	233,418	Sankyu Inc		1,098,262
	46,700	Sanshin Electronics Co Ltd		380,619
	89,159	Sanwa Holdings Corp		292,543
	3,200	San–A Co Ltd		126,640
	167,000	Sasebo Heavy Industries Co Ltd		286,293
	82,100	Secom Co Ltd		3,821,184
	69,000	Seika Corp		204,587
	347,000	Seikitokyu Kogyo Co Ltd *		248,122
	136,000	Seiko Holdings Corp		368,589
	167,000	Seino Holdings Co Ltd		1,217,543
	22,100	Seiren Co Ltd		145,282
	237	Sekisui House SI Investment Co (REIT)		1,089,816
	365,516	Senko Co Ltd		1,347,755
	32,200	Senshukai Co Ltd		227,434
	65,000	Seven & I Holdings Co Ltd		1,725,397
	60,600	Shimachu Co Ltd		1,420,584
	19,600	Shimamura Co Ltd		1,959,085
	500,000	Shimizu Corp		2,244,133
	27,900	Shinko Plantech Co Ltd		280,575

See accompanying notes to the financial statements. 11

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	37,200	Shinko Shoji Co Ltd		290,999
	80,000	ShinMaywa Industries Ltd		295,832
	6,038,000	Shinsei Bank Ltd		7,229,939
	154,000	Shinsho Corp		385,128
	82,088	Ship Healthcare Holdings Inc		1,938,293
	777,000	Shizuoka Bank Ltd (The)		7,657,885
	126,500	Shizuoka Gas Co Ltd		795,571
	94,000	Showa Corp *		627,749
	1,819,000	Showa Denko KK		3,624,908
	63,000	Showa Sangyo Co Ltd		190,882
	589,600	Showa Shell Sekiyu KK		4,735,184
	69,000	Sinanen Co Ltd		300,115
	1,425	SKY Perfect JSAT Holdings Inc		708,492
	3,746,000	Sojitz Corp		7,053,749
	156,300	Stanley Electric Co Ltd		2,251,010
	378,000	Sumikin Bussan Corp		891,382
	974,000	Sumitomo Light Metal Industries Ltd *		976,525
	54,000	Sumitomo Seika Chemicals Co Ltd		273,047
	1,209,400	Sumitomo Corp		15,851,258
	23,500	Sumitomo Electric Industries Ltd		314,341
	55,900	Sumitomo Forestry Co Ltd		488,671
	84,000	Sumitomo Metal Mining Co Ltd		1,351,891
	1,272,900	Sumitomo Mitsui Financial Group Inc		37,687,554
	658,000	Sumitomo Osaka Cement Co Ltd		2,029,364
	59,100	Suzuken Co Ltd		1,442,458
	617,000	SWCC Showa Holdings Co Ltd *		673,687
	76,000	T RAD Co Ltd		323,702
	47,600	Tachi-S Co Ltd		819,915
	3,259,000	Taiheiyo Cement Co Ltd		5,793,774
	462,400	Taihei Kogyo Co Ltd		2,218,456
	1,642,836	Taisei Corp		4,382,303
	148,000	Takashimaya Co Ltd		1,049,400
	508,400	Takeda Pharmaceutical Co Ltd		24,623,649
	44,000	Takiron Co Ltd		162,991

12 See accompanying notes to the financial statements.

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	114,000	Takuma Co Ltd *		544,274
	38,600	Teikoku Piston Ring Co Ltd		465,908
	602,098	TOA Corp		1,080,430
	206,200	Tohoku Electric Power Co Inc		2,740,601
	128,900	Toho Holdings Co Ltd		1,366,118
	166,000	Tohto Suisan Co Ltd		297,736
	56,000	Tokai Rika Co Ltd		970,519
	36,170	Token Corp		1,388,586
	638,800	Tokio Marine Holdings Inc		17,436,793
	985,000	Tokyo Gas Co Ltd		4,532,448
	183,500	Tokyo Steel Manufacturing Co		1,741,908
	489	Tokyu REIT Inc (REIT)		2,873,413
	96,430	Tokyu Construction Co Ltd		295,575
	249,000	TonenGeneral Sekiyu KK		2,857,082
	35,400	Toppan Forms Co Ltd		282,293
	261,000	Toppan Printing Co Ltd		1,950,891
	321,000	Topy Industries Ltd		897,678
	109,000	Toshiba TEC Corp		453,360
	1,113,000	Tosoh Corp		4,286,787
	30,700	Touei Housing Corp		346,355
	1,087,000	Toyo Construction Co Ltd		1,213,490
	191,000	Toyo Engineering Corp		692,105
	93,000	Toyo Ink SC Holdings Co Ltd		402,654
	185,000	Toyo Kanetsu KK		429,361
	824,000	Toyo Tire & Rubber Co Ltd		2,200,937
	70,400	Toyota Auto Body Co Ltd		1,136,229
	278,000	Toyota Motor Corp		10,015,042
	525,800	Toyota Tsusho Corp		8,800,668
	64,000	Toyo Suisan Kaisha Ltd		1,694,616
	27,400	Transcosmos Inc		343,994
	17,300	Tsumura & Co		536,171
	18,400	Tsuruha Holdings Inc		950,358
	504	T–Gaia Corp		993,324
	241,000	Uchida Yoko Co Ltd		612,890

See accompanying notes to the financial statements. 13

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	174,000	Uniden Corp		774,429
	68,100	Unipres Corp		1,752,500
	1,256,000	Unitika Ltd *		843,115
	427,800	UNY Co Ltd		3,862,853
	159,230	Usen Corp *		114,877
	17,910	USS Co Ltd		1,555,079
	122,400	Valor Co Ltd		2,101,568
	20,100	Vital KSK Holdings Inc		164,562
	433,000	Wakachiku Construction Co Ltd *		663,761
	35,600	Xebio Co Ltd		838,022
	11,392	Yahoo Japan Corp		3,694,776
	190,770	Yamada Denki Co Ltd		14,028,384
	107,200	Yamaha Motor Co Ltd *		1,613,609
	62,600	Yamato Holdings Co Ltd		1,092,988
	58,600	Yamato Kogyo Co Ltd		1,513,175
	108,500	Yamazen Corp		796,039
	382,000	Yokohama Rubber Co Ltd		2,140,746
	40,500	Yokohama Reito Co Ltd		313,991
	66,500	Yonekyu Corp		508,459
	34,400	Yorozu Corp		820,075
	734,000	Yuasa Trading Co Ltd		1,122,131
	80,000	Yurtec Corp		398,309
		Total Japan		1,007,679,548
		TOTAL COMMON STOCKS (COST $976,131,171)		1,007,679,548

14 See accompanying notes to the financial statements.

GMO Flexible Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 5.7%
		Time Deposits — 5.7%
USD	10,000,000	Bank of America (Charlotte) Time Deposit, 0.03%, due 09/01/11		10,000,000
JPY	71,880,418	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		938,754
USD	20,783,630	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.03%, due 09/01/11		20,783,630
USD	10,000,000	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		10,000,000
USD	10,000,000	HSBC Bank (New York) Time Deposit, 0.03%, due 09/01/11		10,000,000
USD	10,000,000	JPMorgan Chase (New York) Time Deposit, 0.03%, due 09/01/11		10,000,000
		Total Time Deposits		61,722,384
		TOTAL SHORT-TERM INVESTMENTS (COST $61,722,384)		61,722,384
		TOTAL INVESTMENTS — 99.4% (Cost $1,037,853,555)		1,069,401,932
		Other Assets and Liabilities (net) — 0.6%		6,686,272
		TOTAL NET ASSETS — 100.0%	$	1,076,088,204

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement				Units of				Appreciation
Date	Counterparty		Deliver/Receive	Currency		Value		(Depreciation)
Buys †
9/08/11		Bank of New York Mellon	JPY		5,038,305,916	$	65,801,177	$	(84,869	)
9/08/11		Barclays Bank PLC	JPY		9,787,125,603		127,821,612		(164,861	)
9/08/11		Brown Brothers Harriman & Co.	JPY		11,788,471,519		153,959,548		(198,573	)
9/08/11		Deutsche Bank AG	JPY		7,570,598,233		98,873,368		(127,524	)
9/08/11		Morgan Stanley Capital Services Inc.	JPY		11,331,250,000		147,988,154		(190,871	)
						$	594,443,859	$	(766,698	)

See accompanying notes to the financial statements. 15

GMO Flexible Equities Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Currency Contracts — continued

								Net Unrealized
Settlement				Units of				Appreciation
Date	Counterparty		Deliver/Receive	Currency		Value		(Depreciation)
Sales #
9/08/11		Bank of New York Mellon	JPY		5,038,305,916	$	65,801,177	$	(503,468	)
9/08/11		Barclays Bank PLC	JPY		9,787,125,603		127,821,612		(984,584	)
9/08/11		Brown Brothers Harriman & Co.	JPY		11,788,471,519		153,959,548		(2,243,353	)
9/08/11		Deutsche Bank AG	JPY		7,570,598,233		98,873,368		(742,949	)
9/08/11		Morgan Stanley Capital Services Inc.	JPY		11,331,250,000		147,988,153		(1,134,213	)
10/07/11		Bank of New York Mellon	JPY		5,038,305,916		65,818,760		82,367
10/07/11		Barclays Bank PLC	JPY		9,787,125,603		127,855,767		160,840
10/07/11		Brown Brothers Harriman & Co.	JPY		11,788,471,519		154,000,687		189,696
10/07/11		Deutsche Bank AG	JPY		7,570,598,233		98,899,787		120,528
10/07/11		Morgan Stanley Capital Services Inc.	JPY		11,331,250,000		148,027,696		186,216
						$	1,189,046,555	$	(4,868,920	)

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

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Buys
408		TOPIX	September 2011	$	41,389,647	$	(1,682,629	)

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

16 See accompanying notes to the financial statements.

GMO Flexible Equities Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments, at value (cost $1,037,853,555) (Note 2)	$	1,069,401,932
Receivable for Fund shares sold		7,838,873
Dividends receivable		1,384,188
Unrealized appreciation on open forward currency contracts (Note 4)		739,647
Due from broker on futures contracts		4,078,844
Receivable for variation margin on open futures contracts (Note 4)		263,233
Receivable for collateral on closed swap contracts (Note 4)		610,000
Receivable for expenses reimbursed by Manager (Note 5)		36,994
Total assets		1,084,353,711
Liabilities:
Payable for Fund shares repurchased		1,202,142
Payable to affiliate for (Note 5):
Management fee		478,848
Shareholder service fee		56,068
Trustees and Trust Officers or agents unaffiliated with the Manager		1,007
Unrealized depreciation on open forward currency contracts (Note 4)		6,375,265
Accrued expenses		152,177
Total liabilities		8,265,507
Net assets	$	1,076,088,204
Net assets consist of:
Paid-in capital	$	1,111,658,335
Distributions in excess of net investment income		(5,523,868	)
Accumulated net realized loss		(54,302,899	)
Net unrealized appreciation		24,256,636
	$	1,076,088,204
Net assets attributable to:
Class III shares	$	105,994,236
Class VI shares	$	970,093,968
Shares outstanding:
Class III		5,917,564
Class VI		54,121,295
Net asset value per share:
Class III	$	17.91
Class VI	$	17.92

See accompanying notes to the financial statements. 17

GMO Flexible Equities Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends (net of withholding taxes of $627,382)	$	8,361,493
Interest		311,958
Total investment income		8,673,451
Expenses:
Management fee (Note 5)		2,274,338
Shareholder service fee – Class III (Note 5)		60,526
Shareholder service fee – Class VI (Note 5)		205,241
Custodian and fund accounting agent fees		101,752
Audit and tax fees		43,608
Transfer agent fees		19,964
Registration fees		13,256
Legal fees		12,236
Trustees fees and related expenses (Note 5)		5,961
Miscellaneous		20,221
Total expenses		2,757,103
Fees and expenses reimbursed by Manager (Note 5)		(205,076	)
Expense reductions (Note 2)		(14	)
Net expenses		2,552,013
Net investment income (loss)		6,121,438
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		15,605,005
Futures contracts		(2,616,848	)
Swap contracts		(13,156,429	)
Foreign currency, forward contracts and foreign currency related transactions		(33,811,476	)
Net realized gain (loss)		(33,979,748	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(15,340,422	)
Futures contracts		(1,682,629	)
Swap contracts		13,535,498
Foreign currency, forward contracts and foreign currency related transactions		(5,279,748	)
Net unrealized gain (loss)		(8,767,301	)
Net realized and unrealized gain (loss)		(42,747,049	)
Net increase (decrease) in net assets resulting from operations	$	(36,625,611	)

18 See accompanying notes to the financial statements.

GMO Flexible Equities Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	6,121,438		$	5,946,897
Net realized gain (loss)		(33,979,748	)		(8,228,080	)
Change in net unrealized appreciation (depreciation)		(8,767,301	)		19,520,005
Net increase (decrease) in net assets from operations		(36,625,611	)		17,238,822
Distributions to shareholders from:
Net investment income
Class III		—			(368,554	)
Class VI		—			(3,931,813	)
Total distributions from net investment income		—			(4,300,367	)
Net share transactions (Note 9):
Class III		81,249,962			(13,406,608	)
Class VI		688,737,110			(48,692,864	)
Increase (decrease) in net assets resulting from net share transactions		769,987,072			(62,099,472	)
Total increase (decrease) in net assets		733,361,461			(49,161,017	)
Net assets:
Beginning of period		342,726,743			391,887,760
End of period (including distributions in excess of net investment income of $5,523,868 and $11,645,306, respectively)	$	1,076,088,204		$	342,726,743

See accompanying notes to the financial statements. 19

GMO Flexible Equities Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months Ended
	August 31, 2011			Year Ended February 28,
	(Unaudited)			2011			2010			2009(a)
Net asset value, beginning of period	$	19.61		$	18.55		$	15.39		$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.20			0.29			0.23			0.02
Net realized and unrealized gain (loss)		(1.90	)		1.01			3.40			(4.63	)
Total from investment operations		(1.70	)		1.30			3.63			(4.61	)
Less distributions to shareholders:
From net investment income		—			(0.24	)		(0.47	)		(0.00	)(b)
Total distributions		—			(0.24	)		(0.47	)		(0.00	)
Net asset value, end of period	$	17.91		$	19.61		$	18.55		$	15.39
Total Return(c)		(8.67	)%**		7.08	%		23.62	%		(23.04	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	105,994		$	29,259		$	41,753		$	43,788
Net expenses to average daily net assets		0.70	%(d)*		0.70	%(d)		0.70	%(d)		0.70	%*
Net investment income (loss) to average daily net assets		2.20	%*		1.57	%		1.26	%		0.56	%*
Portfolio turnover rate		29	%**		71	%		58	%		7	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.11	%		0.11	%		0.26	%*

(a)	For the period from December 12, 2008 (commencement of operations) through February 28, 2009.
(b)	Distributions from net investment income were less than $0.01 per share.
(c)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

20 See accompanying notes to the financial statements.

GMO Flexible Equities Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class VI share outstanding throughout each period)

	Six Months Ended
	August 31, 2011			Year Ended February 28,
	(Unaudited)			2011			2010			2009(a)
Net asset value, beginning of period	$	19.62		$	18.56		$	15.39		$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.13			0.30			0.25			0.03
Net realized and unrealized gain (loss)		(1.83	)		1.02			3.41			(4.64	)
Total from investment operations		(1.70	)		1.32			3.66			(4.61	)
Less distributions to shareholders:
From net investment income		—			(0.26	)		(0.49	)		(0.00	)(b)
Total distributions		—			(0.26	)		(0.49	)		(0.00	)
Net asset value, end of period	$	17.92		$	19.62		$	18.56		$	15.39
Total Return(c)		(8.66	)%**		7.18	%		23.81	%		(23.04	)%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	970,094		$	313,468		$	350,135		$	310,066
Net expenses to average daily net assets		0.61	%(d)*		0.61	%(d)		0.61	%(d)		0.61	%*
Net investment income (loss) to average daily net assets		1.40	%*		1.64	%		1.36	%		0.69	%*
Portfolio turnover rate		29	%**		71	%		58	%		7	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.11	%		0.11	%		0.26	%*

(a)	For the period from December 12, 2008 (commencement of operations) through February 28, 2009.
(b)	Distributions from net investment income were less than $0.01 per share.
(c)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 21

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Flexible Equities Fund (the “Fund”), which commenced operations on December 12, 2008, 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the MSCI World Index. The Fund may invest directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equity investments traded in any of the world’s securities markets. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in equity investments. The term “equity investments” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. The Fund is permitted to make equity investments of all types, including equity investments issued by foreign and/or U.S. companies, growth and/or value style equities, and equity investments of companies of any market capitalization. In addition, the Fund is not limited in how much it may invest in any market or in the types of equity investments it may pursue, and it may often invest all its assets in a limited number of equity investments of companies in a single country and/or capitalization range. The Fund could experience material losses from a single investment.

The Manager pursues the Fund’s investment objective by using investment strategies designed to complement broader asset allocation strategies being implemented by the Manager in other GMO Asset Allocation Funds or accounts. Accordingly, the Fund is not a standalone investment. The Manager uses multi-year forecasts of relative value and risk to determine the Fund’s strategic direction.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include options, futures, swap contracts and reverse repurchase agreements. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its equity investments. For investment and hedging purposes, the Fund also may make short sales of securities, including short sales of securities the Fund does not own. In addition, the Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark. In addition, the Fund may lend its portfolio securities.

The Fund may identify and measure its performance against one or more secondary benchmarks from time to time. The Fund does not seek to control risk relative to the MSCI World Index or any other benchmark.

22

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund may, from time to time, take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the period ended August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class VI. Each class of shares bears a different shareholder service fee.

The Fund currently limits subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on

23

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

inputs from an independent pricing service approved by the Trustees. As of August 31, 2011, the table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		93.6	%
Futures Contracts		(0.2	)%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

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

24

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks
Japan	$	—	$	1,007,679,548	$	—	$	1,007,679,548
TOTAL COMMON STOCK		—		1,007,679,548		—		1,007,679,548
Short-Term Investments		61,722,384		—		—		61,722,384
Total Investments		61,722,384		1,007,679,548		—		1,069,401,932
Derivatives*
Forward Currency Contracts
Foreign Currency Risk		—		739,647		—		739,647
Total	$	61,722,384	$	1,008,419,195	$	—	$	1,070,141,579

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Derivatives*
Futures Contracts
Equity Risk	$	—	$	(1,682,629	)	$	—	$	(1,682,629	)
Forward Currency Contracts
Foreign Currency Risk		—		(6,375,265	)		—		(6,375,265	)
Total	$	—	$	(8,057,894	)	$	—	$	(8,057,894	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

25

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of

26

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital loss of $1,050,378 and post-October currency loss of $5,820,846.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(17,168,605	)
Total	$	(17,168,605	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	1,049,784,901	$	55,991,629	$	(36,374,598	)	$	19,617,031

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws

27

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the periods ended February 28, 2009 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations.

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

28

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in

29

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another creates additional risk.

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

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

30

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Short Sales Risk — The Fund runs the risk that the Fund’s loss on a short sale of securities that the Fund does not own is unlimited.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of

31

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may

32

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. During the period ended August 31, 2011, the Fund used forward currency contracts to manage against anticipated currency exchange rate changes and adjust exposure to foreign currencies. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

33

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to maintain the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

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

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

34

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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.

35

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

36

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

period ended August 31, 2011, the Fund used swap agreements to manage against anticipated currency exchange rates and to adjust exposure to foreign currencies. The Fund had no swap agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Assets:
Unrealized appreciation on forward currency contracts	$	—	$	739,647		$	—	$	—		$	—	$	739,647
Total	$	—	$	739,647		$	—	$	—		$	—	$	739,647
Liabilities:
Unrealized depreciation on futures contracts *	$	—	$	—		$	—	$	(1,682,629	)	$	—	$	(1,682,629	)
Unrealized depreciation on forward currency contracts		—		(6,375,265	)		—		—			—		(6,375,265	)
Total	$	—	$	(6,375,265	)	$	—	$	(1,682,629	)	$	—	$	(8,057,894	)

37

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the period ended August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Futures contracts	$	—	$	—		$	—	$	(2,616,848	)	$	—	$	(2,616,848	)
Forward currency contracts		—		(31,211,545	)		—		—			—		(31,211,545	)
Swap agreements		—		(13,156,429	)		—		—			—		(13,156,429	)
Total	$	—	$	(44,367,974	)	$	—	$	(2,616,848	)	$	—	$	(46,984,822	)
Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—		$	—	$	(1,682,629	)	$	—	$	(1,682,629	)
Forward currency contracts		—		(5,298,024	)		—		—			—		(5,298,024	)
Swap agreements		—		13,535,498			—		—			—		13,535,498
Total	$	—	$	8,237,474		$	—	$	(1,682,629	)	$	—	$	6,554,845

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts and futures contracts), or notional amounts (swap agreements), outstanding at each month-end, was as follows for the period ended August 31,2011:

	Forward
	currency		Futures		Swap
	contracts		contracts		agreements
Average amount outstanding	$	669,543,651	$	23,981,586	$	69,155,998

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.55% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on

38

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.55% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $5,961 and $2,189, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $897,786,466 and $221,165,378, respectively.

7. Guarantees

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

39

GMO Flexible Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

8. Principal shareholders and related parties

As of August 31, 2011, 50.55% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. Two of the shareholders are other funds of the Trust. On that date, no other shareholders owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, none of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and all of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		4,565,722		$	83,835,240			7,751		$	142,996
Shares issued to shareholders in reinvestment of distributions		—			—			14,175			264,359
Shares repurchased		(140,036	)		(2,585,278	)		(780,526	)		(13,813,963	)
Net increase (decrease)		4,425,686		$	81,249,962			(758,600	)	$	(13,406,608	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class VI:	Shares			Amount			Shares			Amount
Shares sold		52,184,790		$	949,197,366			1,434,560		$	26,560,917
Shares issued to shareholders in reinvestment of distributions		—			—			210,711			3,929,770
Shares repurchased		(14,042,622	)		(260,460,256	)		(4,531,143	)		(79,183,551	)
Net increase (decrease)		38,142,168		$	688,737,110			(2,885,872	)	$	(48,692,864	)

40

GMO Flexible Equities
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including a one-year period and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered that the Fund’s performance is intended to complement broader asset allocation strategies being implemented by the Manager in other asset allocation funds or accounts and noted that the Fund is not separately available nor does it seek to control risk relative to a benchmark. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing

41

GMO Flexible Equities
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record

42

GMO Flexible Equities
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

43

GMO Flexible Equities Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 01, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

44

GMO Flexible Equities Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.70	%	$	1,000.00	$	913.30	$	3.37
2) Hypothetical		0.70	%	$	1,000.00	$	1,021.62	$	3.56
Class VI
1) Actual		0.61	%	$	1,000.00	$	913.40	$	2.93
2) Hypothetical		0.61	%	$	1,000.00	$	1,022.07	$	3.10

            * Expenses are calculated using each Class’s annualized net expense ratio for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

45

GMO Foreign Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Foreign Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.4	%
Preferred Stocks		1.3
Short-Term Investments		1.1
Forward Currency Contracts		0.0	Ù
Other		0.2
		100.0	%

Country Summary*	% of Equity Investments
Japan		25.9	%
United Kingdom		22.7
France		9.3
Germany		7.8
Italy		5.2
Switzerland		4.7
Finland		4.3
Australia		2.9
South Korea		2.3
Sweden		2.1
Brazil		1.9
Russia		1.8
Hong Kong		1.4
Singapore		1.1
Spain		1.1
Norway		0.9
Belgium		0.8
Netherlands		0.7
Thailand		0.7
Denmark		0.5
Taiwan		0.5
Ireland		0.4
India		0.3
Malaysia		0.2
Mexico		0.2
Philippines		0.2
Austria		0.1
New Zealand		0.0	Ù
		100.0	%

Ù

Rounds to 0.0%.

*

The table above 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 agreements and other derivative financial instruments, if any.

1

GMO Foreign Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Industry Group Summary	% of Equity Investments**
Energy		15.2	%
Capital Goods		11.2
Materials		8.4
Banks		8.3
Telecommunication Services		8.0
Automobiles & Components		7.4
Pharmaceuticals, Biotechnology & Life Sciences		6.3
Technology Hardware & Equipment		5.7
Food, Beverage & Tobacco		4.7
Insurance		4.6
Utilities		3.8
Food & Staples Retailing		3.2
Real Estate		2.7
Consumer Services		1.7
Retailing		1.4
Transportation		1.4
Consumer Durables & Apparel		1.3
Household & Personal Products		1.2
Media		0.9
Software & Services		0.8
Health Care Equipment & Services		0.7
Commercial & Professional Services		0.5
Diversified Financials		0.4
Semiconductors & Semiconductor Equipment		0.2
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

2

GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.4%
		Australia — 2.8%
	2,461,316	Asciano Group		4,146,014
	69,136	Australia and New Zealand Banking Group Ltd		1,506,434
	41,139	Commonwealth Bank of Australia		2,129,522
	259,779	Crown Ltd		2,323,192
	1,984,801	Dexus Property Group (REIT)		1,826,856
	1,298,961	Incitec Pivot Ltd		5,281,597
	187,553	James Hardie Industries SE *		1,199,565
	128,985	Macquarie Group Ltd		3,588,522
	1,307,595	Myer Holdings Ltd		3,003,577
	260,449	Santos Ltd		3,289,530
	1,592,357	Telstra Corp Ltd		5,160,071
	438,364	Toll Holdings Ltd		2,291,346
	381,117	Westpac Banking Corp		8,440,310
		Total Australia		44,186,536
		Austria — 0.1%
	24,299	Telekom Austria AG		269,387
	57,248	Wienerberger AG		815,409
		Total Austria		1,084,796
		Belgium — 0.8%
	206,164	Belgacom SA		6,748,547
	103,208	Umicore SA		4,981,966
		Total Belgium		11,730,513
		Brazil — 1.3%
	175,400	Cia Hering		3,877,333
	203,000	EDP-Energias Do Brasil SA		4,876,387
	346,400	Magazine Luiza SA *		2,796,181
	369,900	OGX Petroleo e Gas Participacoes SA *		2,665,213

See accompanying notes to the financial statements. 3

GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Brazil — continued
	253,000	Sonae Sierra Brasil SA		3,766,631
	303,900	T4F Entretenimento SA *		2,806,288
		Total Brazil		20,788,033
		Denmark — 0.5%
	372,355	H Lundbeck A/S		8,207,073
		Finland — 4.2%
	204,087	Amer Sports Oyj Class A		2,754,104
	296,702	Fortum Oyj		7,973,764
	16,004	Konecranes Oyj		435,972
	295,808	Neste Oil Oyj		3,280,262
	213,485	Nokian Renkaat Oyj		7,916,785
	2,408,589	Nokia Oyj		15,492,693
	183,225	Orion Oyj Class B		4,119,718
	23,954	Rautaruukki Oyj		363,286
	487,860	Sampo Oyj Class A		14,008,343
	452,827	UPM–Kymmene Oyj		5,923,595
	157,714	YIT Oyj		3,144,427
		Total Finland		65,412,949
		France — 9.2%
	129,783	Accor SA		4,652,762
	201,270	ArcelorMittal		4,427,411
	397,250	AXA		6,375,925
	112,716	BNP Paribas		5,797,710
	141,044	Carrefour SA		3,756,483
	44,634	Christian Dior SA		6,463,881
	100,471	Compagnie de Saint-Gobain		5,046,401
	102,708	Compagnie Generale des Etablissements Michelin-Class B		7,516,406
	144,439	European Aeronautic Defense and Space Co NV		4,574,251
	63,153	L’Oreal SA		6,854,363
	130,435	Legrand SA		5,166,032
	61,705	Pernod-Ricard SA		5,537,425

4 See accompanying notes to the financial statements.

GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		France — continued
	94,171	Publicis Groupe SA		4,423,232
	55,883	Renault SA		2,270,821
	281,487	Sanofi		20,528,274
	41,868	Societe BIC SA		4,060,854
	101,416	Sodexo		7,533,312
	500,952	Total SA		24,464,223
	44,220	Vallourec SA		3,964,180
	367,197	Vivendi SA		8,928,137
		Total France		142,342,083
		Germany — 7.3%
	113,549	Allianz SE (Registered)		11,680,796
	42,430	Axel Springer AG		1,823,006
	180,567	Bayer AG		11,612,037
	3,479,397	Commerzbank AG *		10,282,307
	101,607	Continental AG *		7,491,299
	258,728	Daimler AG (Registered)		13,976,492
	844,382	Deutsche Telekom AG (Registered)		10,660,242
	512,692	E.ON AG		11,196,298
	73,823	HeidelbergCement AG		3,168,689
	114,940	K+S AG		8,066,461
	223,313	SAP AG		12,178,233
	112,752	Siemens AG (Registered)		11,598,580
		Total Germany		113,734,440
		Hong Kong — 1.4%
	807,000	Hutchison Whampoa Ltd		7,750,487
	1,087,500	Power Assets Holdings Ltd		8,417,883
	360,000	Swire Pacific Ltd		4,813,177
		Total Hong Kong		20,981,547

See accompanying notes to the financial statements. 5

GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		India — 0.3%
	958,493	Housing Development & Infrastructure Ltd *		2,162,216
	943,106	Indiabulls Real Estate Ltd *		1,743,317
	234,250	Indiabulls Wholesale *		26,197
		Total India		3,931,730
		Ireland — 0.4%
	309,871	C&C Group Plc		1,355,065
	192,058	CRH Plc		3,391,618
	39,368	DCC Plc		1,073,374
		Total Ireland		5,820,057
		Italy — 5.2%
	284,917	Assicurazioni Generali SPA		5,145,607
	439,538	Autogrill SPA		5,449,787
	252,953	Enel SPA		1,233,744
	1,659,470	ENI SPA		33,365,755
	58,734	Fondiaria–Sai SPA-Di RISP *		73,356
	4,606,820	Intesa San Paolo		7,497,910
	1,317,021	Intesa Sanpaolo SPA-Di RISP		1,795,472
	286,872	Italcementi SPA-Di RISP		1,037,020
	231,556	Lottomatica SPA *		3,656,722
	1,271,970	Mediaset SPA		4,920,561
	320,213	Mediobanca SPA		2,951,608
	205,294	Prysmian SPA		3,312,946
	1,547,439	Saras SPA *		2,812,864
	1,730,821	Telecom Italia SPA-Di RISP		1,896,141
	235,307	Tenaris SA		3,901,317
	279,215	Unione di Banche Italiane ScpA		1,035,423
		Total Italy		80,086,233
		Japan — 25.6%
	991,600	Aeon Co Ltd		12,489,032
	305,900	Aisin Seiki Co Ltd		10,260,152
	446,900	Alps Electric Co Ltd		4,086,819

6 See accompanying notes to the financial statements.

GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	812,000	Asahi Glass Co Ltd		7,993,592
	1,370,000	Asahi Kasei Corp		9,143,407
	190,000	Astellas Pharma Inc		7,180,328
	243,000	Canon Inc		11,466,797
	879,000	Chiba Bank Ltd		5,743,623
	301,500	Chugai Pharmaceutical Co Ltd		5,288,337
	336,000	Daikin Industries Ltd		10,619,369
	104,300	Daito Trust Construction Co Ltd		9,670,822
	1,632,000	Ebara Corp		7,330,557
	511,400	Elpida Memory Inc *		3,593,171
	3,792,000	Hitachi Ltd		20,512,929
	757,000	Honda Motor Co Ltd		24,666,847
	309,000	Hoya Corp		6,821,596
	926,300	Itochu Corp		9,998,077
	394,700	JSR Corp		7,165,735
	315,800	JS Group Corp		8,015,601
	2,376,100	JX Holdings Inc		15,127,790
	205,600	Lawson Inc		11,210,629
	122,700	Miraca Holdings Inc		5,218,221
	2,035,500	Mitsubishi Chemical Holdings Corp		14,329,759
	1,504,000	Mitsubishi Electric Corp		15,047,716
	731,800	Mitsui & Co Ltd		12,555,860
	1,422,000	Mitsui OSK Lines Ltd		6,020,829
	2,012,000	Nissan Motor Co Ltd		18,501,188
	1,027,000	NSK Ltd		8,226,260
	11,489	NTT Docomo Inc		20,943,927
	476,900	Seiko Epson Corp		6,676,093
	783,000	Sekisui Chemical Co Ltd		6,748,339
	84,800	Shimamura Co Ltd		8,476,042
	5,542,000	Shinsei Bank Ltd		6,636,025
	487,300	Sumitomo Rubber Industries		6,164,132
	441,400	Sumitomo Electric Industries Ltd		5,904,252
	575,600	Sumitomo Mitsui Financial Group Inc		17,042,153
	2,264,000	Sumitomo Mitsui Trust Holdings Inc		7,696,154

See accompanying notes to the financial statements. 7

GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	336,500	Sumitomo Realty & Development Co Ltd		7,142,106
	1,738,000	Teijin Ltd		6,701,899
	318,900	Tokio Marine Holdings Inc		8,704,748
		Total Japan		397,120,913
		Malaysia — 0.2%
	1,746,200	Petronas Chemicals Group Bhd		3,690,718
		Mexico — 0.2%
	55,800	Grupo Aeroportuario del Sureste SAB de CV ADR		3,208,500
		Netherlands — 0.7%
	1,081,806	Aegon NV *		4,871,224
	6,841	Arcadis NV		129,464
	79,084	Dockwise Ltd *		1,511,778
	126,544	Imtech NV		3,668,459
		Total Netherlands		10,180,925
		New Zealand — 0.0%
	59,029	Sky Network Television Ltd		290,594
		Norway — 0.8%
	507,087	ProSafe ASA		3,698,327
	191,533	Statoil ASA		4,602,242
	737,837	Storebrand ASA		4,894,042
		Total Norway		13,194,611
		Philippines — 0.2%
	7,707,200	Alliance Global Group Inc		1,892,304
	845,260	Cebu Air Inc		1,630,880
		Total Philippines		3,523,184

8 See accompanying notes to the financial statements.

GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Russia — 1.8%
	229,176	Lukoil OAO ADR		13,779,889
	281,700	Phosagro OAO-GDR 144A *		3,366,315
	987,800	VimpelCom Ltd Sponsored ADR		11,290,554
		Total Russia		28,436,758
		Singapore — 1.1%
	627,554	DBS Group Holdings Ltd		6,907,082
	2,971,000	Global Logistic Properties Ltd *		4,123,108
	710,100	Keppel Corp Ltd		5,484,388
		Total Singapore		16,514,578
		South Korea — 1.9%
	60,031	Doosan Heavy Industries and Construction Co		3,110,934
	13,920	Hyundai Mobis		4,438,025
	108,100	Kangwon Land Inc		2,830,404
	6,091	LG Chem Ltd		2,178,478
	38,771	LG Corp		2,299,216
	234,150	LG Display Co Ltd		4,636,174
	49,913	LG Electronics Inc		3,140,894
	72,770	Shinhan Financial Group Co Ltd		3,075,401
	22,117	SK Holdings Co Ltd		3,439,831
		Total South Korea		29,149,357
		Spain — 1.1%
	384,888	Banco Santander SA		3,556,255
	232,819	Enagas		4,878,537
	95,466	Red Electrica de Espana		4,690,601
	151,654	Repsol YPF SA		4,364,621
		Total Spain		17,490,014
		Sweden — 2.1%
	814,623	Ericsson LM B Shares		9,142,245
	215,172	Getinge AB Class B		5,553,806

See accompanying notes to the financial statements. 9

GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	702,741	Svenska Cellulosa AB Class B		9,460,626
	1,114,022	TeliaSonera AB		7,945,371
		Total Sweden		32,102,048
		Switzerland — 4.6%
	60,170	Adecco SA *		2,802,339
	529,546	Novartis AG (Registered)		30,898,509
	50,067	Roche Holding AG (Non Voting)		8,754,919
	37,143	Sulzer AG		5,011,373
	11,680	Swisscom AG (Registered)		5,236,592
	34,278	Syngenta AG (Registered) *		10,850,979
	35,490	Zurich Financial Services AG *		7,995,618
		Total Switzerland		71,550,329
		Taiwan — 0.5%
	540,416	Asustek Computer Inc		4,595,791
	1,441,756	Hon Hai Precision Industry Co Ltd		3,674,095
		Total Taiwan		8,269,886
		Thailand — 0.7%
	1,226,000	Bangkok Bank Pcl NVDR		6,558,889
	17,578,900	Land & Houses Pcl NVDR		4,022,022
		Total Thailand		10,580,911
		United Kingdom — 22.4%
	284,549	AMEC Plc		4,214,478
	503,694	BAE Systems Plc		2,247,592
	1,091,920	Barclays Plc		3,016,983
	599,597	BG Group Plc		12,930,714
	489,612	Bodycote Plc		2,312,130
	5,354,606	BP Plc		34,949,654
	646,580	British American Tobacco Plc		28,767,421
	1,691,537	BT Group Plc		4,691,424
	797,560	Centrica Plc		3,864,432

10 See accompanying notes to the financial statements.

GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	61,092	Charter International Plc		753,173
	611,091	Diageo Plc		12,278,763
	3,271,617	HSBC Holdings Plc		28,495,846
	321,139	Imperial Tobacco Group Plc		10,623,652
	706,897	Inchcape Plc		3,698,650
	496,538	International Power Plc		2,736,131
	217,533	John Wood Group Plc		2,093,874
	39,639	Johnson Matthey Plc		1,095,297
	227,798	Land Securities Group Plc (REIT)		2,721,251
	1,055,316	National Express Group Plc		4,290,265
	359,189	National Grid Plc		3,618,703
	856,864	Premier Oil Plc *		4,595,679
	638,714	Prudential Plc		6,433,996
	224,566	Reckitt Benckiser Group Plc		11,912,120
	171,520	Rio Tinto Plc		10,455,599
	128,798	Rolls-Royce Holdings Plc *		1,333,691
	911,683	Royal Dutch Shell Plc A Shares (London)		30,497,049
	788,316	Royal Dutch Shell Plc B Shares (London)		26,528,790
	203,956	Scottish & Southern Energy Plc		4,295,439
	1,940,968	Tesco Plc		11,930,331
	243,094	Travis Perkins Plc		3,247,133
	174,262	Ultra Electronics Holdings Plc		4,206,582
	375,459	Unilever Plc		12,598,729
	11,556,444	Vodafone Group Plc		30,327,067
	2,109,351	William Morrison Supermarket Plc		9,894,858
	577,780	Xstrata Plc		10,034,534
		Total United Kingdom		347,692,030
		TOTAL COMMON STOCKS (COST $1,542,806,750)		1,511,301,346

See accompanying notes to the financial statements. 11

GMO Foreign Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		PREFERRED STOCKS — 1.3%
		Brazil — 0.5%
	253,200	Telecomunicacoes de Sao Paulo SA		7,978,210
		Germany — 0.4%
	96,115	Porsche Automobil Holding SE 1.10%		6,470,222
		South Korea — 0.4%
	50,065	Hyundai Motor Co 2.35%		3,208,275
	13,882	LG Chem Ltd 3.09%		1,706,935
	42,590	LG Electronics Inc 1.06%		964,664
		Total South Korea		5,879,874
		TOTAL PREFERRED STOCKS (COST $16,216,908)		20,328,306
		SHORT-TERM INVESTMENTS — 1.1%
		Time Deposits — 1.1%
JPY	14,611,807	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		190,830
SEK	164	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.10%, due 09/01/11		26
AUD	53,517	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.00%, due 09/01/11		57,207
USD	6,251,835	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		6,251,835
EUR	7,132,768	Citibank (New York) Time Deposit, 0.13%, due 09/01/11		10,246,221
GBP	492,783	JPMorgan Chase (New York) Time Deposit, 0.11%, due 09/01/11		799,935
		Total Time Deposits		17,546,054
		TOTAL SHORT-TERM INVESTMENTS (COST $17,546,054)		17,546,054
		TOTAL INVESTMENTS — 99.8% (Cost $1,576,569,712)		1,549,175,706
		Other Assets and Liabilities (net) — 0.2%		3,538,672
		TOTAL NET ASSETS — 100.0%	$	1,552,714,378

12 See accompanying notes to the financial statements.

GMO Foreign Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Sales #
9/15/11		HSBC Bank USA	EUR		10,683,000	$	15,343,495	$	(146,866	)
9/15/11		Deutsche Bank AG	EUR		10,683,000		15,343,494		(141,759	)
						$	30,686,989	$	(288,625	)

# Fund sells foreign currency; buys USD.

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

REIT - Real Estate Investment Trust

* Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

SEK - Swedish Krona

USD - United States Dollar

See accompanying notes to the financial statements. 13

GMO Foreign Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments, at value (cost $1,576,569,712) (Note 2)	$	1,549,175,706
Foreign currency, at value (cost $825,792) (Note 2)		822,211
Receivable for investments sold		7,003,049
Receivable for Fund shares sold		637,828
Dividends and interest receivable		4,998,995
Foreign taxes receivable		1,382,956
Receivable for foreign currency sold		11,814
Receivable for expenses reimbursed by Manager (Note 5)		128,526
Miscellaneous receivable		18,874
Total assets		1,564,179,959
Liabilities:
Payable for investments purchased		9,402,590
Payable for Fund shares repurchased		26,871
Payable to affiliate for (Note 5):
Management fee		788,901
Shareholder service fee		193,861
Administration fee – Class M		723
Trustees and Trust Officers or agents unaffiliated with the Manager		5,644
Payable for 12b-1 fee – Class M		1,927
Unrealized depreciation on open forward currency contracts (Note 4)		288,625
Accrued expenses		756,439
Total liabilities		11,465,581
Net assets	$	1,552,714,378

14 See accompanying notes to the financial statements.

GMO Foreign Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited) — (Continued)

Net assets consist of:
Paid-in capital	$	2,123,304,976
Accumulated undistributed net investment income		33,856,980
Accumulated net realized loss		(576,892,250	)
Net unrealized depreciation		(27,555,328	)
	$	1,552,714,378
Net assets attributable to:
Class II shares	$	262,612,218
Class III shares	$	905,227,889
Class IV shares	$	380,574,647
Class M shares	$	4,299,624
Shares outstanding:
Class II		23,496,861
Class III		80,579,806
Class IV		33,061,154
Class M		383,317
Net asset value per share:
Class II	$	11.18
Class III	$	11.23
Class IV	$	11.51
Class M	$	11.22

See accompanying notes to the financial statements. 15

GMO Foreign Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends (net of withholding taxes of $4,685,797)	$	42,871,932
Interest		38,583
Total investment income		42,910,515
Expenses:
Management fee (Note 5)		6,243,304
Shareholder service fee – Class II (Note 5)		384,743
Shareholder service fee – Class III (Note 5)		906,583
Shareholder service fee – Class IV (Note 5)		232,976
12b-1 fee – Class M (Note 5)		6,040
Administration fee – Class M (Note 5)		4,832
Custodian and fund accounting agent fees		642,252
Audit and tax fees		50,416
Legal fees		40,756
Transfer agent fees		32,292
Trustees fees and related expenses (Note 5)		20,583
Registration fees		18,860
Miscellaneous		40,932
Total expenses		8,624,569
Fees and expenses reimbursed by Manager (Note 5)		(811,348	)
Expense reductions (Note 2)		(8	)
Net expenses		7,813,213
Net investment income (loss)		35,097,302
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments (net of foreign capital gains tax of $(2,219)) (Note 2)		90,693,309
Foreign currency, forward contracts and foreign currency related transactions (net of foreign transaction taxes of $409,558) (Note 2)		15,066
Net realized gain (loss)		90,708,375
Change in net unrealized appreciation (depreciation) on:
Investments		(358,132,341	)
Foreign currency, forward contracts and foreign currency related transactions		(223,764	)
Net unrealized gain (loss)		(358,356,105	)
Net realized and unrealized gain (loss)		(267,647,730	)
Net increase (decrease) in net assets resulting from operations	$	(232,550,428	)

16 See accompanying notes to the financial statements.

GMO Foreign Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	35,097,302		$	59,851,141
Net realized gain (loss)		90,708,375			109,187,445
Change in net unrealized appreciation (depreciation)		(358,356,105	)		313,695,778
Net increase (decrease) in net assets from operations		(232,550,428	)		482,734,364
Distributions to shareholders from:
Net investment income
Class II		(4,494,216	)		(9,334,792	)
Class III		(16,354,009	)		(29,522,934	)
Class IV		(6,007,240	)		(18,540,322	)
Class M		(67,480	)		(84,450	)
Total distributions from net investment income		(26,922,945	)		(57,482,498	)
Net share transactions (Note 9):
Class II		(110,171,464	)		(192,336,087	)
Class III		(382,988,400	)		(375,917,665	)
Class IV		(391,841,428	)		(157,627,171	)
Class M		(27,735	)		(542,998	)
Increase (decrease) in net assets resulting from net share transactions		(885,029,027	)		(726,423,921	)
Total increase (decrease) in net assets		(1,144,502,400	)		(301,172,055	)
Net assets:
Beginning of period		2,697,216,778			2,998,388,833
End of period (including accumulated undistributed net investment income of $33,856,980 and $25,682,623, respectively)	$	1,552,714,378		$	2,697,216,778

See accompanying notes to the financial statements. 17

GMO Foreign Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class II share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	12.88		$	11.07		$	8.03		$	16.52		$	18.56		$	16.70
Income (loss) from investment operations:
Net investment income (loss)†		0.21			0.24			0.26			0.45			0.40			0.38
Net realized and unrealized gain (loss)		(1.73	)		1.79			3.24			(7.95	)		(0.36	)		3.06
Total from investment operations		(1.52	)		2.03			3.50			(7.50	)		0.04			3.44
Less distributions to shareholders:
From net investment income		(0.18	)		(0.22	)		(0.46	)		(0.33	)		(0.44	)		(0.43	)
From net realized gains		—			—			—			(0.66	)		(1.64	)		(1.15	)
Total distributions		(0.18	)		(0.22	)		(0.46	)		(0.99	)		(2.08	)		(1.58	)
Net asset value, end of period	$	11.18		$	12.88		$	11.07		$	8.03		$	16.52		$	18.56
Total Return(a)		(11.90	)%**		18.71	%		43.95	%		(47.49	)%		(0.78	)%		21.21	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	262,612		$	417,685		$	545,336		$	765,201		$	848,359		$	1,018,021
Net expenses to average daily net assets		0.82	%(b)*		0.82	%(b)		0.82	%(b)		0.82	%(c)		0.82	%(c)		0.82	%
Net investment income (loss) to average daily net assets		3.32	%*		2.09	%		2.53	%		3.42	%		2.10	%		2.17	%
Portfolio turnover rate		33	%**		55	%		59	%		39	%		29	%		23	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.08	%*		0.06	%		0.05	%		0.05	%		0.05	%		0.05	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

18 See accompanying notes to the financial statements.

GMO Foreign Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	12.95		$	11.13		$	8.07		$	16.59		$	18.64		$	16.76
Income (loss) from investment operations:
Net investment income (loss)†		0.21			0.24			0.28			0.47			0.41			0.38
Net realized and unrealized gain (loss)		(1.75	)		1.81			3.25			(7.99	)		(0.36	)		3.09
Total from investment operations		(1.54	)		2.05			3.53			(7.52	)		0.05			3.47
Less distributions to shareholders:
From net investment income		(0.18	)		(0.23	)		(0.47	)		(0.34	)		(0.46	)		(0.44	)
From net realized gains		—			—			—			(0.66	)		(1.64	)		(1.15	)
Total distributions		(0.18	)		(0.23	)		(0.47	)		(1.00	)		(2.10	)		(1.59	)
Net asset value, end of period	$	11.23		$	12.95		$	11.13		$	8.07		$	16.59		$	18.64
Total Return(a)		(11.97	)%**		18.80	%		44.10	%		(47.42	)%		(0.75	)%		21.36	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	905,228		$	1,440,952		$	1,591,717		$	2,054,885		$	4,078,545		$	4,556,742
Net expenses to average daily net assets		0.75	%(b)*		0.75	%(b)		0.75	%(b)		0.75	%(c)		0.75	%(c)		0.75	%
Net investment income (loss) to average daily net assets		3.38	%*		2.08	%		2.65	%		3.51	%		2.16	%		2.11	%
Portfolio turnover rate		33	%**		55	%		59	%		39	%		29	%		23	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.08	%*		0.06	%		0.05	%		0.05	%		0.05	%		0.05	%

(a)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 19

GMO Foreign Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class IV share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	13.25		$	11.39		$	8.07		$	16.59		$	18.64		$	16.77
Income (loss) from investment operations:
Net investment income (loss)†		0.22			0.25			0.22			0.51			0.40			0.36
Net realized and unrealized gain (loss)		(1.78	)		1.85			3.35			(8.02	)		(0.34	)		3.11
Total from investment operations		(1.56	)		2.10			3.57			(7.51	)		0.06			3.47
Less distributions to shareholders:
From net investment income		(0.18	)		(0.24	)		(0.25	)		(0.35	)		(0.47	)		(0.45	)
From net realized gains		—			—			—			(0.66	)		(1.64	)		(1.15	)
Total distributions		(0.18	)		(0.24	)		(0.25	)		(1.01	)		(2.11	)		(1.60	)
Net asset value, end of period	$	11.51		$	13.25		$	11.39		$	8.07		$	16.59		$	18.64
Total Return(a)		(11.85	)%**		18.80	%		44.05	%		(47.39	)%		(0.68	)%		21.36	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	380,575		$	833,582		$	856,553		$	334,003		$	3,571,516		$	3,424,024
Net expenses to average daily net assets		0.69	%(b)*		0.69	%(b)		0.69	%(b)		0.69	%(c)		0.69	%(c)		0.69	%
Net investment income (loss) to average daily net assets		3.41	%*		2.10	%		1.92	%		3.70	%		2.08	%		2.04	%
Portfolio turnover rate		33	%**		55	%		59	%		39	%		29	%		23	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.08	%*		0.06	%		0.05	%		0.05	%		0.05	%		0.05	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

20 See accompanying notes to the financial statements.

GMO Foreign Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class M share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	12.94		$	11.12		$	8.07		$	16.58		$	18.63		$	16.75
Income (loss) from investment operations:
Net investment income (loss)†		0.18			0.20			0.22			0.41			0.35			0.30
Net realized and unrealized gain (loss)		(1.72	)		1.82			3.27			(7.96	)		(0.36	)		3.12
Total from investment operations		(1.54	)		2.02			3.49			(7.55	)		(0.01	)		3.42
Less distributions to shareholders:
From net investment income		(0.18	)		(0.20	)		(0.44	)		(0.30	)		(0.40	)		(0.39	)
From net realized gains		—			—			—			(0.66	)		(1.64	)		(1.15	)
Total distributions		(0.18	)		(0.20	)		(0.44	)		(0.96	)		(2.04	)		(1.54	)
Net asset value, end of period	$	11.22		$	12.94		$	11.12		$	8.07		$	16.58		$	18.63
Total Return(a)		(12.02	)%**		18.47	%		43.60	%		(47.58	)%		(1.05	)%		21.04	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	4,300		$	4,998		$	4,783		$	3,786		$	7,375		$	8,258
Net expenses to average daily net assets		1.05	%(b)*		1.05	%(b)		1.05	%(b)		1.05	%(c)		1.05	%(c)		1.05	%
Net investment income (loss) to average daily net assets		2.94	%*		1.72	%		2.05	%		3.11	%		1.81	%		1.69	%
Portfolio turnover rate		33	%**		55	%		59	%		39	%		29	%		23	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.08	%*		0.06	%		0.05	%		0.05	%		0.05	%		0.05	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 21

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Foreign Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the MSCI EAFE Index. The Fund typically makes equity investments directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in companies tied economically to non-U.S. countries, including companies that issue equity investments included in the MSCI international developed country universe (the universe of securities from which the MSCI EAFE Index, a developed markets index, is constructed) and companies whose equity investments are traded in the securities markets of the world’s non-developed countries (“emerging countries”). The term “equity investments” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to countries outside the U.S.

The Fund’s country selections relative to its benchmark are determined by the Manager’s cumulative quantitative value score for each country together with the Manager’s evaluation of the country’s fundamentals. The Fund typically overweights or underweights (sometimes to a significant extent) its investment exposure in particular countries relative to the Fund’s benchmark.

The Manager selects stocks using fundamental analysis that is informed by a disciplined quantitative screening process. The Manager analyzes companies for financial, operational and managerial strength and compares them to their global, regional and local industry peers. As part of the investment process, the Manager frequently meets with management and/or visits companies.

The Fund normally does not take temporary defensive positions but may hold up to 10% of its total assets in cash and cash equivalents to manage cash inflows and outflows as a result of shareholder purchases and redemptions. To the extent the Fund takes temporary defensive positions or holds cash or cash equivalents to manage shareholder purchases or redemptions, it may not achieve its investment objective. The Fund typically makes investments tied economically to emerging countries, but these investments generally represent 10% or less of the Fund’s total assets. In pursuing its investment objective, the Fund may (but is not obligated to) use a wide variety of exchange-traded and over-the-counter (“OTC”) derivatives, including, without limitation, futures and options. The Fund’s foreign currency exposure may differ from the currency exposure of its equity investments. In addition, the Fund may lend its portfolio securities.

22

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds.

Throughout the period ended August 31, 2011, the Fund had four classes of shares outstanding: Class II, Class III, Class IV, and Class M. Class M shares bear an administration fee and a 12b-1 fee while classes II, III, and IV bear a shareholder service fee (See Note 5). The principal economic difference among the classes of shares is the type and level of fees they bear.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the

23

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		95.6	%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

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

24

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks
Australia	$	—	$	44,186,536	$	—	$	44,186,536
Austria		—		1,084,796		—		1,084,796
Belgium		—		11,730,513		—		11,730,513
Brazil		20,788,033		—		—		20,788,033
Denmark		—		8,207,073		—		8,207,073
Finland		—		65,412,949		—		65,412,949
France		—		142,342,083		—		142,342,083
Germany		—		113,734,440		—		113,734,440
Hong Kong		—		20,981,547		—		20,981,547
India		26,197		3,905,533		—		3,931,730
Ireland		—		5,820,057		—		5,820,057
Italy		—		80,086,233		—		80,086,233
Japan		—		397,120,913		—		397,120,913
Malaysia		—		3,690,718		—		3,690,718
Mexico		3,208,500		—		—		3,208,500
Netherlands		—		10,180,925		—		10,180,925
New Zealand		—		290,594		—		290,594
Norway		—		13,194,611		—		13,194,611
Philippines		—		3,523,184		—		3,523,184
Russia		11,290,554		17,146,204		—		28,436,758
Singapore		—		16,514,578		—		16,514,578
South Korea		—		29,149,357		—		29,149,357
Spain		—		17,490,014		—		17,490,014
Sweden		—		32,102,048		—		32,102,048
Switzerland		—		71,550,329		—		71,550,329
Taiwan		—		8,269,886		—		8,269,886
Thailand		—		10,580,911		—		10,580,911
United Kingdom		—		347,692,030		—		347,692,030
TOTAL COMMON STOCKS		35,313,284		1,475,988,062		—		1,511,301,346

25

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Preferred Stocks
Brazil	$	7,978,210	$	—	$	—	$	7,978,210
Germany		—		6,470,222		—		6,470,222
South Korea		—		5,879,874		—		5,879,874
TOTAL PREFERRED STOCKS		7,978,210		12,350,096		—		20,328,306
Short-Term Investments		17,546,054		—		—		17,546,054
Total Investments		60,837,548		1,488,338,158		—		1,549,175,706
Total	$	60,837,548	$	1,488,338,158	$	—	$	1,549,175,706

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Derivatives *
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(288,625	)	$	—	$	(288,625	)
Total Derivatives		—		(288,625	)		—		(288,625	)
Total	$	—	$	(288,625	)	$	—	$	(288,625	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

26

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

																						Net Change in
																						Unrealized
																						Appreciation
																						(Depreciation)
																						from
	Balances												Change in							Balances		Investments
	as of							Accrued		Total			Unrealized			Transfer		Transfer		as of		Still Held as
	February 28,							Discounts/		Realized			Appreciation			into		out of		August 31,		August 31,
	2011		Purchases		Sales			Premiums		Gain/(Loss)			(Depreciation)			Level 3*		Level 3*		2011		2011
Common Stocks
Thailand	$	3,966,670	$	—	$	(3,910,885	)	$	—	$	(33,316	)	$	(22,469	)	$	—	$	—	$	—	$	—
Total	$	3,966,670	$	—	$	(3,910,885	)	$	—	$	(33,316	)	$	(22,469	)	$	—	$	—	$	—	$	—

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are

27

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(27,534,492	)
February 28, 2018		(596,400,512	)
Total	$	(623,935,004	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

28

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	1,618,798,444	$	118,398,135	$	(188,020,873	)	$	(69,622,738	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class.

29

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Shareholder service, 12b-1 and administration fees, which are directly attributable to a class of shares, are charged to that class’s operations.

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of value of those investments. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization,

30

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

31

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

32

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

33

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. During the period ended August 31, 2011, the Fund used forward currency

34

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

contracts to manage against anticipated currency exchange rate changes. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. The Fund had no futures contracts outstanding at the end of the period.

Options

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

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

35

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future contract), both based on notional amounts. To the extent the return of the

36

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

37

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants received as a result of corporate actions. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity		Other
	contracts		contracts			contracts		contracts		contracts		Total
Liabilities:
Unrealized depreciation on forward currency contracts	$	—	$	(288,625	)	$	—	$	—	$	—	$	(288,625	)
Total	$	—	$	(288,625	)	$	—	$	—	$	—	$	(288,625	)

38

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the period ended August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Investments, at value (rights and/or warrants)	$	—	$	—		$	—	$	(141,313	)	$	—	$	(141,313	)
Total	$	—	$	—		$	—	$	(141,313	)	$	—	$	(141,313	)
Change in Unrealized Appreciation (Depreciation) on:
Investments, at value (rights and/or warrants)	$	—	$	—		$	—	$	20,418		$	—	$	20,418
Forward currency contracts		—		(288,625	)		—		—			—		(288,625	)
Total	$	—	$	(288,625	)	$	—	$	20,418		$	—	$	(268,207	)

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The volume of derivative activity, based on absolute values (forward currency contracts and rights and/or warrants), outstanding at each month-end, was as follows for the period ended August 31, 2011.

	Forward		Rights
	currency		and/or
	contracts		Warrants
Average amount outstanding	$	26,321,884	$	2,904,599

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.60% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.22% for Class II shares, 0.15% for Class III shares, and 0.09% for Class IV shares.

Holders of Class M shares of the Fund pay GMO an administration fee for support services provided to Class M shareholders. That fee is paid monthly at the annual rate of 0.20% of the average daily net assets

39

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

of Class M shares. Pursuant to a Rule 12b-1 distribution and service plan adopted by the Fund, holders of Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily net assets of Class M shares for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or for the provision of services to Class M shareholders. The Trustees currently limit payments on Class M shares to 0.25% of the Fund’s average daily net assets of Class M shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.60% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means administration fees and distribution (12b-1) fees (Class M Shares only), shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $20,583 and $8,364, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $668,791,731 and $1,532,453,173, respectively.

7. Guarantees

In the normal course of business the Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Fund. Based on experience, the Manager is of the view that the risk of loss

40

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

to the Fund in connection with the Fund’s indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

8. Principal shareholders and related parties

As of August 31, 2011, 17.41% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.04% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 0.15% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class II:	Shares			Amount			Shares			Amount
Shares sold		818,875		$	10,278,016			2,838,451		$	34,424,315
Shares issued to shareholders in reinvestment of distributions		278,535			3,373,056			649,257			7,108,816
Shares repurchased		(10,024,076	)		(123,822,536	)		(20,329,864	)		(233,869,218	)
Net increase (decrease)		(8,926,666	)	$	(110,171,464	)		(16,842,156	)	$	(192,336,087	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		483,487		$	5,926,119			25,890,828		$	303,138,416
Shares issued to shareholders in reinvestment of distributions		1,140,250			13,876,850			2,091,780			23,299,140
Shares repurchased		(32,348,815	)		(402,791,369	)		(59,750,915	)		(702,355,221	)
Net increase (decrease)		(30,725,078	)	$	(382,988,400	)		(31,768,307	)	$	(375,917,665	)

41

GMO Foreign Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares			Amount
Shares sold		1,176		$	15,203			6,200,712		$	74,850,982
Shares issued to shareholders in reinvestment of distributions		381,630			4,758,932			1,010,637			11,523,940
Shares repurchased		(30,209,987	)		(396,615,563	)		(19,553,615	)		(244,002,093	)
Net increase (decrease)		(29,827,181	)	$	(391,841,428	)		(12,342,266	)	$	(157,627,171	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class M:	Shares			Amount			Shares			Amount
Shares sold		20,228		$	252,850			36,890		$	421,605
Shares issued to shareholders in reinvestment of distributions		5,549			67,480			7,636			84,450
Shares repurchased		(28,731	)		(348,065	)		(88,341	)		(1,049,053	)
Net increase (decrease)		(2,954	)	$	(27,735	)		(43,815	)	$	(542,998	)

42

GMO Foreign Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

43

GMO Foreign Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

44

GMO Foreign Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

45

GMO Foreign Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, distribution (12b-1) and/or administration fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 $35,000,000 account value divided by $1,000 = 35,000), then multiply the result by the number in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

46

GMO Foreign Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class II
1) Actual		0.82	%	$	1,000.00	$	881.00	$	3.88
2) Hypothetical		0.82	%	$	1,000.00	$	1,021.01	$	4.17
Class III
1) Actual		0.75	%	$	1,000.00	$	880.30	$	3.54
2) Hypothetical		0.75	%	$	1,000.00	$	1,021.37	$	3.81
Class IV
1) Actual		0.69	%	$	1,000.00	$	881.50	$	3.26
2) Hypothetical		0.69	%	$	1,000.00	$	1,021.67	$	3.51
Class M
1) Actual		1.05	%	$	1,000.00	$	879.80	$	4.96
2) Hypothetical		1.05	%	$	1,000.00	$	1,019.86	$	5.33

            * Expenses are calculated using each Class’s annualized net expense ratio for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

47

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.3	%
Short-Term Investments		4.1
Preferred Stocks		0.9
Debt Obligations		0.3
Rights/Warrants		0.0	^
Other		0.4
		100.0	%

^Ù Rounds to 0.0%.

Country Summary*	% of Investments
Japan		24.7	%
United Kingdom		17.7
Italy		5.8
South Korea		5.4
Canada		5.0
Brazil		4.7
France		4.5
Germany		3.9
Australia		3.8
Switzerland		3.7
Netherlands		2.4
Sweden		2.2
Belgium		1.7
Norway		1.5
Finland		1.4
Singapore		1.3
Spain		1.3
Hong Kong		1.2
Denmark		1.0
Ireland		0.9
Mexico		0.9
Philippines		0.9
New Zealand		0.7
Austria		0.5
China		0.5
Thailand		0.5
Greece		0.4
India		0.4
Chile		0.3

1

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Country Summary*	% of Investments
Indonesia		0.3	%
Russia		0.3
Taiwan		0.2
		100.0	%

* The table above 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 agreements and other derivative financial instruments, if any.

Industry Group Summary	% of Equity Investments**
Capital Goods		15.5	%
Materials		7.5
Energy		7.1
Retailing		6.6
Automobiles & Components		6.3
Food, Beverage & Tobacco		5.1
Consumer Durables & Apparel		4.9
Real Estate		4.4
Health Care Equipment & Services		4.3
Consumer Services		4.0
Technology Hardware & Equipment		3.8
Commercial & Professional Services		3.6
Transportation		3.5
Banks		3.2
Food & Staples Retailing		3.1
Media		3.0
Pharmaceuticals, Biotechnology & Life Sciences		2.8
Diversified Financials		2.8
Software & Services		2.3
Telecommunication Services		2.2
Utilities		1.6
Semiconductors & Semiconductor Equipment		1.4
Insurance		0.6
Household & Personal Products		0.4
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

2

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.3%
		Australia — 3.7%
	249,244	Aquarius Platinum Ltd		1,026,718
	1,288,353	Asciano Group		2,170,193
	243,908	Billabong International Ltd		900,740
	3,407,775	Dexus Property Group (REIT)		3,136,593
	511,521	Iress Market Technology Ltd		4,450,339
	347,519	Nufarm Ltd *		1,432,466
	1,527,883	Pacific Brands Ltd		1,065,209
	198,843	PanAust Ltd *		780,193
	391,677	Primary Health Care Ltd		1,302,871
	197,476	Seven West Media Ltd		769,727
	3,348,485	Ten Network Holdings Ltd		3,386,446
	187,921	Toll Holdings Ltd		982,270
		Total Australia		21,403,765
		Austria — 0.5%
	16,047	Flughafen Wien AG		784,686
	8,600	Lenzing AG		1,048,446
	58,311	Wienerberger AG		830,550
		Total Austria		2,663,682
		Belgium — 1.6%
	40,914	CMB Cie Maritime Belge SA		1,072,504
	38,030	Compagnie d’Entreprises CFE		2,293,966
	29,811	Mobistar SA		1,930,378
	50,893	SA D’Ieteren NV		2,813,783
	26,961	Umicore SA		1,301,438
		Total Belgium		9,412,069
		Brazil — 4.0%
	204,400	Aliansce Shopping Centers SA		1,611,420
	235,000	Autometal SA		1,917,614
	480,000	Brasil Brokers Participacoes SA		2,321,754
	220,000	Brazil Pharma SA *		2,071,612

See accompanying notes to the financial statements. 3

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Brazil — continued
	493,800	Cia Hering		10,915,775
	526,600	Even Construtora e Incorporadora SA		2,292,442
	207,000	Iochpe-Maxion SA		2,405,616
		Total Brazil		23,536,233
		Canada — 4.7%
	151,340	Alamos Gold Inc		2,896,060
	657,000	Canaco Resources Inc *		1,992,536
	700,000	Chinook Energy Inc *		1,322,373
	87,100	Corus Entertainment Inc Class B		1,810,840
	113,200	Flint Energy Services Ltd *		1,266,897
	475,100	Galleon Energy Inc Class A *		1,523,347
	625,000	Gran Colombia Gold Corp		459,512
	128,250	Gran Colombia Gold Corp *		94,292
	166,300	Just Energy Group Inc		2,163,445
	32,300	Karnalyte Resources Inc *		473,302
	172,300	Karnalyte Resources Inc		2,524,768
	349,500	NuVista Energy Ltd		2,980,011
	224,800	Precision Drilling Corp *		3,135,677
	763,100	RMP Energy Inc *		1,823,398
	131,400	Tigray Resources Inc *		134,178
	332,550	Western Energy Services Corp *		2,937,361
		Total Canada		27,537,997
		China — 0.5%
	4,605,000	361 Degrees International Ltd		2,693,225
		Denmark — 1.0%
	141,931	H Lundbeck A/S		3,128,300
	1,527,788	Ossur hf *		2,417,122
		Total Denmark		5,545,422
		Finland — 1.3%
	81,713	Amer Sports Oyj Class A		1,102,697
	113,100	Elisa Oyj		2,393,050

4 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Finland — continued
	7,065	Konecranes Oyj		192,461
	479,518	Oriola-KD Oyj Class B		1,324,637
	13,082	Rautaruukki Oyj		198,401
	147,630	Talvivaara Mining Co Plc *		820,673
	76,011	YIT Oyj		1,515,472
		Total Finland		7,547,391
		France — 4.3%
	139,127	Boursorama *		1,436,193
	62,591	Cap Gemini SA		2,530,860
	51,711	Compagnie Generale des Etablissements Michelin-Class B		3,784,329
	76,126	Faurecia		2,229,748
	83,583	Legrand SA		3,310,403
	32,864	Societe BIC SA		3,187,540
	71,785	Sodexo		5,332,283
	20,475	Virbac SA		3,444,156
		Total France		25,255,512
		Germany — 3.8%
	48,332	Bauer AG		1,409,701
	62,218	Cat Oil AG		464,840
	720,573	Commerzbank AG *		2,129,436
	38,066	Continental AG *		2,806,537
	70,828	Francotyp-Postalia Holdings AG *		284,636
	45,917	Gerresheimer AG		2,173,565
	31,970	GSW Immobilien AG *		1,031,014
	36,818	HeidelbergCement AG		1,580,331
	78,172	KUKA AG *		1,672,527
	100,954	NORMA Group *		1,870,763
	170,000	Prime Office REIT-AG *		983,902
	61,797	Rhoen-Klinikum AG		1,506,847
	112,974	Tom Tailor Holding AG *		1,918,005
	38,287	Wincor Nixdorf AG		2,127,847
		Total Germany		21,959,951

See accompanying notes to the financial statements. 5

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Greece — 0.4%
	273,350	Ellaktor SA		691,252
	123,121	Folli Follie Group *		1,625,949
	149,095	Intralot SA		170,259
		Total Greece		2,487,460
		Hong Kong — 1.2%
	7,073,900	PCCW Ltd		3,041,607
	1,425,000	Yue Yuen Industrial Holdings		3,936,653
		Total Hong Kong		6,978,260
		India — 0.4%
	302,200	Housing Development & Infrastructure Ltd *		681,718
	277,400	Orchid Chemicals & Pharmaceuticals Ltd		1,163,338
	254,100	Rolta India Ltd		558,201
		Total India		2,403,257
		Indonesia — 0.2%
	4,011,000	Borneo Lumbung Energi & Metal Tbk PT *		564,819
	381,500	Tambang Batubara Bukit Asam Tbk PT		876,732
		Total Indonesia		1,441,551
		Ireland — 0.8%
	329,129	C&C Group Plc		1,439,280
	83,494	DCC Plc		2,276,476
	30,100	Kerry Group Plc Class A		1,166,416
		Total Ireland		4,882,172
		Italy — 5.5%
	546,160	Astaldi SPA		3,440,072
	464,323	Autogrill SPA		5,757,094
	109,100	Buzzi Unicem SPA *		1,091,187
	427,232	Credito Emiliano SPA		1,959,731
	338,273	Fondiaria–Sai SPA-Di RISP *		422,485
	335,758	Italcementi SPA-Di RISP		1,213,739
	151,165	Lottomatica SPA *		2,387,191

6 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	820,636	Maire Tecnimont SPA		969,095
	790,054	Mediaset SPA		3,056,290
	488,436	Mediolanum SPA		1,831,623
	797,654	Piaggio & C SPA		3,031,522
	3,280,834	Prelios SPA *		1,260,409
	216,256	Prysmian SPA		3,489,846
	1,202,408	Saras SPA *		2,185,682
		Total Italy		32,095,966
		Japan — 23.6%
	409,000	Air Water Inc		4,991,287
	374,600	Alps Electric Co Ltd		3,425,649
	1,485,000	Aozora Bank Ltd		3,722,668
	230,300	Avex Group Holding Inc		3,088,462
	211,900	Century Tokyo Leasing Corp		4,167,185
	184,700	Circle K Sunkus Co Ltd		3,110,488
	170,200	Cosmos Pharmaceutical Corp		8,443,471
	7,856	eAccess Ltd		2,948,840
	374,100	Fuji Oil Co Ltd		6,002,386
	145,000	Hitachi Chemical Co Ltd		2,528,436
	303,300	Hitachi Transport System Ltd		5,787,727
	151,400	IRISO ELECTRONICS Co Ltd		2,623,191
	256,500	Izumi Co Ltd		3,756,225
	474,000	Japan Aviation Electronics Industry Ltd		3,676,877
	112,140	K’s Holdings Corp		4,942,809
	234,700	Keihin Corp		4,395,438
	985	Kenedix Realty Investment Corp (REIT)		3,506,274
	103,400	Kintetsu World Express Inc		3,139,605
	147,000	Kyorin Co Ltd		2,983,011
	94,640	Mitsubishi UFJ Lease & Finance Co Ltd		3,835,569
	294,500	Nabtesco Corp		6,599,944
	601,000	NHK Spring Co Ltd		5,687,516
	309,400	Nihon Kohden Corp		8,066,360
	457,000	Nissin Electric Co Ltd		3,459,598

See accompanying notes to the financial statements. 7

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	710,000	Pioneer Corp *		3,355,692
	596,000	Rengo Co Ltd		4,376,235
	159,000	Saizeriya Co Ltd		2,917,370
	714,000	Sanken Electric Co Ltd		3,487,001
	1,947,000	Shinsei Bank Ltd		2,331,350
	202,900	Sumitomo Rubber Industries		2,566,596
	216,000	Takata Corp		5,284,109
	741,000	Tsubakimoto Chain Co		4,161,041
	1,324,000	Ube Industries Ltd		4,193,282
		Total Japan		137,561,692
		Mexico — 0.9%
	1,260,000	Fibra Uno Administracion SA de CV (REIT)		2,348,765
	1,300,000	Genomma Lab Internacional SA Class B *		2,742,576
		Total Mexico		5,091,341
		Netherlands — 2.3%
	131,030	AerCap Holdings NV *		1,455,743
	74,461	Arcadis NV		1,409,154
	76,222	Dockwise Ltd *		1,457,068
	99,032	Imtech NV		2,870,898
	50,723	Koninklijke Ten Cate NV		1,793,176
	21,962	Nutreco Holding NV		1,494,265
	90,472	SBM Offshore NV		1,877,820
	796,486	Swedish Automobile NV *		878,586
		Total Netherlands		13,236,710
		New Zealand — 0.6%
	1,056,738	Fisher & Paykel Appliances Holdings Ltd *		442,646
	170,048	Pumpkin Patch Ltd		132,320
	1,120,349	Sky City Entertainment Group Ltd		3,221,305
		Total New Zealand		3,796,271

8 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Norway — 1.4%
	454,720	BWG Homes ASA		1,340,670
	46,023	Fred Olsen Energy ASA		1,639,895
	53,185	Kongsberg Gruppen ASA		1,221,607
	226,826	ProSafe ASA		1,654,306
	295,810	SpareBank 1 SR Bank		2,447,380
		Total Norway		8,303,858
		Philippines — 0.9%
	12,352,000	Alliance Global Group Inc		3,032,715
	1,061,100	Cebu Air Inc		2,047,331
		Total Philippines		5,080,046
		Russia — 0.3%
	99,423	Cherkizovo Group GDR (Registered) *		1,490,051
		Singapore — 1.2%
	1,710,000	Chemoil Energy Ltd *		478,555
	605,000	ComfortDelgro Corp Ltd		691,070
	3,725,000	First Ship Lease Trust		882,092
	2,587,640	Mapletree Logistics Trust (REIT)		1,911,927
	854,000	MobileOne Ltd		1,780,026
	985,000	Petra Foods Ltd		1,456,033
		Total Singapore		7,199,703
		South Korea — 5.0%
	142,200	CrucialTec Co Ltd *		2,332,767
	10,750	Daelim Industrial Co Ltd		1,171,473
	290,330	DGB Financial Group Inc *		4,218,133
	42,990	Golfzon Co Ltd *		2,244,498
	442,142	Kortek Corp		3,745,112
	250,000	Magnachip Semiconductor Corp *		2,225,000
	13,095	Mando Corp		2,304,785
	27,560	Mirae Asset Securities Co Ltd		1,057,477
	10,467	Nong Shim Co Ltd		2,352,192
	35,140	S1 Corp		1,792,064

See accompanying notes to the financial statements. 9

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	17,730	Sindoh Co Ltd		772,110
	5,600	SK Holdings Co Ltd		870,961
	81,600	Tong Yang Life Insurance Co Ltd		999,682
	79,520	Youngone Holding Co Ltd		3,242,248
		Total South Korea		29,328,502
		Spain — 1.2%
	146,205	Banco Espanol de Credito SA		1,016,220
	2,662	Construcciones y Auxiliar de Ferrocarriles SA		1,378,994
	150,968	Enagas		3,163,414
	33,034	Red Electrica de Espana		1,623,084
		Total Spain		7,181,712
		Sweden — 2.1%
	103,561	Elekta AB Class B		3,877,858
	205,781	Getinge AB Class B		5,311,416
	1,994,403	Trigon Agri A/S *		2,903,370
		Total Sweden		12,092,644
		Switzerland — 3.6%
	7,999	Alpiq Holding AG (Registered)		2,241,067
	100,479	Aryzta AG		4,753,385
	2,892	Forbo Holdings AG (Registered) *		1,439,004
	10,921	Kaba Holding AG Class B (Registered)		4,148,739
	29,275	Sulzer AG		3,949,814
	13,617	Valora Holding AG		4,176,551
		Total Switzerland		20,708,560
		Taiwan — 0.2%
	634,561	Altek Corp		736,119
	434,500	Coretronic Corp		392,948
		Total Taiwan		1,129,067

10 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Thailand — 0.5%
	15,969,100	Quality Houses PCL (Foreign Registered) (a)		923,056
	15,310,700	SVI PCL (Foreign Registered) (a)		2,067,813
		Total Thailand		2,990,869
		United Kingdom — 16.6%
	413,554	Aquarius Platinum Ltd		1,653,724
	300,650	Babcock International Group Plc		3,059,230
	198,460	Berkeley Group Holdings Plc (Unit Shares) *		3,801,338
	80,800	British American Tobacco Plc		3,594,927
	983,386	Centaur Media Plc		630,959
	186,441	Charter International Plc		2,298,539
	448,757	Diploma Plc		2,294,338
	432,522	Euromoney Institutional Investor Plc		4,004,963
	1,288,789	F&C Asset Management Plc		1,410,952
	639,006	Fenner Plc		3,804,753
	764,031	Filtrona Plc		4,521,839
	512,394	Great Portland Estates Plc (REIT)		2,999,913
	360,310	Homeserve Plc		2,709,927
	158,062	IMI Plc		2,285,663
	593,308	Inchcape Plc		3,104,326
	1,148,000	ITE Group Plc		3,181,972
	437,347	James Fisher & Sons Plc		3,892,976
	333,234	John Wood Group Plc		3,207,559
	883,893	Jupiter Fund Management Plc		2,753,743
	2,672,502	KCOM Group Plc		3,159,898
	119,354	Kier Group Plc		2,404,910
	1,683,237	Lupus Capital Plc		2,420,394
	1,122,251	Metric Property Investments Plc (REIT)		1,910,444
	533,783	N Brown Group		2,299,558
	705,840	National Express Group Plc		2,869,511
	467,000	Premier Oil Plc *		2,504,694
	388,881	PZ Cussons Plc		2,223,532
	575,843	Restaurant Group Plc		2,668,459
	903,621	RPS Group Plc		2,925,971

See accompanying notes to the financial statements. 11

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		United Kingdom — continued
	1,476,527	Senior Plc		3,778,909
	142,485	Travis Perkins Plc		1,903,246
	120,664	Ultra Electronics Holdings Plc		2,912,758
	725,300	William Morrison Supermarket Plc		3,402,345
	608,229	WSP Group Plc		2,817,290
	70,000	XP Power Ltd		1,286,313
		Total United Kingdom		96,699,873
		TOTAL COMMON STOCKS (COST $529,068,298)		549,734,812
		PREFERRED STOCKS — 0.9%
		Brazil — 0.4%
	628,000	Marcopolo SA 3.80%		2,410,378
		Chile — 0.3%
	1,100,000	Coca-Cola Embonor SA Class B 3.26%		1,979,189
		South Korea — 0.2%
	38,370	Daelim Industrial Co Ltd 0.57%		930,980
		TOTAL PREFERRED STOCKS (COST $4,655,608)		5,320,547
		DEBT OBLIGATIONS — 0.3%
		United Kingdom — 0.3%
GBP	1,000,000	Eland Oil & Gas Ltd, 5.00% , due 10/15/11 (a) (b)		1,623,300
		TOTAL DEBT OBLIGATIONS (COST $1,632,400)		1,623,300
		RIGHTS/WARRANTS — 0.0%
		Canada — 0.0%
	312,500	Gran Colombia Gold Corp Warrants, Expires 08/24/15 *		71,799
		TOTAL RIGHTS/WARRANTS (COST $114,573)		71,799

12 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.1%
		Time Deposits — 4.1%
USD	4,000,000	Bank of America (Charlotte) Time Deposit, 0.03%, due 09/01/11		4,000,000
JPY	5,009,788	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		65,432
SGD	38,763	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		32,187
USD	7,689,904	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.03%, due 09/01/11		7,689,904
CAD	19,975	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.26%, due 09/01/11		20,397
NZD	63	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.70%, due 09/01/11		54
AUD	70,049	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.00%, due 09/01/11		74,879
EUR	2,778,067	Citibank (New York) Time Deposit, 0.13%, due 09/01/11		3,990,693
USD	4,000,000	HSBC Bank (New York) Time Deposit, 0.03%, due 09/01/11		4,000,000
USD	654,219	JPMorgan Chase (New York) Time Deposit, 0.03%, due 09/01/11		654,219
GBP	1,209,314	JPMorgan Chase (New York) Time Deposit, 0.11%, due 09/01/11		1,963,080
EUR	956,193	JPMorgan Chase (New York) Time Deposit, 0.13%, due 09/01/11		1,373,572
		TOTAL SHORT-TERM INVESTMENTS (COST $23,864,417)		23,864,417
		TOTAL INVESTMENTS — 99.6% (Cost $559,335,296)		580,614,875
		Other Assets and Liabilities (net) — 0.4%		2,056,153
		TOTAL NET ASSETS — 100.0%	$	582,671,028

Additional information on each restricted security is as follows:

				Value as a
				Percentage
	Acquisition	Acquisition		of Fund’s		Value as of
Issuer Description	Date	Cost		Net Assets		August 31, 2011
Eland Oil & Gas Ltd, 5.00%, due 10/15/11	3/7/2011	$	1,632,400		0.28%	$	1,623,300

Notes to Schedule of Investments:

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

GDR - Global Depository Receipt

See accompanying notes to the financial statements. 13

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

REIT - Real Estate Investment Trust

*	Non-income producing security.
(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(b)	The security is restricted as to resale.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NZD - New Zealand Dollar

SGD - Singapore Dollar

USD - United States Dollar

14 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments, at value (cost $559,335,296) (Note 2)	$	580,614,875
Foreign currency, at value (cost $59,254) (Note 2)		41,975
Receivable for investments sold		2,690,717
Dividends and interest receivable		582,180
Foreign taxes receivable		126,090
Receivable for expenses reimbursed by Manager (Note 5)		47,963
Miscellaneous receivable		14,863
Total assets		584,118,663
Liabilities:
Payable for investments purchased		767,442
Payable to affiliate for (Note 5):
Management fee		340,442
Shareholder service fee		62,655
Trustees and Trust Officers or agents unaffiliated with the Manager		333
Payable for foreign currency purchased		222
Miscellaneous payable		3,008
Accrued expenses		273,533
Total liabilities		1,447,635
Net assets	$	582,671,028
Net assets consist of:
Paid-in capital	$	577,465,724
Accumulated undistributed net investment income		2,072,183
Accumulated net realized loss		(18,169,945	)
Net unrealized appreciation		21,303,066
	$	582,671,028
Net assets attributable to:
Class III shares	$	335,837,706
Class IV shares	$	246,833,322
Shares outstanding:
Class III		26,033,934
Class IV		19,145,384
Net asset value per share:
Class III	$	12.90
Class IV	$	12.89

See accompanying notes to the financial statements. 15

GMO Foreign Small Companies Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends (net of withholding taxes of $776,427)	$	7,926,504
Interest		113,375
Total investment income		8,039,879
Expenses:
Management fee (Note 5)		2,004,689
Shareholder service fee – Class III (Note 5)		304,110
Shareholder service fee – Class IV (Note 5)		83,644
Custodian and fund accounting agent fees		209,116
Audit and tax fees		46,184
Transfer agent fees		20,516
Legal fees		9,568
Trustees fees and related expenses (Note 5)		4,020
Registration fees		920
Miscellaneous		17,770
Total expenses		2,700,537
Fees and expenses reimbursed by Manager (Note 5)		(295,596	)
Net expenses		2,404,941
Net investment income (loss)		5,634,938
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments (net of foreign capital gains tax of $318) (Note 2)		18,468,126
Foreign currency, forward contracts and foreign currency related transactions (net of foreign transaction taxes of $99,794) (Note 2)		24,224
Net realized gain (loss)		18,492,350
Change in net unrealized appreciation (depreciation) on:
Investments		(81,970,549	)
Foreign currency, forward contracts and foreign currency related transactions		(118,029	)
Net unrealized gain (loss)		(82,088,578	)
Net realized and unrealized gain (loss)		(63,596,228	)
Net increase (decrease) in net assets resulting from operations	$	(57,961,290	)

16 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,634,938		$	5,280,973
Net realized gain (loss)		18,492,350			49,854,200
Change in net unrealized appreciation (depreciation)		(82,088,578	)		80,423,629
Net increase (decrease) in net assets from operations		(57,961,290	)		135,558,802
Distributions to shareholders from:
Net investment income
Class III		(2,626,736	)		(3,312,648	)
Class IV		(782,810	)		(1,689,129	)
Total distributions from net investment income		(3,409,546	)		(5,001,777	)
Net share transactions (Note 9):
Class III		(26,504,416	)		14,717,938
Class IV		124,690,000			22,787,951
Increase (decrease) in net assets resulting from net share transactions		98,185,584			37,505,889
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		76,583			362,249
Class IV		771			277,572
Increase in net assets resulting from purchase premiums and redemption fees		77,354			639,821
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		98,262,938			38,145,710
Total increase (decrease) in net assets		36,892,102			168,702,735
Net assets:
Beginning of period		545,778,926			377,076,191
End of period (including accumulated undistributed net investment income of $2,072,183 and distributions in excess of net investment income of $153,209, respectively)	$	582,671,028		$	545,778,926

See accompanying notes to the financial statements. 17

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	14.22		$	10.74		$	6.41		$	14.63		$	18.38		$	17.98
Income (loss) from investment operations:
Net investment income (loss)†		0.14			0.14			0.13			0.30			0.31			0.28
Net realized and unrealized gain (loss)		(1.38	)		3.47			4.32			(7.43	)		(0.36	)		4.51
Total from investment operations		(1.24	)		3.61			4.45			(7.13	)		(0.05	)		4.79
Less distributions to shareholders:
From net investment income		(0.08	)		(0.13	)		(0.12	)		(0.27	)		(0.41	)		(0.44	)
From net realized gains		—			—			—			(0.81	)		(3.29	)		(3.95	)
Return of capital		—			—			—			(0.01	)		—			—
Total distributions		(0.08	)		(0.13	)		(0.12	)		(1.09	)		(3.70	)		(4.39	)
Net asset value, end of period	$	12.90		$	14.22		$	10.74		$	6.41		$	14.63		$	18.38
Total Return(a)		(8.79	)%**		33.67	%		69.44	%		(51.33	)%		(1.96	)%		29.94	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	335,838		$	398,648		$	292,852		$	185,298		$	338,804		$	375,565
Net expenses to average daily net assets		0.85	%(b)*		0.85	%(b)		0.86	%(b)		0.85	%(c)		0.86	%(c)		0.86	%
Net investment income (loss) to average daily net assets		2.01	%*		1.15	%		1.40	%		2.59	%		1.69	%		1.53	%
Portfolio turnover rate		26	%**		61	%		78	%		42	%		42	%		37	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.10	%*		0.14	%		0.14	%		0.11	%		0.09	%		0.09	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	(d)	$	0.01		$	0.02		$	0.00	(d)		—			—

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
(d)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

18 See accompanying notes to the financial statements.

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class IV share outstanding throughout each period)

							Period from			Period from
	Six Months						August 12, 2009			March 1, 2009
	Ended			Year Ended			through			through
	August 31, 2011			February 28,			February 28,			March 16,			Year Ended February 28/29,
	(Unaudited)			2011			2010(a)			2009(a)			2009			2008			2007
Net asset value, beginning of period	$	14.20		$	10.73		$	9.84		$	6.42		$	14.64		$	18.39		$	17.99
Income (loss) from investment operations:
Net investment income (loss)†		0.13			0.13			0.02			0.01			0.33			0.31			0.28
Net realized and unrealized gain (loss)		(1.36	)		3.47			1.00			0.01			(7.46	)		(0.35	)		4.52
Total from investment operations		(1.23	)		3.60			1.02			0.02			(7.13	)		(0.04	)		4.80
Less distributions to shareholders:
From net investment income		(0.08	)		(0.13	)		(0.13	)		—			(0.27	)		(0.42	)		(0.45	)
From net realized gains		—			—			—			—			(0.81	)		(3.29	)		(3.95	)
Return of capital		—			—			—			—			(0.01	)		—			—
Total distributions		(0.08	)		(0.13	)		(0.13	)		—			(1.09	)		(3.71	)		(4.40	)
Net asset value, end of period	$	12.89		$	14.20		$	10.73		$	6.44		$	6.42		$	14.64		$	18.39
Total Return(b)		(8.73	)%**		33.67	%		10.33	%**		0.31	%**		(51.29	)%		(1.91	)%		30.00	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	246,833		$	147,131		$	84,225		$	144,101		$	143,564		$	666,991		$	740,872
Net expenses to average daily net assets		0.80	%(c)*		0.80	%(c)		0.81	%(c)*		0.81	%(c)*		0.80	%(d)		0.81	%(d)		0.81	%
Net investment income (loss) to average daily net assets		1.87	%*		1.07	%		0.35	%*		3.28	%*		2.74	%		1.70	%		1.54	%
Portfolio turnover rate		26	%**		61	%		78	%††		40	%†††		42	%		42	%		37	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.10	%*		0.14	%		0.08	%*		0.22	%*		0.11	%		0.09	%		0.09	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	(e)	$	0.02		$	0.00	(e)	$	0.00	(e)	$	0.00	(e)		—			—

(a)	The class was inactive from March 17, 2009 to August 11, 2009.
(b)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distribution. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
(e)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover of the Fund for the year ended February 28, 2010.
†††	Calculation represents portfolio turnover of the Fund for the period ended August 31, 2009.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 19

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Foreign Small Companies Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the S&P Developed ex-U.S. Small Cap Index. The Fund typically makes equity investments directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in companies tied economically to countries other than the U.S. whose outstanding publicly traded equities are in the lowest 25% of available market capitalization (float) in a particular country (“small companies”). The term “equity investments” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in securities of small companies that are tied economically to countries outside the U.S. The market capitalization range of companies whose equity investments are held by the Fund is generally within the market capitalization range of companies in the Fund’s benchmark, which represents the lowest 15% of available market capitalization (float) of the S&P Broad Market Index in each country.

The Fund’s country selections relative to its benchmark are determined by the Manager’s cumulative quantitative value score for each country together with the Manager’s evaluation of the country’s fundamentals. The Fund typically overweights or underweights (sometimes to a significant extent) its investment exposure in particular countries relative to the Fund’s benchmark.

The Manager selects stocks using fundamental analysis that is informed by a disciplined quantitative screening process. The Manager analyzes companies for financial, operational and managerial strength and compares them to their global, regional and local industry peers. As part of the investment process, the Manager frequently meets with management and/or visits companies.

The Fund normally does not take temporary defensive positions but may hold up to 10% of its total assets in cash and cash equivalents to manage cash inflows and outflows as a result of shareholder purchases and redemptions. To the extent the Fund takes temporary defensive positions or holds cash or cash equivalents to manage shareholder purchases or redemptions, it may not achieve its investment objective. The Fund typically makes investments tied economically to emerging countries, but these investments (excluding investments in companies tied economically to emerging countries included in the Fund’s benchmark) generally represent 10% or less of the Fund’s total assets. In pursuing its investment objective, the Fund may (but is not obligated to) use a wide variety of exchange-traded and over-the-counter (“OTC”)

20

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

derivatives, including, without limitation, futures and options. The Fund’s foreign currency exposure may differ from the currency exposure of its equity investments. In addition, the Fund may lend its portfolio securities.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds.

As of August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different shareholder servicing fee.

The Fund currently limits subscriptions due to capacity considerations.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.8% of net assets. The Fund classifies such securities (as defined below) as Level 3. See Note 4 for a further discussion on valuation of derivative financial instruments.

21

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		81.6	%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

22

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments including the following: Certain of the Fund’s securities in Thailand were valued at the local price as adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations. The Fund valued one private placement security at cost, which approximates its fair value.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks
Australia	$	—	$	21,403,765	$	—	$	21,403,765
Austria		—		2,663,682		—		2,663,682
Belgium		—		9,412,069		—		9,412,069
Brazil		23,536,233		—		—		23,536,233
Canada		27,403,819		134,178		—		27,537,997
China		—		2,693,225		—		2,693,225
Denmark		—		5,545,422		—		5,545,422
Finland		—		7,547,391		—		7,547,391
France		2,229,748		23,025,764		—		25,255,512
Germany		3,885,679		18,074,272		—		21,959,951
Greece		—		2,487,460		—		2,487,460
Hong Kong		—		6,978,260		—		6,978,260
India		—		2,403,257		—		2,403,257
Indonesia		—		1,441,551		—		1,441,551
Ireland		—		4,882,172		—		4,882,172
Italy		—		32,095,966		—		32,095,966
Japan		—		137,561,692		—		137,561,692
Mexico		5,091,341		—		—		5,091,341
Netherlands		1,455,743		11,780,967		—		13,236,710
New Zealand		—		3,796,271		—		3,796,271
Norway		—		8,303,858		—		8,303,858
Philippines		—		5,080,046		—		5,080,046
Russia		—		1,490,051		—		1,490,051
Singapore		—		7,199,703		—		7,199,703
South Korea		8,687,631		20,640,871		—		29,328,502
Spain		—		7,181,712		—		7,181,712

23

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Sweden	$	—	$	12,092,644	$	—	$	12,092,644
Switzerland		—		20,708,560		—		20,708,560
Taiwan		—		1,129,067		—		1,129,067
Thailand		—		—		2,990,869		2,990,869
United Kingdom		—		96,699,873		—		96,699,873
TOTAL COMMON STOCKS		72,290,194		474,453,749		2,990,869		549,734,812
Preferred Stocks
Brazil		2,410,378		—		—		2,410,378
Chile		1,979,189		—		—		1,979,189
South Korea		—		930,980		—		930,980
TOTAL PREFERRED STOCKS		4,389,567		930,980		—		5,320,547
Debt Obligations
United Kingdom		—		—		1,623,300		1,623,300
TOTAL DEBT OBLIGATIONS		—		—		1,623,300		1,623,300
Rights and Warrants
Canada		—		71,799		—		71,799
TOTAL RIGHTS AND WARRANTS		—		71,799		—		71,799
Short-Term Investments		23,864,417		—		—		23,864,417
Total Investments		100,544,178		475,456,528		4,614,169		580,614,875
Total	$	100,544,178	$	475,456,528	$	4,614,169	$	580,614,875

The aggregate net value of the Fund’s direct investments in securities using Level 3 inputs was 0.8% of total net assets.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

24

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

																				Net Change in
																				Unrealized
																				Appreciation
																				(Depreciation)
																				from
	Balances										Change in							Balances		Investments
	as of						Accrued		Total		Unrealized			Transfer		Transfer		as of		Still Held as
	February 28,						Discounts/		Realized		Appreciation			into		out of		August 31,		August 31,
	2011		Purchases		Sales		Premiums		Gain/(Loss)		(Depreciation)			level 3*		level 3*		2011		2011
Common Stocks
Thailand	$	921,051	$	2,468,778.00	$	—	$	—	$	—	$	(398,960	)	$	—	$	—	$	2,990,869	$	(398,960	)
United Kingdom		—		1,632,400		—		—		—		(9,100	)		—		—		1,623,300		(9,100	)
Total	$	921,051	$	4,101,178	$	—	$	—	$	—	$	(408,060	)	$	—	$	—	$	4,614,169	$	(408,060	)

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transfers out of Level 3 at the value at the end of the period.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

25

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(34,211,796	)
February 28, 2019		(1,656,694	)
Total	$	(35,868,490	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

26

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	563,035,214	$	71,358,844	$	(53,779,183	)	$	17,579,661

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative

27

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

size of the Funds. Investment income, common expenses and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations.

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.50% of the amount invested or redeemed. Purchase premiums and redemption fees are paid to and retained by the Fund (and are allocated pro rata among the classes) to help offset non-de minimis 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) as a result of the purchase or redemption, by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing fee, at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that

28

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small companies 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 — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of value of those investments. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

29

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

• Liquidity Risk — Shares of small- and mid-cap companies often have lower trading volumes and a limited number or no market makers. Thus, a large position may limit or prevent the Fund from selling those shares or unwinding derivative positions on them at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

30

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the

31

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

32

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in

33

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. The Fund had no futures contracts outstanding at the end of the period.

Options

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

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

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

34

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon

35

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use

36

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants as a result of corporate actions. Rights and/or warrants held by the Fund at the end of the period are listed in the Fund’s Schedule of Investments.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Assets:
Investments, at value (rights and/or warrants)	$	—	$	—	$	—	$	71,799	$	—	$	71,799
Total	$	—	$	—	$	—	$	71,799	$	—	$	71,799

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	—	$	—	$	(483,875	)	$	—	$	(483,875	)
Total	$	—	$	—	$	—	$	(483,875	)	$	—	$	(483,875	)
Change in Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	—	$	—	$	(185,419	)	$	—	$	(185,419	)
Total	$	—	$	—	$	—	$	(185,419	)	$	—	$	(185,419	)

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

37

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The volume of derivative activity, based on absolute values (rights and/or warrants), outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Rights
	and/or
	Warrants
Average amount outstanding	$	272,986

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.70% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.10% for Class IV shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.70% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $4,020 and $1,946, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

38

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $148,213,041 and $146,527,297, respectively.

Cost of purchases of securities for in-kind transactions for the period ended August 31, 2011 were $89,229,982.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 78.17% of the outstanding shares of the Fund were held by five shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.05% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers, and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

39

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		6,897,596		$	99,946,150			4,611,478		$	59,311,867
Shares issued to shareholders in reinvestment of distributions		182,819			2,552,156			240,580			3,187,692
Shares repurchased		(9,085,623	)		(129,002,722	)		(4,089,097	)		(47,781,621	)
Purchase premiums		—			53,850			—			126,785
Redemption fees		—			22,733			—			235,464
Net increase (decrease)		(2,005,208	)	$	(26,427,833	)		762,961		$	15,080,187
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares			Amount
Shares sold		8,771,306		$	124,464,883			4,856,910		$	55,916,512
Shares issued to shareholders in reinvestment of distributions		26,561			370,524			72,672			962,175
Shares repurchased		(10,794	)		(145,407	)		(2,422,931	)		(34,090,736	)
Purchase premiums		—			44			—			277,526
Redemption fees		—			727			—			46
Net increase (decrease)		8,787,073		$	124,690,771			2,506,651		$	23,065,523

40

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

41

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

42

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

43

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including management fees, shareholder service fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

44

GMO Foreign Small Companies Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.85	%	$	1,000.00	$	912.10	$	4.09
2) Hypothetical		0.85	%	$	1,000.00	$	1,020.86	$	4.32
Class IV
1) Actual		0.80	%	$	1,000.00	$	912.70	$	3.85
2) Hypothetical		0.80	%	$	1,000.00	$	1,021.11	$	4.06

            * Expenses are calculated using each Class’s annualized net expense ratio for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

45

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		67.0	%
Debt Obligations		17.3
Short-Term Investments		13.2
Preferred Stocks		1.7
Options Purchased		0.2
Investment Funds		0.1
Loan Participations		0.1
Swap Agreements		0.0	Ù
Loan Assignments		0.0	Ù
Promissory Notes		0.0	Ù
Rights/Warrants		0.0	Ù
Forward Currency Contracts		(0.0	)Ù
Written Options		(0.1	)
Futures Contracts		(0.1	)
Reverse Repurchase Agreements		(0.7	)
Other		1.3
		100.0	%

Country / Region Summary**	% of Investments
United States		41.6	%
Emerging***		16.8
Japan		11.0
Australia		7.9
United Kingdom		7.1
France		3.4
Germany		2.5
Switzerland		1.6
Italy		1.5
New Zealand		1.1
Netherlands		1.0
Spain		0.8
Singapore		0.6
Canada		0.5
Hong Kong		0.5
Sweden		0.5
Belgium		0.4
Denmark		0.3
Austria		0.2

1

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Country / Region Summary**	% of Investments
Finland		0.2	%
Ireland		0.2
Greece		0.1
Israel		0.1
Norway		0.1
Portugal		0.0	Ù
		100.0	%

Ù	Rounds to 0.0%.
*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”) except for GMO Alpha Only Fund.
**	The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds except for GMO Alpha Only Fund and GMO Special Situations Fund. 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.
***	The “Emerging” exposure is comprised of: Argentina, Brazil, Chile, China, Colombia, Congo, Czech Republic, Egypt, Hungary, India, Indonesia Malaysia, Mexico, Philippines, Poland, Russia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand, Turkey and Venezuela.

2

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 98.8%
		Affiliated Issuers — 98.8%
	20,222,302	GMO Alpha Only Fund, Class IV		500,501,982
	4,042,109	GMO Asset Allocation Bond Fund, Class VI		98,991,248
	23,792,758	GMO Domestic Bond Fund, Class VI		79,705,740
	1,655,962	GMO Emerging Country Debt Fund, Class IV		16,062,830
	32,054,183	GMO Emerging Markets Fund, Class VI		412,216,796
	6,833,467	GMO Flexible Equities Fund, Class VI		122,455,735
	11,581,320	GMO International Core Equity Fund, Class VI		319,876,065
	7,226,068	GMO International Growth Equity Fund, Class IV		162,441,998
	7,870,997	GMO International Intrinsic Value Fund, Class IV		160,647,041
	41,425,168	GMO Quality Fund, Class VI		868,685,781
	357,005	GMO Short-Duration Investment Fund, Class III		2,963,139
	4,723,559	GMO Special Situations Fund, Class VI		127,110,978
	23,771,633	GMO Strategic Fixed Income Fund, Class VI		395,322,261
	1,018,558	GMO World Opportunity Overlay Fund		23,335,169
		TOTAL MUTUAL FUNDS (COST $3,008,021,601)		3,290,316,763
		DEBT OBLIGATIONS — 1.2%
		Asset-Backed Securities — 1.2%
		ABS Collateralized Debt Obligations — 0.0%
	500,000	Paragon CDO Ltd., Series 04-1A, Class A, 144A, 3 mo. LIBOR + .65%, 0.90%, due 10/20/44		—
		Airlines — 0.0%
	514,790	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.69%, due 05/15/24		280,561
		Auto Financing — 0.1%
	192,254	Capital Auto Receivable Asset Trust, Series 08-1, Class A4B, 1 mo. LIBOR + 1.35%, 1.56%, due 07/15/14		193,066
	800,000	Carmax Auto Owner Trust, Series 08-2, Class A4B, 1 mo. LIBOR + 1.65%, 1.86%, due 08/15/13		805,656
	543,539	Daimler Chrysler Auto Trust, Series 08-B, Class A4A, 5.32%, due 11/10/14		549,083

See accompanying notes to the financial statements. 3

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Auto Financing — continued
	465,890	Daimler Chrysler Auto Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 1.85%, 2.06%, due 11/10/14		467,982
	872,278	Ford Credit Auto Owner Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 2.00%, 2.21%, due 03/15/13		877,799
	108,294	Franklin Auto Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.95%, 2.16%, due 05/20/16		108,565
	329,763	Wachovia Auto Owner Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.15%, 1.36%, due 03/20/14		331,269
		Total Auto Financing		3,333,420
		Business Loans — 0.1%
	171,216	ACAS Business Loan Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .14%, 0.43%, due 08/16/19		166,935
	77,551	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.58%, due 04/25/34		63,592
	56,327	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.59%, due 01/25/35		46,189
	280,944	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.61%, due 01/25/36		196,661
	247,200	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.46%, due 07/25/37		181,692
	971,479	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.52%, due 12/25/37		806,328
	75,633	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.50%, due 05/15/32		69,582
	121,785	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.45%, due 11/15/33		108,997
	206,227	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.47%, due 02/25/30		164,982
	162,079	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.47%, due 09/25/30		131,284
	467,076	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.07%, due 10/25/37		373,661
		Total Business Loans		2,309,903

4 See accompanying notes to the financial statements.

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		CMBS — 0.2%
	442,659	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.33%, due 07/15/44		424,953
	1,100,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.34%, due 12/15/20		979,000
	302,089	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		302,089
	416,614	GE Capital Commercial Mortgage Corp., Series 06-C1, Class A2, 5.51%, due 03/10/44		416,614
	515,383	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		523,114
	198,851	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .39%, 1.14%, due 03/06/20		196,862
	300,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .57%, 1.32%, due 03/06/20		295,500
	208,138	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-LDP7, Class A2, 6.06%, due 04/15/45		208,326
	620,307	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.81%, due 05/12/39		641,087
	303,283	Morgan Stanley Capital I, Series 06-IQ11, Class A3, 5.86%, due 10/15/42		309,349
	536,653	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.30%, due 09/15/21		509,821
		Total CMBS		4,806,715
		CMBS Collateralized Debt Obligations — 0.0%
	499,812	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.10%, due 11/23/52		4,998
	313,457	G-Force LLC, Series 05-RR2, Class A2, 144A, 5.16%, due 12/25/39		304,053
	198,992	Guggenheim Structured Real Estate Funding, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .32%, 0.54%, due 08/26/30		180,088
	791,305	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.55%, due 05/25/46		581,609
		Total CMBS Collateralized Debt Obligations		1,070,748
		Corporate Collateralized Debt Obligations — 0.0%
	1,000,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.54%, due 06/20/13		899,600
		Credit Cards — 0.1%
	1,100,000	Cabela’s Master Credit Card Trust, Series 08-4A, Class A2, 144A, 1 mo. LIBOR + 3.00%, 3.21%, due 09/15/14		1,101,188

See accompanying notes to the financial statements. 5

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	1,300,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.46%, due 09/15/17		1,302,951
	400,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.34%, due 02/15/17		396,312
		Total Credit Cards		2,800,451
		Equipment Leases — 0.0%
	178,156	CNH Equipment Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.95%, 2.16%, due 08/15/14		178,743
		Insured Auto Financing — 0.1%
	260,245	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, 1 mo. LIBOR + .04%, 0.25%, due 10/06/13		259,542
	212,485	AmeriCredit Automobile Receivables Trust, Series 07-BF, Class A4, FSA, 1 mo. LIBOR + .05%, 0.26%, due 12/06/13		211,559
	271,595	AmeriCredit Automobile Receivables Trust, Series 07-DF, Class A4B, FSA, 1 mo. LIBOR + .80%, 1.01%, due 06/06/14		271,378
	495,642	AmeriCredit Prime Automobile Receivable Trust, Series 07-2M, Class A4B, MBIA, 1 mo. LIBOR + .50%, 0.71%, due 03/08/16		493,461
	1,481,198	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.41%, due 07/14/14		1,491,255
		Total Insured Auto Financing		2,727,195
		Insured Business Loans — 0.0%
	253,525	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.66%, due 10/25/30		185,073
		Insured High Yield Collateralized Debt Obligations § — 0.0%
	53,479	GSC Partners CDO Fund Ltd., Series 03-4A, Class A3, 144A, AMBAC, 3 mo. LIBOR + .46%, 0.71%, due 12/16/15		52,944
		Insured Other — 0.1%
	1,500,000	Dominos Pizza Master Issuer LLC, Series 07-1, Class A2, 144A, MBIA, 5.26%, due 04/25/37		1,507,500
	614,832	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 09/15/41		564,420

6 See accompanying notes to the financial statements.

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Insured Other — continued
	611,048	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 12/15/41		562,785
	368,525	TIB Card Receivables Fund, Series 2005-B,144A, FGIC, 3 mo. LIBOR + .25%, 0.50%, due 01/05/14		316,931
	100,000	Toll Road Investment Part II, Series B, 144A, NPGC, Zero Coupon, due 02/15/30		14,500
	900,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		63,000
		Total Insured Other		3,029,136
		Insured Residential Asset-Backed Securities (United States) u — 0.0%
	72,355	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.64%, due 07/25/34		60,055
	88,115	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.60%, due 12/25/33		75,338
	24,222	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.55%, due 03/25/34		19,861
	383,607	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.44%, due 11/25/35		276,197
		Total Insured Residential Asset-Backed Securities (United States)		431,451
		Insured Residential Mortgage-Backed Securities (United States) — 0.0%
	13,310	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.56%, due 10/25/34		8,851
	35,668	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.55%, due 01/25/35		24,968
	287,314	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.36%, due 06/15/37		180,376
	184,323	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.45%, due 10/25/34		144,546
	9,025	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.68%, due 07/25/29		5,956
	12,204	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.77%, due 08/15/30		7,613
	20,251	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.66%, due 06/25/34		11,381

See accompanying notes to the financial statements. 7

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Insured Residential Mortgage-Backed Securities (United States) — continued
	5,651	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.51%, due 12/25/32		1,752
	138,567	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.41%, due 11/25/35		119,916
		Total Insured Residential Mortgage-Backed Securities (United States)		505,359
		Insured Time Share — 0.0%
	71,870	Sierra Receivables Funding Co., Series 06-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .15%, 0.36%, due 05/20/18		70,721
	93,569	Sierra Receivables Funding Co., Series 07-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .15%, 0.36%, due 03/20/19		90,645
	270,277	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.21%, due 09/20/19		265,153
		Total Insured Time Share		426,519
		Insured Transportation — 0.0%
	106,667	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.51%, due 04/17/19		103,867
		Residential Asset-Backed Securities (United States) u — 0.3%
	37,311	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.61%, due 01/25/35		29,021
	86,232	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.36%, due 02/25/36		18,971
	206,858	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.40%, due 03/25/36		170,916
	73,783	ACE Securities Corp., Series 06-ASP4, Class A2B, 1 mo. LIBOR + .10%, 0.32%, due 08/25/36		67,972
	700,000	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.40%, due 10/25/36		210,000
	258,152	ACE Securities Corp., Series 06-CW1, Class A2B, 1 mo. LIBOR + .10%, 0.32%, due 07/25/36		239,113
	191,355	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.38%, due 05/25/36		97,591
	92,067	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.31%, due 06/25/36		83,378

8 See accompanying notes to the financial statements.

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) u — continued
	400,000	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 04/25/36		230,000
	117,490	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.54%, due 09/25/35		22,029
	260,606	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.32%, due 06/25/36		32,576
	333,520	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.39%, due 06/25/36		44,191
	142,399	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.31%, due 01/25/37		39,872
	127,895	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.29%, due 11/25/36		46,042
	368,333	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.42%, due 05/25/37		18,417
	130,475	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 1.26%, due 05/25/34		115,593
	1,370,469	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 07/25/36		406,002
	258,180	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.33%, due 09/25/36		80,681
	347,256	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.41%, due 03/25/36		108,518
	260,436	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 06/25/36		77,398
	298,134	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.37%, due 10/25/36		168,446
	562,686	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.44%, due 05/25/37		437,432
	223,393	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.22%, due 05/28/39		77,629
	223,393	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.52%, due 05/28/39		72,044
	304,394	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.22%, due 02/28/40		178,071
	126,444	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.33%, due 11/25/36		88,966

See accompanying notes to the financial statements. 9

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) u — continued
	300,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.42%, due 11/25/36		46,290
	78,213	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.54%, due 02/25/37		18,826
	41,043	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A1, 1 mo. LIBOR + .12%, 0.34%, due 02/25/37		40,173
	1,300,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.42%, due 02/25/37		822,250
	359,284	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.38%, due 06/25/36		274,853
	6,395	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.76%, due 04/25/33		5,372
	3,297	Citigroup Mortgage Loan Trust, Inc., Series 04-OPT1, Class A1B, 1 mo. LIBOR + .41%, 0.63%, due 10/25/34		3,066
	400,000	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.38%, due 12/25/36		132,000
	1,000,000	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.36%, due 02/25/37		782,500
	48,148	Countrywide Asset-Backed Certificates, Series 06-BC5, Class 2A1, 1 mo. LIBOR + .08%, 0.30%, due 03/25/37		46,506
	17,934	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.52%, due 04/25/34		13,630
	402,814	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.38%, due 04/25/36		248,738
	128,140	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.41%, due 05/25/36		77,144
	49,518	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.32%, due 08/25/36		19,374
	577,740	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.38%, due 08/25/36		187,766
	112,009	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.52%, due 01/20/35		97,973
	101,931	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.50%, due 01/20/35		90,687
	291,898	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.37%, due 01/20/36		259,151

10 See accompanying notes to the financial statements.

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) u — continued
	923,129	J.P. Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.34%, due 12/25/36		328,818
	68,738	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.47%, due 10/25/35		65,301
	81,488	Master Asset-Backed Securities Trust, Series 06-AM3, Class A2, 1 mo. LIBOR + .13%, 0.35%, due 10/25/36		78,025
	566,369	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.37%, due 03/25/36		260,530
	400,000	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 06/25/36		124,000
	733,143	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 08/25/36		205,280
	500,000	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.38%, due 10/25/36		165,000
	197,883	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.54%, due 03/25/36		23,746
	160,133	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.34%, due 02/25/37		75,263
	79,959	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 0.62%, due 08/25/34		61,169
	1,000,000	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.45%, due 02/25/37		265,000
	155,415	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.32%, due 04/25/37		134,434
	293,567	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 11/25/36		87,336
	195,931	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.48%, due 12/25/35		117,069
	194,719	RAAC Series Trust, Series 06-SP1, Class A2, 1 mo. LIBOR + .19%, 0.41%, due 09/25/45		163,077
	55,449	Residential Asset Mortgage Products, Inc., Series 05-RS8, Class A2, 1 mo. LIBOR + .29%, 0.51%, due 10/25/33		50,293
	165,473	Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.47%, due 01/25/36		140,652
	28,035	Residential Asset Securities Corp., Series 07-KS3, Class AI1, 1 mo. LIBOR + .11%, 0.33%, due 04/25/37		27,791

See accompanying notes to the financial statements. 11

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) u — continued
	9,319	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 0.76%, due 03/25/35		6,175
	22,275	Securitized Asset Backed Receivables LLC, Series 06-NC1, Class A2, 1 mo. LIBOR + .16%, 0.38%, due 03/25/36		19,602
	17,880	Security National Mortgage Loan Trust, Series 06-2A, Class A1, 144A, 1 mo. LIBOR + .29%, 0.51%, due 10/25/36		17,120
	37,697	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.48%, due 10/25/35		35,303
	34,054	Soundview Home Equity Loan Trust, Series 07-NS1, Class A1, 1 mo. LIBOR + .12%, 0.34%, due 01/25/37		32,505
	500,000	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 06/25/37		227,500
	163,521	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.42%, due 01/25/36		120,024
	96,842	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.51%, due 11/25/35		76,505
	507,049	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.62%, due 06/25/37		30,423
		Total Residential Asset-Backed Securities (United States)		9,265,109
		Residential Mortgage-Backed Securities (Australian) — 0.1%
	182,890	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.31%, due 07/20/38		178,718
	290,454	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.31%, due 04/19/38		280,750
	62,667	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.75%, due 09/27/35		58,453
	473,263	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.65%, due 03/14/36		436,443
	41,468	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.65%, due 12/08/36		37,736
	60,850	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 0.62%, due 05/27/38		56,321
	34,060	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.35%, due 05/10/36		32,971
	218,593	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.30%, due 06/14/37		209,139
	227,117	National RMBS Trust, Series 06-3, Class A1, 144A, 3 mo. LIBOR + .07%, 0.32%, due 10/20/37		220,037

12 See accompanying notes to the financial statements.

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — continued
	281,810	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.37%, due 02/21/38		268,340
	298,398	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.31%, due 06/12/40		283,434
	34,443	Superannuation Members Home Loans Global Fund, Series 7, Class A1, 3 mo. LIBOR + .14%, 0.53%, due 03/09/36		33,507
	31,290	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.39%, due 01/12/37		30,615
	217,368	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 0.35%, due 05/21/38		210,251
		Total Residential Mortgage-Backed Securities (Australian)		2,336,715
		Residential Mortgage-Backed Securities (European) — 0.1%
	362,378	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.36%, due 09/20/66		297,150
	811,091	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.35%, due 01/13/39		746,203
	125,474	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .04%, 0.29%, due 12/20/54		118,071
	66,204	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .14%, 0.39%, due 09/20/44		62,894
	297,222	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.31%, due 12/10/43		269,729
	84,292	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 0.53%, due 12/21/37		79,656
	195,811	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.71%, due 05/15/34		170,884
	308,773	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .11%, 0.51%, due 11/15/38		231,144
	216,562	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .10%, 0.35%, due 09/15/39		182,865
	1,000,000	Permanent Master Issuer Plc, Series 06-1, Class 5A, 3 mo. LIBOR + .11%, 0.36%, due 07/15/33		986,600
	200,000	Permanent Master Issuer Plc, Series 07-1, Class 4A, 3 mo. LIBOR + .08%, 0.33%, due 10/15/33		198,980
		Total Residential Mortgage-Backed Securities (European)		3,344,176

See accompanying notes to the financial statements. 13

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (United States) — 0.0%
	21,387	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.52%, due 08/25/35		14,757
	74,776	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.47%, due 02/26/34		62,064
		Total Residential Mortgage-Backed Securities (United States)		76,821
		Student Loans — 0.0%
	700,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.50%, due 01/25/24		698,775
	29,636	Goal Capital Funding Trust, Series 07-1, Class A1, 3 mo. LIBOR + .02%, 0.27%, due 06/25/21		29,598
	80,696	National Collegiate Student Loan Trust, Series 06-1, Class A2, 1 mo. LIBOR + .14%, 0.36%, due 08/25/23		79,566
	400,000	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.33%, due 12/23/19		393,744
	120,709	SLM Student Loan Trust, Series 07-A, Class A1, 3 mo. LIBOR + .03%, 0.28%, due 09/15/22		120,106
		Total Student Loans		1,321,789
		Time Share — 0.0%
	106,922	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.21%, due 02/20/20		110,297
		Total Asset-Backed Securities		39,596,592
		Corporate Debt — 0.0%
	598,000	Health Care Property Investors, Inc., Series G, MTN, 5.63%, due 02/28/13		625,272
		U.S. Government Agency — 0.0%
	100,900	Agency for International Development Floater (Support of C.A.B.E.I.), 6 mo. U.S. Treasury Bill + .40%, 0.44%, due 10/01/12 (a)		100,235
	35,247	Agency for International Development Floater (Support of Honduras), 3 mo. U.S. Treasury Bill x 117%, 0.05%, due 10/01/11 (a)		35,200
	503,094	Agency for International Development Floater (Support of Jamaica), 6 mo. U.S. Treasury Bill + 0.75%, 0.80%, due 03/30/19 (a)		488,483
	44,927	Agency for International Development Floater (Support of Peru), Series B, 6 mo. U.S. Treasury Bill +.35%, 0.40%, due 05/01/14 (a)		44,187

14 See accompanying notes to the financial statements.

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($) /
Shares		Description	Value ($)
		U.S. Government Agency — continued
	100,001	Agency for International Development Floater (Support of Zimbabwe), 3 mo. U.S. Treasury Bill x 115%, 0.05%, due 01/01/12 (a)		99,481
		Total U.S. Government Agency		767,586
		TOTAL DEBT OBLIGATIONS (COST $39,467,342)		40,989,450
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	52,407	State Street Institutional U.S. Government Money Market Fund-Institutional Class, 0.00% (b)		52,407
		TOTAL SHORT-TERM INVESTMENTS (COST $52,407)		52,407
		TOTAL INVESTMENTS — 100.0% (Cost $3,047,541,350)		3,331,358,620
		Other Assets and Liabilities (net) — 0.00%		285,834
		TOTAL NET ASSETS — 100.0%	$	3,331,644,454

Notes to Schedule of Investments:

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

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

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

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

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

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

LIBOR - London Interbank Offered Rate

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

MTN - Medium Term Note

NPGC - Insured to the payment orf principal and interest by National Public Guarantee Corp.

RMBS - Residential Mortgage Backed Security

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

See accompanying notes to the financial statements. 15

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

The rates shown on variable rate notes are the current interest rates at August 31, 2011, which are subject to change based on the terms of the security.

§	These securities were categorized as “high yield” as a result of being rated below investment grade at issuance (Note 3).
u	These securities are primarily backed by subprime mortgages.
(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(b)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.0%

16 See accompanying notes to the financial statements.

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $39,519,749) (Note 2)	$	41,041,857
Investments in affiliated issuers, at value (cost $3,008,021,601) (Notes 2 and 10)		3,290,316,763
Receivable for investments sold		34,530,222
Interest receivable		40,878
Receivable for expenses reimbursed by Manager (Note 5)		23,901
Miscellaneous receivable		5,176
Total assets		3,365,958,797
Liabilities:
Payable for Fund shares repurchased		34,113,451
Payable to affiliate for (Note 5)
Trustees and Trust Officers or agents unaffiliated with the Manager		9,713
Accrued expenses		191,179
Total liabilities		34,314,343
Net assets	$	3,331,644,454
Net assets consist of:
Paid-in capital	$	3,632,197,744
Accumulated undistributed net investment income		21,733,768
Accumulated net realized loss		(606,104,328	)
Net unrealized appreciation		283,817,270
	$	3,331,644,454
Net assets attributable to:
Class III shares	$	3,331,644,454
Shares outstanding:
Class III		325,869,613
Net asset value per share:
Class III	$	10.22

See accompanying notes to the financial statements. 17

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	19,812,762
Interest		2,075,676
Dividends from unaffiliated issuers		8
Total investment income		21,888,446
Expenses:
Legal fees		60,536
Audit and tax fees		32,568
Trustees fees and related expenses (Note 5)		31,604
Custodian, fund accounting agent and transfer agent fees		30,728
Trust Officers or agents unaffiliated with the Manager (Note 5)		9,327
Registration fees		3,864
Miscellaneous		17,921
Total expenses		186,548
Fees and expenses reimbursed by Manager (Note 5)		(142,876	)
Expense reductions (Note 2)		(2,172	)
Net expenses		41,500
Net investment income (loss)		21,846,946
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,944,238
Investments in affiliated issuers		29,641,616
Realized gains distributions from affiliated issuers (Note 10)		36,139,695
Foreign currency, forward contracts and foreign currency related transactions		(4,584	)
Net realized gain (loss)		67,720,965
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(3,726,336	)
Investments in affiliated issuers		(80,002,396	)
Net unrealized gain (loss)		(83,728,732	)
Net realized and unrealized gain (loss)		(16,007,767	)
Net increase (decrease) in net assets resulting from operations	$	5,839,179

18 See accompanying notes to the financial statements.

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	21,846,946		$	56,614,588
Net realized gain (loss)		67,720,965			(123,864,237	)
Change in net unrealized appreciation (depreciation)		(83,728,732	)		434,768,786
Net increase (decrease) in net assets from operations		5,839,179			367,519,137
Distributions to shareholders from:
Net investment income
Class III		(793,185	)		(63,193,309	)
Net share transactions (Note 9):
Class III		(131,511,150	)		48,282,089
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		406,375			802,582
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(131,104,775	)		49,084,671
Total increase (decrease) in net assets		(126,058,781	)		353,410,499
Net assets:
Beginning of period		3,457,703,235			3,104,292,736
End of period (including accumulated undistributed net investment income of $21,733,768 and $680,007, respectively)	$	3,331,644,454		$	3,457,703,235

See accompanying notes to the financial statements. 19

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31,
	2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	10.22		$	9.30		$	7.28		$	11.37		$	12.01		$	11.76
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.06			0.17			0.27			0.87			0.48			0.39
Net realized and unrealized gain (loss)		(0.06	)		0.94			2.10			(3.43	)		0.05			0.66
Total from investment operations		—			1.11			2.37			(2.56	)		0.53			1.05
Less distributions to shareholders:
From net investment income		0.00	(b)		(0.19	)		(0.35	)		(1.04	)		(0.53	)		(0.43	)
From net realized gains		—			—			—			(0.49	)		(0.64	)		(0.37	)
Total distributions		—			(0.19	)		(0.35	)		(1.53	)		(1.17	)		(0.80	)
Net asset value, end of period	$	10.22		$	10.22		$	9.30		$	7.28		$	11.37		$	12.01
Total Return(c)		0.02	%**		11.98	%		32.60	%		(24.30	)%		4.10	%		9.22	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	3,331,644		$	3,457,703		$	3,104,293		$	2,432,987		$	3,364,855		$	3,079,164
Net expenses to average daily net assets(d)(e)		0.00	%(f)*		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%
Net investment income (loss) to average daily net assets		1.24	%*		1.73	%		3.00	%		8.81	%		3.89	%		3.28	%
Portfolio turnover rate		20	%**		32	%		29	%		44	%		76	%		23	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.01	%		0.01	%		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	(g)	$	0.00	(g)	$	0.00	(g)	$	0.00	(g)	$	0.00	(g)	$	0.01

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	Distributions from net income were less than $0.01 per share.
(c)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	Net expenses to average daily net assets were less than 0.01%.
(f)	The net expense ratio does not include the effect of expense reductions (Note 2).
(g)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

20 See accompanying notes to the financial statements.

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Global Balanced Asset Allocation Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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.

Effective September, 15, 2011, the Fund changed its name to GMO Global Asset Allocation Fund and eliminated its policy to invest at least 25% of its assets in fixed income investments and at least 25% of its assets in equity investments. See Note 11 “Subsequent events” for more information. The information below is for the period prior to September 15, 2011.

The Fund seeks total return greater than that of its benchmark, the GMO Global Balanced Index. The GMO Global Balanced Index is an internally maintained composite benchmark computed by the Manager, comprised of (i) the MSCI All Country World Index (“ACWI”) Index and (ii) the Barclays Capital U.S. Aggregate Index in the following proportions: 65% MSCI ACWI Index and 35% Barclays Capital U.S. Aggregate Index. The Fund is a fund of funds and invests primarily in shares of other GMO Funds, which may include the GMO International Equity Funds, the GMO U.S. Equity Funds, the GMO Fixed Income Funds, GMO Alpha Only Fund, GMO Alternative Asset Opportunity Fund, GMO Debt Opportunities Fund, GMO High Quality Short-Duration Bond Fund, GMO Special Situations Fund and GMO World Opportunity Overlay Fund (GMO Funds in which the Funds invests are collectively referred to as “underlying funds”). In addition, the Fund may hold securities (particularly asset-backed securities) directly or through one or more subsidiaries or other entities. The Fund may be exposed to foreign and U.S. equity investments (which may include emerging country equities, both growth and value style equities and equities of any market capitalization), U.S. and foreign fixed income securities (including asset-backed securities and other fixed income securities of any credit quality and having any maturity or duration), the investment returns of commodities and, from time to time, other alternative asset classes.

The Manager uses multi-year forecasts of relative value and risk among asset classes (e.g., foreign equity, U.S. equity, emerging country equity, emerging country debt, U.S. fixed income, foreign fixed income and commodities) to select the underlying funds in which the Fund invests and to decide how much to invest in each. The Manager changes the Fund’s holdings of underlying funds in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments. The Manager, however, intends to invest at least 25% of the Fund’s assets in fixed income investments and at least 25% in equity investments.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

21

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect) or at gmo.com. As of August 31, 2011, shares of GMO Alternative Asset Opportunity Fund, GMO Special Situations Fund, and GMO World Opportunity Overlay Fund were not publicly available for direct purchase.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other investment funds are generally valued at their net asset value. Investments held by the underlying funds are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly and indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.8% of net assets. The Fund and the underlying funds classify such securities (as defined below) as Level 3.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on

22

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund, either directly or through investments in the underlying funds that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below or in the disclosures in the underlying funds.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		39.7	%
Futures Contracts		(0.2	)%
Swap Agreements		0.5	%

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 1.0% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

23

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The three levels are defined as follows:

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

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

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: The Fund valued certain debt securities using quoted prices. The Fund valued certain other debt securities by using an estimated specified spread above the LIBOR Rate.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds	$	3,290,316,763	$	—	$	—	$	3,290,316,763
Debt Obligations
Asset-Backed Securities		—		6,098,769		33,497,823		39,596,592
Corporate Debt		—		625,272		—		625,272
U.S. Government Agency		—		—		767,586		767,586
TOTAL DEBT OBLIGATIONS		—		6,724,041		34,265,409		40,989,450
Short-Term Investments		52,407		—		—		52,407
Total Investments		3,290,369,170		6,724,041		34,265,409		3,331,358,620
Total	$	3,290,369,170	$	6,724,041	$	34,265,409	$	3,331,358,620

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and derivative financial instruments using Level 3 inputs were 6.9% and (0.0)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

24

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

																					Net Change in
																					Unrealized
																					Appreciation
																					(Depreciation)
																					from
	Balances											Change in							Balances		Investments
	as of							Accrued		Total		Unrealized			Transfer		Transfer		as of		Still Held as of
	February 28,							Discounts/		Realized		Appreciation			into		out of		August 31,		August 31,
	2011		Purchases		Sales			Premiums		Gain/(Loss)		(Depreciation)			Level 3*		Level 3*		2011		2011
Debt Obligations
Asset backed Securities	$	44,061,730	$	—	$	(9,573,565	)	$	400,155	$	1,477,626	$	(2,868,123	)	$	—	$	—	$	33,497,823	$	(2,375,998	)
U.S. Government Agency	$	971,897	$	—	$	(204,812	)	$	335	$	4,339	$	(4,173	)	$	—	$	—	$	767,586	$	(4,173	)
Total Debt Obligations	$	45,033,627	$	—	$	(9,778,377	)	$	400,490	$	1,481,965	$	(2,872,296	)	$	—	$	—	$	34,265,409	$	(2,380,171	)
Total	$	45,033,627	$	—	$	(9,778,377	)	$	400,490	$	1,481,965	$	(2,872,296	)	$	—	$	—	$	34,265,409	$	(2,380,171	)

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

25

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(293,447,811	)
February 28, 2019		(45,265,045	)
Total	$	(338,712,856	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	3,359,082,904	$	—	$	(27,724,284	)	$	(27,724,284	)

26

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

27

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Purchases and redemptions of Fund shares

Prior to June 30, 2011, the premium on cash purchases and the fee on cash redemptions of Fund Shares were each 0.09% of the amount invested or redeemed. Effective June 30, 2011, the premium on cash purchases and the fee on cash redemptions were each 0.10% of the amount invested or redeemed. Purchase premiums and redemption fees are paid to and retained by the Fund to help offset non-de minimis 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) as a result of the purchase or redemption, by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee or modify or eliminate an existing fee at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund’s investments in the underlying funds. Some of the underlying funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market value of a particular security held by those Funds may affect their performance more than if they were diversified. The principal risks of investing in the Fund are summarized below, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related

28

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk – Equity Securities – The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. An underlying fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk – The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Market Risk – Fixed Income Securities – Typically, the market value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk – Asset-Backed Securities – Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Liquidity Risk – Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund or an underlying fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

29

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Derivatives Risk – The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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

• Management and Operational Risk – The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Smaller Company Risk – Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small-and midcap companies 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.

• Commodities Risk – To the extent an underlying fund has exposure to global commodity markets, the value of its shares is affected by factors particular to the commodity markets and may fluctuate more than the value of shares of a fund with a broader range of investments.

• Currency Risk – Fluctuations in exchange rates can adversely affect the market value of foreign currency holdings and investments denominated in foreign currencies, or that the U.S. dollar will decline in value relative to the foreign currency being hedged.

• Leveraging Risk – The use of reverse repurchase agreements and other derivatives and securities lending may cause the Fund’s portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

30

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Credit Risk – The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Counterparty Risk – The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Real Estate Risk – To the extent an underlying fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.

• Short Sales Risk – The Fund runs the risk that an underlying fund’s loss on a short sale of securities that the underlying fund does not own is unlimited.

• Focused Investment Risk – Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk – Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk – To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

The Fund invests (including through investment in underlying funds) in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit card receivables, which expose the Fund to additional types of market risk. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers. Payment of interest on asset backed securities and repayment of principal largely depend on the cash flows generated by the assets backing the securities. The market risk of a particular asset-backed security depends on many factors, including the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make

31

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

principal payments), the quality of the underlying assets and, if any, the level of credit support and the credit quality of the credit-support provider. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. The obligations of issuers (and obligors of underlying assets) also are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments.

32

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

5. Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not charge the Fund a management fee or shareholder service fee, but it receives management and 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 the Manager’s asset allocation decisions.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This contractual expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $31,604 and $12,068, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
0.421%	0.064%	0.002%	0.487%

33

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and class exchanges, for the period ended August 31, 2011 aggregated $704,504,345 and $752,321,127, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, no shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.13% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		22,471,540		$	231,255,354			64,149,232		$	626,351,461
Shares issued to shareholders in reinvestment of distributions		64,968			687,364			5,410,463			53,853,799
Shares repurchased		(35,079,881	)		(363,453,868	)		(64,763,129	)		(631,923,171	)
Purchase premiums		—			191,372			—			519,281
Redemption fees		—			215,003			—			283,301
Net increase (decrease)		(12,543,373	)	$	(131,104,775	)		4,796,566		$	49,084,671

34

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions
	beginning of				Sales		Dividend		of Realized		Return of		Value, end
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		of period
GMO Alpha Only Fund, Class IV	$	444,489,793	$	194,449,982	$	167,817,589	$	—	$	—$		—	$	500,501,982
GMO Asset Allocation Bond Fund, Class VI		108,350,120		83,573,006		90,201,536		774,566		5,937,562		—		98,991,248
GMO Domestic Bond Fund, Class VI		112,619,380		—		2,808,380		628,710		—		27,949,023		79,705,740
GMO Emerging Country Debt Fund, Class IV		15,394,798		317,038		687,196		201,418		—		—		16,062,830
GMO Emerging Markets Fund, Class VI		407,920,924		79,798,407		32,305,635		—		30,202,133		—		412,216,796
GMO Flexible Equities Fund, Class VI		40,832,080		87,119,273		2,252,527		—		—		—		122,455,735
GMO International Core Equity Fund, Class VI		547,460,836		32,117,819		223,487,524		4,890,400		—		—		319,876,065
GMO International Growth Equity Fund, Class IV		150,549,756		24,987,903		4,662,747		1,057,733		—		—		162,441,998
GMO International Intrinsic Value Fund, Class IV		155,598,926		28,579,086		4,516,655		2,939,296		—		—		160,647,041
GMO Quality Fund, Class VI		877,962,197		156,539,290		174,384,120		9,318,432		—		—		868,685,781
GMO Short-Duration Investment Fund, Class III		3,023,794		2,207		41,178		2,207		—		—		2,963,139
GMO Special Situations Fund, Class VI		147,372,218		3,960,182		20,613,375		—		—		—		127,110,978
GMO Strategic Fixed Income Fund, Class VI		365,706,603		13,060,152		13,293,437		—		—		—		395,322,261
GMO World Opportunity Overlay Fund		23,422,041		—		323,717		—		—		—		23,335,169
Totals	$	3,400,703,466	$	704,504,345	$	737,395,616	$	19,812,762	$	36,139,695	$	27,949,023	$	3,290,316,763

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of fiscal year ending February 29, 2012.

35

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

11. Subsequent events

The Board of Trustees of GMO Trust approved changing the name of GMO Global Balanced Asset Allocation Fund to “GMO Global Asset Allocation Fund.” Effective September 15, 2011, the Fund changed its name to GMO Global Asset Allocation Fund.

In conjunction with the name change, effective September 15, 2011, the Fund was no longer bound by its policy to invest at least 25% of its assets in fixed income investments and at least 25% of its assets in equity investments, and the description of the Fund’s principal investment strategies was replaced with the following:

Principal investment strategies

The Fund is a fund of funds and invests primarily in shares of other GMO Funds, which may include the International Equity Funds, the U.S. Equity Funds, the Fixed Income Funds, Alpha Only Fund, Alternative Asset Opportunity Fund, Debt Opportunities Fund, High Quality Short-Duration Bond Fund, Special Situations Fund and World Opportunity Overlay Fund (collectively, the “underlying Funds”). In addition, the Fund may hold securities (particularly asset- backed securities) directly or through one or more subsidiaries or other entities. The Fund may be exposed to foreign and U.S. equity investments (which may include emerging country equities, both growth and value style equities and equities of any market capitalization), U.S. and foreign fixed income securities (including asset-backed securities and other fixed income securities of any credit quality and having any maturity or duration), the investment returns of commodities and, from time to time, other alternative asset classes.

The Manager uses multi-year forecasts of relative value and risk among asset classes (e.g., foreign equity, U.S. equity, emerging country equity, emerging country debt, U.S. fixed income, foreign fixed income and commodities) to select the underlying Funds in which the Fund invests and to decide how much to invest in each. The Manager changes the Fund’s holdings of underlying Funds in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments. Under normal circumstances, the Manager intends to invest not more than 85% of the Fund’s assets in the U.S. Equity and International Equity Funds.

For cash management purposes, the Fund may invest in U.S. Treasury Fund and unaffiliated money market funds.

36

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees observed that the comparative data provided by the third-party data services was based on peer groups that included funds with investment approaches that were substantially different from that of the Fund and gave correspondingly less weight to that information. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the

37

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other funds of the Trust in which the Fund invests. The Trustees also considered other so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees noted that they had approved renewal of the Manager’s management agreements with the other funds of the Trust in which the Fund may invest and had concluded that the advisory fees charged to those funds were reasonable, after considering, among other things: possible economies of scale to the Manager in connection with its management of other funds; the Manager’s profitability with respect to those other funds and the Trust as a whole; and information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives to those funds in which the Fund invests.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the

38

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

39

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including indirect management fees, indirect shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

40

GMO Global Balanced Asset Allocation Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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 premiums and redemption fees. Therefore, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.49	%	$	1,000.00	$	1,000.20	$	2.46
2) Hypothetical		0.49	%	$	1,000.00	$	1,022.67	$	2.49

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

41

GMO Global Bond Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Global Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		86.5	%
Short-Term Investments		15.6
Futures Contracts		1.0
Forward Currency Contracts		0.4
Options Purchased		0.4
Loan Participations		0.2
Loan Assignments		0.1
Rights/Warrants		0.0	Ù
Promissory Notes		0.0	Ù
Written Options		(0.0	)
Reverse Repurchase Agreements		(1.5	)
Swap Agreements		(1.7	)
Other		(1.0	)
		100.0	%

Country/Region Summary**	% of Investments
Euro Region***		43.6	%
Japan		35.9
United States		35.6
Canada		3.6
Emerging****		3.5
Australia		1.1
Denmark		0.0	Ù
New Zealand		0.0	Ù
Norway		0.0	Ù
South Africa		0.0	Ù
Switzerland		(6.1	)
United Kingdom		(6.4	)
Sweden		(10.8	)
		100.0	%

*

The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).

**

The table above 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 exposures, taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. Asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of

1

GMO Global Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

	market value (direct and indirectly). Duration is based on the Manager’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 “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.
****	The “Emerging” exposure is associated only with investments in the GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Russia, Argentina, Brazil, Philippines, Mexico, Venezuela, Colombia, Congo, Turkey, and Indonesia. Additional information about the fund’s emerging country exposure is available in the financial statements of the GMO Emerging Country Debt Fund.
Ù	Rounds to 0.0%.

2

GMO Global Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 36.2%
		Canada — 2.4%
		Foreign Government Obligations
CAD	1,500,000	Government of Canada, 8.00%, due 06/01/23		2,359,977
CAD	2,000,000	Government of Canada, 3.50%, due 06/01/20		2,222,914
		Total Canada		4,582,891
		France — 2.4%
		Foreign Government Obligations
EUR	3,000,000	Government of France, 4.00%, due 10/25/38		4,534,890
		Germany — 1.0%
		Foreign Government Obligations
EUR	1,000,000	Republic of Deutschland, 4.75%, due 07/04/34		1,815,593
		Italy — 1.4%
		Foreign Government Obligations
EUR	2,400,000	Republic of Italy, 4.00%, due 02/01/37		2,586,219
		Japan — 16.6%
		Foreign Government Obligations
JPY	2,200,000,000	Japan Government Twenty Year Bond, 2.20%, due 06/20/26		31,241,609
		Spain — 1.3%
		Foreign Government Obligations
EUR	2,000,000	Government of Spain, 4.70%, due 07/30/41		2,394,130
		United Kingdom — 5.2%
		Foreign Government Obligations
GBP	5,500,000	U.K. Treasury Gilt, 4.25%, due 12/07/27		9,739,720
		Total Foreign Government Obligations		56,895,052

See accompanying notes to the financial statements. 3

GMO Global Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value /
Shares		Description	Value ($)
		United States — 5.9%
		U.S. Government
USD	3,225,960	U.S. Treasury Inflation Indexed Note, 2.00%, due 04/15/12 (a) (b)		3,273,594
USD	10,000,000	U.S. Treasury Principal Strip Bond, due 11/15/21		7,764,260
		Total United States		11,037,854
		TOTAL DEBT OBLIGATIONS (COST $60,642,745)		67,932,906
		MUTUAL FUNDS — 62.7%
		United States — 62.7%
		Affiliated Issuers
	618,701	GMO Emerging Country Debt Fund, Class IV		6,001,398
	7,873,225	GMO Short-Duration Collateral Fund		56,608,491
	45,838	GMO Special Purpose Holding Fund (c)		19,711
	618,865	GMO U.S. Treasury Fund		15,477,819
	1,738,197	GMO World Opportunity Overlay Fund		39,822,088
		Total United States		117,929,507
		TOTAL MUTUAL FUNDS (COST $128,990,137)		117,929,507
		SHORT-TERM INVESTMENTS — 1.1%
		Money Market Funds — 0.2%
	409,479	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (d)		409,479

4 See accompanying notes to the financial statements.

GMO Global Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		U.S. Government — 0.9%
USD	1,650,000	U.S. Treasury Bill, 0.08%, due 06/28/12 (a) (e)		1,648,870
USD	100,000	U.S. Treasury Bill, 0.09%, due 07/26/12 (a) (e)		99,920
		Total U.S. Government		1,748,790
		TOTAL SHORT-TERM INVESTMENTS (COST $2,156,930)		2,158,269
		TOTAL INVESTMENTS — 100.0% (Cost $191,789,812)		188,020,682
		Other Assets and Liabilities (net) — (0.0%)		(24,330	)
		TOTAL NET ASSETS — 100.0%	$	187,996,352

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Buys †
9/27/11		Citibank N.A.	AUD		1,500,000	$	1,598,324	$	(45,362	)
9/27/11		Credit Suisse International	AUD		500,000		532,775		10,289
9/27/11		Deutsche Bank AG	AUD		7,900,000		8,417,837		(66,599	)
10/04/11		Credit Suisse International	CAD		1,000,000		1,020,354		12,065
10/04/11		Deutsche Bank AG	CAD		2,500,000		2,550,884		(6,302	)
9/06/11		Citibank N.A.	CHF		1,700,000		2,109,793		(97,856	)
9/06/11		Credit Suisse International	CHF		700,000		868,738		(10,327	)
9/06/11		Deutsche Bank AG	CHF		2,100,000		2,606,215		6,603
9/06/11		Goldman Sachs International	CHF		900,000		1,116,949		(3,736	)
9/13/11		Credit Suisse International	EUR		300,000		430,891		4,432
9/13/11		Deutsche Bank AG	EUR		37,200,000		53,430,440		218,718
10/11/11		Citibank N.A.	GBP		300,000		486,779		(9,718	)
10/11/11		Credit Suisse International	GBP		1,100,000		1,784,856		(26,234	)
10/11/11		Deutsche Bank AG	GBP		1,400,000		2,271,635		(20,125	)
10/11/11		Royal Bank of Scotland PLC	GBP		1,600,000		2,596,154		(22,744	)
9/20/11		Citibank N.A.	JPY		300,000,000		3,918,524		79,541
9/20/11		Deutsche Bank AG	JPY		2,050,000,000		26,776,583		833,454

See accompanying notes to the financial statements. 5

GMO Global Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Currency Contracts — continued

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
9/20/11		Royal Bank of Scotland PLC	JPY		110,000,000	$	1,436,792	$	715
10/25/11		Deutsche Bank AG	NZD		12,000,000		10,184,092		308,931
						$	124,138,615	$	1,165,745
Sales #
9/27/11		Credit Suisse International	AUD		1,000,000	$	1,065,549	$	(26,309	)
9/27/11		Citibank N.A.	AUD		1,300,000		1,385,214		(49,581	)
9/27/11		Deutsche Bank AG	AUD		700,000		745,884		(41,320	)
10/04/11		Citibank N.A.	CAD		3,600,000		3,673,273		16,670
10/04/11		Credit Suisse International	CAD		3,400,000		3,469,202		(30,866	)
10/04/11		Deutsche Bank AG	CAD		3,000,000		3,061,061		100,362
10/04/11		Royal Bank of Scotland PLC	CAD		3,200,000		3,265,132		(3,033	)
9/06/11		Credit Suisse International	CHF		1,000,000		1,241,055		26,230
9/06/11		Deutsche Bank AG	CHF		5,800,000		7,198,118		(254,505	)
9/06/11		Royal Bank of Scotland PLC	CHF		400,000		496,422		46,440
9/13/11		Citibank N.A.	EUR		600,000		861,781		(19,201	)
9/13/11		Credit Suisse International	EUR		2,600,000		3,734,386		(36,356	)
9/13/11		Deutsche Bank AG	EUR		3,900,000		5,601,579		7,213
9/13/11		Goldman Sachs International	EUR		600,000		861,781		(3,727	)
9/13/11		Royal Bank of Scotland PLC	EUR		2,100,000		3,016,235		(22,478	)
10/11/11		Credit Suisse International	GBP		200,000		324,519		(527	)
10/11/11		Deutsche Bank AG	GBP		1,200,000		1,947,115		7,246
9/20/11		Citibank N.A.	JPY		170,000,000		2,220,497		(48,272	)
9/20/11		Credit Suisse International	JPY		100,000,000		1,306,175		(4,261	)
9/20/11		Deutsche Bank AG	JPY		170,000,000		2,220,497		(22,230	)
9/20/11		Royal Bank of Scotland PLC	JPY		370,000,000		4,832,847		(42,847	)
10/25/11		Credit Suisse International	NZD		1,000,000		848,674		(22,694	)
10/25/11		Deutsche Bank AG	NZD		600,000		509,205		(14,774	)
						$	53,886,201	$	(438,820	)

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

6 See accompanying notes to the financial statements.

GMO Global Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Cross Currency Contracts

							Net Unrealized
Settlement			Deliver/Units				Appreciation/
Date	Counterparty		of Currency		Receive/In Exchange For		(Depreciation)
10/18/2011		Deutsche Bank AG	EUR	5,800,000	NOK	45,644,400	$	159,930
		Goldman Sachs
10/18/2011		International	EUR	200,000	NOK	1,578,628		6,385
		Credit Suisse
10/18/2011		International	NOK	5,616,910	EUR	700,000		(20,809	)
		Goldman Sachs
10/18/2011		International	NOK	4,722,750	EUR	600,000		(16,714	)
		Credit Suisse
11/01/2011		International	EUR	400,000	SEK	3,653,600		66
11/01/2011		Deutsche Bank AG	EUR	1,200,000	SEK	10,964,520		783
							$	129,641

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Buys
10		Australian Government Bond 10 Yr.	September 2011	$	1,210,691	$	11,053
11		Australian Government Bond 3 Yr.	September 2011		1,250,534		33,167
5		Canadian Government Bond 10 Yr.	December 2011		662,218		(4,900	)
81		Euro BOBL	September 2011		14,197,780		537,535
125		Euro Bund	September 2011		24,217,433		263,548
2		Euro SCHATZ	September 2011		314,855		(648	)
4		Japanese Government Bond 10 Yr. (TSE)	September 2011		7,449,196		(10,985	)
41		U.S. Treasury Bond 30 Yr. (CBT)	September 2011		5,629,813		(7,344	)
113		U.S. Treasury Note 10 Yr. (CBT)	September 2011		14,693,531		434,988
89		U.S. Treasury Note 2 Yr. (CBT)	September 2011		19,627,281		54,094
124		U.S. Treasury Note 5 Yr. (CBT)	September 2011		15,314,000		511,172
				$	104,567,332	$	1,821,680
Sales
138		UK Gilt Long Bond	December 2011	$	28,417,633	$	184,223

See accompanying notes to the financial statements. 7

GMO Global Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Swap Agreements

Credit Default Swaps

Maximum

Potential

Amount of

Future

Payments

Net

Implied

by the Fund

Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

Under the

Appreciation/

Amount

Date

Counterparty

(Pay)Ù

Premium

Spread (1)

Entity

Contract (2)

(Depreciation)

21,000,000

USD

3/20/2014

Deutsche Bank AG

(Pay)

1.70%

3.61%

Italy Government International Bond

N/A

$

882,139

15,000,000

USD

3/20/2019

Deutsche Bank AG

Receive

1.66%

3.54%

Italy Government International Bond

15,000,000

USD

(1,613,574

)

$

(731,435

)

Premiums to (Pay) Receive

$

—

Ù	Receive - Fund receives premium and sells credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
	(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
(1)	Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of August 31, 2011, 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 agreement.
(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

8 See accompanying notes to the financial statements.

GMO Global Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Interest Rate Swaps

								Net
								Unrealized
Notional			Expiration		Receive	Fixed		Appreciation/
Amount			Date	Counterparty	(Pay) #	Rate	Variable Rate	(Depreciation)
	5,800,000	CHF	9/21/2016	Citibank N.A.	Receive	1.90%	6 Month CHF LIBOR	$	316,575
	11,300,000	CHF	9/21/2016	Barclays Bank PLC	Receive	1.90%	6 Month CHF LIBOR		616,775
	45,600,000	SEK	9/21/2016	Barclays Bank PLC	(Pay)	3.90%	3 Month SEK STIBOR		(455,833	)
	51,300,000	SEK	9/21/2016	Citibank N.A.	(Pay)	3.90%	3 Month SEK STIBOR		(512,812	)
	38,900,000	SEK	9/21/2016	JPMorgan Chase Bank, N.A.	(Pay)	3.90%	3 Month SEK STIBOR		(388,858	)
	12,000,000	EUR	8/11/2014	Merrill Lynch Capital Services, Inc.	Receive	1.86%	6 Month EUR LIBOR		2,384
								$	(421,769	)
Premiums to (Pay) Receive								$	(83,376	)

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

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

BOBL - Bundesobligationen

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

EUR LIBOR - London Interbank Offered Rate denominated in Euros.

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

(a)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap contracts, forward currency contracts, and/or written options, if any.
(b)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).
(c)	Underlying investment represents interests in defaulted claims. See “Other Matters” in Notes to Financial Statements for additional information.
(d)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note Yield rounds to 0.00%.
(e)	Rate shown represents yield-to-maturity.

See accompanying notes to the financial statements. 9

GMO Global Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

10 See accompanying notes to the financial statements.

GMO Global Bond Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $62,799,675) (Note 2)	$	70,091,175
Investments in affiliated issuers, at value (cost $128,990,137) (Notes 2 and 10)		117,929,507
Dividends and interest receivable		470,629
Unrealized appreciation on open forward currency contracts (Note 4)		1,846,073
Receivable for variation margin on open futures contracts (Note 4)		840,990
Receivable for open swap contracts (Note 4)		1,817,873
Receivable for expenses reimbursed by Manager (Note 5)		10,839
Total assets		193,007,086
Liabilities:
Due to custodian		83
Payable to affiliate for (Note 5):
Management fee		32,263
Shareholder service fee		25,471
Trustees and Trust Officers or agents unaffiliated with the Manager		137
Due to broker for open/closed futures contracts		906,653
Unrealized depreciation on open forward currency contracts (Note 4)		989,507
Payable for open swap contracts (Note 4)		2,971,077
Accrued expenses		85,543
Total liabilities		5,010,734
Net assets	$	187,996,352
Net assets consist of:
Paid-in capital	$	220,398,143
Distributions in excess of net investment income		(997,331	)
Accumulated net realized loss		(29,270,446	)
Net unrealized depreciation		(2,134,014	)
	$	187,996,352
Net assets attributable to:
Class III shares	$	187,996,352
Shares outstanding:
Class III		22,335,513
Net asset value per share:
Class III	$	8.42

See accompanying notes to the financial statements. 11

GMO Global Bond Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Interest	$	1,083,419
Dividends from affiliated issuers (Note 10)		511,806
Dividends from unaffiliated issuers		3
Total investment income		1,595,228
Expenses:
Management fee (Note 5)		198,531
Shareholder service fee – Class III (Note 5)		156,735
Custodian, fund accounting agent and transfer agent fees		60,444
Audit and tax fees		34,684
Legal fees		4,600
Registration fees		2,300
Trustees fees and related expenses (Note 5)		1,517
Miscellaneous		6,600
Total expenses		465,411
Fees and expenses reimbursed by Manager (Note 5)		(44,210	)
Expense reductions (Note 2)		(12	)
Indirectly incurred fees waived or borne by Manager (Note 5)		(15,342	)
Shareholder service fee waived (Note 5)		(3,621	)
Net expenses		402,226
Net investment income (loss)		1,193,002
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		495,268
Investments in affiliated issuers		(404,787	)
Realized gains distributions from affiliated issuers (Note 10)		918
Futures contracts		3,485,358
Written options		228,729
Swap contracts		584,913
Foreign currency, forward contracts and foreign currency related transactions		5,420,981
Net realized gain (loss)		9,811,380
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		5,659,726
Investments in affiliated issuers		(336,970	)
Futures contracts		2,237,366
Written options		(210,505	)
Swap contracts		(1,309,623	)
Foreign currency, forward contracts and foreign currency related transactions		(1,303,237	)
Net unrealized gain (loss)		4,736,757
Net realized and unrealized gain (loss)		14,548,137
Net increase (decrease) in net assets resulting from operations	$	15,741,139

12 See accompanying notes to the financial statements.

GMO Global Bond Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,193,002		$	3,148,553
Net realized gain (loss)		9,811,380			5,592,672
Change in net unrealized appreciation (depreciation)		4,736,757			16,256,656
Net increase (decrease) in net assets from operations		15,741,139			24,997,881
Distributions to shareholders from:
Net investment income
Class III		(2,870,916	)		(15,807,412	)
Net share transactions (Note 9):
Class III		(34,765,133	)		(13,174,249	)
Total increase (decrease) in net assets		(21,894,910	)		(3,983,780	)
Net assets:
Beginning of period		209,891,262			213,875,042
End of period (including distributions in excess of net investment income of $997,331 and accumulated undistributed net investment income of $680,583, respectively)	$	187,996,352		$	209,891,262

See accompanying notes to the financial statements. 13

GMO Global Bond Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	7.91		$	7.58		$	6.33		$	8.70		$	8.92		$	8.53
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.05			0.12			0.10			0.25			0.42			0.38
Net realized and unrealized gain (loss)		0.58			0.82			1.66			(2.11	)		0.11			0.38
Total from investment operations		0.63			0.94			1.76			(1.86	)		0.53			0.76
Less distributions to shareholders:
From net investment income		(0.12	)		(0.61	)		(0.51	)		(0.51	)		(0.75	)		(0.37	)
Total distributions		(0.12	)		(0.61	)		(0.51	)		(0.51	)		(0.75	)		(0.37	)
Net asset value, end of period	$	8.42		$	7.91		$	7.58		$	6.33		$	8.70		$	8.92
Total Return(b)		7.97	%**		12.84	%		28.99	%		(22.77	)%		6.50	%		8.99	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	187,996		$	209,891		$	213,875		$	261,706		$	338,614		$	185,321
Net operating expenses to average daily net assets(c)		0.38	%(d)*		0.38	%(d)		0.38	%(d)		0.39	%(d)		0.38	%(d)		0.39	%
Interest expense to average daily net assets(e)		—			0.01	%		0.00	%(f)		—			—			—
Total net expenses to average daily net assets(c)		0.38	%(d)*		0.39	%(d)		0.38	%(d)		0.39	%(d)		0.38	%(d)		0.39	%
Net investment income (loss) to average daily net assets(a)		1.14	%*		1.50	%		1.37	%		3.24	%		4.86	%		4.33	%
Portfolio turnover rate		18	%**		45	%		31	%		35	%		20	%		22	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.06	%*		0.07	%		0.04	%		0.03	%		0.03	%		0.06	%
Redemption fees consisted of the following per share amounts:†		—			—		$	0.01		$	0.00	(g)		—			—

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(f)	Interest expense was less than 0.01% to average daily net assets.
(g)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

14 See accompanying notes to the financial statements.

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Global Bond Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the J.P. Morgan Global Government Bond Index. The Fund’s investment program has two principal components. One component seeks to replicate the Fund’s benchmark. The second component seeks to add value relative to the Fund’s benchmark by taking positions that may be unrelated to its benchmark in global interest rate, currency and credit markets (particularly in asset-backed and emerging country debt markets). These positions can cause the Fund’s performance to differ significantly from that of its benchmark.

In deciding on what positions to take in global interest rate and currency markets, and for the size of those positions, the Manager considers fundamental factors (e.g., inflation and current account positions) as well as price-based factors (e.g., interest and exchange rates). The Manager assesses the relative values across global interest rate and currency markets, and considers the merits of overweighting or underweighting positions in currencies and interest rates. The Manager also may consider the relative attractiveness of yield curve and duration positions in these markets.

In selecting credit investments, the Manager uses fundamental investment techniques to assess the expected performance of these investments relative to the Fund’s benchmark.

In implementing these strategies, the Fund may hold or invest in: derivatives, including without limitation, futures contracts, currency options, interest rate options, currency forwards, reverse repurchase agreements, credit default swaps and other swap contracts (to generate a return comparable to the Fund’s benchmark and to gain exposure to the global interest rate, credit and currency markets); foreign bonds and other bonds denominated in various currencies, including foreign and U.S. government bonds, asset-backed securities issued by foreign governments and U.S. government agencies (as well as bonds neither guaranteed nor insured by the U.S. government), corporate bonds, and mortgage-backed and other asset-backed securities issued by private issuers; shares of GMO Short-Duration Collateral Fund (“SDCF”) (to have exposure to asset-backed securities); shares of GMO World Opportunity Overlay Fund (“Overlay Fund”) (to gain exposure to the global interest rate, credit and currency markets); shares of GMO Emerging Country Debt Fund (“ECDF”) (to gain exposure to emerging country debt markets); shares of GMO U.S. Treasury Fund and unaffiliated money market funds (for cash management purposes); shares of GMO High Quality Short-Duration Bond Fund (to seek to generate a return in excess of that of the J.P. Morgan U.S. 3 Month Cash Index by investing in a wide variety of high quality U.S. and foreign debt investments); and shares of GMO Debt Opportunities Fund (to gain exposure to global credit markets).

15

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund, primarily through its investments in shares of SDCF, Overlay Fund and ECDF, has and is expected to continue to have material exposure to below investment grade U.S. asset-backed and emerging country debt securities. The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

The Manager normally seeks to maintain the Fund’s estimated interest rate duration within +/- 2 years of the benchmark’s duration.

Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in bonds. The term “bond” includes (i) obligations of an issuer to make payments of principal and/or interest (whether fixed or variable) on future dates and (ii) synthetic debt instruments created by the Manager by using derivatives (e.g., a futures contract, swap contract, currency forward or option). The Fund, if deemed prudent by the Manager, will take temporary defensive measures until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund’s normal investment strategies. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request by calling (617) 346-7646 (collect). As of August 31, 2011, shares of SDCF, GMO Special Purpose Holding Fund (“SPHF”) and Overlay Fund were not publicly available for direct purchase.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset

16

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 1.0% of net assets. The underlying funds classify such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 5.0% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

17

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include most recent quoted prices, interest rates, prepayment speeds, credit risk, yield curves and similar data. The Fund also used third party valuation services (which use industry models and inputs from pricing vendors) to value credit default swaps.

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
Foreign Government Obligations	$	—	$	56,895,052	$	—	$	56,895,052
U.S. Government		—		11,037,854		—		11,037,854
TOTAL DEBT OBLIGATIONS		—		67,932,906		—		67,932,906
Mutual Funds		117,909,796		19,711		—		117,929,507
Short-Term Investments		2,158,269		—		—		2,158,269
Total Investments		120,068,065		67,952,617		—		188,020,682
Derivatives *
Forward Currency Contracts
Foreign currency risk		—		1,846,073		—		1,846,073
Futures Contracts
Interest rate risk		2,029,780		—		—		2,029,780
Swap Agreements
Credit Risk		—		882,139		—		882,139
Interest rate risk		—		935,734		—		935,734
Total	$	122,097,845	$	71,616,563	$	—	$	193,714,408

18

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

LIABILITY VALUATION INPUTS

	Quoted Prices			Significant
	in Active			Other			Significant
	Markets for			Observable			Unobservable
	Identical Liabilities			Inputs			Inputs
Description	(Level 1)			(Level 2)			(Level 3)		Total
Derivatives *
Forward Currency Contracts
Foreign currency risk	$	—		$	(989,507	)	$	—	$	(989,507	)
Futures Contracts
Interest rate risk		(23,877	)		—			—		(23,877	)
Swap Agreements
Credit Risk		—			(1,613,574	)		—		(1,613,574	)
Interest rate risk					(1,357,503	)				(1,357,503	)
Total	$	(23,877	)	$	(3,960,584	)	$	—	$	(3,984,461	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s indirect investments in securities and derivative financial instruments using Level 3 inputs were 30.2% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. Fluctuations in

19

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 on the Statement 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.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

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

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

20

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary

21

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of tax basis earnings and profits, if significant, are reported in the financial statements as a return of capital for tax purposes.

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital losses of $1,867,952.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 29, 2012	$	(7,601,799	)
February 28, 2014		(7,575,780	)
February 28, 2015		(269,796	)
February 28, 2017		(4,412,277	)
February 28, 2018		(6,769,760	)
February 28, 2019		(1,398,524	)
Total	$	(28,027,936	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	201,041,389	$	8,863,710	$	(21,884,417	)	$	(13,020,707	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax

22

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 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. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Other matters

SPHF, an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the period ended August 31, 2011, the Fund received no distributions from SPHF in connection with the defaulted securities or the related litigation.

23

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

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

• Market Risk — Fixed Income Securities — Typically, the market value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may or may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

24

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans and home equity loans), creates additional risk.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

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

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

25

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on the asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the value of asset-backed and other fixed income securities. There can be no assurance these conditions will not occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g.,

26

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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

27

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 their investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which

28

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

29

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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. During the period ended August 31, 2011, the Fund used forward currency contracts to adjust exposure to foreign currencies and otherwise adjust currency exchange risk. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust interest rate exposure and enhance the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

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

30

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. During the period ended August 31, 2011, the Fund used purchased option contracts to adjust exposure to currencies and otherwise manage currency exchange rate risk. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the period ended August 31, 2011, the Fund used written option contracts to adjust exposure to foreign currencies and otherwise manage currency exchange rate risk. The Fund had no written option contracts outstanding at the end of the period.

For the period ended August 31, 2011, investment activity in options contracts written by the Fund was as follows:

	Puts								Calls
	Principal			Number					Principal		Number
	Amount of			of					Amount of		of
	Contracts			Contracts		Premiums			Contracts		Contracts		Premiums
Outstanding, beginning of period		(11,600,000	)		—	$	(228,729	)		—		—	$	—
Options written		—			—		—			—		—		—
Options exercised		—			—		—			—		—		—
Options expired		11,600,000			—		228,729			—		—		—
Options sold		—			—		—			—		—		—
Outstanding, end of period		—			—	$	—			—		—	$	—

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

31

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon

32

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to adjust interest rate exposure, achieve exposure to a reference entity’s credit, and/or provide a measure of protection against default loss. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

33

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2011^Ù:

	Interest rate			Foreign currency			Credit			Equity		Other
	contracts			contracts			contracts			contracts		contracts		Total
Assets:
Unrealized appreciation on forward currency contracts	$	—		$	1,846,073		$	—		$	—	$	—	$	1,846,073
Unrealized appreciation on futures contracts *		2,029,780			—			—			—		—		2,029,780
Unrealized appreciation on swap agreements		935,734			—			882,139			—		—		1,817,873
Total	$	2,965,514		$	1,846,073		$	882,139		$	—	$	—	$	5,693,726
Liabilities:
Unrealized depreciation on forward currency contracts	$	—		$	(989,507	)	$	—		$	—	$	—	$	(989,507	)
Unrealized depreciation on futures contracts *		(23,877	)		—			—			—		—		(23,877	)
Unrealized depreciation on swap agreements		(1,357,503	)		—			(1,613,574	)		—		—		(2,971,077	)
Total	$	(1,381,380	)	$	(989,507	)	$	(1,613,574	)	$	—	$	—	$	(3,984,461	)

34

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate			Foreign currency			Credit			Equity		Other
	contracts			contracts			contracts			contracts		contracts		Total
Net Realized Gain (Loss) on:
Investments (purchased options)	$	—		$	(438,302	)	$	—		$	—	$	—	$	(438,302	)
Written options		—			228,729			—			—		—		228,729
Forward currency contracts		—			2,547,472			—			—		—		2,547,472
Futures contracts		3,485,358			—			—			—		—		3,485,358
Swap agreements		639,513			—			(54,600	)		—		—		584,913
Total	$	4,124,871		$	2,337,899		$	(54,600	)	$	—	$	—	$	6,408,170
Change in Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	—		$	376,344		$	—		$	—	$	—	$	376,344
Written options		—			(210,505	)		—			—		—		(210,505	)
Forward currency contracts		—			(1,302,345	)		—			—		—		(1,302,345	)
Futures contracts		2,237,366			—			—			—		—		2,237,366
Swap agreements		(872,919	)		—			(436,704	)		—		—		(1,309,623	)
Total	$	1,364,447		$	(1,136,506	)	$	(436,704	)	$	—	$	—	$	(208,763	)

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts, and futures contracts), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Forward
	Currency		Futures		Swap
	Contracts		Contracts		Agreements		Options
Average amount outstanding	$	160,571,589	$	162,420,071	$	85,304,067	$	8,237,737

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.19% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares. The Manager has contractually

35

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

agreed through at least June 30, 2012 to waive the Fund’s shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by the Fund exceeds 0.15%; provided, however, that the amount of this waiver will not exceed 0.15%.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.25% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in other GMO Funds (excluding those Funds’ Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $1,517 and $712, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
0.021%	0.004%	0.008%	0.033%

36

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	3,844,800
Investments (non-U.S. Government securities)		37,288,297		34,298,724

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 47.83% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.04% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 51.41% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

37

GMO Global Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		46,417		$	373,256			1,623,975		$	12,775,056
Shares issued to shareholders in reinvestment of distributions		240,487			1,947,943			1,409,609			10,790,314
Shares repurchased		(4,490,795	)		(37,086,332	)		(4,725,788	)		(36,739,619	)
Net increase (decrease)		(4,203,891	)	$	(34,765,133	)		(1,692,204	)	$	(13,174,249	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Return		Value,
	beginning of				Sales		Dividend		of Realized		of		end of
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		period
GMO Emerging Country Debt Fund, Class IV	$	7,020,716	$	93,841	$	1,550,000	$	93,841	$	—	$	—	$	6,001,398
GMO Short-Duration Collateral Fund		81,724,080		—		—		414,427		—		23,540,900		56,608,491
GMO Special Purpose Holding Fund		22,919		—		—		—		—		—		19,711
GMO U.S. Treasury Fund		4,227,972		37,094,456		25,850,000		3,538		918		—		15,477,819
GMO World Opportunity Overlay Fund		41,828,178		100,000		2,500,000		—		—		—		39,822,088
Totals	$	134,823,865	$	37,288,297	$	29,900,000	$	511,806	$	918	$	23,540,900	$	117,929,507

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2012.

38

GMO Global Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

39

GMO Global Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s

40

GMO Global Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

41

GMO Global Bond Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

42

GMO Global Bond Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
1) Actual		0.41	%	$	1,000.00	$	1,079.70	$	2.14
2) Hypothetical		0.41	%	$	1,000.00	$	1,023.08	$	2.08

            * Expenses are calculated using the annualized expense ratio (including indirect expense incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

43

GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		93.1	%
Short-Term Investments		3.3
Preferred Stocks		2.1
Investment Funds		0.2
Debt Obligations		0.1
Private Equity Securities		0.0
Rights/Warrants		0.0
Forward Currency Contracts		(0.0	)
Swap Agreements		(0.0	)
Futures Contracts		(0.3	)
Other		1.5
		100.0	%

Country / Region Summary**	% of Investments
United States		37.3	%
Emerging***		16.7
Japan		12.8
United Kingdom		10.0
France		4.9
Germany		3.7
Switzerland		3.5
Italy		2.3
Netherlands		1.2
Spain		1.2
Australia		1.1
Singapore		0.9
Hong Kong		0.8
Canada		0.8
Sweden		0.7
Belgium		0.5
Denmark		0.4
Ireland		0.3
Austria		0.2
Finland		0.2
New Zealand		0.2
Greece		0.1
Israel		0.1

1

GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Country / Region Summary**	% of Investments
Norway		0.1	%
Portugal		0.0
		100.0	%

Ù	Rounds to 0.0%.
*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”) except for GMO Alpha Only Fund.
**	The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds except for GMO Alpha Only Fund. The table excludes short-term investments and includes exposure through the use of certain derivative financial instruments, if any. The table excludes exposure through forward currency contracts.
***	The “Emerging” exposure is comprised of: Brazil, Chile, China, Czech Republic, Egypt, Hungary, India, Indonesia, Malaysia, Mexico, Morocco, Philippines, Poland, Russia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand, and Turkey.

2

GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
ParValue ($)		Description	Value ($)
		AFFILIATED ISSUERS — 99.9%
		Mutual Funds — 99.9%
	662,184	GMO Alpha Only Fund, Class IV		16,389,048
	19,108,017	GMO Emerging Markets Fund, Class VI		245,729,106
	2,971,755	GMO Flexible Equities Fund, Class VI		53,253,848
	10,521,082	GMO International Core Equity Fund, Class VI		290,592,292
	5,642,826	GMO International Growth Equity Fund, Class IV		126,850,740
	5,956,657	GMO International Intrinsic Value Fund, Class IV		121,575,369
	27,144,530	GMO Quality Fund, Class VI		569,220,788
	17,093	GMO Short-Duration Investment Fund, Class III		141,871
	6,428,976	GMO U.S. Core Equity Fund, Class VI		74,961,857
				1,498,714,919
		Private Investment Fund — 0.0%
	175	GMO SPV I, LLC (a)		19
		TOTAL AFFILIATED ISSUERS (COST $1,368,358,276)		1,498,714,938
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	48,669	State Street Eurodollar Time Deposit, 0.01%, due 09/01/11		48,669
		TOTAL SHORT-TERM INVESTMENTS (COST $48,669)		48,669
		TOTAL INVESTMENTS — 99.9% (Cost $1,368,406,945)		1,498,763,607
		Other Assets and Liabilities (net) — 0.1%		794,535
		TOTAL NET ASSETS — 100.0%	$	1,499,558,142

Notes to Schedule of Investments:

(a) Underlying investment represents interests in defaulted claims. See “Other Matters” in Notes to Financial Statements for additional information.

See accompanying notes to the financial statements. 3

GMO Global Equity Allocation Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $48,669) (Note 2)	$	48,669
Investments in affiliated issuers, at value (cost $1,368,358,276) (Notes 2 and 10)		1,498,714,938
Receivable for Fund shares sold		32,137,221
Receivable for expenses reimbursed by Manager (Note 5)		17,013
Miscellaneous receivable		12,860
Total assets		1,530,930,701
Liabilities:
Payable for investments purchased		31,294,407
Payable to affiliate for (Note 5):
Trustees and Trust Officers or agents unaffiliated with the Manager		3,369
Accrued expenses		74,783
Total liabilities		31,372,559
Net assets	$	1,499,558,142
Net assets consist of:
Paid-in capital	$	1,460,233,466
Accumulated undistributed net investment income		14,210,776
Accumulated net realized loss		(105,242,762	)
Net unrealized appreciation		130,356,662
	$	1,499,558,142
Net assets attributable to:
Class III shares	$	1,499,558,142
Shares outstanding:
Class III		181,004,717
Net asset value per share:
Class III	$	8.28

4 See accompanying notes to the financial statements.

GMO Global Equity Allocation Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	14,319,876
Interest		2
Total investment income		14,319,878
Expenses:
Legal fees		36,524
Custodian, fund accounting agent and transfer agent fees		26,036
Audit and tax fees		17,112
Trustees fees and related expenses (Note 5)		13,528
Registration fees		2,208
Miscellaneous		13,996
Total expenses		109,404
Fees and expenses reimbursed by Manager (Note 5)		(90,712	)
Expense reductions (Note 2)		(316	)
Net expenses		18,376
Net investment income (loss)		14,301,502
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		33,719,522
Realized gains distributions from affiliated issuers (Note 10)		18,434,138
Net realized gain (loss)		52,153,660
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(120,461,510	)
Net realized and unrealized gain (loss)		(68,307,850	)
Net increase (decrease) in net assets resulting from operations	$	(54,006,348	)

See accompanying notes to the financial statements. 5

GMO Global Equity Allocation Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	14,301,502		$	20,290,657
Net realized gain (loss)		52,153,660			1,879,570
Change in net unrealized appreciation (depreciation)		(120,461,510	)		168,702,128
Net increase (decrease) in net assets from operations		(54,006,348	)		190,872,355
Distributions to shareholders from:
Net investment income
Class III		(2,353,802	)		(19,864,018	)
Net share transactions (Note 9):
Class III		70,004,927			609,037,100
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		201,112			801,222
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		70,206,039			609,838,322
Total increase (decrease) in net assets		13,845,889			780,846,659
Net assets:
Beginning of period		1,485,712,253			704,865,594
End of period (including accumulated undistributed net investment income of $14,210,776 and $2,263,076, respectively)	$	1,499,558,142		$	1,485,712,253

6 See accompanying notes to the financial statements.

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	8.60		$	7.40		$	5.29		$	10.25		$	11.96		$	11.89
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.08			0.15			0.20			0.34			0.20			0.23
Net realized and unrealized gain (loss)		(0.39	)		1.17			2.11			(4.01	)		0.09	(b)		1.08
Total from investment operations		(0.31	)		1.32			2.31			(3.67	)		0.29			1.31
Less distributions to shareholders:
From net investment income		(0.01	)		(0.12	)		(0.15	)		(0.31	)		(0.49	)		(0.38	)
From net realized gains		—			—			(0.05	)		(0.98	)		(1.51	)		(0.86	)
Total distributions		(0.01	)		(0.12	)		(0.20	)		(1.29	)		(2.00	)		(1.24	)
Net asset value, end of period	$	8.28		$	8.60		$	7.40		$	5.29		$	10.25		$	11.96
Total Return(c)		(3.58	)%**		17.97	%		43.73	%		(39.44	)%		1.01	%		11.56	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,499,558		$	1,485,712		$	704,866		$	431,278		$	356,524		$	354,236
Net expenses to average daily net assets(e)(f)		0.00	%(d)*		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%
Net investment income (loss) to average daily net assets(a)		1.88	%*		1.96	%		2.78	%		4.27	%		1.63	%		1.90	%
Portfolio turnover rate		8	%**		6	%		34	%		52	%		30	%		15	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.02	%		0.02	%		0.03	%		0.02	%		0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	(g)	$	0.01		$	0.01		$	0.01		$	0.00	(g)	$	0.00	(g)

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(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 and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(d)	Net expenses to average daily net assets were less than 0.01%.
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(g)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 7

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Global Equity Allocation Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return greater than that of its benchmark, the MSCI ACWI Index. The Fund is a fund of funds and invests primarily in shares of the GMO International Equity Funds and the GMO U.S. Equity Funds. The Fund also may invest in shares of other GMO Funds, including the GMO Fixed Income Funds, GMO Alpha Only Fund and GMO Alternative Asset Opportunity Fund (GMO Funds in which the Fund invests are collectively referred to as “underlying funds”). In addition, the Fund may hold securities directly. Although the Fund’s primary exposure is to foreign and U.S. equity investments (which may include emerging country equities, both growth and value style equities and equities of any market capitalization), the Fund also may have exposure to foreign and U.S. fixed income securities (including fixed income securities of any credit quality and having any maturity or duration), the investment returns of commodities and, from time to time, other alternative asset classes. Under normal circumstances, the Fund invests (including through investment in the underlying funds) at least 80% of its assets in equity investments. The term “equity investments” refers to direct and indirect (e.g., through the underlying funds) investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

The Manager uses multi-year forecasts of relative value and risk among asset classes (e.g., U.S. equity, foreign equity, emerging country equity, emerging country debt, foreign fixed income, U.S. fixed income and commodities) to select the underlying funds in which the Fund invests and to decide how much to invest in each. The Manager changes the Fund’s holdings of the underlying funds in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect), or by visiting GMO’s website at www.gmo.com

8

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other investment funds are generally valued at their net asset value. Investments held by the underlying funds are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented less than 0.8% of net assets. The underlying funds classify such securities (as defined below) as Level 3.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to

9

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below or in the disclosures of the underlying funds.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		53.2	%
Futures Contracts		(0.3	)%
Swap Agreements		(0.0	)%

            ^Ù Rounds to 0.0%.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

10

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds	$	1,498,714,919	$	—	$	—	$	1,498,714,919
Private Investment Fund		—		19		—		19
Short-Term Investments		48,669		—		—		48,669
Total Investments		1,498,763,588		19		—		1,498,763,607
Total	$	1,498,763,588	$	19	$	—	$	1,498,763,607

The underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s indirect investments in securities and derivative financial instruments using Level 3 inputs were 0.8% and (0.2)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011 whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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

11

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of tax basis earnings and profits, if significant, are reported in the financial statements as a return of capital for tax purposes.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(12,045,252	)
February 28, 2019		(4,873,234	)
Total	$	(16,918,486	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	1,490,451,059	$	10,398,968	$	(2,086,420	)	$	8,312,548

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period

12

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and the fee on cash redemptions were each 0.13% of the amount invested or redeemed. Purchase premiums and redemption fees are paid to and retained by the Fund to help offset non-de minimis 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) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. The Fund charges purchase premiums and redemption fees based on the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the purchase premiums and/or redemption fees, if any, imposed by the underlying Funds in which it invests, provided that, if that weighted average is less than 0.05%, the Fund generally will not charge a purchase premium or redemption fee. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee or modify or eliminate an existing fee at any time.

13

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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. All or a portion of the Fund’s purchase premiums and /or redemption fees may be waived at the Manager’s discretion when they are de minimis and /or the Manager deems it equitable to do so, including without limitation when the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the purchase premiums and /or redemption fees, if any, imposed by the underlying funds are less than the purchase premiums and /or redemption fees imposed by the Fund.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund’s investments in the underlying funds. Some of the underlying funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market value of a particular security held by those Funds may affect their performance more than if they were diversified. The principal risks of investing in the Fund are summarized below, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

14

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. An underlying fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund and the underlying funds normally do not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund or an underlying fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Fund of Funds Risk — The Fund is indirectly exposed to all of the risks of an investment in the underlying funds, including the risk that the underlying funds in which it invests do not perform as expected. Because the Fund bears the fees and expenses of the underlying funds in which it invests, new investments in underlying funds with higher fees or expenses than those of the underlying funds in which

15

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the Fund is currently invested will increase the Fund’s total expenses. The fees and expenses associated with an investment in the Fund are less predictable and may be higher than fees and expenses associated with an investment in funds that charge a fixed management fee.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Commodities Risk — To the extent an underlying fund has exposure to global commodity markets, the value of its shares is affected by factors particular to the commodity markets and may fluctuate more than the value of shares of a fund with a broader range of investments.

• Currency Risk — Fluctuations in exchange rates can adversely affect the market value of foreign currency holdings and investments denominated in foreign currencies, or that the U.S. dollar will decline in value relative to the foreign currency being hedged.

• Leveraging Risk — The use of reverse repurchase agreements and other derivatives and securities lending may cause the Fund’s portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Real Estate Risk — To the extent an underlying fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.

16

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Short Sales Risk — The Fund runs the risk that an underlying fund’s loss on a short sale of securities that the underlying fund does not own is unlimited.

• Market Risk — Fixed Income Securities — Typically, the market value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments.

5. Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not charge the Fund a management fee or shareholder service fee, but it receives management and 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 the Manager’s asset allocation decisions.

17

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This contractual expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $13,528 and $5,164, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $13,528 and $5,164, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
0.459%	0.061%	0.520%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and class exchanges, for the period ended August 31, 2011 aggregated $226,041,943 and $126,307,596, respectively.

18

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, the Fund had no shareholder who individually held more than 10% of the Fund’s outstanding shares.

As of August 31, 2011, less than 0.01% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		15,787,917		$	135,289,783			81,004,335		$	636,414,783
Shares issued to shareholders in reinvestment of distributions		217,366			1,951,947			1,914,512			15,661,020
Shares repurchased		(7,765,390	)		(67,236,803	)		(5,448,966	)		(43,038,703	)
Purchase premiums		—			127,757			—			774,495
Redemption fees		—			73,355			—			26,727
Net increase (decrease)		8,239,893		$	70,206,039			77,469,881		$	609,838,322

19

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO Alpha Only Fund, Class IV	$	14,851,414	$	814,877	$	89,421	$	—	$	—	$	16,389,048
GMO Emerging Markets Fund, Class VI		238,829,624		41,986,185		6,965,575		—		18,434,138		245,729,106
GMO Flexible Equities Fund, Class VI		18,160,575		37,773,114		226,594		—		—		53,253,848
GMO International Core Equity Fund, Class VI		359,986,618		36,632,286		73,241,966		4,254,964		—		290,592,292
GMO International Growth Equity Fund, Class IV		127,710,937		9,334,434		2,478,990		907,572		—		126,850,740
GMO International Intrinsic Value Fund, Class IV		131,550,402		8,887,806		2,184,715		2,478,307		—		121,575,369
GMO Quality Fund, Class VI		519,733,118		85,331,201		37,926,307		5,841,725		—		569,220,788
GMO Short-Duration Investment Fund, Class III		142,792		104		—		104		—		141,871
GMO SPV I, LLC		26		—		—		—		—		19
GMO U.S. Core Equity Fund, Class VI		74,768,699		5,281,936		3,194,028		837,204		—		74,961,857
Totals	$	1,485,734,205	$	226,041,943	$	126,307,596	$	14,319,876	$	18,434,138	$	1,498,714,938

20

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

21

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other funds of the Trust in which the Fund invests. The Trustees also considered other so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees noted that they had approved renewal of the Manager’s management agreements with the other funds of the Trust in which the Fund may invest and had concluded that the advisory fees charged to those funds were reasonable, after considering, among other things: possible economies of scale to the Manager in connection with its management of other funds; the Manager’s profitability with respect to those other funds and the Trust as a whole; and information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives to those funds in which the Fund invests.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering,

22

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

23

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including indirect management fees, indirect shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

24

GMO Global Equity Allocation Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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 premiums and redemption fees. Therefore, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.52	%	$	1,000.00	$	964.20	$	2.57
2) Hypothetical		0.52	%	$	1,000.00	$	1,022.52	$	2.64

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

25

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		87.2	%
Short-Term Investments		11.9
Swap Agreements		1.9
Options Purchased		0.4
Loan Participations		0.2
Futures Contracts		0.1
Loan Assignments		0.1
Promissory Notes		0.0	Ù
Rights/Warrants		0.0	Ù
Written Options		(0.0	)Ù
Forward Currency Contracts		(0.1	)
Reverse Repurchase Agreements		(1.5	)
Other		(0.2	)
		100.0	%

Country / Region Summary**	% of Investments
United States		93.7	%
Euro Region***		11.8
Switzerland		10.1
Emerging****		4.1
Canada		1.5
Australia		0.7
Japan		0.0	Ù
New Zealand		0.0	Ù
Norway		0.0	Ù
Sweden		(10.8	)
United Kingdom		(11.1	)
		100.0	%

*

The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).

**

The table above 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 exposures, taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. Asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirectly). Duration is based on the Manager’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.

1

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

***	The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.
****	The “Emerging” exposure is associated only with investments in the GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Russia, Argentina, Brazil, Philippines, Mexico, Venezuela, Colombia, Congo, Turkey, and Indonesia. Additional information about the fund’s emerging country exposure is available in the financial statements of the GMO Emerging Country Debt Fund.
Ù	Rounds to 0.0%.

2

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($) /
Shares		Description	Value ($)
		DEBT OBLIGATIONS — 27.3%
		U.S. Government — 27.3%
	12,799,320	U.S. Treasury Inflation Indexed Bond, 1.25%, due 04/15/14 (a) (b)		13,511,781
	5,175,250	U.S. Treasury Inflation Indexed Bond, 1.25%, due 07/15/20 (a)		5,731,993
	4,177,480	U.S. Treasury Inflation Indexed Bond, 2.13%, due 02/15/40 (a)		5,115,454
	2,746,220	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a)		4,106,242
	3,095,700	U.S. Treasury Inflation Indexed Note, 1.13%, due 01/15/21 (a)		3,387,129
		Total U.S. Government		31,852,599
		TOTAL DEBT OBLIGATIONS (COST $29,395,487)		31,852,599
		MUTUAL FUNDS — 68.6%
		Affiliated Issuers — 68.6%
	374,470	GMO Emerging Country Debt Fund, Class IV		3,632,355
	6,561,309	GMO Short-Duration Collateral Fund		47,175,813
	28,918	GMO Special Purpose Holding Fund (c)		12,435
	210,192	GMO U.S. Treasury Fund		5,256,909
	1,052,156	GMO World Opportunity Overlay Fund		24,104,888
		TOTAL MUTUAL FUNDS (COST $75,710,585)		80,182,400
		SHORT-TERM INVESTMENTS — 1.1%
		Money Market Funds — 0.2%
	300,717	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (d)		300,717
		U.S. Government — 0.9%
	200,000	U.S. Treasury Bill, 0.07%, due 05/31/12 (b) (e)		199,899
	550,000	U.S. Treasury Bill, 0.08%, due 06/28/12 (b) (e)		549,623

See accompanying notes to the financial statements. 3

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		U.S. Government — continued
	200,000	U.S. Treasury Bill, 0.09%, due 07/26/12 (b) (e)		199,841
	100,000	U.S. Treasury Bill, 0.06%, due 05/03/12 (b) (e)		99,959
		Total U.S. Government		1,049,322
		TOTAL SHORT-TERM INVESTMENTS (COST $1,349,396)		1,350,039
		TOTAL INVESTMENTS — 97.0% (Cost $106,455,468)		113,385,038
		Other Assets and Liabilities (net) — 3.0%		3,448,304
		TOTAL NET ASSETS — 100.0%	$	116,833,342

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Buys †
9/27/11		Citibank N.A.	AUD		1,100,000	$	1,172,104	$	(33,265	)
9/27/11		Credit Suisse International	AUD		400,000		426,220		8,232
9/27/11		Deutsche Bank AG	AUD		4,700,000		5,008,081		(32,200	)
10/04/11		Credit Suisse International	CAD		2,000,000		2,040,707		22,237
10/04/11		Deutsche Bank AG	CAD		1,200,000		1,224,424		(3,447	)
9/06/11		Citibank N.A.	CHF		1,100,000		1,365,160		(63,318	)
9/06/11		Credit Suisse International	CHF		800,000		992,844		(46,702	)
9/06/11		Deutsche Bank AG	CHF		1,500,000		1,861,582		(607	)
9/06/11		Goldman Sachs International	CHF		500,000		620,527		(2,076	)
9/13/11		Credit Suisse International	EUR		400,000		574,521		5,909
9/13/11		Deutsche Bank AG	EUR		3,800,000		5,457,948		22,048
10/11/11		Citibank N.A.	GBP		300,000		486,779		(9,718	)
10/11/11		Credit Suisse International	GBP		600,000		973,558		(12,926	)
10/11/11		Deutsche Bank AG	GBP		1,200,000		1,947,115		(17,405	)
10/11/11		Royal Bank of Scotland PLC	GBP		1,000,000		1,622,596		(14,416	)
9/20/11		Citibank N.A.	JPY		10,000,000		130,618		4,155
9/20/11		Deutsche Bank AG	JPY		200,000,000		2,612,350		81,313

4 See accompanying notes to the financial statements.

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Currency Contracts — continued

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
9/20/11		Royal Bank of Scotland PLC	JPY		20,000,000	$	261,235	$	168
10/25/11		Deutsche Bank AG	NZD		7,100,000		6,025,588		182,784
						$	34,803,957	$	90,766
Sales #
9/27/11		Citibank N.A.	AUD		1,100,000	$	1,172,104	$	(41,953	)
9/27/11		Credit Suisse International	AUD		1,300,000		1,385,214		(44,156	)
9/27/11		Deutsche Bank AG	AUD		500,000		532,774		(29,515	)
10/04/11		Citibank N.A.	CAD		2,600,000		2,652,919		13,890
10/04/11		Credit Suisse International	CAD		2,000,000		2,040,707		(18,429	)
10/04/11		Deutsche Bank AG	CAD		1,600,000		1,632,566		53,526
10/04/11		Royal Bank of Scotland PLC	CAD		2,300,000		2,346,813		(1,640	)
9/06/11		Credit Suisse International	CHF		600,000		744,633		16,232
9/06/11		Deutsche Bank AG	CHF		4,000,000		4,964,220		(175,521	)
9/06/11		Royal Bank of Scotland PLC	CHF		400,000		496,422		46,440
9/13/11		Citibank N.A.	EUR		400,000		574,521		(12,801	)
9/13/11		Credit Suisse International	EUR		1,000,000		1,436,302		(14,154	)
9/13/11		Deutsche Bank AG	EUR		1,000,000		1,436,302		860
9/13/11		Goldman Sachs International	EUR		400,000		574,521		(2,485	)
9/13/11		Royal Bank of Scotland PLC	EUR		1,300,000		1,867,193		(14,776	)
10/11/11		Deutsche Bank AG	GBP		1,800,000		2,920,673		13,327
9/20/11		Citibank N.A.	JPY		40,000,000		522,470		(10,007	)
9/20/11		Deutsche Bank AG	JPY		80,000,000		1,044,940		(1,380	)
9/20/11		Royal Bank of Scotland PLC	JPY		60,000,000		783,705		(4,568	)
10/25/11		Credit Suisse International	NZD		700,000		594,072		(15,886	)
						$	29,723,071	$	(242,996	)

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

See accompanying notes to the financial statements. 5

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Cross Currency Contracts

							Net Unrealized
Settlement			Deliver/Units		Receive/In		Appreciation
Date	Counterparty		of Currency		Exchange For		(Depreciation)
10/18/11		Deutsche Bank AG	EUR	4,300,000	NOK	33,827,400	$	116,260
		Credit Suisse
10/18/11		International	NOK	7,901,805	EUR	1,000,000		(33,539	)
		Goldman Sachs
10/18/11		International	NOK	3,148,500	EUR	400,000		(11,143	)
		Credit Suisse
11/01/11		International	EUR	300,000	SEK	2,740,200		50
11/01/11		Deutsche Bank AG	EUR	300,000	SEK	2,741,130		196
							$	71,824

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Buys
4		Australian Government Bond 10 Yr.	September 2011	$	484,276	$	6,464
12		Canadian Government Bond 10 Yr.	December 2011		1,589,323		(11,805	)
1		Euro BOBL	September 2011		175,281		(75	)
60		Euro Bund	September 2011		11,624,368		105,382
1		Euro SCHATZ	September 2011		157,428		(53	)
13		U.S. Treasury Note 10 Yr. (CBT)	September 2011		1,690,406		926
				$	15,721,082	$	100,839
Sales
82		UK Gilt Long Bond	December 2011	$	16,885,840	$	109,187
5		U.S. Treasury Bond 30 Yr. (CBT)	September 2011		686,562		2,016
10		U.S. Treasury Note 2 Yr. (CBT)	September 2011		2,205,313		1,376
				$	19,777,715	$	112,579

6 See accompanying notes to the financial statements.

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Reverse Repurchase Agreements

Average balance outstanding	$	(5,972,500	)
Average interest rate		0.23	%
Maximum balance outstanding	$	(6,570,000	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund has entered into reverse repurchase agreements. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Swap Agreements

Interest Rate Swaps

								Net Unrealized
Notional			Expiration		Receive			Appreciation/
Amount			Date	Counterparty	(Pay)#	Fixed Rate	Variable Rate	(Depreciation)
	3,000,000	CHF	9/21/2016	Citibank N.A.	Receive	1.90%	6 Month CHF LIBOR	$	163,746
	9,200,000	CHF	9/21/2016	Barclays Bank PLC	Receive	1.90%	6 Month CHF LIBOR		502,153
	42,100,000	SEK	9/21/2016	Citibank N.A.	(Pay)	3.90%	3 Month SEK STIBOR		(420,846	)
	29,200,000	SEK	9/21/2016	Barclays Bank PLC	(Pay)	3.90%	3 Month SEK STIBOR		(291,893	)
	29,100,000	SEK	9/21/2016	JPMorgan Chase Bank, N.A.	(Pay)	3.90%	3 Month SEK STIBOR		(290,893	)
								$	(337,733	)
Premiums to (Pay) Receive								$	(65,868	)

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

Total Return Swaps

							Net Unrealized
Notional			Expiration				Appreciation/
Amount			Date	Counterparty	Fund Pays	Fund Receives	(Depreciation)
	80,000,000	USD	10/4/2011	Barclays Bank PLC	0.19%	Barclays TIPS Total Return Index (a)	$	3,832,859
Premiums to (Pay) Receive							$	—

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

See accompanying notes to the financial statements. 7

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Notes to Schedule of Investments:

BOBL - Bundesobligationen

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

TIPS - Treasury Inflation Protected Securities

(a)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).
(b)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap contracts, forward currency contracts, and/or written options, if any (Note 4).
(c)	Underlying investment represents interests in defaulted claims. See “Other Matters in Notes to Financial Statements” for additional information.
(d)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.
(e)	Rate shown represents yield-to-maturity.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

8 See accompanying notes to the financial statements.

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $30,744,883) (Note 2)	$	33,202,638
Investments in affiliated issuers, at value (cost $75,710,585) (Notes 2 and 10)		80,182,400
Dividends and interest receivable		118,259
Unrealized appreciation on open forward currency contracts (Note 4)		587,627
Receivable for variation margin on open futures contracts (Note 4)		433,795
Receivable for open swap contracts (Note 4)		4,498,758
Receivable for expenses reimbursed by Manager (Note 5)		12,369
Total assets		119,035,846
Liabilities:
Payable to affiliate for (Note 5):
Management fee		27,150
Shareholder service fee		11,250
Trustees and Trust Officers or agents unaffiliated with the Manager		89
Due to broker for open futures contracts		371,270
Unrealized depreciation on open forward currency contracts (Note 4)		668,033
Payable for open swap contracts (Note 4)		1,003,632
Accrued expenses		121,080
Total liabilities		2,202,504
Net assets	$	116,833,342
Net assets consist of:
Paid-in capital	$	152,720,571
Accumulated undistributed net investment income		2,059,183
Accumulated net realized loss		(48,439,298	)
Net unrealized appreciation		10,492,886
	$	116,833,342
Net assets attributable to:
Class III shares	$	65,218,959
Class VI shares	$	51,614,383
Shares outstanding:
Class III		3,183,619
Class VI		2,517,724
Net asset value per share:
Class III	$	20.49
Class VI	$	20.50

See accompanying notes to the financial statements. 9

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Interest	$	1,136,938
Dividends from affiliated issuers (Note 10)		410,493
Dividends from unaffiliated issuers		69
Total investment income		1,547,500
Expenses:
Management fee (Note 5)		181,125
Shareholder service fee – Class III (Note 5)		49,586
Shareholder service fee – Class VI (Note 5)		21,666
Custodian, fund accounting agent and transfer agent fees		47,564
Audit and tax fees		34,684
Legal fees		5,428
Trustees fees and related expenses (Note 5)		964
Registration fees		644
Interest expense (Note 2)		516
Miscellaneous		6,573
Total expenses		348,750
Fees and expenses reimbursed by Manager (Note 5)		(93,012	)
Expense reductions (Note 2)		(21	)
Indirectly incurred fees waived or borne by Manager (Note 5)		(10,161	)
Shareholder service fee waived (Note 5)		(2,398	)
Net expenses		243,158
Net investment income (loss)		1,304,342
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(426,324	)
Investments in affiliated issuers		411,960
Realized gains distributions from affiliated issuers (Note 10)		797
Futures contracts		13,397
Written options		412,106
Swap contracts		8,079,333
Foreign currency, forward contracts and foreign currency related transactions		(134,347	)
Net realized gain (loss)		8,356,922
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		2,443,211
Investments in affiliated issuers		(1,196,355	)
Futures contracts		222,766
Written options		(379,272	)
Swap contracts		2,584,087
Foreign currency, forward contracts and foreign currency related transactions		362,691
Net unrealized gain (loss)		4,037,128
Net realized and unrealized gain (loss)		12,394,050
Net increase (decrease) in net assets resulting from operations	$	13,698,392

10 See accompanying notes to the financial statements.

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,304,342		$	4,103,672
Net realized gain (loss)		8,356,922			28,057,684
Change in net unrealized appreciation (depreciation)		4,037,128			14,625,022
Net increase (decrease) in net assets from operations		13,698,392			46,786,378
Distributions to shareholders from:
Net investment income
Class III		(1,679,923	)		(1,864,727	)
Class VI		(2,069,569	)		(7,636,155	)
Total distributions from net investment income		(3,749,492	)		(9,500,882	)
Net realized gains
Class III		(1,147,002	)		(3,079,112	)
Class VI		(1,409,317	)		(12,200,679	)
Total distributions from net realized gains		(2,556,319	)		(15,279,791	)
		(6,305,811	)		(24,780,673	)
Net share transactions (Note 9):
Class III		(9,784,346	)		(8,805,726	)
Class VI		(32,507,742	)		(266,555,940	)
Increase (decrease) in net assets resulting from net share transactions		(42,292,088	)		(275,361,666	)
Total increase (decrease) in net assets		(34,899,507	)		(253,355,961	)
Net assets:
Beginning of period		151,732,849			405,088,810
End of period (including accumulated undistributed net investment income of $2,059,183 and $4,504,333, respectively)	$	116,833,342		$	151,732,849

See accompanying notes to the financial statements. 11

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007(a)
Net asset value, beginning of period	$	19.52		$	18.40		$	14.88		$	23.52		$	25.47		$	24.96
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.18			0.22			0.25			0.82			1.13			0.75
Net realized and unrealized gain (loss)		1.68			2.25			4.45			(6.90	)		(0.21	)		0.68
Total from investment operations		1.86			2.47			4.70			(6.08	)		0.92			1.43
Less distributions to shareholders:
From net investment income		(0.53	)		(0.51	)		(0.72	)		(2.56	)		(2.81	)		(0.87	)
From net realized gains		(0.36	)		(0.84	)		—			—			(0.06	)		(0.05	)
Return of capital		—			—			(0.46	)		—			—			—
Total distributions		(0.89	)		(1.35	)		(1.18	)		(2.56	)		(2.87	)		(0.92	)
Net asset value, end of period	$	20.49		$	19.52		$	18.40		$	14.88		$	23.52		$	25.47
Total Return(c)		9.69	%**		13.55	%		32.96	%		(26.89	)%		3.95	%		5.79	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	65,219		$	71,856		$	76,048		$	114,859		$	137,492		$	260,205
Net operating expenses to average daily net assets(d)		0.39	%(e)*		0.39	%(e)		0.38	%		0.39	%(e)		0.37	%(e)		0.39	%*
Interest expense to average daily net assets(f)		0.00	%(g)*		0.00	%(g)		—			—			0.07	%		—
Total net expenses to average daily net assets(d)		0.39	%(e)*		0.39	%(e)		0.38	%		0.39	%(e)		0.44	%(e)		0.39	%*
Net investment income (loss) to average daily net assets(b)		1.75	%*		1.13	%		1.50	%		4.17	%		4.51	%		4.37	%*
Portfolio turnover rate		28	%**		81	%		44	%		56	%		131	%		37	%††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.15	%*		0.12	%		0.10	%		0.11	%		0.06	%		0.06	%*
Redemption fees consisted of the following per share amounts:†		—			—		$	0.00	(h)	$	0.01			—			—

(a)	Period from June 29, 2006 (commencement of operations) through February 28, 2007.
(b)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(c)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(g)	Interest expense was less than 0.01% to average daily net assets.
(h)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover of the Fund for the period from May 31, 2006 (commencement of operations) through February 28, 2007.
*	Annualized.
**	Not annualized.

12 See accompanying notes to the financial statements.

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class VI share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007(a)
Net asset value, beginning of period	$	19.52		$	18.39		$	14.87		$	23.51		$	25.48		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.19			0.24			0.26			1.37			1.38			0.83
Net realized and unrealized gain (loss)		1.68			2.25			4.45			(7.43	)		(0.45	)		0.60
Total from investment operations		1.87			2.49			4.71			(6.06	)		0.93			1.43
Less distributions to shareholders:
From net investment income		(0.53	)		(0.52	)		(0.72	)		(2.58	)		(2.84	)		(0.90	)
From net realized gains		(0.36	)		(0.84	)		—			—			(0.06	)		(0.05	)
Return of capital		—			—			(0.47	)		—			—			—
Total distributions		(0.89	)		(1.36	)		(1.19	)		(2.58	)		(2.90	)		(0.95	)
Net asset value, end of period	$	20.50		$	19.52		$	18.39		$	14.87		$	23.51		$	25.48
Total Return(c)		9.75	%**		13.71	%		33.05	%		(26.82	)%		4.00	%		5.75	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	51,614		$	79,877		$	329,041		$	252,911		$	90,360		$	1,874,841
Net operating expenses to average daily net assets(d)		0.29	%(e)*		0.29	%(e)		0.29	%		0.30	%(e)		0.29	%(e)		0.29	%*
Interest expense to average daily net assets(f)		0.00	%(g)*		0.00	%(g)		—			—			0.07	%		—
Total net expenses to average daily net assets(d)		0.29	%(e)*		0.29	%(e)		0.29	%		0.30	%(e)		0.36	%(e)		0.29	%*
Net investment income (loss) to average daily net assets(b)		1.84	%*		1.21	%		1.54	%		7.73	%		5.48	%		4.33	%*
Portfolio turnover rate		28	%**		81	%		44	%		56	%		131	%		37	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.15	%*		0.10	%		0.10	%		0.09	%		0.06	%		0.06	%*
Redemption fees consisted of the following per share amounts:†		—			—		$	0.00	(h)		—			—			—

(a)	Period from May 31, 2006 (commencement of operations) through February 28, 2007.
(b)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(c)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(g)	Interest expense was less than 0.01% to average daily net assets.
(h)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 13

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Inflation Indexed Plus Bond Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the Barclays Capital U.S. Treasury Inflation Notes Index. The Fund’s investment program has two principal components. One component seeks to replicate the Fund’s benchmark. The second component seeks to add value relative to the Fund’s benchmark by taking positions that may be unrelated to its benchmark in global interest rate, currency and credit markets (particularly in asset-backed and emerging country debt markets). These positions can cause the Fund’s performance to differ significantly from that of its benchmark.

In deciding on what positions to take in global interest rate and currency markets, and for the size of those positions, the Manager considers fundamental factors (e.g., inflation and current account positions) as well as price-based factors (e.g., interest and exchange rates). The Manager assesses the relative values across global interest rate and currency markets, and considers the merits of overweighting or underweighting positions in currencies and interest rates. The Manager also may consider the relative attractiveness of yield curve and duration positions in these markets.

In selecting credit investments, the Manager uses fundamental investment techniques to assess the expected performance of these investments relative to the Fund’s benchmark.

In implementing these strategies, the Fund may hold or invest in: derivatives, including without limitation, futures contracts, currency options, interest rate options, currency forwards, reverse repurchase agreements, credit default swaps and other swap contracts (to generate a return comparable to the Fund’s benchmark and to gain exposure to inflation indexed bonds and/or the global interest rate, credit and currency markets); inflation indexed bonds issued by the U.S. government (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) and foreign governments and their agencies or instrumentalities (as well as bonds neither guaranteed nor insured by the U.S. and/or foreign governments) and inflation indexed bonds issued by corporations; non-inflation indexed (or nominal) fixed income securities issued by the U.S. and foreign governments and their agencies or instrumentalities (including securities neither guaranteed nor insured by the U.S. government) and by corporations (to gain direct exposure to such securities and/or for use as part of a synthetic position); shares of GMO Short-Duration Collateral Fund (“SDCF”) (to have exposure to asset-backed securities);shares of GMO World Opportunity Overlay Fund (“Overlay Fund”) (to gain exposure to the global interest rate, credit and currency markets); shares of GMO Emerging Country Debt Fund (“ECDF”) (to gain exposure to emerging country debt markets);

14

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

shares of GMO U.S. Treasury Fund and unaffiliated money market funds (for cash management purposes);shares of GMO High Quality Short-Duration Bond Fund (to seek to generate a return in excess of that of the J.P. Morgan U.S. 3 Month Cash Index by investing in a wide variety of high quality U.S. and foreign debt investments); and shares of GMO Debt Opportunities Fund (to gain exposure to global credit markets).

The Fund, primarily through its investments in shares of SDCF, Overlay Fund and ECDF, has and is expected to continue to have material exposures to below investment grade U.S. asset-backed and emerging country debt securities. The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in inflation indexed bonds. The term “inflation indexed bonds” includes instruments that are “linked” to general measures of inflation because their principal and/or interest components change with general movements of inflation in the country of issue.

The Fund, if deemed prudent by the Manager, will take temporary defensive measures until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund’s normal investment strategies. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the period ended August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class VI. Each class of shares bears a different shareholder service fee.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect) or at gmo.com. As of August 31, 2011, shares of GMO Special Purpose Holding Fund (“SPHF”) and Overlay Fund were not publicly available.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

15

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 1.3% of net assets. The underlying funds classify such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 6.1% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation

16

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
U.S. Government	$	—	$	31,852,599	$	—	$	31,852,599
TOTAL DEBT OBLIGATIONS		—		31,852,599		—		31,852,599
Mutual Funds		80,169,965		12,435		—		80,182,400
Short-Term Investments		1,350,039		—		—		1,350,039
Total Investments		81,520,004		31,865,034		—		113,385,038
Derivatives*
Forward Currency Contracts
Foreign Currency risk		—		587,627		—		587,627
Futures Contracts
Interest Rate risk		225,351		—		—		225,351

17

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Swap Agreements
Interest Rate risk	$	—	$	4,498,758	$	—	$	4,498,758
Total	$	81,745,355	$	36,951,419	$	—	$	118,696,774

LIABILITY VALUATION INPUTS

	Quoted Prices			Significant
	in Active			Other			Significant
	Markets for			Observable			Unobservable
	Identical Liabilities			Inputs			Inputs
Description	(Level 1)			(Level 2)			(Level 3)		Total
Derivatives*
Forward Currency Contracts
Foreign Currency risk	$	—		$	(668,033	)	$	—	$	(668,033	)
Futures Contracts
Interest Rate risk		(11,933	)		—			—		(11,933	)
Swap Agreements
Interest Rate risk		—			(1,003,632	)		—		(1,003,632	)
Total	$	(11,933	)	$	(1,671,665	)	$	—	$	(1,683,598	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s indirect investments in securities and derivative financial instruments using Level 3 inputs were 37.6% and (0.1)% of total net assets, respectively.

18

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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 agreements

The Fund may invest in loans to corporate, governmental, or other borrowers. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. 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. When investing in a loan participation, (i) the 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) the 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, the Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When the Fund purchases assignments of loans, it acquires direct rights against the borrower. The Fund had no loan agreements outstanding at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss

19

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

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

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

20

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Taxes and distributions

The Fund 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”). The Fund has adopted a tax year-end of December 31. Unless otherwise indicated, all applicable tax disclosures reflect tax adjusted balances as of December 31, 2010. The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of December 31, 2010, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards and future realized losses, if any, subsequent to December 31, 2010, could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

December 31, 2015	$	(22,863,205	)
December 31, 2016		(9,233,039	)
Total	$	(32,096,244	)

Additionally, capital losses incurred by the Fund after December 31, 2010 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to December 31, 2010.

All capital losses incurred by the Fund either prior to December 31, 2010 or after December 31, 2010 could be subject to limitations imposed by the Code related to share ownership activity.

21

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	127,150,244	$	—	$	(13,765,206	)	$	(13,765,206	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the periods ended December 31, 2007 through the current tax year-end.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 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. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s

22

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Other matters

SPHF, an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the period ended August 31, 2011, the Fund received no distributions from SPHF in connection with the defaulted securities or the related litigation.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Fixed Income Securities — Typically, the market value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads. In addition, increases in real interest rates may not be accompanied by increases in nominal interest rates. In such instances, the value of inflation indexed bonds may experience greater declines than non-inflation indexed (or nominal) fixed income investments with similar maturities. There can be no assurance that the value of the Fund’s inflation indexed bond investments will change in the same proportion as changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

23

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may or may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans and home equity loans), creates additional risk.

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

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain

24

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

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

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

The Fund invests (including through investment in underlying funds) in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit card receivables, which expose the Fund to additional types of market risk. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers. Payment of interest on asset backed securities and repayment of principal largely depend on the cash flows generated by the assets backing the securities. The market risk of a particular asset-backed

25

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

security depends on many factors, including the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets and, if any, the level of credit support and the credit quality of the credit-support provider. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. The obligations of issuers (and obligors of underlying assets) also are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

26

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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 their investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives

27

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

28

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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. During the period ended August 31, 2011, the Fund used forward currency contracts to adjust exposure to foreign currencies and otherwise adjust currency exchange rate risk. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

29

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust interest rate exposure and enhance the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund 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. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. During the period ended August 31, 2011, the Fund used purchased option contracts to adjust exposure to currencies and otherwise adjust currency exchange rate risk, as well as to enhance the diversity and liquidity of the portfolio and to adjust interest rate exposure. The Fund had no purchased option contracts outstanding at the end of the period.

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

30

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the period ended August 31, 2011, the Fund used written option contracts to adjust exposure to currencies and otherwise adjust currency exchange rate risk, as well as to enhance the diversity and liquidity of the portfolio and to adjust interest rate exposure. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

For the period ended August 31, 2011, investment activity in options contracts written by the Fund was as follows:

	Puts								Calls
	Principal								Principal
	Amount			Number					Amount		Number
	of Contracts			of Contracts		Premiums			of Contracts		of Contracts		Premiums
Outstanding, beginning of period		(20,900,000	)		—	$	(412,106	)		—		—	$	—
Options written		—			—		—			—		—		—
Options bought back		—			—		—			—		—		—
Options expired		20,900,000			—		412,106			—		—		—
Options sold		—			—		—			—		—		—
Outstanding, end of period		—			—	$	—			—		—	$	—

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

31

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a

32

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to adjust interest rate exposure and adjust its exposure to certain markets. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

33

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate			Foreign currency			Credit		Equity		Other
	contracts			contracts			contracts		contracts		contracts		Total
Assets:
Unrealized appreciation on futures contracts *	$	225,351		$	—		$	—	$	—	$	—	$	225,351
Unrealized appreciation on forward currency contracts		—			587,627			—		—		—		587,627
Unrealized appreciation on swap agreements		4,498,758			—			—		—		—		4,498,758
Total	$	4,724,109		$	587,627		$	—	$	—	$	—	$	5,311,736
Liabilities:
Unrealized depreciation on futures contracts *	$	(11,933	)	$	—		$	—	$	—	$	—	$	(11,933	)
Unrealized depreciation on forward currency contracts		—			(668,033	)		—		—		—		(668,033	)
Unrealized depreciation on swap agreements		(1,003,632	)		—			—		—		—		(1,003,632	)
Total	$	(1,015,565	)	$	(668,033	)	$	—	$	—	$	—	$	(1,683,598	)

The Effect of Derivative Instruments on the Statement of Operations for the period ended
August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity		Other
	contracts		contracts			contracts		contracts		contracts		Total
Net Realized Gain (Loss) on:
Investments, at value (purchased options)	$	—	$	(789,699	)	$	—	$	—	$	—	$	(789,699	)
Written options		—		412,106			—		—		—		412,106
Futures contracts		13,397		—			—		—		—		13,397
Forward currency contracts		—		(135,090	)		—		—		—		(135,090	)
Swap agreements		8,079,333		—			—		—		—		8,079,333
Total	$	8,092,730	$	(512,683	)	$	—	$	—	$	—	$	7,580,047

34

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  The Effect of Derivative Instruments on the Statement of Operations for the period ended
  August 31, 2011^Ù: — continued

	Interest rate		Foreign currency			Credit		Equity		Other
	contracts		contracts			contracts		contracts		contracts		Total
Change in Unrealized Appreciation (Depreciation) on:
Investments, at value (purchased options)	$	—	$	678,068		$	—	$	—	$	—	$	678,068
Written options		—		(379,272	)		—		—		—		(379,272	)
Futures contracts		222,766		—			—		—		—		222,766
Forward currency contracts		—		360,742			—		—		—		360,742
Swap agreements		2,584,087		—			—		—		—		2,584,087
Total	$	2,806,853	$	659,538		$	—	$	—	$	—	$	3,466,391

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end, was as follows for the period ended August 31, 2011.

	Forward
	Currency		Futures		Swap
	Contracts		Contracts		Agreements		Options
Average amount outstanding	$	62,468,625	$	64,754,573	$	138,771,392	$	14,842,129

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares. The Manager has contractually agreed through at least June 30, 2012 to waive the Fund’s shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by a class of

35

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

shares of the Fund exceeds 0.15% for Class III shares and 0.055% for Class VI shares; provided, however, that the amount of this waiver will not exceed the respective Class’s shareholder service fee.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.25% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in other GMO Funds (excluding those Funds’ Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $964 and $501, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expense
0.020%	0.003%	0.008%	0.031%

36

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011, were as follows:

	Purchases		Sales
U.S. Government securities	$	2,355,416	$	18,439,593
Investments (non-U.S. Government securities)		37,565,919		47,450,000

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 93.03% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.29% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and 45.56% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

37

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			46,611		$	914,977
Shares issued to shareholders in reinvestment of distributions		14,654			290,291			21,656			414,502
Shares repurchased		(512,621	)		(10,074,637	)		(519,800	)		(10,135,205	)
Net increase (decrease)		(497,967	)	$	(9,784,346	)		(451,533	)	$	(8,805,726	)
	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
Class VI:	Shares			Amount			Shares			Amount
Shares sold		6,107		$	174,666			152,422		$	2,978,174
Shares issued to shareholders in reinvestment of distributions		143,745			2,849,025			986,689			18,875,362
Shares repurchased		(1,723,370	)		(35,531,433	)		(14,936,078	)		(288,409,476	)
Net increase (decrease)		(1,573,518	)	$	(32,507,742	)		(13,796,967	)	$	(266,555,940	)

38

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Return		Value,
	beginning of				Sales		Dividend		of Realized		of		end of
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		period
GMO Emerging Country Debt Fund, Class IV	$	4,686,583	$	62,642	$	1,400,000	$	62,642	$	—	$	—	$	3,632,355
GMO Short-Duration Collateral Fund		68,106,389		—		—		345,371		—		19,618,278		47,175,813
GMO Special Purpose Holding Fund		14,459		—		—		—		—		—		12,435
GMO U.S. Treasury Fund		6,501,391		36,803,277		38,050,000		2,480		797		—		5,256,909
GMO World Opportunity Overlay Fund		31,160,332		700,000		8,000,000		—		—		—		24,104,888
Totals	$	110,469,154	$	37,565,919	$	47,450,000	$	410,493	$	797	$	19,618,278	$	80,182,400

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by the underlying funds will be determined through the fiscal year ending February 29, 2012.

11. Subsequent events

Subsequent to August 31, 2011, the Fund received redemption requests in the amount of $79,462,330.

39

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one- and three-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

40

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s

41

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

42

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 01, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

43

GMO Inflation Indexed Plus Bond Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.42	%	$	1,000.00	$	1,096.90	$	2.21
2) Hypothetical		0.42	%	$	1,000.00	$	1,023.03	$	2.14
Class VI
1) Actual		0.32	%	$	1,000.00	$	1,097.50	$	1.69
2) Hypothetical		0.32	%	$	1,000.00	$	1,023.53	$	1.63

            * Expenses are calculated using each Class’s annualized expense ratio (including interest expense and indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

44

GMO International Bond Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		87.2	%
Short-Term Investments		14.6
Forward Currency Contracts		0.9
Futures Contracts		0.9
Options Purchased		0.4
Loan Participations		0.2
Loan Assignments		0.1
Promissory Notes		0.0	Ù
Rights and Warrants		0.0	Ù
Written Options		0.0	Ù
Reverse Repurchase Agreements		(1.5	)
Swap Agreements		(1.9	)
Other		(0.9	)
		100.0	%

Country/Region Summary**	% of Investments
Euro Region***		56.3	%
Japan		52.6
Canada		4.5
Emerging****		3.9
Australia		1.6
Norway		0.0	Ù
New Zealand		0.0	Ù
United States		(0.2	)
United Kingdom		(3.3	)
Switzerland		(6.4	)
Sweden		(9.0	)
		100.0	%

*

The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).

**

The table above 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 exposures, taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large percentage of market value (direct and indirect). Duration is based on the Manager’s models. The greater the duration of a bond, the

1

GMO International Bond Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

	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 “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.
****	The “Emerging” exposure is associated only with investments in the GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Russia, Argentina, Brazil, Philippines, Mexico, Venezuela, Colombia, Congo, Turkey, and Indonesia. Additional information about the fund’s emerging country exposure is available in the financial statements of the GMO Emerging Country Debt Fund.
Ù	Rounds to 0.0%.

2

GMO International Bond Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 38.3%
		Canada — 3.4%
		Foreign Government Obligations
CAD	3,000,000	Government of Canada, 3.50%, due 06/01/20		3,334,371
		France — 4.6%
		Foreign Government Obligations
EUR	3,000,000	Government of France, 4.00%, due 10/25/38		4,534,890
		Italy — 1.9%
		Foreign Government Obligations
EUR	1,750,000	Republic of Italy, 4.00%, due 02/01/37		1,885,785
		Japan — 17.9%
		Foreign Government Obligations
JPY	1,248,400,000	Japan Government Twenty Year Bond, 2.20%, due 06/20/26		17,728,193
		Spain — 1.7%
		Foreign Government Obligations
EUR	1,400,000	Government of Spain, 4.70%, due 07/30/41		1,675,891
		United Kingdom — 4.9%
		Foreign Government Obligations
GBP	2,750,000	U.K. Treasury Gilt, 4.25%, due 12/07/27		4,869,860
		Total Foreign Government Obligations		34,028,990
		United States — 3.9%
		U.S. Government — 3.9%
USD	3,771,036	U.S. Treasury Inflation Indexed Note, 2.00%, due 04/15/12 (a) (b)		3,826,719
		TOTAL DEBT OBLIGATIONS (COST $35,012,427)		37,855,709

See accompanying notes to the financial statements. 3

GMO International Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 60.0%
		United States — 60.0%
		Affiliated Issuers
	369,034	GMO Emerging Country Debt Fund, Class IV		3,579,632
	3,980,527	GMO Short-Duration Collateral Fund		28,619,991
	37,466	GMO Special Purpose Holding Fund (c)		16,110
	277,992	GMO U.S. Treasury Fund		6,952,575
	878,691	GMO World Opportunity Overlay Fund		20,130,818
		Total United States		59,299,126
		TOTAL MUTUAL FUNDS (COST $59,103,760)		59,299,126
		SHORT-TERM INVESTMENTS — 1.5%
		Money Market Funds — 0.5%
	511,371	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (d)		511,371
		U.S. Government — 1.0%
	200,000	U.S. Treasury Bill, 0.07%, due 05/31/12 (b) (e)		199,899
	600,000	U.S. Treasury Bill, 0.08%, due 06/28/12 (b) (e)		599,589
	200,000	U.S. Treasury Bill, 0.09%, due 07/26/12 (b) (e)		199,841
		Total U.S. Government		999,329
		TOTAL SHORT-TERM INVESTMENTS (COST $1,510,001)		1,510,700
		TOTAL INVESTMENTS — 99.8% (Cost $95,626,188)		98,665,535
		Other Assets and Liabilities (net) — 0.2%		192,369
		TOTAL NET ASSETS — 100.0%	$	98,857,904

4 See accompanying notes to the financial statements.

GMO International Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Buys †
9/27/11		Citibank N.A.	AUD		700,000	$	745,884	$	(21,169	)
9/27/11		Credit Suisse International	AUD		400,000		426,220		8,232
9/27/11		Deutsche Bank AG	AUD		4,300,000		4,581,861		(28,672	)
10/04/11		Deutsche Bank AG	CAD		1,100,000		1,122,389		(3,483	)
10/04/11		Credit Suisse International	CAD		300,000		306,106		3,620
9/06/11		Deutsche Bank AG	CHF		1,200,000		1,489,266		1,998
9/06/11		Citibank N.A.	CHF		800,000		992,844		(46,050	)
9/06/11		Goldman Sachs International	CHF		400,000		496,422		(1,660	)
9/06/11		Credit Suisse International	CHF		200,000		248,211		(2,951	)
9/13/11		Deutsche Bank AG	EUR		25,700,000		36,912,965		167,205
10/11/11		Credit Suisse International	GBP		500,000		811,298		(13,308	)
10/11/11		Deutsche Bank AG	GBP		2,000,000		3,245,192		(20,012	)
10/11/11		Citibank N.A.	GBP		100,000		162,260		(3,239	)
10/11/11		Royal Bank of Scotland PLC	GBP		800,000		1,298,077		(11,372	)
9/20/11		Citibank N.A.	JPY		220,000,000		2,873,585		55,967
9/20/11		Deutsche Bank AG	JPY		2,260,000,000		29,519,550		918,834
9/20/11		Royal Bank of Scotland PLC	JPY		70,000,000		914,322		378
10/25/11		Deutsche Bank AG	NZD		5,900,000		5,007,178		151,891
						$	91,153,630	$	1,156,209
Sales #
9/27/11		Citibank N.A.	AUD		500,000	$	532,775	$	(19,070	)
9/27/11		Deutsche Bank AG	AUD		400,000		426,220		(23,612	)
9/27/11		Credit Suisse International	AUD		500,000		532,775		(13,155	)
10/04/11		Citibank N.A.	CAD		1,700,000		1,734,601		9,723
10/04/11		Credit Suisse International	CAD		1,700,000		1,734,601		(15,317	)
10/04/11		Deutsche Bank AG	CAD		1,700,000		1,734,601		56,872
10/04/11		Royal Bank of Scotland PLC	CAD		1,500,000		1,530,530		(2,322	)
9/06/11		Royal Bank of Scotland PLC	CHF		300,000		372,316		34,830
9/06/11		Credit Suisse International	CHF		500,000		620,527		13,115
9/06/11		Deutsche Bank AG	CHF		2,700,000		3,350,848		(118,477	)
9/13/11		Credit Suisse International	EUR		2,000,000		2,872,604		(27,970	)
9/13/11		Goldman Sachs International	EUR		300,000		430,891		(1,864	)

See accompanying notes to the financial statements. 5

GMO International Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Currency Contracts — continued

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
9/13/11		Deutsche Bank AG	EUR		500,000	$	718,151	$	2,297
9/13/11		Citibank N.A.	EUR		500,000		718,151		(16,001	)
9/13/11		Royal Bank of Scotland PLC	EUR		1,000,000		1,436,302		(10,129	)
9/20/11		Citibank N.A.	JPY		120,000,000		1,567,410		(35,762	)
9/20/11		Royal Bank of Scotland PLC	JPY		60,000,000		783,705		(2,566	)
9/20/11		Deutsche Bank AG	JPY		460,000,000		6,008,404		(138,247	)
10/25/11		Credit Suisse International	NZD		500,000		424,337		(11,347	)
						$	27,529,749	$	(319,002	)

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

Forward Cross Currency Contracts

							Net Unrealized
Settlement			Deliver/Units		Receive/In		Appreciation
Date	Counterparty		of Currency		Exchange For		(Depreciation)
		Goldman Sachs
10/18/2011		International	NOK	2,361,375	EUR	300,000	$	(8,357	)
		Credit Suisse
10/18/2011		International	NOK	2,364,390	EUR	300,000		(8,918	)
		Deutsche Bank
10/18/2011		AG	EUR	2,700,000	NOK	21,232,200		71,465
		Goldman Sachs
10/18/2011		International	EUR	400,000	NOK	3,157,256		12,771
		Deutsche Bank
11/01/2011		AG	EUR	700,000	SEK	6,395,970		457
		Credit Suisse
11/01/2011		International	EUR	200,000	SEK	1,826,800		33
							$	67,451

6 See accompanying notes to the financial statements.

GMO International Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation/
Contracts	Type		Date	Value		(Depreciation)
Buys
7		Australian Government Bond 3 Yr.	September 2011	$	794,308	$	21,618
7		Australian Government Bond 10 Yr.	September 2011		845,901		8,153
2		Canadian Government Bond 10 Yr.	December 2011		264,495		(1,965	)
63		Euro BOBL	September 2011		11,017,416		325,813
77		Euro Bund	September 2011		14,883,758		377,315
88		Euro SCHATZ	September 2011		13,821,897		154,327
10		Japanese Government Bond 10 Yr. (TSE)	September 2011		18,598,668		16,612
8		U.S. Treasury Note 10 Yr. (CBT)	September 2011		1,040,250		(899	)
				$	61,266,693	$	900,974
Sales
5		U.S. Treasury Bond 30 Yr. (CBT)	September 2011	$	686,562	$	(16,421	)
12		U.S. Treasury Note 2 Yr. (CBT)	September 2011		2,646,375		1,667
54		UK Gilt Long Bond	December 2011		11,086,134		71,744
				$	14,419,071	$	56,990

Reverse Repurchase Agreements

Average balance outstanding	$	(2,331,523	)
Average interest rate		0.21	%
Maximum balance outstanding	$	(3,704,250	)

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund has entered into reverse repurchase agreements. The Fund had no reverse repurchase agreements outstanding at the end of the period.

See accompanying notes to the financial statements. 7

GMO International Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Swap Agreements

Credit Default Swaps

Maximum

Potential

Amount of

Future

Implied

Payments

Net Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

by the Fund

Appreciation/

Amount

Date

Counterparty

(Pay)Ù

Premium

Spread (1)

Entity

Under the Contract (2)

(Depreciation)

21,000,000

USD

3/20/2014

Deutsche Bank AG

(Pay)

1.70%

3.605%

Republic of Italy

N/A

$

882,139

15,000,000

USD

3/20/2019

Deutsche Bank AG

Receive

1.66%

3.540%

Republic of Italy

15,000,000

USD

(1,613,574

)

$

(731,435

)

Premiums to (Pay) Receive

$

—

Ù	Receive - Fund receives premium and sells credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
	(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
(1)	Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of August 31, 2011, 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 agreement.
(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

8 See accompanying notes to the financial statements.

GMO International Bond Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Interest Rate Swaps

								Net Unrealized
Notional			Expiration		Receive			Appreciation/
Amount			Date	Counterparty	(Pay)#	Fixed Rate	Variable Rate	(Depreciation)
	28,400,000	SEK	9/21/2016	Citibank N.A.	(Pay)	3.90%	3M SEK STIBOR	$	(283,896	)
	12,700,000	SEK	9/21/2016	Barclays Bank PLC	(Pay)	3.90%	3M SEK STIBOR		(126,954	)
				JPMorgan Chase
	19,300,000	SEK	9/21/2016	Bank, N.A.	(Pay)	3.90%	3M SEK STIBOR		(192,929	)
	6,600,000	CHF	9/21/2016	Barclays Bank PLC	Receive	1.90%	6M CHF LIBOR		360,240
	1,500,000	CHF	9/21/2016	Citibank N.A.	Receive	1.90%	6M CHF LIBOR		81,873
								$	(161,666	)
Premiums to (Pay) Receive								$	(43,003	)

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

As of August 31, 2011, for the above contracts and/ or agreements, the Fund had sufficient cash and/ or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

SEK STIBOR - Stockholm Interbank Offered Rate demonimated in Swedish Krona.

(a)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).
(b)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap contracts, forward currency contracts, and/or written options, if any (Note 4).
(c)	Underlying investment represents interests in defaulted claims. See “Other Matters” in Notes to Financial Statements for additional information.
(d)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.
(e)	Rate shown represents yield-to-maturity.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

See accompanying notes to the financial statements. 9

GMO International Bond Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $36,522,428) (Note 2)	$	39,366,409
Investments in affiliated issuers, at value (cost $59,103,760) (Notes 2 and 10)		59,299,126
Dividends and interest receivable		336,087
Unrealized appreciation on open forward currency contracts (Note 4)		1,509,688
Receivable for variation margin on open futures contracts (Note 4)		257,859
Receivable for open swap contracts (Note 4)		1,324,252
Receivable for expenses reimbursed by Manager (Note 5)		14,873
Other expense reimbursement from Manager (Note 2)		830,768
Total assets		102,939,062
Liabilities:
Payable for investments purchased		242
Payable to affiliate for (Note 5):
Management fee		20,817
Shareholder service fee		12,489
Trustees and Trust Officers or agents unaffiliated with the Manager		72
Due to broker on open futures contracts		314,520
Unrealized depreciation on open forward currency contracts (Note 4)		605,030
Payable for open swap contracts (Note 4)		2,217,353
Accrued expenses		910,635
Total liabilities		4,081,158
Net assets	$	98,857,904
Net assets consist of:
Paid-in capital	$	161,499,112
Distributions in excess of net investment income		(1,285,036	)
Accumulated net realized loss		(65,330,345	)
Net unrealized appreciation		3,974,173
	$	98,857,904
Net assets attributable to:
Class III shares	$	98,857,904
Shares outstanding:
Class III		13,320,791
Net asset value per share:
Class III	$	7.42

10 See accompanying notes to the financial statements.

GMO International Bond Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Interest	$	559,759
Dividends from affiliated issuers (Note 10)		254,880
Total investment income		814,639
Expenses:
Management fee (Note 5)		125,406
Shareholder service fee – Class III (Note 5)		75,242
Custodian, fund accounting agent and transfer agent fees		41,308
Audit and tax fees		34,684
Registration fees		2,668
Legal fees		2,024
Trustees fees and related expenses (Note 5)		686
Interest expense (Note 2)		290
Miscellaneous		5,843
Total expenses		288,151
Fees and expenses reimbursed by Manager (Note 5)		(85,836	)
Indirectly incurred fees waived or borne by Manager (Note 5)		(7,398	)
Shareholder service fee waived (Note 5)		(1,747	)
Net expenses		193,170
Net investment income (loss)		621,469
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		187,441
Investments in affiliated issuers		(134,067	)
Realized gains distributions from affiliated issuers (Note 10)		374
Futures contracts		1,062,180
Written options		157,744
Swap contracts		658,359
Foreign currency, forward contracts and foreign currency related transactions		4,541,473
Net realized gain (loss)		6,473,504
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		1,965,572
Investments in affiliated issuers		(229,047	)
Futures contracts		809,957
Written options		(145,176	)
Swap contracts		(909,964	)
Foreign currency, forward contracts and foreign currency related transactions		(1,004,858	)
Net unrealized gain (loss)		486,484
Net realized and unrealized gain (loss)		6,959,988
Net increase (decrease) in net assets resulting from operations	$	7,581,457

See accompanying notes to the financial statements. 11

GMO International Bond Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	621,469		$	2,146,523
Net realized gain (loss)		6,473,504			(1,589,124	)
Change in net unrealized appreciation (depreciation)		486,484			16,519,588
Net increase (decrease) in net assets from operations		7,581,457			17,076,987
Distributions to shareholders from:
Net investment income
Class III		(3,321,792	)		(7,001,558	)
Net share transactions (Note 9):
Class III		(14,085,733	)		(110,541,146	)
Total increase (decrease) in net assets		(9,826,068	)		(100,465,717	)
Net assets:
Beginning of period		108,683,972			209,149,689
End of period (including distributions in excess of net investment income of $1,285,036 and accumulated undistributed net investment income of $1,415,287)	$	98,857,904		$	108,683,972

12 See accompanying notes to the financial statements.

GMO International Bond Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	7.11		$	6.59		$	6.17		$	9.51		$	9.73		$	9.57
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.05			0.10			0.09			0.19			0.41			0.41
Net realized and unrealized gain (loss)		0.51			0.77			1.65			(2.32	)		0.31			0.38
Total from investment operations		0.56			0.87			1.74			(2.13	)		0.72			0.79
Less distributions to shareholders:
From net investment income		(0.25	)		(0.35	)		(1.32	)		(1.21	)		(0.94	)		(0.54	)
From net realized gains		—			—			—			—			—			(0.09	)
Total distributions		(0.25	)		(0.35	)		(1.32	)		(1.21	)		(0.94	)		(0.63	)
Net asset value, end of period	$	7.42		$	7.11		$	6.59		$	6.17		$	9.51		$	9.73
Total Return(b)		8.06	%**		13.36	%		29.54	%		(24.52	)%		8.09	%		8.32	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	98,858		$	108,684		$	209,150		$	211,764		$	514,570		$	449,478
Net operating expenses to average daily net assets(c)		0.39	%*		0.39	%(d)		0.38	%(d)		0.39	%		0.38	%(d)		0.39	%
Interest expense to average daily net assets(e)		0.00	%(f)*		0.00	%(f)		0.00	%(f)		—			—			—
Total net expenses to average daily net assets(c)		0.39	%*		0.39	%(d)		0.38	%(d)		0.39	%		0.38	%(d)		0.39	%
Net investment income (loss) to average daily net assets(a)		1.24	%*		1.45	%		1.32	%		2.20	%		4.26	%		4.17	%
Portfolio turnover rate		27	%**		46	%		29	%		47	%		51	%		32	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets(g):		0.19	%*		0.16	%		0.12	%		0.09	%		0.07	%		0.26	%(h)
Redemption fees consisted of the following per share amounts:†		—			—		$	0.00	(i)	$	0.01			—			—

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(f)	Interest expense was less than 0.01% to average daily net assets.
(g)	Ratios include reimbursement of direct operating expenses and waiver of expenses indirectly incurred through investment in the underlying funds (Note 5).
(h)	Includes 0.19% non-recurring Internal Revenue Code Section 860 expense reimbursed by the Manager (Note 2).
(i)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 13

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO International Bond Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the J.P. Morgan Non-U.S. Government Bond Index. The Fund’s investment program has two principal components. One component seeks to replicate the Fund’s benchmark. The second component seeks to add value relative to the Fund’s benchmark by taking positions that may be unrelated to its benchmark in global interest rate, currency and credit markets (particularly in asset-backed and emerging country debt markets). These positions can cause the Fund’s performance to differ significantly from that of its benchmark.

In deciding on what positions to take in global interest rate and currency markets, and for the size of those positions, the Manager considers fundamental factors (e.g., inflation and current account positions) as well as price-based factors (e.g., interest and exchange rates). The Manager assesses the relative values across global interest rate and currency markets, and considers the merits of overweighting or underweighting positions in currencies and interest rates. The Manager also may consider the relative attractiveness of yield curve and duration positions in these markets.

In selecting credit investments, the Manager uses fundamental investment techniques to assess the expected performance of these investments relative to the Fund’s benchmark.

In implementing these strategies, the Fund may hold or invest in: derivatives, including without limitation, futures contracts, currency options, interest rate options, currency forwards, reverse repurchase agreements, credit default swaps and other swap contracts (to generate a return comparable to the Fund’s benchmark and to gain exposure to the global interest rate, credit and currency markets); foreign bonds and other bonds denominated in various currencies, including foreign and U.S. government bonds, asset-backed securities issued by foreign governments and U.S. government agencies (as well as bonds neither guaranteed nor insured by the U.S. government), corporate bonds, and mortgage-backed and other asset-backed securities issued by private issuers; shares of GMO Short-Duration Collateral Fund (“SDCF”) (to have exposure to asset-backed securities); shares of GMO World Opportunity Overlay Fund (“Overlay Fund”) (to gain exposure to the global interest rate, credit and currency markets); shares of GMO Emerging Country Debt Fund (“ECDF”) (to gain exposure to emerging country debt markets); shares of GMO U.S. Treasury Fund and unaffiliated money market funds (for cash management purposes); shares of GMO High Quality Short-Duration Bond Fund (to seek to generate a return in excess of that of the J.P. Morgan U.S. 3 Month Cash Index by investing in a wide variety of high quality U.S. and foreign debt investments); and shares of GMO Debt Opportunities Fund (to gain exposure to global credit markets).

14

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund, primarily through its investments in shares of SDCF, Overlay Fund and ECDF, has and is expected to continue to have material exposure to below investment grade U.S. asset-backed and emerging country debt securities. The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

The Manager normally seeks to maintain the Fund’s estimated interest rate duration within +/- 2 years of the benchmark’s duration.

Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in bonds. The term “bond” includes (i) obligations of an issuer to make payments of principal and/or interest (whether fixed or variable) on future dates and (ii) synthetic debt instruments created by the Manager by using derivatives (e.g., a futures contract, swap contract, currency forward or option).

The Fund, if deemed prudent by the Manager, will take temporary defensive measures until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund’s normal investment strategies. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The financial statements of the series of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, upon request, without charge by calling (617) 346-7646 (collect). As of August 31, 2011, shares of the SDCF, Overlay Fund and GMO Special Purpose Holding Fund (“SPHF”) were not publicly available for direct purchase.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless

15

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 1.0% of net assets. Those underlying funds classify such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 4.9% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements.

16

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include most recent quoted prices, interest rates, prepayment speeds, credit risk, yield curves and similar data. The Fund also used third party valuation services (which use industry models and inputs from pricing vendors) to value certain credit default swaps.

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
U.S. Government	$	—	$	3,826,719	$	—	$	3,826,719
Foreign Government Obligations		—		34,028,990		—		34,028,990
TOTAL DEBT OBLIGATIONS		—		37,855,709		—		37,855,709
Mutual Funds		59,283,016		16,110		—		59,299,126
Short-Term Investments		1,510,700		—		—		1,510,700
Total Investments		60,793,716		37,871,819		—		98,665,535
Derivatives *
Futures Contracts Interest Rate risk		977,249		—		—		977,249
Forward Currency Contracts Foreign Currency risk		—		1,509,688		—		1,509,688

17

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Swap Agreements Credit risk	$	—	$	882,139	$	—	$	882,139
Interest Rate risk		—		442,113		—		442,113
Total	$	61,770,965	$	40,705,759	$	—	$	102,476,724

LIABILITY VALUATION INPUTS

	Quoted Prices			Significant
	in Active			Other			Significant
	Markets for			Observable			Unobservable
	Identical Liabilities			Inputs			Inputs
Description	(Level 1)			(Level 2)			(Level 3)		Total
Derivatives *
Futures Contracts Interest Rate risk	$	(19,285	)	$	—		$	—	$	(19,285	)
Forward Currency Contracts Foreign Currency risk		—			(605,030	)		—		(605,030	)
Swap Agreements Credit risk		—			(1,613,574	)		—		(1,613,574	)
Interest Rate risk		—			(603,779	)		—		(603,779	)
Total	$	(19,285	)	$	(2,822,383	)	$	—	$	(2,841,668	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

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

18

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Fund’s investments (both direct and indirect) in securities and derivative financial instruments using Level 3 inputs were 29.3% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011 whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the

19

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

20

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital loss of $987,117.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards, post-October capital losses and losses realized in the future, if any, subsequent to February 28, 2011 could be subject to further limitations imposed by the Code related to share ownership activity. The Fund’s capital loss carryforwards expire as follows:

February 28, 2015	$	(23,687,952	)
February 29, 2016		(507,910	)
February 28, 2017		(20,766,787	)
February 28, 2018		(8,506,660	)
February 28, 2019		(4,162,554	)
Total	$	(57,631,863	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

21

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	108,817,216	$	—	$	(10,151,681	)	$	(10,151,681	)

On October 12, 2006, the Fund paid a dividend under Code Section 860 of $0.09229 per share to shareholders of record as of October 11, 2006. It is anticipated the Fund will be required to make a payment, estimated to be $830,768 to the Internal Revenue Service (“IRS”) related to such dividend, which has been included in accrued expenses on the Statement of Assets and Liabilities. The Manager will make a reimbursement payment to the Fund concurrent with the Fund’s payment to the IRS.

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 and any increase or decrease is recorded

22

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Other matters

SPHF, an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the period ended August 31, 2011, the Fund received no distributions from SPHF in connection with the defaulted securities or the related litigation.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

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

23

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Risk — Fixed Income Securities — Typically, the market value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may or may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans and home equity loans), creates additional risk.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers

24

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

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

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

The Fund invests (including through investment in underlying funds) in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit card receivables, which expose the Fund to additional types of market risk. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as

25

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

“collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers. Payment of interest on asset backed securities and repayment of principal largely depend on the cash flows generated by the assets backing the securities. The market risk of a particular asset-backed security depends on many factors, including the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets and, if any, the level of credit support and the credit quality of the credit-support provider. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. The obligations of issuers (and obligors of underlying assets) also are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

26

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Agreements”) or other similar types of agreements with selected counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Agreements typically include representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse effect on the Fund’s operations.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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 their investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

27

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect

28

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

29

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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. During the period ended August 31, 2011, the Fund used forward currency contracts to adjust exposure to foreign currencies and otherwise adjust currency exchange rate risk. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust interest-rate exposure and enhance the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund 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. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. During the period ended August 31, 2011, the Fund used purchased currency option contracts to to adjust exposure to currencies and otherwise manage currency exchange rate risk. The Fund had no purchased option contracts outstanding at the end of the period.

30

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the period ended August 31, 2011, the Fund used written currency option contracts to adjust exposure to foreign currencies and otherwise manage currency exchange rate risk. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

For the period ended August 31, 2011, investment activity in options contracts written by the Fund was as follows:

	Puts								Calls
	Principal			Number					Principal		Number
	Amount			of Futures					Amount		of Futures
	of Contracts			Contracts		Premiums			of Contracts		Contracts		Premiums
Outstanding, beginning of period		(8,000,000	)		—	$	(157,744	)		—		—	$	—
Options written		—			—		—			—		—		—
Options exercised		—			—		—			—		—		—
Options expired		8,000,000			—		157,744			—		—		—
Options sold		—			—		—			—		—		—
Outstanding, end of period		—			—	$	—			—		—	$	—

31

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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

32

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to adjust interest rate exposure, achieve exposure to a reference entity’s credit, and/or provide a measure of protection against default loss. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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

33

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

warrants or rights may limit the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

		Interest rate			Foreign currency			Credit			Equity		Other
		contracts			contracts			contracts			contracts		contracts		Total
Assets:
Unrealized appreciation on futures contracts *		$	977,249		$	—		$	—		$	—	$	—	$	977,249
Unrealized appreciation on forward currency contracts			—			1,509,688			—			—		—		1,509,688
Unrealized appreciation on swap agreements			442,113			—			882,139			—		—		1,324,252
	Total	$	1,419,362		$	1,509,688		$	882,139		$	—	$	—	$	3,811,189
Liabilities:
Unrealized depreciation on futures contracts *		$	(19,285	)	$	—		$	—		$	—	$	—	$	(19,285	)
Unrealized depreciation on forward currency contracts			—			(605,030	)		—			—		—		(605,030	)
Unrealized depreciation on swap agreements			(603,779	)		—			(1,613,574	)		—		—		(2,217,353	)
	Total	$	(623,064	)	$	(605,030	)	$	(1,613,574	)	$	—	$	—	$	(2,841,668	)

34

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

		Interest rate			Foreign currency			Credit			Equity		Other
		contracts			contracts			contracts			contracts		contracts		Total
Net Realized Gain (Loss) on:
Investments (purchased options)		$	—		$	(302,277	)	$	—		$	—	$	—	$	(302,277	)
Written Options			—			157,744			—			—		—		157,744
Futures contracts			1,062,180			—			—			—		—		1,062,180
Forward currency contracts			—			4,624,176			—			—		—		4,624,176
Swap agreements			712,959			—			(54,600	)		—		—		658,359
	Total	$	1,775,139		$	4,479,643		$	(54,600	)	$	—	$	—	$	6,200,182
Change in Unrealized Appreciation (Depreciation) on:
Investments (purchased options)		$	—		$	259,547		$	—		$	—	$	—	$	259,547
Written Options			—			(145,176	)		—			—		—		(145,176	)
Futures contracts			809,957			—			—			—		—		809,957
Forward currency contracts			—			(1,005,908	)		—			—		—		(1,005,908	)
Swap agreements			(473,259	)		—			(436,705	)		—		—		(909,964	)
	Total	$	336,698		$	(891,537	)	$	(436,705	)	$	—	$	—	$	(991,544	)

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts and futures contracts), notional amounts (swap agreements), or principal amounts (options) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Forward
	currency		Futures		Swap
	contracts		contracts		agreements		Options
Average amount outstanding	$	114,497,223	$	61,340,703	$	104,172,946	$	5,681,198

35

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares. The Manager has contractually agreed through at least June 30, 2012 to waive the Fund’s shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by the Fund exceeds 0.15%; provided, however, that the amount of this waiver will not exceed 0.15%.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.25% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in other GMO Funds (excluding those Funds’ Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $686 and $416, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

36

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
Shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
0.023%	0.004%	0.008%	0.035%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	1,135,284
Investments (non-U.S. Government securities)		22,341,986		21,349,227

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 76.54% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 3.53% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and 28.40% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

37

GMO International Bond Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		14,880		$	107,350			21,637		$	149,794
Shares issued to shareholders in reinvestment of distributions		211,903			1,512,989			661,554			4,525,027
Shares repurchased		(2,186,950	)		(15,706,072	)		(17,120,840	)		(115,215,967	)
Net increase (decrease)		(1,960,167	)	$	(14,085,733	)		(16,437,649	)	$	(110,541,146	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions				Value,
	beginning of				Sales		Dividend		of Realized		Return of		end of
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		period
GMO Emerging Country Debt Fund, Class IV	$	3,312,292	$	44,273	$	—	$	44,273	$	—	$	—	$	3,579,632
GMO Short-Duration Collateral Fund		41,317,873		—		—		209,525		—		11,901,757		28,619,991
GMO Special
Purpose Holding Fund		18,733		—		—		—		—		—		16,110
GMO U.S. Treasury Fund		1,600,199		17,751,456		12,400,000		1,082		374		—		6,952,575
GMO World
Opportunity Overlay Fund		22,044,168		375,000		2,500,000		—		—		—		20,130,818
Totals	$	68,293,265	$	18,170,729	$	14,900,000	$	254,880	$	374	$	11,901,757	$	59,299,126

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterizations of all distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2012.

38

GMO International Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

39

GMO International Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s

40

GMO International Bond Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

41

GMO International Bond Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

42

GMO International Bond Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.43	%	$	1,000.00	$	1,080.60	$	2.25
2) Hypothetical		0.43	%	$	1,000.00	$	1,022.97	$	2.19

            * Expenses are calculated using the annualized net expense ratio (including interest expense and indirect expense incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

43

GMO International Core Equity Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Core Equity Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.4	%
Mutual Funds		1.6
Preferred Stocks		1.3
Short-Term Investments		1.2
Forward Currency Contracts		(0.1	)
Futures Contracts		(0.7	)
Other		2.3
		100.0	%

Country Summary*	% of Investments
Japan		25.1	%
United Kingdom		21.9
France		11.6
Germany		9.6
Italy		7.2
Switzerland		4.1
Australia		3.6
Spain		3.6
Singapore		2.2
Hong Kong		1.7
Sweden		1.4
Canada		1.3
Netherlands		1.1
Denmark		1.0
Ireland		1.0
Austria		0.7
Belgium		0.7
Finland		0.6
New Zealand		0.6
Greece		0.4
Israel		0.3
Norway		0.2
Portugal		0.1
Malta		0.0	Ù
		100.0	%

Ù

Rounds to 0.0%

*

The table above 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 agreements and other derivative financial instruments, if any.

1

GMO International Core Equity Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Industry Group Summary	% of Equity Investments**
Pharmaceuticals, Biotechnology & Life Sciences		17.0	%
Energy		13.5
Telecommunication Services		9.9
Capital Goods		9.6
Materials		8.4
Utilities		6.1
Banks		5.1
Automobiles & Components		4.8
Retailing		3.6
Real Estate		3.4
Food, Beverage & Tobacco		2.9
Technology Hardware & Equipment		2.6
Diversified Financials		2.1
Consumer Durables & Apparel		1.9
Software & Services		1.5
Food & Staples Retailing		1.4
Transportation		1.2
Insurance		1.1
Semiconductors & Semiconductor Equipment		1.1
Media		0.7
Household & Personal Products		0.7
Consumer Services		0.7
Commercial & Professional Services		0.5
Health Care Equipment & Services		0.2
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

2

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.4%
		Australia — 5.1%
	625,237	BHP Billiton Ltd		26,601,160
	4,355,114	BlueScope Steel Ltd		3,836,156
	1,137,490	Boart Longyear Group		4,470,468
	2,003,355	Charter Hall Office (REIT)		7,194,454
	305,181	Commonwealth Bank of Australia		15,797,413
	7,985,316	Dexus Property Group (REIT)		7,349,865
	3	Echo Entertainment Group Ltd *		13
	4,951,238	Goodman Fielder Ltd		3,688,521
	12,346,449	Goodman Group (REIT)		8,621,606
	4,437,857	GPT Group (REIT)		14,842,197
	9,727,652	Investa Office Fund (REIT)		6,419,238
	3,719,347	Mirvac Group (REIT)		4,810,542
	345,819	National Australia Bank Ltd		8,820,668
	1,508,014	OneSteel Ltd		2,437,041
	3,612,133	Pacific Brands Ltd		2,518,306
	1,627,792	Qantas Airways Ltd *		2,743,459
	838,834	QBE Insurance Group Ltd		12,699,963
	4,134,828	Stockland (REIT)		13,266,942
	1,262,936	TABCORP Holdings Ltd		3,818,009
	10,075,216	Telstra Corp Ltd		32,648,978
	592,575	Wesfarmers Ltd		19,537,251
	330,897	Westfield Group (REIT)		2,888,760
	617,050	Westpac Banking Corp		13,665,340
	1	Woodside Petroleum Ltd		38
	75	Woolworths Ltd		2,023
		Total Australia		218,678,411
		Austria — 0.7%
	19	Erste Group Bank AG		690
	865,015	Immofinanz AG *		3,086,300
	435,716	OMV AG		17,170,342

See accompanying notes to the financial statements. 3

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Austria — continued
	98,205	Raiffeisen International Bank Holding		4,066,335
	175,753	Voestalpine AG		6,763,076
		Total Austria		31,086,743
		Belgium — 0.7%
	2,668,574	Ageas		5,363,411
	249,113	Belgacom SA		8,154,434
	114,703	Colruyt SA		6,002,010
	36,324	Delhaize Group		2,434,080
	1,506,635	Dexia SA *		3,526,090
	69,139	Umicore SA		3,337,417
		Total Belgium		28,817,442
		Canada — 2.3%
	271,900	BCE Inc		10,933,751
	171,300	Canadian Natural Resources Ltd		6,472,072
	93,500	Canadian National Railway Co		6,877,162
	1,024,300	EnCana Corp		26,012,806
	107,100	Magna International Inc Class A		4,067,241
	180,400	Methanex Corp		4,680,858
	108,200	Metro Inc Class A		5,149,803
	81,600	National Bank of Canada		6,043,549
	268,800	Research In Motion Ltd *		8,695,583
	184,000	Suncor Energy Inc		5,895,967
	485,100	Sun Life Financial Inc		13,146,690
	1,457,500	Yellow Media Inc		1,205,529
		Total Canada		99,181,011
		Denmark — 1.0%
	11	Carlsberg A/S Class B		824
	407,170	Novo-Nordisk A/S Class B		43,372,616
		Total Denmark		43,373,440

4 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Finland — 0.6%
	131,854	Metso Oyj		4,995,174
	226,691	Neste Oil Oyj		2,513,812
	1,991,679	Nokia Oyj		12,811,015
	137,300	Sampo Oyj Class A		3,942,413
	3	Stora Enso Oyj Class R		22
	80,474	Tieto Oyj		1,216,418
	117,159	UPM–Kymmene Oyj		1,532,600
		Total Finland		27,011,454
		France — 11.4%
	2,367,368	Alcatel-Lucent *		8,667,799
	129,767	Archos *		1,183,821
	96,754	Arkema		7,482,057
	287,308	BNP Paribas		14,778,101
	35,588	Casino Guichard-Perrachon SA		2,960,664
	298,557	Compagnie de Saint-Gobain		14,995,755
	44,355	Compagnie Generale des Etablissements Michelin-Class B		3,246,000
	719,263	France Telecom SA		13,741,843
	239,511	Lagardere SCA		8,180,728
	59,750	LVMH Moet Hennessy Louis Vuitton SA		10,083,635
	131,879	Peugeot SA		4,030,796
	234,945	Renault SA		9,547,056
	359,672	Rhodia SA		16,269,760
	206,597	Safran SA		7,992,108
	2,229,417	Sanofi		162,586,845
	91,765	Schneider Electric SA		12,221,140
	170,123	Societe Generale		5,696,707
	133	STMicroelectronics NV		882
	2,594,023	Total SA		126,680,314
	156,829	Valeo SA		8,277,763
	195,211	Vinci SA		10,185,844
	1,068,286	Vivendi SA		25,974,624
	144,324	Wendel		12,274,032
		Total France		487,058,274

See accompanying notes to the financial statements. 5

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Germany — 6.6%
	83,247	Aareal Bank AG *		1,796,193
	166,985	Aixtron AG		3,752,939
	172,634	Aurubis AG		10,120,288
	744,998	BASF AG		52,979,185
	274,622	Bayerische Motoren Werke AG		22,218,550
	168,553	Daimler AG (Registered)		9,105,237
	171,735	Deutsche Lufthansa AG (Registered)		2,898,206
	2,545,259	E.ON AG		55,584,010
	133,992	GEA Group AG		3,923,893
	2,077,042	Infineon Technologies AG		17,637,331
	363,731	Kloeckner & Co SE		6,032,302
	207,365	Lanxess AG		12,900,751
	150,731	Leoni AG		6,456,123
	44,339	Linde AG		6,783,819
	81,957	MAN SE		10,713,542
	10	MTU Aero Engines Holding AG		678
	111,876	RWE AG		4,196,041
	110,628	Salzgitter AG		6,850,708
	197,759	SAP AG		10,784,662
	129,361	Siemens AG (Registered)		13,307,116
	210,228	Software AG		9,211,999
	243,706	Suedzucker AG		8,521,744
	141,786	ThyssenKrupp AG		4,760,883
	25,110	Volkswagen AG		3,814,066
		Total Germany		284,350,266
		Greece — 0.4%
	990,702	Alpha Bank A.E. *		3,193,823
	882,223	National Bank of Greece SA *		3,897,664
	689,323	OPAP SA		8,363,278
		Total Greece		15,454,765

6 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — 1.6%
	2,228,221	CLP Holdings Ltd		20,608,332
	1,892,100	Esprit Holdings Ltd		5,326,971
	799,000	Hutchison Whampoa Ltd		7,673,654
	7,198,000	Pacific Basin Shipping Ltd		3,506,136
	2,204,500	Power Assets Holdings Ltd		17,064,113
	260,000	Sun Hung Kai Properties Ltd		3,672,126
	526,500	Swire Pacific Ltd		7,039,271
	1,704,000	Yue Yuen Industrial Holdings		4,707,408
		Total Hong Kong		69,598,011
		Ireland — 0.9%
	799,639	C&C Group Plc		3,496,819
	1,116,884	CRH Plc		19,723,434
	240,233	DCC Plc		6,549,986
	259,848	Kerry Group Plc Class A		10,069,467
		Total Ireland		39,839,706
		Israel — 0.3%
	2,085,500	Bezeq Israeli Telecommunication Corp Ltd		4,576,000
	391,786	Israel Chemicals Ltd		5,643,177
	214,666	Partner Communications Co Ltd		2,369,734
		Total Israel		12,588,911
		Italy — 5.1%
	13,831,701	Enel SPA		67,462,263
	4,332,355	ENI SPA		87,107,508
	360,465	Finmeccanica SPA		2,675,876
	517,754	Fondiaria–Sai SPA *		1,127,513
	415,093	Mediobanca SPA		3,826,177
	328,864	Recordati SPA		3,179,755
	253,453	Saipem SPA		11,356,475
	1,703,817	Snam Rete Gas SPA		8,231,910
	8,253,299	Telecom Italia SPA		10,010,178
	13,861,075	Telecom Italia SPA-Di RISP		15,185,017

See accompanying notes to the financial statements. 7

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	1,777,635	Terna SPA		6,449,819
	2,833,259	UniCredit SPA		3,830,772
		Total Italy		220,443,263
		Japan — 24.1%
	1,847	Advance Residence Investment Corp (REIT)		3,866,359
	555,500	Aeon Co Ltd		6,996,427
	1,009,400	Alps Electric Co Ltd		9,230,779
	602,000	Anritsu Corp		7,365,153
	80,000	Asahi Diamond Industrial Co Ltd		1,517,587
	672,600	Astellas Pharma Inc		25,418,361
	126,600	Bridgestone Corp		2,824,426
	134,300	Canon Inc		6,337,411
	1,740	CyberAgent Inc		5,759,856
	645,700	Daiei Inc *		2,409,779
	812,000	Daiichi Chuo Kisen Kaisha *		1,241,258
	2,291,000	Daikyo Inc *		4,086,851
	652,000	Dainippon Screen Manufacturing Co Ltd		4,306,581
	354,800	Daito Trust Construction Co Ltd		32,897,485
	1,328,000	Daiwabo Holdings Co Ltd		3,145,356
	272,200	Dena Co Ltd		14,196,335
	1,365,000	DIC Corp		3,012,556
	210,300	Don Quijote Co Ltd		7,926,058
	241,900	Eisai Co Ltd		10,324,394
	105,800	Fanuc Ltd		17,610,771
	60,100	Fast Retailing Co Ltd		11,477,696
	1,176,000	Fuji Electric Co Ltd		3,426,591
	1,443,000	Fuji Heavy Industries Ltd		9,052,663
	193,300	Fuji Oil Co Ltd		3,101,474
	656,000	Gunze Ltd		2,182,956
	661,000	Hanwa Co Ltd		2,868,773
	1,487,500	Haseko Corp *		1,059,852
	119,400	Hikari Tsushin Inc		2,800,855
	4,793,000	Hitachi Ltd		25,927,866

8 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	324,100	Honda Motor Co Ltd		10,560,800
	1,524	INPEX Corp		10,389,651
	1,474,000	Isuzu Motors Ltd		6,635,407
	1,475,000	Itochu Corp		15,920,505
	253,900	JFE Holdings Inc		5,901,289
	624,000	Juki Corp		1,383,333
	6,228,930	JX Holdings Inc		39,657,399
	292,420	K’s Holdings Corp		12,889,033
	3,513,000	Kajima Corp		11,168,820
	191,800	Kakaku.com Inc		7,113,203
	737,300	Kao Corp		19,587,376
	3,169,000	Kawasaki Kisen Kaisha Ltd		8,186,596
	3,904	KDDI Corp		29,287,754
	763,700	Komatsu Ltd		20,370,019
	255,400	Konami Corp		9,464,140
	125,000	Lawson Inc		6,815,801
	1,412,500	Leopalace21 Corp *		3,168,008
	2,052,000	Marubeni Corp		13,011,842
	3,926,000	Mazda Motor Corp *		8,456,070
	50,904	Meiji Holdings Co Ltd		2,247,772
	2,051,500	Mitsubishi Chemical Holdings Corp		14,442,397
	242,900	Mitsubishi Corp		5,844,608
	974,000	Mitsubishi Electric Corp		9,744,997
	168,890	Mitsubishi UFJ Lease & Finance Co Ltd		6,844,772
	614,600	Mitsui & Co Ltd		10,545,000
	1,349,000	Mitsui OSK Lines Ltd		5,711,743
	8,160,400	Mizuho Financial Group Inc		12,455,567
	45,900	Murata Manufacturing Co Ltd		2,801,469
	2,060	Net One Systems Co Ltd		5,585,681
	32,900	Nintendo Co Ltd		5,800,484
	747,000	Nippon Chemi-Con Corp		4,149,627
	3,365,000	Nippon Light Metal Co Ltd		6,477,414
	2,461,000	Nippon Steel Corp		7,420,563
	671,800	Nippon Telegraph & Telephone Corp		31,454,231

See accompanying notes to the financial statements. 9

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	529,500	Nippon Yakin Koguo Co Ltd *		1,187,703
	2,823,000	Nippon Yusen Kabushiki Kaisha		8,579,905
	1,930,500	Nissan Motor Co Ltd		17,751,762
	113,450	Nitori Holdings Co Ltd		11,630,776
	194,100	Nitto Denko Corp		7,604,321
	584,000	NSK Ltd		4,677,835
	14,592	NTT Docomo Inc		26,600,556
	1,876,000	Obayashi Corp		9,230,694
	681,000	OKUMA Corp		5,261,341
	100	Omron Corp		2,414
	125,100	Ono Pharmaceutical Co Ltd		7,226,289
	156,260	ORIX Corp		14,191,394
	3,041,000	Osaka Gas Co Ltd		12,361,550
	107,960	Point Inc		5,109,996
	566,100	Promise Co Ltd *		4,053,020
	5,529,400	Resona Holdings Inc		25,166,100
	514,000	Ricoh Company Ltd		4,673,107
	768,400	Round One Corp		6,740,491
	119,500	Ryohin Keikaku Co Ltd		6,401,048
	193,700	Sankyo Co Ltd		9,944,590
	8,800	Sawai Pharmaceuticals Co Ltd		900,259
	133,500	Secom Co Ltd		6,213,496
	100	Seven & I Holdings Co Ltd		2,654
	5,469,000	Sojitz Corp		10,298,172
	1,907,000	Sumitomo Corp		24,994,501
	6,697,000	Taiheiyo Cement Co Ltd		11,905,770
	3,576,000	Taisei Corp		9,539,064
	270,000	Taisho Pharmaceutical Co Ltd		6,277,040
	1,510,300	Takeda Pharmaceutical Co Ltd		73,149,286
	393,280	Takefuji Corp * (a) (b)		5,136
	916,000	Tokyo Gas Co Ltd		4,214,947
	586,000	Tokyo Steel Manufacturing Co		5,562,715
	2,066,000	Tokyo Tatemono Co Ltd		6,967,088
	356,000	TonenGeneral Sekiyu KK		4,084,824

10 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	415,000	Toray Industries Inc		3,155,414
	539,500	Toyota Motor Corp		19,435,665
	782,800	Toyota Tsusho Corp		13,102,250
	970,500	UNY Co Ltd		8,763,204
	58,670	USS Co Ltd		5,094,164
	234,420	Yamada Denki Co Ltd		17,238,212
	672,000	Zeon Corp		6,778,763
		Total Japan		1,029,943,396
		Malta — 0.0%
	15,998,662	BGP Holdings Plc *		—
		Netherlands — 1.1%
	53	ASML Holding NV		1,867
	208,241	CSM		5,024,659
	21	Heineken NV		1,050
	3,134,841	ING Groep NV *		27,202,163
	998,247	Koninklijke BAM Groep NV		5,029,508
	34,709	Koninklijke DSM NV		1,738,826
	71,650	Wereldhave NV (REIT)		6,076,944
		Total Netherlands		45,075,017
		New Zealand — 0.6%
	1,123,857	Fletcher Building Ltd		7,484,336
	7,835,402	Telecom Corp of New Zealand		16,955,440
		Total New Zealand		24,439,776
		Norway — 0.2%
	163,421	Acergy SA *		3,786,775
	108,680	Frontline Ltd		875,840
	70,233	Yara International ASA		3,864,093
		Total Norway		8,526,708

See accompanying notes to the financial statements. 11

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Portugal — 0.1%
	1,124,672	EDP - Energias de Portugal SA		3,691,862
		Singapore — 2.0%
	1,487,000	Ezra Holdings Ltd		1,228,665
	35,619,000	Golden Agri-Resources Ltd		19,509,824
	2,793,000	Jaya Holdings Ltd *		1,147,280
	779,200	M1 Ltd		1,624,117
	181	Noble Group Ltd		243
	224,030	Oversea-Chinese Banking Corp Ltd		1,629,663
	1,346,000	SembCorp Marine Ltd		4,557,808
	2,450,000	Singapore Exchange Ltd		14,265,396
	2,147,000	Singapore Press Holdings Ltd		6,773,205
	9,983,000	Singapore Telecommunications		25,797,795
	4,545,000	Suntec Real Estate Investment Trust (REIT)		5,095,038
	363,000	Venture Corp Ltd		2,250,742
	2,415,000	Yangzijiang Shipbuilding Holdings Ltd		2,326,325
		Total Singapore		86,206,101
		Spain — 3.5%
	1,928,112	Banco Popular Espanol SA		10,045,018
	2,619,116	Banco Santander SA		24,199,880
	57,170	Fomento de Construcciones y Contratas SA		1,485,960
	850,059	Gas Natural SDG SA		15,538,018
	1,590,612	Iberdrola SA		11,699,471
	167,306	Inditex SA		14,218,635
	977,345	Repsol YPF SA		28,128,114
	2,139,826	Telefonica SA		44,487,287
		Total Spain		149,802,383
		Sweden — 1.3%
	136,371	Alfa Laval AB		2,677,026
	545,337	Atlas Copco AB Class A		12,288,584
	338,316	Boliden AB		4,645,755
	391,636	Ericsson LM B Shares		4,395,202

12 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	224,603	Hennes & Mauritz AB Class B		6,997,090
	144,597	NCC Class B		2,774,875
	125	Sandvik AB		1,662
	7	Skandinaviska Enskilda Banken AB Class A		41
	116,032	SKF AB Class B		2,732,937
	1,074,686	Swedbank AB Class A		14,774,715
	643,136	Trelleborg AB Class B		5,414,268
	5	Volvo AB Class B		62
		Total Sweden		56,702,217
		Switzerland — 4.0%
	2	Clariant AG (Registered) *		22
	252,460	Compagnie Financiere Richemont SA Class A		14,595,632
	655,987	Nestle SA (Registered)		40,588,930
	1,372,272	Novartis AG (Registered)		80,070,775
	79,945	Roche Holding AG (Non Voting)		13,979,508
	21,925	Swatch Group AG		9,974,771
	10,042	Swisscom AG (Registered)		4,502,214
	25,440	Syngenta AG (Registered) *		8,053,238
		Total Switzerland		171,765,090
		United Kingdom — 20.8%
	1,902,924	3i Group Plc		6,565,930
	324,415	Aggreko Plc		10,182,683
	147,496	Antofagasta Plc		3,204,902
	2,193,956	ARM Holdings Plc		20,127,901
	135,137	ASOS Plc *		4,325,785
	2,742,407	AstraZeneca Plc		129,856,652
	1,571,628	BAE Systems Plc		7,012,947
	5,494,780	Barclays Plc		15,182,118
	260,668	BBA Aviation Plc		707,789
	1,270,057	BG Group Plc		27,389,636
	292,640	BHP Billiton Plc		9,960,228
	3,590,035	BP Plc		23,432,253

See accompanying notes to the financial statements. 13

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	357,698	British American Tobacco Plc		15,914,580
	12,176,757	BT Group Plc		33,771,847
	1,061,846	Burberry Group Plc		23,681,709
	256,909	Capita Group Plc		2,954,053
	266	Centrica Plc		1,289
	312,926	Diageo Plc		6,287,679
	5,879,076	Dixons Retail Plc *		1,154,144
	1,172,083	Drax Group Plc		9,878,087
	65	Eurasian Natural Resources Corp		716
	1,119,421	FirstGroup Plc		6,658,303
	1,429,769	Game Group Plc		563,200
	6,665,463	GlaxoSmithKline Plc		141,903,550
	2,494,316	Home Retail Group Plc		5,151,985
	355,562	ICAP Plc		2,744,168
	587,863	IMI Plc		8,500,821
	3,084,613	ITV Plc *		3,064,293
	49	Kazakhmys Plc		863
	2,794,562	Kesa Electricals Plc		4,942,648
	360,190	Lancashire Holdings Ltd		3,982,832
	14,681,268	Lloyds Banking Group Plc *		8,008,111
	424,491	Next Plc		16,255,034
	227,152	Petrofac Ltd		5,033,629
	655,960	Prudential Plc		6,607,721
	157,419	Reckitt Benckiser Group Plc		8,350,302
	567,544	Rio Tinto Plc		34,596,621
	10,457,116	Royal Bank of Scotland Group Plc *		4,110,573
	574,172	Royal Dutch Shell Group Class A (Amsterdam)		19,199,889
	1,489,649	Royal Dutch Shell Plc A Shares (London)		49,830,805
	1,724,787	Royal Dutch Shell Plc B Shares (London)		58,043,364
	527,846	Scottish & Southern Energy Plc		11,116,761
	635,403	Smith & Nephew Plc		6,460,341
	186,709	Spectris Plc		4,353,311
	1	Stagecoach Group Plc		4
	417,783	Standard Chartered Plc		9,491,031

14 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares/
Par Value		Description	Value ($)
		United Kingdom — continued
	433,383	Travis Perkins Plc		5,788,922
	897,287	Trinity Mirror Plc *		645,687
	743,582	Tullett Prebon Plc		4,504,442
	25,466,497	Vodafone Group Plc		66,830,607
	449,763	Weir Group Plc (The)		14,020,721
	220,948	WH Smith Plc		1,787,281
	2,427,575	William Hill Plc		8,875,552
	400,538	Wolseley Plc		10,381,994
	339,538	Xstrata Plc		5,896,891
		Total United Kingdom		889,295,185
		TOTAL COMMON STOCKS (COST $4,091,109,611)		4,042,929,432
		PREFERRED STOCKS — 1.3%
		Germany — 1.3%
	401,654	Porsche Automobil Holding SE 1.68%		27,038,345
	229,262	ProSiebenSat.1 Media AG 8.57%		4,576,437
	153,924	Volkswagen AG 2.12%		25,589,819
		Total Germany		57,204,601
		TOTAL PREFERRED STOCKS (COST $45,306,633)		57,204,601
		MUTUAL FUNDS — 1.6%
		United States — 1.6%
		Affiliated Issuers
	2,699,282	GMO U.S. Treasury Fund		67,509,048
		TOTAL MUTUAL FUNDS (COST $67,509,048)		67,509,048
		SHORT-TERM INVESTMENTS — 1.2%
		Time Deposits — 1.2%
USD	21,900,000	BNP Paribas (Grand Cayman) Time Deposit, 0.12%, due 09/01/11		21,900,000
AUD	1,295,300	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.00%, due 09/01/11		1,384,611
CAD	272,189	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.26%, due 09/01/11		277,942

See accompanying notes to the financial statements. 15

GMO International Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		Time Deposits — continued
CHF	7,403	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		9,186
DKK	52,391	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.20%, due 09/01/11		10,103
HKD	437,964	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		56,251
JPY	16,420,880	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		214,456
NZD	12,099	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.70%, due 09/01/11		10,308
SEK	65,339	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.10%, due 09/01/11		10,303
EUR	22,601	Citibank (New York) Time Deposit, 0.13%, due 09/01/11		32,467
SGD	2,161,917	Citibank (New York) Time Deposit, 0.01%, due 09/01/11		1,795,165
USD	76,919	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		76,919
GBP	226,307	JPMorgan Chase (New York) Time Deposit, 0.11%, due 09/01/11		367,365
NOK	112,919	JPMorgan Chase (New York) Time Deposit, 1.05%, due 09/01/11		21,050
USD	25,000,000	Societe Generale (Grand Cayman) Time Deposit, 0.12%, due 09/01/11		25,000,000
		Total Time Deposits		51,166,126
		TOTAL SHORT-TERM INVESTMENTS (COST $51,166,126)		51,166,126
		TOTAL INVESTMENTS — 98.5% (Cost $4,255,091,418)		4,218,809,207
		Other Assets and Liabilities (net) — 1.5%		63,612,924
		TOTAL NET ASSETS — 100.0%	$	4,282,422,131

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Buys †
10/21/11		Royal Bank of Scotland PLC	CHF		6,931,983	$	8,614,925	$	(885,574	)
10/21/11		Brown Brothers Harriman & Co.	CHF		6,931,983		8,614,925		(437,733	)
10/21/11		Bank of New York Mellon	CHF		6,931,983		8,614,926		(602,989	)
10/21/11		Morgan Stanley Capital Services Inc.	EUR		3,448,000		4,950,040		29,696
10/21/11		Deutsche Bank AG	GBP		14,697,355		23,844,904		(219,075	)
10/21/11		Royal Bank of Scotland PLC	GBP		10,579,539		17,164,183		(141,277	)

16 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Currency Contracts — continued

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
10/21/11		Bank of America, N.A.	GBP		11,797,412	$	19,140,053	$	(136,930	)
10/21/11		Bank of New York Mellon	GBP		17,876,578		29,002,857		(254,666	)
10/21/11		JPMorgan Chase Bank, N.A.	GBP		10,773,188		17,478,358		(159,505	)
10/21/11		Barclays Bank PLC	GBP		16,573,977		26,889,525		(256,661	)
10/21/11		Brown Brothers Harriman & Co.	GBP		16,512,165		26,789,241		(250,255	)
10/21/11		Morgan Stanley Capital Services Inc.	GBP		3,074,371		4,987,842		(2,821	)
10/21/11		Barclays Bank PLC	HKD		184,129,190		23,660,954		17,971
10/21/11		Brown Brothers Harriman & Co.	HKD		191,759,640		24,641,482		16,977
10/21/11		JPMorgan Chase Bank, N.A.	HKD		60,254,935		7,742,875		5,782
10/21/11		Morgan Stanley Capital Services Inc.	HKD		184,129,190		23,660,954		16,170
10/21/11		State Street Bank and Trust Company	HKD		284,190,381		36,519,009		13,440
10/21/11		JPMorgan Chase Bank, N.A.	JPY		312,179,000		4,078,744		8,231
10/21/11		Bank of New York Mellon	SEK		40,268,668		6,332,602		100,195
10/21/11		Deutsche Bank AG	SEK		88,995,030		13,995,251		167,558
10/21/11		JPMorgan Chase Bank, N.A.	SEK		94,627,767		14,881,048		230,746
10/21/11		Royal Bank of Scotland PLC	SEK		48,779,995		7,671,083		116,515
10/21/11		Bank of America, N.A.	SGD		70,206,888		58,311,078		(9,978	)
10/21/11		Bank of New York Mellon	SGD		14,822,079		12,310,636		(11,575	)
10/21/11		Barclays Bank PLC	SGD		21,021,261		17,459,432		(34,959	)
10/21/11		Morgan Stanley Capital Services Inc.	SGD		19,020,196		15,797,426		(25,574	)
10/21/11		State Street Bank and Trust Company	SGD		14,692,589		12,203,086		(9,190	)
						$	475,357,439	$	(2,715,481	)
Sales #
10/21/11		Deutsche Bank AG	CAD		7,813,987	$	7,969,853	$	(35,623	)
10/21/11		State Street Bank and Trust Company	CAD		25,997,258		26,515,828		(186,425	)
10/21/11		Royal Bank of Scotland PLC	CAD		6,520,031		6,650,087		(47,731	)
10/21/11		Morgan Stanley Capital Services Inc.	CAD		12,007,266		12,246,776		(81,027	)
10/21/11		Barclays Bank PLC	CAD		12,307,889		12,553,396		(46,268	)
10/21/11		Brown Brothers Harriman & Co.	CAD		15,803,254		16,118,483		(69,194	)
10/21/11		State Street Bank and Trust Company	DKK		89,495,296		17,247,514		1,067
10/21/11		Royal Bank of Scotland PLC	DKK		134,728,989		25,964,941		(3,047	)
10/21/11		Royal Bank of Scotland PLC	EUR		24,908,163		35,758,819		(6,514	)
10/21/11		Bank of America N.A.	EUR		17,275,058		24,800,531		(5,761	)
10/21/11		Morgan Stanley Capital Services Inc.	EUR		23,063,000		33,109,854		35,967
10/21/11		Deutsche Bank AG	EUR		34,806,000		49,968,416		100,363

See accompanying notes to the financial statements. 17

GMO International Core Equity Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Currency Contracts — continued

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
10/21/11		Deutsche Bank AG	JPY		1,074,552,130	$	14,039,455	$	(52,444	)
10/21/11		Bank of America, N.A.	JPY		1,811,172,000		23,663,689		(26,582	)
10/21/11		Brown Brothers Harriman & Co.	JPY		410,698,269		5,365,938		(164,262	)
10/21/11		JPMorgan Chase Bank, N.A.	JPY		3,515,649,130		45,933,366		(74,880	)
10/21/11		Bank of America N.A.	NZD		12,464,049		10,580,372		(298,243	)
10/21/11		Morgan Stanley Capital Services Inc.	NZD		10,386,611		8,816,895		(29,334	)
						$	377,304,213	$	(989,938	)

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

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Buys
193		TOPIX	September 2011	$	19,578,926	$	(333,310	)
740		FTSE/MIB	September 2011		82,515,548		(23,544,678	)
143		MSCI Singapore	September 2011		7,815,024		346,204
293		DAX	September 2011		60,807,598		(11,756,968	)
313		FTSE 100	September 2011		27,316,915		647,068
				$	198,034,011	$	(34,641,684	)
Sales
295		S&P Toronto 60	September 2011	$	43,823,752	$	852,884
592		SPI 200	September 2011		68,134,892		3,416,092
1		OMXS 30	September 2011		15,057		(33	)
				$	111,973,701	$	4,268,943

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

18 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(b)	Bankrupt issuer.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

See accompanying notes to the financial statements. 19

GMO International Core Equity Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $4,187,582,370) (Note 2)	$	4,151,300,159
Investments in affiliated issuers, at value (cost $67,509,048) (Notes 2 and 10)		67,509,048
Foreign currency, at value (cost $979) (Note 2)		982
Receivable for Fund shares sold		32,069,938
Dividends and interest receivable		14,406,826
Foreign taxes receivable		3,688,543
Unrealized appreciation on open forward currency contracts (Note 4)		860,678
Due from broker on open futures contracts (Note 2)		26,837,220
Receivable for variation margin on open futures contracts (Note 4)		4,083,186
Receivable for expenses reimbursed by Manager (Note 5)		190,402
Miscellaneous receivable		1,592
Total assets		4,300,948,574
Liabilities:
Payable for Fund shares repurchased		11,293,872
Payable to affiliate for (Note 5):
Management fee		1,347,014
Shareholder service fee		283,354
Trustees and Trust Officers or agents unaffiliated with the Manager		15,101
Payable for foreign currency purchased		2,827
Unrealized depreciation on open forward currency contracts (Note 4)		4,566,097
Accrued expenses		1,018,178
Total liabilities		18,526,443
Net assets	$	4,282,422,131

20 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited) — (Continued)

Net assets consist of:
Paid-in capital	$	5,324,671,291
Accumulated undistributed net investment income		47,673,348
Accumulated net realized loss		(1,019,928,992	)
Net unrealized depreciation		(69,993,516	)
	$	4,282,422,131
Net assets attributable to:
Class III shares	$	742,640,101
Class IV shares	$	1,015,464,185
Class VI shares	$	2,524,317,845
Shares outstanding:
Class III		26,856,878
Class IV		36,736,989
Class VI		91,399,593
Net asset value per share:
Class III	$	27.65
Class IV	$	27.64
Class VI	$	27.62

See accompanying notes to the financial statements. 21

GMO International Core Equity Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers (net of withholding taxes of $11,561,846)	$	107,226,654
Interest		56,898
Dividends from affiliated issuers (Note 10)		17,063
Total investment income		107,300,615
Expenses:
Management fee (Note 5)		9,595,838
Shareholder service fee – Class III (Note 5)		633,910
Shareholder service fee – Class IV (Note 5)		507,768
Shareholder service fee – Class VI (Note 5)		846,135
Custodian and fund accounting agent fees		977,224
Legal fees		92,736
Trustees fees and related expenses (Note 5)		47,918
Audit and tax fees		43,424
Transfer agent fees		23,276
Registration fees		8,280
Miscellaneous		53,188
Total expenses		12,829,697
Fees and expenses reimbursed by Manager (Note 5)		(1,179,164	)
Expense reductions (Note 2)		(126	)
Net expenses		11,650,407
Net investment income (loss)		95,650,208
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		199,167,803
Realized gains distributions from affiliated issuers (Note 10)		2,783
Futures contracts		6,860,770
Swap contracts		(628,857	)
Foreign currency, forward contracts and foreign currency related transactions		(14,202,676	)
Net realized gain (loss)		191,199,823
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(663,957,758	)
Futures contracts		(37,133,422	)
Foreign currency, forward contracts and foreign currency related transactions		423,135
Net unrealized gain (loss)		(700,668,045	)
Net realized and unrealized gain (loss)		(509,468,222	)
Net increase (decrease) in net assets resulting from operations	$	(413,818,014	)

22 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	95,650,208		$	112,967,386
Net realized gain (loss)		191,199,823			10,858,780
Change in net unrealized appreciation (depreciation)		(700,668,045	)		982,069,664
Net increase (decrease) in net assets from operations		(413,818,014	)		1,105,895,830
Distributions to shareholders from:
Net investment income
Class III		(11,218,241	)		(19,384,014	)
Class IV		(14,272,312	)		(23,845,517	)
Class VI		(36,686,850	)		(71,405,695	)
Total distributions from net investment income		(62,177,403	)		(114,635,226	)
Net share transactions (Note 9):
Class III		(30,817,653	)		(334,920,790	)
Class IV		(106,362,907	)		236,787,681
Class VI		(705,155,862	)		604,118,020
Increase (decrease) in net assets resulting from net share transactions		(842,336,422	)		505,984,911
Total increase (decrease) in net assets		(1,318,331,839	)		1,497,245,515
Net assets:
Beginning of period		5,600,753,970			4,103,508,455
End of period (including accumulated undistributed net investment income of $47,673,348 and $14,200,543, respectively)	$	4,282,422,131		$	5,600,753,970

See accompanying notes to the financial statements. 23

GMO International Core Equity Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	30.77		$	25.63		$	18.15		$	37.25		$	39.38		$	35.23
Income (loss) from investment operations:
Net investment income (loss)†		0.55			0.62			0.55			0.92			1.01			0.86
Net realized and unrealized gain (loss)		(3.28	)		5.11			7.79			(18.54	)		(0.51	)		6.06
Total from investment operations		(2.73	)		5.73			8.34			(17.62	)		0.50			6.92
Less distributions to shareholders:
From net investment income		(0.39	)		(0.59	)		(0.86	)		(1.19	)		(0.68	)		(0.77	)
From net realized gains		—			—			—			(0.29	)		(1.95	)		(2.00	)
Total distributions		(0.39	)		(0.59	)		(0.86	)		(1.48	)		(2.63	)		(2.77	)
Net asset value, end of period	$	27.65		$	30.77		$	25.63		$	18.15		$	37.25		$	39.38
Total Return(a)		(8.95	)%**		22.61	%		45.97	%		(48.61	)%		0.69	%		20.04	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	742,640		$	857,774		$	1,017,207		$	855,690		$	917,685		$	877,816
Net expenses to average daily net assets		0.53	%(b)(c)*		0.53	%(b)(c)		0.53	%(b)		0.53	%(d)		0.53	%(d)		0.53	%
Net investment income (loss) to average daily net assets		3.65	%*		2.28	%		2.22	%		3.08	%		2.44	%		2.29	%
Portfolio turnover rate		13	%**		40	%		48	%		41	%		43	%		47	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.05	%		0.05	%		0.05	%		0.05	%		0.05	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

24 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)

Financial Highlights — (Continued)
(For a Class IV share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	30.75		$	25.62		$	18.14		$	37.23		$	39.36		$	35.21
Income (loss) from investment operations:
Net investment income (loss)†		0.56			0.61			0.64			0.94			1.04			0.85
Net realized and unrealized gain (loss)		(3.27	)		5.13			7.71			(18.53	)		(0.52	)		6.09
Total from investment operations		(2.71	)		5.74			8.35			(17.59	)		0.52			6.94
Less distributions to shareholders:
From net investment income		(0.40	)		(0.61	)		(0.87	)		(1.21	)		(0.70	)		(0.79	)
From net realized gains		—			—			—			(0.29	)		(1.95	)		(2.00	)
Total distributions		(0.40	)		(0.61	)		(0.87	)		(1.50	)		(2.65	)		(2.79	)
Net asset value, end of period	$	27.64		$	30.75		$	25.62		$	18.14		$	37.23		$	39.36
Total Return(a)		(8.91	)%**		22.68	%		46.04	%		(48.56	)%		0.75	%		20.14	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,015,464		$	1,235,303		$	797,730		$	1,166,165		$	947,063		$	711,712
Net expenses to average daily net assets		0.47	%(b)(c)*		0.47	%(b)(c)		0.47	%(b)		0.47	%(d)		0.47	%(d)		0.47	%
Net investment income (loss) to average daily net assets		3.74	%**		2.24	%		2.65	%		3.18	%		2.51	%		2.27	%
Portfolio turnover rate		13	%**		40	%		48	%		41	%		43	%		47	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.05	%		0.05	%		0.05	%		0.05	%		0.05	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 25

GMO International Core Equity Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class VI share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007(a)
Net asset value, beginning of period	$	30.72		$	25.60		$	18.13		$	37.22		$	39.35		$	36.09
Income (loss) from investment operations:
Net investment income (loss)†		0.58			0.61			0.52			0.92			0.98			0.74
Net realized and unrealized gain (loss)		(3.28	)		5.13			7.83			(18.50	)		(0.45	)		5.33
Total from investment operations		(2.70	)		5.74			8.35			(17.58	)		0.53			6.07
Less distributions to shareholders:
From net investment income		(0.40	)		(0.62	)		(0.88	)		(1.22	)		(0.71	)		(0.81	)
From net realized gains		—			—			—			(0.29	)		(1.95	)		(2.00	)
Total distributions		(0.40	)		(0.62	)		(0.88	)		(1.51	)		(2.66	)		(2.81	)
Net asset value, end of period	$	27.62		$	30.72		$	25.60		$	18.13		$	37.22		$	39.35
Total Return(b)		(8.89	)%**		22.69	%		46.11	%		(48.56	)%		0.78	%		17.24	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	2,524,318		$	3,507,677		$	2,288,572		$	1,098,838		$	3,567,360		$	1,377,829
Net expenses to average daily net assets		0.44	%(c)(d)*		0.44	%(c)(d)		0.44	%(c)		0.44	%(e)		0.44	%(e)		0.44	%*
Net investment income (loss) to average daily net assets		3.84	%*		2.25	%		2.08	%		3.07	%		2.36	%		2.11	%*
Portfolio turnover rate		13	%**		40	%		48	%		41	%		43	%		47	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.05	%		0.05	%		0.05	%		0.05	%		0.05	%*

(a)	Period from March 28, 2006 (commencement of operations) through February 28, 2007.
(b)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover of the Fund for the year ended February 28, 2007.
*	Annualized.
**	Not annualized.

26 See accompanying notes to the financial statements.

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO International Core Equity Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks high total return. The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes will provide higher returns than the MSCI EAFE Index.

The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, market capitalization, and exposure to groups such as industry, sector, country or currency.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options, forward currency contracts and swap contracts. In addition, the Fund may lend its portfolio securities.

The Fund typically invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equities of companies tied economically to countries other than the U.S. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in equity investments. The terms “equities” and “equity investments” refer to direct and indirect investments in common stocks and

27

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. The Manager may make investments tied economically to emerging countries.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the period ended August 31, 2011, the Fund had three classes of shares outstanding: Class III, Class IV and Class VI. Each class of shares bears a different shareholder service fee.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented less than 0.1% of net assets. The Fund classifies such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

28

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		92.5	%
Futures Contracts		(0.7	)%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

29

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund used the following fair value technique on Level 3 investments: The Fund considered certain bankrupt securities to be near worthless.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Assets		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Common Stocks
Australia	$	13	$	218,678,398		$	—	$	218,678,411
Austria		—		31,086,743			—		31,086,743
Belgium		—		28,817,442			—		28,817,442
Canada		99,181,011		—			—		99,181,011
Denmark		—		43,373,440			—		43,373,440
Finland		—		27,011,454			—		27,011,454
France		13,741,843		473,316,431			—		487,058,274
Germany		10,713,542		273,636,724			—		284,350,266
Greece		—		15,454,765			—		15,454,765
Hong Kong		—		69,598,011			—		69,598,011
Ireland		—		39,839,706			—		39,839,706
Israel		—		12,588,911			—		12,588,911
Italy		—		220,443,263			—		220,443,263
Japan		—		1,029,938,260			5,136		1,029,943,396
Malta		—		0	*		—		0	*
Netherlands		—		45,075,017			—		45,075,017
New Zealand		16,955,440		7,484,336			—		24,439,776
Norway		—		8,526,708			—		8,526,708
Portugal		—		3,691,862			—		3,691,862
Singapore		—		86,206,101			—		86,206,101
Spain		—		149,802,383			—		149,802,383
Sweden		—		56,702,217			—		56,702,217
Switzerland		—		171,765,090			—		171,765,090
United Kingdom		—		889,295,185			—		889,295,185
TOTAL COMMON STOCKS		140,591,849		3,902,332,447			5,136		4,042,929,432

30

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Preferred Stocks
Germany	$	—	$	57,204,601	$	—	$	57,204,601
TOTAL PREFERRED STOCKS		—		57,204,601		—		57,204,601
Mutual Funds		67,509,048		—		—		67,509,048
Short-Term Investments		51,166,126		—		—		51,166,126
Total Investments		259,267,023		3,959,537,048		5,136		4,218,809,207
Derivatives **
Forward Currency Contracts
Foreign exchange risk		—		860,678		—		860,678
Futures Contracts
Equity risk		852,884		4,409,364		—		5,262,248
Total Derivatives		852,884		5,270,042		—		6,122,926
Total	$	260,119,907	$	3,964,807,090	$	5,136	$	4,224,932,133

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Derivatives **
Forward Currency Contracts
Foreign exchange risk	$	—	$	(4,566,097	)	$	—	$	(4,566,097	)
Futures Contracts
Equity risk		—		(35,634,989	)		—		(35,634,989	)
Total Derivatives		—		(40,201,086	)		—		(40,201,086	)
Total	$	—	$	(40,201,086	)	$	—	$	(40,201,086	)

* Represents the interest in securities that have no value at August 31, 2011.

31

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

** Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net value of the Fund’s direct investments in securities using Level 3 inputs was less than 0.1% of total net assets.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

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

																			Net Change in
																			Unrealized
																			Appreciation
																			(Depreciation)
																			from
																			Investments
	Balances										Change in						Balances		Still
	as of						Accrued		Total		Unrealized		Transfer		Transfer		as of		Held as of
	February 28,						Discounts/		Realized		Appreciation		into		out of		August 31,		August 31,
	2011		Purchases		Sales		Premiums		Gain/(Loss)		(Depreciation)		Level 3*		Level 3*		2011		2011
Common Stocks
Japan	$	4,808	$	—	$	—	$	—	$	—	$	328	$	—	$	—	$	5,136	$	328
Total	$	4,808	$	—	$	—	$	—	$	—	$	328	$	—	$	—	$	5,136	$	328

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transfers out of Level 3 at the value at the end of the period.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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

32

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

33

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Distributions in excess of tax basis earnings and profits, if significant, are reported in the financial statements as a return of capital for tax purposes.

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital losses of $7,185,707.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(215,235,940	)
February 28, 2018		(906,840,158	)
February 28, 2019		(47,181,759	)
Total	$	(1,169,257,857	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	4,325,360,057	$	465,010,928	$	(571,561,778	)	$	(106,550,850	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would

34

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

35

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

36

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

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

37

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even

38

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves

39

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. During the period ended August 31, 2011, the Fund used forward currency contracts to manage against anticipated currency exchange rate changes and adjust exposure to foreign currencies. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able

40

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust exposure to certain securities markets and maintain the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

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

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

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 Statement of Operations.

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 this range, then they will be valued at the closing bid

41

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

42

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, The Fund held swap agreements to achieve returns comparable to holding and lending a direct equity position. The Fund had no swap agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants received as a result of corporate actions. The Fund held no rights or warrants at the end of the period.

43

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Assets:
Unrealized appreciation on forward currency contracts	$	—	$	860,678		$	—	$	—		$	—	$	860,678
Unrealized appreciation on futures contracts *		—		—			—		5,262,248			—		5,262,248
Total	$	—	$	860,678		$	—	$	5,262,248		$	—	$	6,122,926
Liabilities:
Unrealized depreciation on forward currency contracts	$	—	$	(4,566,097	)	$	—	$	—		$	—	$	(4,566,097	)
Unrealized depreciation on futures contracts *		—		—			—		(35,634,989	)		—		(35,634,989	)
Total	$	—	$	(4,566,097	)	$	—	$	(35,634,989	)	$	—	$	(40,201,086	)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	—		$	—	$	(538,689	)	$	—	$	(538,689	)
Forward currency contracts		—		(14,531,170	)		—		—			—		(14,531,170	)
Futures contracts		—		—			—		6,860,770			—		6,860,770
Swap agreements		—		—			—		(628,857	)		—		(628,857	)
Total	$	—	$	(14,531,170	)	$	—	$	5,693,224		$	—	$	(8,837,946	)
Change in Unrealized Appreciation (Depreciation) on:
Forward currency contracts	$	—	$	209,248		$	—	$	—		$	—	$	209,248
Futures contracts		—		—			—		(37,133,422	)		—		(37,133,422	)
Total	$	—	$	209,248		$	—	$	(37,133,422	)	$	—	$	(36,924,174	)

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

44

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

            * The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants) or notional amounts (swap agreements) outstanding at each month-end, was as follows for the period ended August 31, 2011.

	Forward
	currency		Futures		Rights and/or
	contract		contracts		Warrants		Swap Agreements
Average amount outstanding	$	996,973,287	$	414,865,816	$	785,723	$	112,218

            * During the period ended August 31, 2011, the Fund did not hold swap agreements at any month-end, therefore, the average amount outstanding was calculated using daily outstanding notional amounts.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.38% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.09% for Class IV shares and 0.055% for Class VI shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.38% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These

45

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $47,918 and $18,320, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $635,166,674 and $1,481,696,033, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 20.58% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, less than 0.01% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 47.14% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

46

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,456,871		$	44,245,554			2,463,046		$	66,280,281
Shares issued to shareholders in reinvestment of distributions		348,053			10,361,527			560,802			15,619,160
Shares repurchased		(2,824,503	)		(85,424,734	)		(14,833,654	)		(416,820,231	)
Net increase (decrease)		(1,019,579	)	$	(30,817,653	)		(11,809,806	)	$	(334,920,790	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares			Amount
Shares sold		436,933		$	12,045,636			13,529,839		$	370,185,016
Shares issued to shareholders in reinvestment of distributions		419,841			12,490,271			844,993			23,555,860
Shares repurchased		(4,288,353	)		(130,898,814	)		(5,342,796	)		(156,953,195	)
Net increase (decrease)		(3,431,579	)	$	(106,362,907	)		9,032,036		$	236,787,681
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class VI:	Shares			Amount			Shares			Amount
Shares sold		5,941,120		$	167,661,755			40,476,055		$	1,042,988,639
Shares issued to shareholders in reinvestment of distributions		1,231,967			36,626,374			2,563,418			71,321,453
Shares repurchased		(29,941,085	)		(909,443,991	)		(18,277,138	)		(510,192,072	)
Net increase (decrease)		(22,767,998	)	$	(705,155,862	)		24,762,335		$	604,118,020

47

GMO International Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions
	beginning of				Sales		Dividend		of Realized		Value, end
Affiliate	period		Purchases		Proceeds		Income		Gains		of period
GMO U.S. Treasury Fund	$	52,104,000	$	109,839,000	$	94,442,924	$	17,063	$	2,783	$	67,509,048
Totals	$	52,104,000	$	109,839,000	$	94,442,924	$	17,063	$	2,783	$	67,509,048

48

GMO International Core Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five- and seven-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

49

GMO International Core Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

50

GMO International Core Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

51

GMO International Core Equity Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

52

GMO International Core Equity Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.53	%	$	1,000.00	$	910.50	$	2.55
2) Hypothetical		0.53	%	$	1,000.00	$	1,022.47	$	2.69
Class IV
1) Actual		0.47	%	$	1,000.00	$	910.90	$	2.26
2) Hypothetical		0.47	%	$	1,000.00	$	1,022.77	$	2.39
Class VI
1) Actual		0.44	%	$	1,000.00	$	911.10	$	2.11
2) Hypothetical		0.44	%	$	1,000.00	$	1,022.92	$	2.24

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

53

GMO International Equity Allocation Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Equity Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		91.6	%
Short-Term Investments		3.4
Preferred Stocks		3.3
Investment Funds		0.2
Debt Obligations		0.1
Rights/Warrants		0.0	Ù
Swap Agreements		(0.0	)Ù
Forward Currency Contracts		(0.0	)Ù
Futures Contracts		(0.6	)
Other		2.0
		100.0	%

Country / Region Summary**	% of Investments
Emerging***		26.6	%
Japan		18.8
United Kingdom		16.5
Germany		7.3
France		7.0
Switzerland		4.6
Italy		3.6
Spain		2.2
Canada		2.1
Hong Kong		1.9
Sweden		1.9
Singapore		1.8
Australia		1.5
Denmark		0.8
Netherlands		0.8
Finland		0.5
Austria		0.4
Belgium		0.4
Ireland		0.4
Greece		0.3
Israel		0.2
New Zealand		0.2
Norway		0.2
		100.0	%

1

GMO International Equity Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).
**	The table above 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 explosure through forward currency contracts.
***	The “Emerging” exposure is comprised of: Brazil, Chile, China, Czech Republic, Egypt, Hungary, India, Indonesia, Malaysia, Mexico, Morocco, Philippines, Poland, Russia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand, and Turkey.
Ù	Rounds to 0.0%.

2

GMO International Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	21,145,666	GMO Emerging Markets Fund, Class VI		271,933,262
	1,861,252	GMO Flexible Equities Fund, Class VI		33,353,630
	15,912,130	GMO International Growth Equity Fund, Class IV		357,704,675
	17,407,463	GMO International Intrinsic Value Fund, Class IV		355,286,322
		TOTAL MUTUAL FUNDS (COST $913,695,226)		1,018,277,889
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	32,222	State Street Eurodollar Time Deposit, 0.01%, due 09/01/11		32,222
		TOTAL SHORT-TERM INVESTMENTS (COST $32,222)		32,222
		TOTAL INVESTMENTS — 100.0% (Cost $913,727,448)		1,018,310,111
		Other Assets and Liabilities (net) — (0.0%)		(95,889	)
		TOTAL NET ASSETS — 100.0%	$	1,018,214,222

See accompanying notes to the financial statements. 3

GMO International Equity Allocation Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $32,222) (Note 2)	$	32,222
Investments in affiliated issuers, at value (cost $913,695,226) (Notes 2 and 10)		1,018,277,889
Receivable for expenses reimbursed by Manager (Note 5)		14,997
Total assets		1,018,325,108
Liabilities:
Payable to affiliate for (Note 5):
Trustees and Trust Officers or agents unaffiliated with the Manager		2,575
Accrued expenses		108,311
Total liabilities		110,886
Net assets	$	1,018,214,222
Net assets consist of:
Paid-in capital	$	1,077,412,953
Accumulated undistributed net investment income		10,906,683
Accumulated net realized loss		(174,688,077	)
Net unrealized appreciation		104,582,663
	$	1,018,214,222
Net assets attributable to:
Class III shares	$	1,018,214,222
Shares outstanding:
Class III		101,385,342
Net asset value per share:
Class III	$	10.04

4 See accompanying notes to the financial statements.

GMO International Equity Allocation Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	10,982,315
Interest		3
Total investment income		10,982,318
Expenses:
Custodian, fund accounting agent and transfer agent fees		25,944
Legal fees		22,172
Audit and tax fees		17,112
Trustees fees and related expenses (Note 5)		11,250
Registration fees		2,484
Miscellaneous		26,514
Total expenses		105,476
Fees and expenses reimbursed by Manager (Note 5)		(89,884	)
Expense reductions (Note 2)		(74	)
Net expenses		15,518
Net investment income (loss)		10,966,800
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(61,126,063	)
Realized gains distributions from affiliated issuers (Note 10)		24,763,258
Net realized gain (loss)		(36,362,805	)
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(47,541,580	)
Net realized and unrealized gain (loss)		(83,904,385	)
Net increase (decrease) in net assets resulting from operations	$	(72,937,585	)

See accompanying notes to the financial statements. 5

GMO International Equity Allocation Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	10,966,800		$	15,938,864
Net realized gain (loss)		(36,362,805	)		(52,192,432	)
Change in net unrealized appreciation (depreciation)		(47,541,580	)		281,822,523
Net increase (decrease) in net assets from operations		(72,937,585	)		245,568,955
Distributions to shareholders from:
Net investment income
Class III		(1,957,852	)		(18,783,271	)
Net share transactions (Note 9):
Class III		(184,875,531	)		32,524,189
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		434,278			509,786
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(184,441,253	)		33,033,975
Total increase (decrease) in net assets		(259,336,690	)		259,819,659
Net assets:
Beginning of period		1,277,550,912			1,017,731,253
End of period (including accumulated undistributed net investment income of $10,906,683 and $1,897,735, respectively)	$	1,018,214,222		$	1,277,550,912

6 See accompanying notes to the financial statements.

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	10.80		$	8.96		$	6.17		$	16.45		$	17.96		$	17.13
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.10			0.13			0.28			0.40			0.31			0.33
Net realized and unrealized gain (loss)		(0.84	)		1.87			2.81			(7.20	)		1.32			2.85
Total from investment operations		(0.74	)		2.00			3.09			(6.80	)		1.63			3.18
Less distributions to shareholders:
From net investment income		(0.02	)		(0.16	)		(0.20	)		(0.39	)		(1.00	)		(0.83	)
From net realized gains		—			—			(0.10	)		(3.09	)		(2.14	)		(1.52	)
Total distributions		(0.02	)		(0.16	)		(0.30	)		(3.48	)		(3.14	)		(2.35	)
Net asset value, end of period	$	10.04		$	10.80		$	8.96		$	6.17		$	16.45		$	17.96
Total Return(b)		(6.89	)%**		22.43	%		50.37	%		(48.63	)%		7.81	%		19.33	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,018,214		$	1,277,551		$	1,017,731		$	519,663		$	755,542		$	758,757
Net expenses to average daily net assets(c)(d)		0.00	%(e)*		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%
Net investment income (loss) to average daily net assets(a)		1.78	%*		1.39	%		3.21	%		3.46	%		1.66	%		1.87	%
Portfolio turnover rate		5	%**		13	%		11	%		33	%		9	%		4	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.01	%		0.02	%		0.02	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	(f)	$	0.00	(f)	$	0.01		$	0.01		$	0.00	(f)	$	0.00	(f)

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	Net expenses to average daily net assets were less than 0.01%.
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 7

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO International Equity Allocation Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return greater than that of its benchmark, the MSCI ACWI ex-U.S. Index. The Fund is a fund of funds and invests primarily in shares of the GMO International Equity Funds. The Fund also may invest in shares of other GMO Funds, including the GMO Fixed Income Funds, GMO Alpha Only Fund and GMO Alternative Asset Opportunity Fund (GMO Funds in which the Fund invests are collectively referred to as “underlying funds”). In addition, the Fund may hold securities directly. Although the Fund’s primary exposure is to foreign equity investments (which may include emerging country equities, both growth and value style equities and equities of any market capitalization), the Fund also may have exposure to foreign and U.S. fixed income securities (including fixed income securities of any credit quality and having any maturity or duration), as well as to the investment returns of commodities and, from time to time, other alternative asset classes. Under normal circumstances, the Fund invests (including through investment in the underlying funds) at least 80% of its assets in equity investments. The term “equity investments” refers to direct and indirect (e.g., through the underlying funds) investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

The Manager uses multi-year forecasts of relative value and risk among asset classes (e.g., foreign equity, emerging country equity, emerging country debt, foreign fixed income, U.S. fixed income and commodities) to select the underlying funds in which the Fund invests and to decide how much to invest in each. The Manager changes the Fund’s holdings of underlying funds in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect) or by visiting GMO’s website at www.gmo.com.

8

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other investment funds are generally valued at their net asset value. Investments held by the underlying funds are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of GMO trust represented 1.3% of net assets. Those underlying funds classify such securities (as defined below) as Level 3.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund either directly or through investments in the underlying funds that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and

9

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

derivatives) are classified as being valued using Level 2 inputs in the table below or in the disclosures in the underlying funds.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		84.2	%
Futures Contracts		(0.6	)%
Swap Agreements		(0.0	)%Ù

            ^Ù Rounds to 0.0%.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

10

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds	$	1,018,277,889	$	—	$	—	$	1,018,277,889
Short-Term Investments		32,222		—		—		32,222
Total Investments		1,018,310,111		—		—		1,018,310,111
Total	$	1,018,310,111	$	—	$	—	$	1,018,310,111

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s indirect investments in securities using Level 3 inputs were 1.3% of total net assets.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at

11

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital losses of $15,531,973.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(165,440	)
February 28, 2019		(3,574,248	)
Total	$	(3,739,688	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	1,052,464,306	$	—	$	(34,154,195	)	$	(34,154,195	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did

12

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and the fee on cash redemptions were each 0.21% of the amount invested or redeemed. Purchase premiums and redemption fees are paid to and retained by the Fund to help offset non-de minimis 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) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing fee at any time.

13

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of a Fund’s shares if the Fund will not incur transaction costs or will incur/reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund’s investments in the underlying funds. Some of the underlying funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market value of a particular security held by those Funds may affect their performance more than if they were diversified. The principal risks of investing in the Fund are summarized below, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those

14

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

investments. An underlying fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund and the underlying funds normally do not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund or an underlying fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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

15

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Commodities Risk — To the extent an underlying fund has exposure to global commodity markets, the value of its shares is affected by factors particular to the commodity markets and may fluctuate more than the value of shares of a fund with a broader range of investments.

• Leveraging Risk — The use of reverse repurchase agreements and other derivatives and securities lending may cause the Fund’s portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Short Sales Risk — The Fund runs the risk that an underlying fund’s loss on a short sale of securities that the underlying fund does not own is unlimited.

• Market Risk — Fixed Income Securities — Typically, the market value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment

16

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments.

5. Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not charge the Fund a management fee or shareholder service fee, but it receives management and 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 the Manager’s asset allocation decisions.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This contractual expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

17

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $11,250 and $4,341, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder	Indirect Shareholder
service fees)	Service Fees	Total Indirect Expenses
0.587%	0.080%	0.667%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and class exchanges, for the period ended August 31, 2011 aggregated $64,709,407 and $215,346,710, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 10.34% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.02% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

18

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,235,853		$	13,366,845			16,477,257		$	149,910,732
Shares issued to shareholders in reinvestment of distributions		167,043			1,872,548			1,752,100			17,463,440
Shares repurchased		(18,328,703	)		(200,114,924	)		(13,525,592	)		(134,849,983	)
Purchase premiums		—			21,315			—			280,115
Redemption fees		—			412,963			—			229,671
Net increase (decrease)		(16,925,807	)	$	(184,441,253	)		4,703,765		$	33,033,975

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO Emerging Markets Fund, Class VI	$	331,226,965	$	24,763,258	$	50,536,799	$	—	$	24,763,258	$	271,933,262
GMO Flexible Equities Fund, Class VI		22,278,407		15,396,941		1,718,047		—		—		33,353,630
GMO International Growth Equity Fund, Class IV		461,803,642		8,475,600		91,817,735		2,914,653		—		357,704,675
GMO International Intrinsic Value Fund, Class IV		462,273,821		16,073,608		71,274,129		8,067,662		—		355,286,322
Totals	$	1,277,582,835	$	64,709,407	$	215,346,710	$	10,982,315	$	24,763,258	$	1,018,277,889

19

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

20

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other funds of the Trust in which the Fund invests. The Trustees also considered other so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees noted that they had approved renewal of the Manager’s management agreements with the other funds of the Trust in which the Fund may invest and had concluded that the advisory fees charged to those funds were reasonable, after considering, among other things: possible economies of scale to the Manager in connection with its management of other funds; the Manager’s profitability with respect to those other funds and the Trust as a whole; and information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives to those funds in which the Fund invests.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the

21

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

22

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including indirect management fees, indirect shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

23

GMO International Equity Allocation Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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 premiums and redemption fees. Therefore, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.67	%	$	1,000.00	$	931.10	$	3.25
2) Hypothetical		0.67	%	$	1,000.00	$	1,021.77	$	3.40

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

24

GMO International Growth Equity Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Growth Equity Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		92.9	%
Short-Term Investments		2.4
Mutual Funds		2.1
Preferred Stocks		1.1
Futures Contracts		(0.5	)
Rights/Warrants		0.0	Ù
Forward Currency Contracts		0.0	Ù
Other		2.0
		100.0	%

Country Summary*	% of Investments
United Kingdom		27.0	%
Japan		19.5
Germany		12.7
Switzerland		9.7
France		7.1
Sweden		4.3
Hong Kong		3.9
Canada		3.7
Singapore		2.6
Australia		2.2
Denmark		1.8
Netherlands		1.7
Spain		1.1
Finland		0.8
Belgium		0.6
Norway		0.4
Austria		0.3
Greece		0.2
Ireland		0.2
Israel		0.1
Italy		0.1
		100.0	%

Ù

Rounds to 0.0%.

*

The table above 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 agreements and other derivative financial instruments, if any.

1

GMO International Growth Equity Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Industry Group Summary	% of Equity Investments**
Pharmaceuticals, Biotechnology & Life Sciences		15.4	%
Capital Goods		11.9
Materials		11.6
Food, Beverage & Tobacco		9.5
Automobiles & Components		5.2
Energy		4.7
Technology Hardware & Equipment		4.2
Telecommunication Services		3.9
Retailing		3.7
Banks		3.7
Software & Services		2.9
Utilities		2.6
Food & Staples Retailing		2.5
Household & Personal Products		2.4
Diversified Financials		2.1
Media		2.0
Transportation		1.9
Commercial & Professional Services		1.9
Health Care Equipment & Services		1.8
Consumer Durables & Apparel		1.7
Insurance		1.3
Consumer Services		1.2
Real Estate		1.1
Semiconductors & Semiconductor Equipment		0.8
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

2

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.9%
		Australia — 4.6%
	1,234,629	BHP Billiton Ltd		52,528,184
	717,040	BlueScope Steel Ltd		631,597
	83,531	Cochlear Ltd		6,778,082
	198,959	CSL Ltd		5,998,726
	241,212	Iluka Resources Ltd		4,280,085
	370,819	National Australia Bank Ltd		9,458,333
	658,412	Qantas Airways Ltd *		1,109,679
	28,900	Rio Tinto Ltd		2,260,161
	78,943	Sims Metal Management Ltd		1,304,691
	1,642,067	Telstra Corp Ltd		5,321,157
	477,008	Wesfarmers Ltd		15,726,997
	395,783	Westpac Banking Corp		8,765,107
	271,020	Woodside Petroleum Ltd		10,243,580
	995,147	Woolworths Ltd		26,849,467
		Total Australia		151,255,846
		Austria — 0.3%
	39,776	Andritz AG		3,682,156
	363,023	Immofinanz AG *		1,295,235
	946,419	Immofinanz AG (Entitlement Shares) *		—
	43,841	Raiffeisen International Bank Holding		1,815,307
	79,113	Voestalpine AG		3,044,313
		Total Austria		9,837,011
		Belgium — 0.6%
	51,174	Bekaert NV		2,907,858
	122,585	Colruyt SA		6,414,448
	69,806	Mobistar SA		4,520,211
	66,035	Telenet Group Holding NV *		2,676,211
	68,297	Umicore SA		3,296,772
		Total Belgium		19,815,500

See accompanying notes to the financial statements. 3

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Canada — 3.5%
	29,500	Agrium Inc		2,529,776
	54,700	Barrick Gold Corp		2,784,433
	304,300	Canadian National Railway Co		22,382,037
	248,400	Enbridge Inc		8,243,643
	78,300	IGM Financial Inc		3,543,609
	140,600	Imperial Oil Ltd		5,765,849
	84,500	Magna International Inc Class A		3,208,981
	39,000	Metro Inc Class A		1,856,214
	221,800	Potash Corp of Saskatchewan Inc		12,787,530
	220,300	Research In Motion Ltd *		7,126,625
	172,900	Rogers Communications Inc Class B		6,710,843
	75,200	Saputo Inc		3,100,762
	127,700	Shoppers Drug Mart Corp		5,185,979
	156,300	Silver Wheaton Corp		6,194,223
	268,900	Suncor Energy Inc		8,616,442
	88,000	Teck Resources Ltd Class B		3,908,915
	222,196	Valeant Pharmaceuticals International Inc		9,960,589
		Total Canada		113,906,450
		Denmark — 1.8%
	225,760	Danske Bank A/S *		3,333,372
	460,228	Novo-Nordisk A/S Class B		49,024,468
	42,518	Novozymes A/S Class B		6,208,865
		Total Denmark		58,566,705
		Finland — 0.8%
	100,375	Alma Media Corp		927,431
	164,942	Kone Oyj Class B		9,749,556
	90,602	Metso Oyj		3,432,378
	68,893	Nokian Renkaat Oyj		2,554,798
	55,668	Sampo Oyj Class A		1,598,443
	209,304	UPM–Kymmene Oyj		2,737,982
	187,892	Wartsila Oyj		5,222,716
		Total Finland		26,223,304

4 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		France — 6.7%
	124,794	Air France–KLM *		1,223,370
	37,598	Air Liquide SA		4,883,075
	1,821,046	Alcatel-Lucent *		6,667,515
	62,909	Arkema		4,864,798
	226,419	BNP Paribas		11,646,188
	77,048	Bureau Veritas SA		6,269,828
	182,709	Carrefour SA		4,866,164
	19,406	Christian Dior SA		2,810,370
	260,807	Compagnie de Saint-Gobain		13,099,669
	75,324	Compagnie Generale des Etablissements Michelin-Class B		5,512,382
	184,179	Credit Agricole SA		1,800,655
	133,721	Danone SA		9,127,025
	55,638	Dassault Systemes SA		4,504,484
	92,213	Essilor International SA		7,060,749
	103,622	European Aeronautic Defense and Space Co NV		3,281,614
	85,766	Eutelsat Communications		3,816,281
	18,279	ICADE (REIT)		1,847,873
	30,534	Iliad SA		3,657,999
	98,477	L’Oreal SA		10,688,283
	86,708	Legrand SA		3,434,172
	47,766	LVMH Moet Hennessy Louis Vuitton SA		8,061,170
	20,651	Neopost SA		1,485,728
	120,944	Peugeot SA		3,696,575
	210,112	Renault SA		8,537,960
	87,798	Rhodia SA		3,971,542
	94,497	Safran SA		3,655,572
	390,650	Sanofi		28,489,309
	100,716	Schneider Electric SA		13,413,223
	219,715	SES SA		6,005,679
	105,524	Societe Generale		3,533,557
	224,805	STMicroelectronics NV		1,491,034
	26,889	Technip SA		2,622,318
	53,648	Total SA		2,619,925
	83,453	Valeo SA		4,404,824

See accompanying notes to the financial statements. 5

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		France — continued
	120,682	Vinci SA		6,297,023
	41,121	Wendel		3,497,135
	49,833	Zodiac Aerospace		4,006,221
		Total France		216,851,289
		Germany — 8.2%
	69,960	Adidas AG		4,870,840
	66,547	Aixtron AG		1,495,624
	18,557	Allianz SE (Registered)		1,908,960
	55,119	Aurubis AG		3,231,230
	748,934	BASF AG		53,259,087
	233,222	Bayerische Motoren Werke AG		18,869,044
	59,394	Beiersdorf AG		3,491,394
	47,649	Bilfinger & Berger SE		3,996,935
	48,998	Continental AG *		3,612,533
	178,521	Daimler AG (Registered)		9,643,708
	38,948	Deutsche Boerse AG *		2,257,814
	314,270	Deutsche Lufthansa AG (Registered)		5,303,632
	18,771	Fielmann AG		2,010,921
	35,075	Fraport AG		2,453,841
	40,104	Fresenius SE & Co KGaA		4,143,357
	35,278	Fresenius Medical Care AG & Co		2,389,160
	167,947	GEA Group AG		4,918,249
	32,400	Hochtief AG		2,305,409
	1,032,933	Infineon Technologies AG		8,771,215
	107,460	K+S AG		7,541,517
	67,192	Kabel Deutschland Holding AG *		3,751,663
	150,339	Kloeckner & Co SE		2,493,300
	103,865	Lanxess AG		6,461,729
	57,630	Leoni AG		2,468,413
	53,711	Linde AG		8,217,725
	86,361	MAN SE		11,289,239
	43,432	Merck KGaA		3,889,614
	69,962	Metro AG		3,080,225

6 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	30,846	Rheinmetall AG		2,043,731
	801,644	SAP AG		43,717,147
	160,793	Siemens AG (Registered)		16,540,465
	67,059	Software AG		2,938,464
	51,791	Stada Arzneimittel AG		1,821,248
	93,514	Suedzucker AG		3,269,933
	114,361	ThyssenKrupp AG		3,840,008
	40,490	Volkswagen AG		6,150,201
		Total Germany		268,447,575
		Greece — 0.2%
	257,869	Alpha Bank A.E. *		831,317
	213,637	EFG Eurobank Ergasias *		488,727
	381,931	National Bank of Greece SA *		1,687,372
	248,210	OPAP SA		3,011,432
		Total Greece		6,018,848
		Hong Kong — 3.8%
	2,767,200	AIA Group Ltd		9,793,558
	508,500	BOC Hong Kong Holdings Ltd		1,401,573
	199,000	Cheung Kong Holdings Ltd		2,804,724
	1,460,500	CLP Holdings Ltd		13,507,847
	1,393,274	Esprit Holdings Ltd		3,922,589
	1,253,000	Galaxy Entertainment Group Ltd *		3,138,182
	452,000	Hang Seng Bank Ltd		6,689,133
	4,988,374	Hong Kong & China Gas		11,738,099
	89,200	Hong Kong Aircraft Engineering Co Ltd		1,199,278
	598,900	Hong Kong Exchanges & Clearing Ltd		11,214,839
	1,473,000	Hutchison Whampoa Ltd		14,146,799
	84,400	Jardine Matheson Holdings Ltd		4,679,874
	1,382,500	Power Assets Holdings Ltd		10,701,354
	2,309,600	Sands China Ltd *		7,261,544
	2,671,000	SJM Holdings Ltd		6,156,888
	132,000	Sun Hung Kai Properties Ltd		1,864,310

See accompanying notes to the financial statements. 7

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	469,000	Swire Pacific Ltd		6,270,500
	1,408,000	Wynn Macau Ltd		4,528,903
	2,540,000	Xinyi Glass Holdings Ltd		1,509,168
		Total Hong Kong		122,529,162
		Ireland — 0.2%
	411,227	CRH Plc		7,261,997
		Israel — 0.1%
	169,275	Israel Chemicals Ltd		2,438,190
		Italy — 0.4%
	66,940	Assicurazioni Generali SPA		1,208,938
	1,275,971	Enel SPA		6,223,377
	153,164	Mediobanca SPA		1,411,810
	56,685	Saipem SPA		2,539,886
		Total Italy		11,384,011
		Japan — 18.8%
	41,300	ABC-Mart Inc		1,574,349
	315,000	Asahi Glass Co Ltd		3,100,963
	86,100	Astellas Pharma Inc		3,253,822
	168,600	Bridgestone Corp		3,761,439
	821,850	Canon Inc		38,781,841
	192	Central Japan Railway Co		1,605,394
	294,700	Chugai Pharmaceutical Co Ltd		5,169,065
	248,000	Daihatsu Motor Co Ltd		4,137,410
	160,700	Daiichi Sankyo Co Ltd		3,213,914
	146,500	Daito Trust Construction Co Ltd		13,583,657
	117,200	Dena Co Ltd		6,112,456
	76,000	Denso Corp		2,429,690
	579,000	DIC Corp		1,277,853
	178,300	Eisai Co Ltd		7,609,919
	133,800	Fanuc Ltd		22,271,467
	55,500	Fast Retailing Co Ltd		10,599,203

8 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	521,000	Fuji Heavy Industries Ltd		3,268,494
	45,600	Hirose Electric Co Ltd		4,287,820
	120,500	Hisamitsu Pharmaceutical Co Inc		5,130,120
	3,816,000	Hitachi Ltd		20,642,757
	738,800	Honda Motor Co Ltd		24,073,800
	427,900	Hoya Corp		9,446,476
	23,400	Idemitsu Kosan Co Ltd		2,453,802
	1,091,000	IHI Corporation		2,767,373
	1,980	INPEX Corp		13,498,366
	688,000	Isuzu Motors Ltd		3,097,123
	149,000	Itochu Corp		1,608,241
	87,700	Ito En Ltd		1,608,656
	1,500	Japan Tobacco Inc		6,483,313
	138,000	JGC Corp		3,936,797
	900,400	JX Holdings Inc		5,732,529
	41,200	K’s Holdings Corp		1,815,978
	95,600	Kakaku.com Inc		3,545,476
	614,800	Kao Corp		16,332,997
	767,000	Kawasaki Kisen Kaisha Ltd		1,981,420
	1,848	KDDI Corp		13,863,670
	43,430	Keyence Corp		11,697,082
	1,108,000	Kintetsu Corp		4,218,111
	1,095,000	Kobe Steel Ltd		2,048,573
	800,300	Komatsu Ltd		21,346,243
	142,000	Kuraray Co Ltd		2,047,593
	113,300	Lawson Inc		6,177,842
	104,100	Makita Corp		4,330,578
	1,050,000	Marubeni Corp		6,658,106
	875,000	Mazda Motor Corp *		1,884,631
	163,000	Mitsubishi Estate Co Ltd		2,691,282
	848,000	Mitsubishi Heavy Industries Ltd		3,604,551
	1,254,500	Mitsubishi Chemical Holdings Corp		8,831,580
	65,800	Mitsubishi Corp		1,583,266
	656,000	Mitsubishi Electric Corp		6,563,366

See accompanying notes to the financial statements. 9

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	484,800	Mitsui & Co Ltd		8,317,957
	315,000	Mitsui OSK Lines Ltd		1,333,728
	120,700	Murata Manufacturing Co Ltd		7,366,826
	86,400	Nabtesco Corp		1,936,282
	40,100	Nidec Corp		3,511,162
	49,900	Nintendo Co Ltd		8,797,694
	1,123,600	Nissan Motor Co Ltd		10,331,976
	91,050	Nitori Holdings Co Ltd		9,334,351
	124,000	Nitto Denko Corp		4,857,989
	148,100	Nomura Research Institute Ltd		3,353,653
	7,731	NTT Docomo Inc		14,093,263
	557,000	Odakyu Electric Railway Co Ltd		4,974,861
	73,400	Olympus Corp		2,145,022
	54,600	Ono Pharmaceutical Co Ltd		3,153,920
	51,400	Oriental Land Co Ltd		5,105,144
	12,730	ORIX Corp		1,156,127
	4,389	Rakuten Inc		4,958,525
	775,700	Resona Holdings Inc		3,530,463
	337,000	Ricoh Company Ltd		3,063,885
	74,400	Sankyo Co Ltd		3,819,708
	44,300	Santen Pharmaceutical Co Ltd		1,761,857
	29,500	Sawai Pharmaceuticals Co Ltd		3,017,913
	138,700	Secom Co Ltd		6,455,520
	163,200	Sega Sammy Holdings Inc		3,792,314
	706	Seven Bank Ltd		1,371,602
	28,000	Shimamura Co Ltd		2,798,693
	361,000	Shimizu Corp		1,620,264
	109,100	Shin-Etsu Chemical Co Ltd		5,534,293
	187,200	Shionogi & Co Ltd		3,023,479
	284,000	Shiseido Co Ltd		5,438,769
	36,300	SMC Corp		5,753,056
	193,900	SoftBank Corp		6,446,185
	203,400	Stanley Electric Co Ltd		2,929,337
	345,200	Sumitomo Corp		4,524,437

10 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	138,400	Sysmex Corp		5,227,431
	536,600	Takeda Pharmaceutical Co Ltd		25,989,477
	641,000	Teijin Ltd		2,471,759
	189,700	Terumo Corp		10,013,965
	374,000	Tobu Railway Co Ltd		1,713,719
	1,229,000	Toray Industries Inc		9,344,587
	688,000	Toshiba Corp		3,002,351
	92,400	Toyota Tsusho Corp		1,546,561
	107,000	Toyo Suisan Kaisha Ltd		2,833,186
	158,400	Trend Micro Inc		5,001,622
	116,500	Tsumura & Co		3,610,631
	142,000	Unicharm Corp		6,746,742
	22,420	Yahoo Japan Corp		7,271,496
	96,930	Yamada Denki Co Ltd		7,127,804
	61,700	Yamato Kogyo Co Ltd		1,593,224
		Total Japan		610,845,264
		Netherlands — 1.5%
	226,440	Aegon NV *		1,019,628
	80,900	ASML Holding NV		2,850,249
	343,353	ING Groep NV *		2,979,400
	942,313	Koninklijke KPN NV		13,326,340
	340,084	Reed Elsevier NV		4,013,826
	760,195	Unilever NV		25,766,153
		Total Netherlands		49,955,596
		Norway — 0.4%
	1,015,622	Golden Ocean Group Ltd		886,285
	303,962	Norsk Hydro ASA		1,851,571
	103,715	TGS Nopec Geophysical Co ASA		2,594,725
	143,483	Yara International ASA		7,894,177
		Total Norway		13,226,758

See accompanying notes to the financial statements. 11

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Singapore — 2.5%
	2,313,000	Cosco Corp		2,150,241
	1,559,000	Ezra Holdings Ltd		1,288,156
	1,807,000	Genting Singapore Plc *		2,496,376
	11,242,000	Golden Agri-Resources Ltd		6,157,653
	1,392,000	Hyflux Ltd		1,999,889
	1,373,900	Keppel Corp Ltd		10,611,183
	2,275,000	Midas Holdings Ltd		888,563
	1,093,000	SATS Ltd		2,060,281
	895,000	Sembcorp Industries Ltd		3,205,073
	1,069,000	SembCorp Marine Ltd		3,619,834
	943,000	Singapore Exchange Ltd		5,490,722
	2,509,000	Singapore Press Holdings Ltd		7,915,217
	3,057,000	Singapore Technologies Engineering Ltd		7,463,309
	5,694,500	Singapore Telecommunications		14,715,571
	1,975,000	SMRT Corp Ltd		2,965,380
	1,406,000	StarHub Ltd		3,359,955
	880,000	Wilmar International Ltd		3,868,031
	2,008,000	Yangzijiang Shipbuilding Holdings Ltd		1,934,269
		Total Singapore		82,189,703
		Spain — 1.0%
	16,096	Acciona SA		1,505,301
	182,709	Distribuidora Internacional de Alimentacion SA *		787,384
	65,885	Enagas		1,380,568
	215,331	Inditex SA		18,300,079
	114,810	Red Electrica de Espana		5,641,044
	111,134	Repsol YPF SA		3,198,451
	139,304	Telefonica SA		2,896,150
		Total Spain		33,708,977
		Sweden — 4.0%
	281,146	Alfa Laval AB		5,519,027
	91,996	Alliance Oil Company Ltd SDR *		1,146,003
	425,676	Atlas Copco AB		8,552,260

12 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	519,218	Atlas Copco AB Class A		11,700,020
	202,951	Boliden AB		2,786,923
	140,723	Elekta AB Class B		5,269,395
	779,363	Ericsson LM B Shares		8,746,534
	842,850	Hennes & Mauritz AB Class B		26,257,429
	226,831	Hexagon AB Class B		3,832,120
	390,576	Investor AB B Shares		7,687,256
	73,407	Kinnevik Investment AB		1,566,015
	121,374	Lundin Petroleum AB *		1,839,177
	50,685	Millicom International Cellular SA SDR		5,689,092
	20,480	Modern Times Group AB Class B		1,056,415
	37,627	Oriflame Cosmetics SA SDR		1,697,305
	367,307	Sandvik AB		4,883,606
	253,826	Scania AB Class B		4,603,095
	678,979	Skandinaviska Enskilda Banken AB Class A		4,017,627
	298,720	SKF AB Class B		7,035,844
	635,590	Swedbank AB Class A		8,738,051
	106,602	Swedish Match AB		3,866,180
	392,301	Volvo AB Class B		4,873,458
		Total Sweden		131,362,832
		Switzerland — 9.5%
	131,896	Compagnie Financiere Richemont SA Class A		7,625,388
	21,061	Geberit AG (Registered) *		4,412,036
	25,499	Kuehne & Nagel International AG (Registered)		3,554,637
	1,650,832	Nestle SA (Registered)		102,144,560
	72,257	Nobel Biocare Holding AG *		916,169
	935,740	Novartis AG (Registered)		54,599,545
	717,785	Roche Holding AG (Non Voting)		125,514,809
	4,260	SGS SA (Registered)		7,901,446
	5,973	Swisscom AG (Registered)		2,677,925
		Total Switzerland		309,346,515

See accompanying notes to the financial statements. 13

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 24.0%
	400,314	Admiral Group Plc		8,865,709
	417,212	Aggreko Plc		13,095,380
	300,267	AMEC Plc		4,447,279
	823,027	Ando Corp		2,675,080
	327,584	Antofagasta Plc		7,117,987
	1,001,102	ARM Holdings Plc		9,184,360
	151,674	ASOS Plc *		4,855,141
	336,160	AstraZeneca Plc		15,917,627
	853,308	BAE Systems Plc		3,807,646
	884,002	Balfour Beatty Plc		3,580,480
	1,631,101	Barclays Plc		4,506,744
	1,483,379	BG Group Plc		31,990,069
	358,293	BHP Billiton Plc		12,194,778
	691,670	BP Plc		4,514,548
	1,690,380	British American Tobacco Plc		75,207,821
	881,381	British Sky Broadcasting Group Plc		9,446,151
	6,404,384	BT Group Plc		17,762,355
	902,736	Burberry Group Plc		20,133,175
	653,827	Capita Group Plc		7,517,991
	1,174,242	Centrica Plc		5,689,576
	243,230	Chemring Group Plc		2,206,108
	1,477,786	Cobham Plc		4,588,503
	332,023	Croda International Plc		9,710,583
	1,935,967	Diageo Plc		38,899,739
	126,372	Eurasian Natural Resources Corp		1,391,185
	897,556	Experian Plc		10,230,122
	246,159	Fresnillo Plc		8,390,546
	1,229,254	GKN Plc		4,023,951
	4,464,800	GlaxoSmithKline Plc		95,052,807
	1,117,071	HSBC Holdings Plc		9,729,710
	602,106	ICAP Plc		4,646,954
	336,543	IMI Plc		4,866,596
	513,363	Inchcape Plc		2,686,035
	264,846	Inmarsat Plc		2,020,026

14 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	163,714	InterContinental Hotels Group Plc		2,759,309
	430,040	International Power Plc		2,369,700
	205,634	Intertek Group Plc		6,730,503
	183,276	Investec Plc		1,283,597
	2,830,044	ITV Plc *		2,811,401
	304,759	John Wood Group Plc		2,933,472
	82,336	Johnson Matthey Plc		2,275,091
	616,471	Kingfisher Plc		2,363,562
	320,007	Land Securities Group Plc (REIT)		3,822,771
	2,058,267	Legal & General Group Plc		3,503,680
	721,266	LG Group Holdings Plc		5,240,203
	19,778,916	Lloyds Banking Group Plc *		10,788,697
	131,775	London Stock Exchange Group Plc		1,964,551
	1,030,058	Man Group Plc		3,730,696
	1,364,099	Marks & Spencer Group Plc		7,130,991
	307,887	Micro Focus International Plc		1,550,778
	485,366	National Grid Plc		4,889,892
	213,711	Next Plc		8,183,635
	279,761	Pearson Plc		5,056,608
	199,823	Pennon Group Plc		2,094,361
	331,337	Petrofac Ltd		7,342,342
	821,606	Prudential Plc		8,276,333
	525,679	Reckitt Benckiser Group Plc		27,884,681
	1,028,647	Reed Elsevier Plc		8,393,445
	549,217	Resolution Ltd		2,375,001
	241,297	Rightmove Plc		5,084,804
	623,726	Rio Tinto Plc		38,021,390
	3,653,248	Royal Bank of Scotland Group Plc *		1,436,050
	79,434	Royal Dutch Shell Plc A Shares (London)		2,657,176
	562,800	Royal Dutch Shell Plc B Shares (London)		18,939,617
	658,507	Sage Group Plc (The)		2,686,308
	159,492	Schroders Plc		3,838,955
	374,847	Scottish & Southern Energy Plc		7,894,508
	205,936	Severn Trent Plc		4,901,312

See accompanying notes to the financial statements. 15

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	461,441	Shire Plc		14,865,474
	986,291	Smith & Nephew Plc		10,027,928
	310,046	Smiths Group Plc		4,998,876
	121,395	Spectris Plc		2,830,449
	771,391	Standard Chartered Plc		17,524,159
	333,178	Tate & Lyle Plc		3,134,247
	978,997	Tesco Plc		6,017,491
	464,612	Thomas Cook Group Plc		322,880
	280,882	TUI Travel Plc		696,807
	346,578	Tullett Prebon Plc		2,099,487
	196,456	Unilever Plc		6,592,187
	21	Vodafone Group Plc		55
	289,784	Weir Group Plc (The)		9,033,603
	414,605	William Hill Plc		1,515,854
	228,713	Wolseley Plc		5,928,269
	739,377	Xstrata Plc		12,841,053
		Total United Kingdom		780,597,001
		TOTAL COMMON STOCKS (COST $2,938,472,009)		3,025,768,534
		PREFERRED STOCKS — 1.1%
		Germany — 1.1%
	20,085	Hugo Boss AG 2.94%		1,983,013
	141,111	Porsche Automobil Holding SE 1.10%		9,499,240
	168,386	ProSiebenSat.1 Media AG 8.27%		3,361,255
	122,500	Volkswagen AG 1.97%		20,365,588
		Total Germany		35,209,096
		TOTAL PREFERRED STOCKS (COST $28,985,926)		35,209,096

16 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%
		Canada — 0.0%
	19,162	Kinross Gold Corp, Warrants, Strike 21.30, Expires 09/17/14 *		58,701
		TOTAL RIGHTS/WARRANTS (COST $67,723)		58,701
		MUTUAL FUNDS — 2.1%
		United States — 2.1%
		Affiliated Issuers
	2,699,285	GMO U.S. Treasury Fund		67,509,120
		TOTAL MUTUAL FUNDS (COST $67,509,120)		67,509,120
		SHORT-TERM INVESTMENTS — 2.4%
		Time Deposits — 2.4%
USD	25,000,000	BNP Paribas (Grand Cayman) Time Deposit, 0.12%, due 09/01/11		25,000,000
AUD	9,861	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.00%, due 09/01/11		10,541
CAD	9,932	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.26%, due 09/01/11		10,142
CHF	7,402	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		9,186
DKK	52,393	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.20%, due 09/01/11		10,103
HKD	78,064	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		10,026
JPY	79,460,360	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		1,037,748
NOK	55,287	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.05%, due 09/01/11		10,307
NZD	1,474	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.70%, due 09/01/11		1,256
SEK	65,340	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.10%, due 09/01/11		10,303
USD	3,994	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.03%, due 09/01/11		3,994
EUR	95,115	Citibank (New York) Time Deposit, 0.13%, due 09/01/11		136,632
SGD	1,512,298	Citibank (New York) Time Deposit, 0.01%, due 09/01/11		1,255,749
USD	25,000,000	Commerzbank (Frankfurt) Time Deposit, 0.11%, due 09/01/11		25,000,000
GBP	152,695	JPMorgan Chase (New York) Time Deposit, 0.11%, due 09/01/11		247,870

See accompanying notes to the financial statements. 17

GMO International Growth Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		Time Deposits — continued
USD	1,100,000	Royal Bank of Canada (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		1,100,000
USD	25,000,000	Societe Generale (Grand Cayman) Time Deposit, 0.12%, due 09/01/11		25,000,000
		Total Time Deposits		78,853,857
		TOTAL SHORT-TERM INVESTMENTS (COST $78,853,857)		78,853,857
		TOTAL INVESTMENTS — 98.5% (Cost $3,113,888,635)		3,207,399,308
		Other Assets and Liabilities (net) — 1.5%		48,387,502
		TOTAL NET ASSETS — 100.0%	$	3,255,786,810

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Buys †
10/21/11		Deutsche Bank AG	CAD		3,010,000	$	3,070,041	$	36,378
10/21/11		Deutsche Bank AG	CHF		3,000,000		3,728,338		(228,662	)
10/21/11		Brown Brothers Harriman & Co.	EUR		1,771,873		2,543,748		(7,466	)
10/21/11		Deutsche Bank AG	EUR		3,666,048		5,263,076		59,194
10/21/11		JPMorgan Chase Bank, N.A.	EUR		3,666,048		5,263,076		78,437
10/21/11		Morgan Stanley Capital Services Inc.	EUR		9,092,000		13,052,716		78,305
10/21/11		Royal Bank of Scotland PLC	EUR		1,585,887		2,276,741		415
10/21/11		Bank of America, N.A.	GBP		6,941,915		11,262,523		(80,573	)
10/21/11		Bank of New York Mellon	GBP		4,714,159		7,648,224		(67,157	)
10/21/11		Barclays Bank PLC	GBP		14,524,664		23,564,731		(224,925	)
10/21/11		Brown Brothers Harriman & Co.	GBP		11,311,128		18,351,109		(171,429	)
10/21/11		JPMorgan Chase Bank, N.A.	GBP		9,222,831		14,963,068		(136,551	)
10/21/11		Morgan Stanley Capital Services Inc.	GBP		16,680,795		27,062,826		(82,610	)
10/21/11		Royal Bank of Scotland PLC	GBP		2,664,092		4,322,208		(35,576	)
10/21/11		State Street Bank and Trust and Company	GBP		7,378,829		11,971,370		(105,043	)
10/21/11		Barclays Bank PLC	HKD		114,596,892		14,725,920		11,185
10/21/11		Brown Brothers Harriman & Co.	HKD		136,659,856		17,561,054		12,098
10/21/11		JPMorgan Chase Bank, N.A.	HKD		86,921,174		11,169,538		7,020
10/21/11		Morgan Stanley Capital Services Inc.	HKD		114,596,892		14,725,920		10,064

18 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Currency Contracts — continued

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
10/21/11		State Street Bank and Trust Company	HKD		189,719,783	$	24,379,356	$	8,972
10/21/11		Bank of New York Mellon	JPY		1,048,626,376		13,700,724		25,367
10/21/11		Barclays Bank PLC	JPY		423,543,931		5,533,771		22,034
10/21/11		Deutsche Bank AG	JPY		1,590,642,662		20,782,384		77,631
10/21/11		JPMorgan Chase Bank, N.A.	JPY		1,802,260,001		23,547,250		43,527
10/21/11		Morgan Stanley Capital Services Inc.	JPY		607,020,455		7,930,966		14,313
10/21/11		Bank of America, N.A.	SGD		14,891,566		12,368,349		(2,116	)
10/21/11		Bank of New York Mellon	SGD		14,413,175		11,971,016		(11,256	)
10/21/11		Barclays Bank PLC	SGD		28,088,454		23,329,164		(46,713	)
10/21/11		Brown Brothers Harriman & Co.	SGD		10,032,082		8,332,253		24,403
10/21/11		Morgan Stanley Capital Services Inc.	SGD		20,027,257		16,633,852		34,636
10/21/11		Royal Bank of Scotland PLC	SGD		29,488,418		24,491,919		(9,381	)
10/21/11		State Street Bank and Trust Company	SGD		14,413,175		11,971,016		(9,015	)
						$	417,498,247	$	(674,494	)
Sales #
10/21/11		Bank of New York Mellon	CAD		31,287,488	$	31,911,583	$	(229,013	)
10/21/11		Deutsche Bank AG	CAD		38,057,437		38,816,573		(173,500	)
10/21/11		Royal Bank of Scotland PLC	CAD		21,864,996		22,301,139		(160,066	)
10/21/11		State Street Bank and Trust Company	CAD		13,842,719		14,118,841		(99,265	)
10/21/11		Bank of America, N.A.	CHF		10,784,955		13,403,321		454,227
10/21/11		Bank of New York Mellon	CHF		13,664,951		16,982,520		563,304
10/21/11		Barclays Bank PLC	CHF		8,039,076		9,990,798		242,762
10/21/11		Brown Brothers Harriman & Co.	CHF		5,838,914		7,256,482		154,247
10/21/11		Deutsche Bank AG	CHF		10,892,767		13,537,307		311,484
10/21/11		JPMorgan Chase Bank, N.A.	CHF		5,885,390		7,314,242		254,759
10/21/11		Royal Bank of Scotland PLC	CHF		3,444,919		4,281,275		154,870
10/21/11		State Street Bank and Trust Company	CHF		12,733,524		15,824,962		520,186
10/21/11		Barclays Bank PLC	NOK		35,853,139		6,664,844		(98,335	)
10/21/11		Royal Bank of Scotland PLC	NOK		20,292,609		3,772,252		(76,259	)
10/21/11		Bank of New York Mellon	SEK		48,727,046		7,662,756		(121,240	)
10/21/11		Barclays Bank PLC	SEK		46,389,309		7,295,127		(85,661	)
10/21/11		Brown Brothers Harriman & Co.	SEK		165,313,119		25,996,941		(257,658	)
10/21/11		JPMorgan Chase Bank, N.A.	SEK		185,461,964		29,165,524		(452,241	)
10/21/11		State Street Bank and Trust Company	SEK		66,282,770		10,423,548		(164,050	)
						$	286,720,035	$	738,551

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

See accompanying notes to the financial statements. 19

GMO International Growth Equity Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Buys
28		Amesterdam Exchanges	September 2011	$	2,357,176	$	30,735
214		CAC 40	September 2011		9,979,604		77,049
493		DAX	September 2011		102,314,491		(21,260,618	)
899		FTSE 100	September 2011		78,459,764		(1,897,792	)
17		Hang Seng	September 2011		2,237,814		93,886
9		IBEX 35	September 2011		1,127,846		15,349
30		MSCI Singapore	September 2011		1,639,516		72,630
302		OMXS 30	September 2011		4,547,327		18,399
15		S&P Toronto 60	September 2011		2,228,326		87,548
107		TOPIX	September 2011		10,854,638		(31,218	)
				$	215,746,502	$	(22,794,032	)
Sales
76		FTSE/MIB	September 2011	$	8,474,570	$	2,469,340
703		SPI 200	September 2011		80,910,184		4,135,219
				$	89,384,754	$	6,604,559

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

* Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

20 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $3,046,379,515) (Note 2)	$	3,139,890,188
Investments in affiliated issuers, at value (cost $67,509,120) (Notes 2 and 10)		67,509,120
Foreign currency, at value (cost $64,440) (Note 2)		63,232
Receivable for investments sold		300,649
Receivable for Fund shares sold		10,578,575
Dividends and interest receivable		8,143,720
Foreign taxes receivable		3,442,782
Unrealized appreciation on open forward currency contracts (Note 4)		3,199,818
Due from broker on open futures contracts		25,509,341
Receivable for variation margin on open futures contracts (Note 4)		4,609,691
Receivable for expenses reimbursed by Manager (Note 5)		139,624
Miscellaneous receivable		1,511
Total assets		3,263,388,251
Liabilities:
Payable for investments purchased		315,074
Payable for Fund shares repurchased		1,769,596
Payable to affiliate for (Note 5):
Management fee		1,342,433
Shareholder service fee		270,544
Trustees and Trust Officers or agents unaffiliated with the Manager		9,744
Payable for foreign currency purchased		4,885
Unrealized depreciation on open forward currency contracts (Note 4)		3,135,761
Accrued expenses		753,404
Total liabilities		7,601,441
Net assets	$	3,255,786,810

See accompanying notes to the financial statements. 21

GMO International Growth Equity Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited) — (Continued)

Net assets consist of:
Paid-in capital	$	3,599,823,055
Accumulated undistributed net investment income		55,366,746
Accumulated net realized loss		(477,208,811	)
Net unrealized appreciation		77,805,820
	$	3,255,786,810
Net assets attributable to:
Class III shares	$	579,257,270
Class IV shares	$	2,676,529,540
Shares outstanding:
Class III		25,787,155
Class IV		119,077,328
Net asset value per share:
Class III	$	22.46
Class IV	$	22.48

22 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends (net of withholding taxes of $6,359,540)	$	65,272,785
Interest		33,952
Dividends from affiliated issuers (Note 10)		17,510
Total investment income		65,324,247
Expenses:
Management fee (Note 5)		8,788,600
Shareholder service fee – Class III (Note 5)		493,377
Shareholder service fee – Class IV (Note 5)		1,285,922
Custodian and fund accounting agent fees		688,988
Legal fees		61,824
Audit and tax fees		41,860
Trustees fees and related expenses (Note 5)		32,048
Transfer agent fees		21,344
Registration fees		368
Miscellaneous		27,214
Total expenses		11,441,545
Fees and expenses reimbursed by Manager (Note 5)		(829,472	)
Expense reductions (Note 2)		(20	)
Net expenses		10,612,053
Net investment income (loss)		54,712,194
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		165,022,946
Realized gains distributions from affiliated issuers (Note 10)		2,934
Futures contracts		15,385,935
Foreign currency, forward contracts and foreign currency related transactions		(7,964,298	)
Net realized gain (loss)		172,447,517
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(382,919,308	)
Futures contracts		(18,565,515	)
Foreign currency, forward contracts and foreign currency related transactions		4,565,613
Net unrealized gain (loss)		(396,919,210	)
Net realized and unrealized gain (loss)		(224,471,693	)
Net increase (decrease) in net assets resulting from operations	$	(169,759,499	)

See accompanying notes to the financial statements. 23

GMO International Growth Equity Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	54,712,194		$	57,147,995
Net realized gain (loss)		172,447,517			166,127,735
Change in net unrealized appreciation (depreciation)		(396,919,210	)		451,828,666
Net increase (decrease) in net assets from operations		(169,759,499	)		675,104,396
Distributions to shareholders from:
Net investment income
Class III		(4,158,365	)		(6,873,838	)
Class IV		(19,312,346	)		(28,588,429	)
Total distributions from net investment income		(23,470,711	)		(35,462,267	)
Net share transactions (Note 9):
Class III		(100,230,246	)		(13,932,829	)
Class IV		6,039,571			97,906,301
Increase (decrease) in net assets resulting from net share transactions		(94,190,675	)		83,973,472
Total increase (decrease) in net assets		(287,420,885	)		723,615,601
Net assets:
Beginning of period		3,543,207,695			2,819,592,094
End of period (including accumulated undistributed net investment income of $55,366,746 and $24,125,263, respectively)	$	3,255,786,810		$	3,543,207,695

24 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	23.86		$	19.68		$	14.46		$	27.68		$	31.37		$	29.90
Income (loss) from investment operations:
Net investment income (loss)†		0.38			0.37			0.37			0.54			0.69			0.77
Net realized and unrealized gain (loss)		(1.62	)		4.03			5.52			(11.93	)		1.28			4.80
Total from investment operations		(1.24	)		4.40			5.89			(11.39	)		1.97			5.57
Less distributions to shareholders:
From net investment income		(0.16	)		(0.22	)		(0.67	)		(0.88	)		(0.40	)		(0.49	)
From net realized gains		—			—			—			(0.95	)		(5.26	)		(3.61	)
Total distributions		(0.16	)		(0.22	)		(0.67	)		(1.83	)		(5.66	)		(4.10	)
Net asset value, end of period	$	22.46		$	23.86		$	19.68		$	14.46		$	27.68		$	31.37
Total Return(a)		(5.24	)%**		22.48	%		41.10	%		(43.54	)%		5.04	%		19.21	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	579,257		$	713,815		$	599,455		$	564,067		$	1,018,040		$	950,332
Net expenses to average daily net assets		0.65	%(b)(d)*		0.65	%(b)(d)		0.65	%(b)		0.66	%(c)		0.67	%(c)		0.67	%
Net investment income (loss) to average daily net assets		3.13	%*		1.74	%		2.00	%		2.43	%		2.13	%		2.46	%
Portfolio turnover rate		23	%**		59	%		65	%		63	%		92	%		74	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.05	%		0.06	%		0.06	%		0.05	%		0.05	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 25

GMO International Growth Equity Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class IV share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007(a)
Net asset value, beginning of period	$	23.88		$	19.69		$	14.46		$	27.70		$	31.38		$	29.92
Income (loss) from investment operations:
Net investment income (loss)†		0.37			0.38			0.35			0.55			0.73			0.20
Net realized and unrealized gain (loss)		(1.61	)		4.05			5.56			(11.95	)		1.26			4.48
Total from investment operations		(1.24	)		4.43			5.91			(11.40	)		1.99			4.68
Less distributions to shareholders:
From net investment income		(0.16	)		(0.24	)		(0.68	)		(0.89	)		(0.41	)		(0.50	)
From net realized gains		—			—			—			(0.95	)		(5.26	)		(2.72	)
Total distributions		(0.16	)		(0.24	)		(0.68	)		(1.84	)		(5.67	)		(3.22	)
Net asset value, end of period	$	22.48		$	23.88		$	19.69		$	14.46		$	27.70		$	31.38
Total Return(b)		(5.22	)%**		22.59	%		41.26	%		(43.53	)%		5.11	%		15.79	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	2,676,530		$	2,829,393		$	2,220,138		$	1,420,407		$	2,516,653		$	2,864,791
Net expenses to average daily net assets		0.59	%(c)(e)*		0.59	%(c)(e)		0.59	%(c)		0.60	%(d)		0.61	%(d)		0.61	%*
Net investment income (loss) to average daily net assets		3.11	%*		1.79	%		1.89	%		2.47	%		2.24	%		1.01	%*
Portfolio turnover rate		23	%**		59	%		65	%		63	%		92	%		74	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.05	%		0.06	%		0.06	%		0.05	%		0.05	%*

(a)	Period from July 12, 2006 (commencement of operations) through February 28, 2007.
(b)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
(e)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover of the Fund for the year ended February 28, 2007.
*	Annualized.
**	Not annualized.

26 See accompanying notes to the financial statements.

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO International Growth Equity Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks high total return. The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes will provide higher returns than the MSCI EAFE Growth Index.

The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, market capitalization, and exposure to groups such as industry, sector, country or currency.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options, forward currency contracts and swap contracts. In addition, the Fund may lend its portfolio securities.

The Fund typically invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equities of companies tied economically to countries other than the U.S. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in equity investments. The terms “equities” and “equity investments” refer to direct and indirect investments in common stocks and

27

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. The Manager may make investments tied economically to emerging countries.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the period ended August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different shareholder service fee.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of

28

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		90.1	%
Futures Contracts		(0.5	)%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

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

29

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks
Australia	$	—	$	151,255,846	$	—	$	151,255,846
Austria		—		9,837,011		—		9,837,011
Belgium		—		19,815,500		—		19,815,500
Canada		113,906,450		—		—		113,906,450
Denmark		—		58,566,705		—		58,566,705
Finland		—		26,223,304		—		26,223,304
France		—		216,851,289		—		216,851,289
Germany		13,547,053		254,900,522		—		268,447,575
Greece		—		6,018,848		—		6,018,848
Hong Kong		—		122,529,162		—		122,529,162
Ireland		—		7,261,997		—		7,261,997
Israel		—		2,438,190		—		2,438,190
Italy		—		11,384,011		—		11,384,011
Japan		—		610,845,264		—		610,845,264
Netherlands		—		49,955,596		—		49,955,596
Norway		—		13,226,758		—		13,226,758
Singapore		—		82,189,703		—		82,189,703
Spain		787,384		32,921,593		—		33,708,977
Sweden		—		131,362,832		—		131,362,832
Switzerland		—		309,346,515		—		309,346,515
United Kingdom		—		780,597,001		—		780,597,001
TOTAL COMMON STOCKS		128,240,887		2,897,527,647		—		3,025,768,534
Preferred Stocks
Germany		—		35,209,096		—		35,209,096
TOTAL PREFERRED STOCKS		—		35,209,096		—		35,209,096
Rights/Warrants
Canada		—		58,701		—		58,701
TOTAL RIGHTS/WARRANTS		—		58,701		—		58,701

30

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds
United States	$	67,509,120	$	—	$	—	$	67,509,120
TOTAL MUTUAL FUNDS		67,509,120		—		—		67,509,120
Short-Term Investments		78,853,857		—		—		78,853,857
Total Investments		274,603,864		2,932,795,444		—		3,207,399,308
Derivatives *
Forward Currency Contracts
Foreign currency risk		—		3,199,818		—		3,199,818
Futures Contracts
Equity risk		87,548		6,912,607		—		7,000,155
Total Derivatives		87,548		10,112,425		—		10,199,973
Total	$	274,691,412	$	2,942,907,869	$	—	$	3,217,599,281

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Derivatives *
Forward Currency Contracts
Foreign currency risk	$	—	$	(3,135,761	)	$	—	$	(3,135,761	)
Futures Contracts
Equity risk		—		(23,189,628	)		—		(23,189,628	)
Total Derivatives		—		(26,325,389	)		—		(26,325,389	)
Total	$	—	$	(26,325,389	)	$	—	$	(26,325,389	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative

31

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

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

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

32

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(50,291,148	)
February 28, 2018		(590,232,407	)
Total	$	(640,523,555	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	3,122,075,847	$	325,511,607	$	(240,188,146	)	$	85,323,461

33

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

34

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. The Fund may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers.

35

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of

36

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal

37

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a

38

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. During the period ended August 31, 2011, the Fund used forward currency contracts to manage against anticipated currency exchange rate changes and adjust exposure to foreign currencies. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets

39

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust exposure to certain securities markets and maintain the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

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

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

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

40

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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.

41

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated

42

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants as a result of corporate actions. Rights and/or warrants held by the Fund at the end of the period are listed in the Fund’s Schedule of Investments.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Assets:
Investments, at value (rights and/or warrants)	$	—	$	—		$	—	$	58,701		$	—	$	58,701
Unrealized appreciation on futures contracts *		—		—			—		7,000,155			—		7,000,155
Unrealized appreciation on forward currency contracts		—		3,199,818			—		—			—		3,199,818
Total	$	—	$	3,199,818		$	—	$	7,058,856		$	—	$	10,258,674
Liabilities:
Unrealized depreciation on futures contracts *	$	—	$	—		$	—	$	(23,189,628	)	$	—	$	(23,189,628	)
Unrealized depreciation on forward currency contracts		—		(3,135,761	)		—		—			—		(3,135,761	)
Total	$	—	$	(3,135,761	)	$	—	$	(23,189,628	)	$	—	$	(26,325,389	)

43

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the period ended August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	—		$	—	$	33,006		$	—	$	33,006
Futures contracts		—		—			—		15,385,935			—		15,385,935
Forward currency contracts		—		(8,648,339	)		—		—			—		(8,648,339	)
Total	$	—	$	(8,648,339	)	$	—	$	15,418,941		$	—	$	6,770,602
Change in Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	—		$	—	$	4,068		$	—	$	4,068
Futures contracts		—		—			—		(18,565,515	)		—		(18,565,515	)
Forward currency contracts		—		4,282,397			—					—		4,282,397
Total	$	—	$	4,282,397		$	—	$	(18,561,447	)	$	—	$	(14,279,050	)

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period-end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), outstanding at each month-end, was as follows for the period ended August 31, 2011.

	Forward				Rights
	currency		Futures		and/or
	contracts		contracts		Warrants
Average amount outstanding	$	715,507,859	$	291,875,958	$	174,162

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at an annual rate of 0.50% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.09% for Class IV shares.

44

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.50% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $32,048 and $11,942, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $814,681,598 and $964,898,717, respectively.

45

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 37.52% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. Three of the shareholders are other funds of the Trust. On that date, no other shareholders owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, less than 0.01% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 96.89% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		582,618		$	13,235,339			3,308,278		$	68,564,402
Shares issued to shareholders in reinvestment of distributions		144,751			3,472,579			254,526			5,561,605
Shares repurchased		(4,851,735	)		(116,938,164	)		(4,112,235	)		(88,058,836	)
Net increase (decrease)		(4,124,366	)	$	(100,230,246	)		(549,431	)	$	(13,932,829	)

46

GMO International Growth Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares			Amount
Shares sold		22,715,185		$	529,782,297			35,082,074		$	722,622,353
Shares issued to shareholders in reinvestment of distributions		804,673			19,312,146			1,299,639			28,446,372
Shares repurchased		(22,948,854	)		(543,054,872	)		(30,641,075	)		(653,162,424	)
Net increase (decrease)		571,004		$	6,039,571			5,740,638		$	97,906,301

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	52,104,025	$	80,281,000	$	64,881,000	$	17,510	$	2,934	$	67,509,120
Totals	$	52,104,025	$	80,281,000	$	64,881,000	$	17,510	$	2,934	$	67,509,120

47

GMO International Growth Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five- and seven-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

48

GMO International Growth Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

49

GMO International Growth Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

50

GMO International Growth Equity Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

51

GMO International Growth Equity Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.65	%	$	1,000.00	$	947.60	$	3.18
2) Hypothetical		0.65	%	$	1,000.00	$	1,021.87	$	3.30
Class IV
1) Actual		0.59	%	$	1,000.00	$	947.80	$	2.89
2) Hypothetical		0.59	%	$	1,000.00	$	1,022.17	$	3.00

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

52

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.0	%
Mutual Funds		1.3
Short-Term Investments		2.1
Preferred Stocks		0.8
Forward Currency Contracts		(0.0	)Ù
Futures Contracts		(1.2	)
Other		3.0
		100.0	%

Country Summary*	% of Investments
Japan		25.3	%
United Kingdom		20.0
France		12.9
Italy		10.1
Germany		7.9
Spain		5.1
Switzerland		3.4
Singapore		2.6
Canada		2.4
Australia		2.0
Hong Kong		1.4
Sweden		1.1
Austria		0.9
Ireland		0.8
Netherlands		0.7
Belgium		0.6
Finland		0.6
Greece		0.6
New Zealand		0.5
Denmark		0.4
Israel		0.4
Norway		0.2
Portugal		0.1
Malta		0.0	Ù
		100.0	%

Ù

Rounds to 0.0%

*

The table above 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 agreements and other derivative financial instruments, if any.

1

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Industry Group Summary	% of Equity Investments**
Pharmaceuticals, Biotechnology & Life Sciences		16.8	%
Energy		15.9
Telecommunication Services		10.1
Capital Goods		8.0
Banks		7.6
Materials		7.4
Utilities		7.0
Automobiles & Components		3.4
Retailing		3.2
Real Estate		3.1
Insurance		2.4
Food, Beverage & Tobacco		2.3
Diversified Financials		2.1
Technology Hardware & Equipment		2.0
Consumer Durables & Apparel		1.5
Food & Staples Retailing		1.5
Transportation		1.4
Software & Services		1.2
Consumer Services		0.9
Household & Personal Products		0.7
Media		0.6
Health Care Equipment & Services		0.4
Semiconductors & Semiconductor Equipment		0.3
Commercial & Professional Services		0.2
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

2

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.0%
		Australia — 4.6%
	598,239	BHP Billiton Ltd		25,452,511
	2,907,948	BlueScope Steel Ltd		2,561,435
	1,910,199	Charter Hall Office (REIT)		6,859,912
	330,517	Commonwealth Bank of Australia		17,108,908
	4,814,098	Dexus Property Group (REIT)		4,431,004
	7,260,431	Goodman Group (REIT)		5,070,006
	3,060,505	GPT Group (REIT)		10,235,710
	8,221,532	Investa Office Fund (REIT)		5,425,356
	879,555	Macquarie Atlas Roads Group *		1,515,208
	6,112,780	Mirvac Group (REIT)		7,906,169
	518,682	National Australia Bank Ltd		13,229,816
	3,210,115	Pacific Brands Ltd		2,238,027
	1,765,578	QBE Insurance Group Ltd		26,730,885
	4,674,139	Stockland (REIT)		14,997,366
	1,286,266	TABCORP Holdings Ltd		3,888,539
	11,861,435	Telstra Corp Ltd		38,437,263
	620,316	Wesfarmers Ltd		20,451,874
	315,289	Westfield Group (REIT)		2,752,501
	1,433,772	Westpac Banking Corp		31,752,665
	96,379	Woodside Petroleum Ltd		3,642,779
		Total Australia		244,687,934
		Austria — 0.8%
	46,090	Andritz AG		4,266,657
	869,353	Immofinanz AG *		3,101,778
	1,167,625	Immofinanz AG (Entitlement Shares) *		—
	572,631	OMV AG		22,565,776
	188,844	Raiffeisen International Bank Holding		7,819,388
	193,866	Voestalpine AG		7,460,075
		Total Austria		45,213,674

See accompanying notes to the financial statements. 3

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Belgium — 0.5%
	1,554,436	Ageas		3,124,170
	287,344	Belgacom SA		9,405,883
	55,449	Colruyt SA		2,901,454
	2,419,867	Dexia SA *		5,663,395
	103,283	KBC Groep NV		2,909,064
	56,912	Mobistar SA		3,685,274
	14,918	Solvay SA		1,827,350
		Total Belgium		29,516,590
		Canada — 4.6%
	43,100	Agrium Inc		3,696,046
	59,300	Alimentation Couche Tard Inc		1,736,068
	132,100	Bank of Montreal		8,282,385
	416,700	BCE Inc		16,756,506
	421,500	Bombardier Inc Class B		2,053,053
	468,700	Canadian Natural Resources Ltd		17,708,465
	126,300	Canadian oil Sands Ltd		3,019,180
	62,300	Canadian Tire Corp Ltd		3,511,015
	76,400	Canadian Western Bank		2,358,391
	235,800	Canadian National Railway Co		17,343,688
	116,400	Canadian Pacific Railway Ltd		6,684,710
	78,600	Cenovus Energy Inc		2,841,254
	1,247,400	EnCana Corp		31,678,585
	262,000	First Quantum Minerals Ltd		6,444,991
	412,100	Husky Energy Inc		10,259,367
	162,700	IGM Financial Inc		7,363,284
	44,900	Magna International Inc Class A		1,705,127
	714,400	Manulife Financial Corp		9,768,014
	202,300	Methanex Corp		5,249,099
	122,900	Metro Inc Class A		5,849,453
	78,900	National Bank of Canada		5,843,579
	797,321	Precision Drilling Corp *		11,121,622
	452,900	Research In Motion Ltd *		14,651,151
	269,800	RONA Inc		2,735,744

4 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	174,400	Shoppers Drug Mart Corp		7,082,496
	292,700	Suncor Energy Inc		9,379,073
	902,400	Sun Life Financial Inc		24,455,934
	113,700	Teck Resources Ltd Class B		5,050,495
	97,045	Valeant Pharmaceuticals International Inc		4,350,327
	958,400	Yellow Media Inc		792,713
		Total Canada		249,771,815
		Denmark — 0.4%
	97,718	Danske Bank A/S *		1,442,818
	10,789	Greentech Energy Systems A/S *		39,244
	206,268	Novo-Nordisk A/S Class B		21,972,107
		Total Denmark		23,454,169
		Finland — 0.6%
	1	Metso Oyj		38
	150,333	Neste Oil Oyj		1,667,066
	3,266,746	Nokia Oyj		21,012,589
	186,674	Sampo Oyj Class A		5,360,131
	37,913	Stockmann Oyj ABP A Shares		941,376
	82,652	Tieto Oyj		1,249,340
	1	Wartsila Oyj		28
		Total Finland		30,230,568
		France — 12.1%
	1,782,676	Alcatel-Lucent *		6,527,028
	75,615	Arkema		5,847,363
	454,018	BNP Paribas		23,353,071
	14,541	Bongrain SA		1,221,261
	49,620	Casino Guichard-Perrachon SA		4,128,024
	66,891	CNP Assurances		1,183,351
	235,915	Compagnie de Saint-Gobain		11,849,407
	59,337	Compagnie Generale des Etablissements Michelin-Class B		4,342,417
	168,856	Credit Agricole SA		1,650,848

See accompanying notes to the financial statements. 5

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		France — continued
	51,407	Dassault Systemes SA		4,161,940
	84,032	European Aeronautic Defense and Space Co NV		2,661,217
	49,112	Faurecia		1,438,502
	1,113,643	France Telecom SA		21,276,650
	3,499	Fromageries Bel		803,552
	31,331	L’Oreal SA		3,400,536
	217,371	Lagardere SCA		7,424,515
	34,158	LVMH Moet Hennessy Louis Vuitton SA		5,764,633
	360,537	PagesJaunes Groupe		2,347,508
	136,432	Peugeot SA		4,169,956
	189,140	Renault SA		7,685,757
	99,255	Rhodia SA		4,489,799
	85,009	Safran SA		3,288,533
	3,271,690	Sanofi		238,597,693
	84,955	Schneider Electric SA		11,314,194
	436,874	Societe Generale		14,629,080
	2	STMicroelectronics NV		13
	197,537	Technicolor *		862,152
	23,713	Technip SA		2,312,583
	4,062,607	Total SA		198,399,293
	100,885	Valeo SA		5,324,922
	149,289	Vinci SA		7,789,697
	1,411,850	Vivendi SA		34,328,141
	69,070	Wendel		5,874,057
		Total France		648,447,693
		Germany — 5.4%
	244,900	Aareal Bank AG *		5,284,126
	38,401	Adidas AG		2,673,601
	196,356	Aurubis AG		11,510,938
	678,907	BASF AG		48,279,243
	168,090	Bayerische Motoren Werke AG		13,599,479
	36,284	Bilfinger & Berger SE		3,043,606
	2,934,670	Commerzbank AG *		8,672,531

6 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	29,762	Continental AG *		2,194,298
	117,767	Daimler AG (Registered)		6,361,776
	197,797	Deutsche Post AG (Registered)		3,018,793
	3,836,169	E.ON AG		83,775,229
	120,746	GEA Group AG		3,535,990
	136,202	Gildemeister AG *		2,349,142
	462,600	Heidelberger Druckmaschinen AG *		971,282
	987,755	Infineon Technologies AG		8,387,583
	111,524	Kloeckner & Co SE		1,849,571
	66,677	Lanxess AG		4,148,161
	97,369	Leoni AG		4,170,517
	41,912	Linde AG		6,412,491
	58,520	MAN SE		7,649,822
	30,937	Merck KGaA		2,770,607
	11,545	Puma AG Rudolf Dassler Sport		4,004,532
	234,518	RWE AG		8,795,873
	99,772	Salzgitter AG		6,178,443
	226,112	SAP AG		12,330,874
	120,305	Siemens AG (Registered)		12,375,543
	80,979	Software AG		3,548,426
	169,232	Solarworld AG		1,421,404
	60,387	Suedzucker AG		2,111,571
	112,235	ThyssenKrupp AG		3,768,621
	29,417	Volkswagen AG		4,468,275
		Total Germany		289,662,348
		Greece — 0.6%
	1,552,469	Alpha Bank A.E. *		5,004,846
	439,940	EFG Eurobank Ergasias *		1,006,428
	1,751,518	National Bank of Greece SA *		7,738,212
	959,479	OPAP SA		11,640,972
	1,911,055	Piraeus Bank SA *		1,771,782
	340,789	Public Power Corp SA		2,924,691
		Total Greece		30,086,931

See accompanying notes to the financial statements. 7

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — 1.4%
	2,222,098	CLP Holdings Ltd		20,551,701
	1,020,290	Esprit Holdings Ltd		2,872,499
	55,000	Guoco Group		608,848
	540,700	Hong Kong Ferry Co Ltd		454,236
	6,582,983	Hong Kong & China Gas		15,490,360
	71,500	Hong Kong Aircraft Engineering Co Ltd		961,305
	526,000	Hutchison Whampoa Ltd		5,051,742
	8,666,000	Pacific Basin Shipping Ltd		4,221,197
	1,366,969	Power Assets Holdings Ltd		10,581,135
	886,000	SJM Holdings Ltd		2,042,307
	503,000	Swire Pacific Ltd		6,725,078
	1,891,400	Yue Yuen Industrial Holdings		5,225,113
		Total Hong Kong		74,785,521
		Ireland — 0.8%
	703,037	C&C Group Plc		3,074,379
	800,941	CRH Plc		14,144,089
	298,575	DCC Plc		8,140,689
	547,037	Greencore Group Plc		468,565
	1,492,286	Irish Life & Permanent Group Holdings Plc *		63,894
	191,572	Kerry Group Plc Class A		7,423,678
	212,731	Kingspan Group Plc		1,915,441
	81,445	Paddy Power Plc		4,149,994
	336,350	Smurfit Kappa Group Plc *		2,656,786
		Total Ireland		42,037,515
		Israel — 0.4%
	1,627,479	Bezeq Israeli Telecommunication Corp Ltd		3,571,011
	123,021	Discount Investment Corp (Registered)		1,122,472
	241,824	Israel Chemicals Ltd		3,483,166
	974,318	Machteshim-Agan Industries Ltd *		5,412,884
	208,096	Mizrahi Tefahot Bank Ltd		1,985,698

8 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Israel — continued
	330,942	Partner Communications Co Ltd		3,653,325
	1,468	The Israel Corp Ltd		1,299,523
		Total Israel		20,528,079
		Italy — 6.0%
	1,113,746	A2A SPA		1,539,329
	4,622,432	Banca Monte dei Paschi di Siena SPA		2,847,863
	2,974,107	Banco Popolare Scarl		5,093,877
	633,704	CIR-Compagnie Industriali Riunite SPA		1,374,595
	20,343,493	Enel SPA		99,222,653
	5,952,031	ENI SPA		119,673,155
	61,811	Exor SPA		1,476,814
	791,997	Finmeccanica SPA		5,879,311
	712,561	Fondiaria-Sai SPA *		1,551,744
	156,570	Indesit Company SPA		1,231,087
	3,349,671	Intesa San Paolo		5,451,815
	212,430	Italcementi SPA-Di RISP		767,918
	1,264,372	Mediaset SPA		4,891,169
	374,130	Mediobanca SPA		3,448,595
	1,216,858	Milano Assicurazioni SPA *		526,144
	94,800	Natuzzi SPA ADR *		265,440
	573,594	Parmalat SPA		1,353,227
	193,205	Pirelli & C SPA		1,616,345
	509,147	Recordati SPA		4,922,894
	182,832	Saipem SPA		8,192,158
	959,992	Snam Rete Gas SPA		4,638,155
	12,923,217	Telecom Italia SPA		15,674,182
	17,793,349	Telecom Italia SPA-Di RISP		19,492,882
	1,479,342	Terna SPA		5,367,518
	4,970,516	UniCredit SPA		6,720,498
		Total Italy		323,219,368

See accompanying notes to the financial statements. 9

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — 24.2%
	2,836	Advance Residence Investment Corp (REIT)		5,936,651
	1,003,800	Aeon Co Ltd		12,642,688
	405,500	Aeon Credit Service Co Ltd		6,066,030
	1,865,900	Aiful Corp *		2,659,576
	195,000	Ajinomoto Co Inc		2,312,598
	120,600	Alfresa Holdings Corp		4,761,665
	761,329	Alps Electric Co Ltd		6,962,215
	489,000	Anritsu Corp		5,982,658
	541,000	Asahi Kasei Corp		3,610,645
	705,100	Astellas Pharma Inc		26,646,575
	265,000	Bridgestone Corp		5,912,108
	763,000	Calsonic Kansei Corp		4,566,446
	123,500	Canon Inc		5,827,776
	132,700	Circle K Sunkus Co Ltd		2,234,769
	2,767,000	Cosmo Oil Co Ltd		7,349,559
	185,400	Credit Saison Co Ltd		3,574,707
	854,500	CSK Corp *		3,401,276
	1,000	CyberAgent Inc		3,310,262
	565,200	Daiei Inc *		2,109,349
	216,000	Daihatsu Motor Co Ltd		3,603,551
	2,343,000	Daikyo Inc *		4,179,613
	345,000	Dainippon Screen Manufacturing Co Ltd		2,278,789
	431,300	Daito Trust Construction Co Ltd		39,990,658
	54,800	Dena Co Ltd		2,858,042
	1,192,000	DIC Corp		2,630,745
	186,300	Don Quijote Co Ltd		7,021,515
	331,000	Eisai Co Ltd		14,127,219
	228,200	Electric Power Development Co Ltd		6,417,239
	45,200	Fanuc Ltd		7,523,694
	50,100	Fast Retailing Co Ltd		9,567,930
	992,000	Fuji Electric Co Ltd		2,890,458
	523,000	Fuji Heavy Industries Ltd		3,281,041
	265,300	Fuji Oil Co Ltd		4,256,704
	850,000	Gunze Ltd		2,828,525

10 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	61,600	Hamamatsu Photonics KK		2,515,753
	789,000	Hanwa Co Ltd		3,424,300
	7,887,500	Haseko Corp *		5,619,888
	128,800	Hikari Tsushin Inc		3,021,358
	3,204,694	Hitachi Ltd		17,335,881
	287,300	Honda Motor Co Ltd		9,361,671
	251,100	Hosiden Corp		2,019,658
	1,949	INPEX Corp		13,287,028
	1,683,900	Itochu Corp		18,175,280
	3,936	Japan Retail Fund Investment Corp (REIT)		5,936,862
	472,200	JFE Holdings Inc		10,975,143
	172,000	JGC Corp		4,906,733
	145,000	JTEKT Corp		1,791,096
	445,300	JVC Kenwood Holdings Inc *		2,134,597
	6,814,690	JX Holdings Inc		43,386,727
	383,600	K’s Holdings Corp		16,907,985
	2,961,993	Kajima Corp		9,417,013
	924,500	Kao Corp		24,560,598
	724,000	Kawasaki Heavy Industries Ltd		2,186,886
	2,982,000	Kawasaki Kisen Kaisha Ltd		7,703,512
	7,077	KDDI Corp		53,091,556
	2,268,000	Kobe Steel Ltd		4,243,071
	597,300	Komatsu Ltd		15,931,665
	260,000	Konami Corp		9,634,598
	229,000	KYB Co Ltd		1,530,709
	214,000	Kyowa Exeo Corp		2,125,009
	97,000	Lawson Inc		5,289,061
	1,246,300	Leopalace21 Corp *		2,795,248
	337,000	Makino Milling Machine Co Ltd		2,737,947
	95,900	Makita Corp		3,989,456
	1,210,000	Marubeni Corp		7,672,675
	2,094,000	Mazda Motor Corp *		4,510,191
	140,600	Miraca Holdings Inc		5,979,477
	1,267,000	Mitsubishi Heavy Industries Ltd		5,385,573

See accompanying notes to the financial statements. 11

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	3,062,500	Mitsubishi Chemical Holdings Corp		21,559,757
	660,000	Mitsubishi Electric Corp		6,603,386
	361,000	Mitsubishi Gas Chemical Co Inc		2,550,302
	191,080	Mitsubishi UFJ Lease & Finance Co Ltd		7,744,088
	888,000	Mitsui Chemicals Inc		3,082,802
	1,706,000	Mitsui Engineer & Shipbuilding Co Ltd		3,243,180
	562,100	Mitsui & Co Ltd		9,644,232
	3,306,000	Mitsui Mining & Smelting Co Ltd		10,027,566
	2,018,000	Mitsui OSK Lines Ltd		8,544,327
	15,177,500	Mizuho Financial Group Inc		23,166,067
	57,100	Murata Manufacturing Co Ltd		3,485,052
	187,000	Nabtesco Corp		4,190,797
	2,110	Net One Systems Co Ltd		5,721,256
	1,065,000	Nichirei Corp		4,773,386
	46,100	Nintendo Co Ltd		8,127,730
	562,000	Nippon Chemi-Con Corp		3,121,942
	3,449,000	Nippon Light Metal Co Ltd		6,639,109
	4,982,000	Nippon Steel Corp		15,022,042
	1,004,700	Nippon Telegraph & Telephone Corp		47,040,884
	2,211,000	Nippon Yusen Kabushiki Kaisha		6,719,862
	150,000	Nipro Corp		2,760,173
	1,271,900	Nissan Motor Co Ltd		11,695,657
	742,000	Nisshinbo Holdings Inc		6,792,583
	52,100	Nitori Holdings Co Ltd		5,341,238
	131,200	Nitto Denko Corp		5,140,066
	19,534	NTT Docomo Inc		35,609,598
	1,061,247	Obayashi Corp		5,221,773
	40,200	Okinawa Electric Power Co		1,905,627
	350,000	OKUMA Corp		2,704,067
	37,400	Ono Pharmaceutical Co Ltd		2,160,377
	117,110	ORIX Corp		10,635,826
	721	ORIX JREIT Inc (REIT)		3,487,271
	3,104,000	Osaka Gas Co Ltd		12,617,643
	339,000	Pacific Metals Co Ltd		2,279,441

12 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	124,820	Point Inc		5,908,019
	330,450	Promise Co Ltd *		2,365,873
	6,806,400	Resona Holdings Inc		30,978,143
	540,000	Ricoh Company Ltd		4,909,489
	846,000	Round One Corp		7,421,207
	135,000	Ryohin Keikaku Co Ltd		7,231,310
	56,700	Saizeriya Co Ltd		1,040,345
	242,600	Sankyo Co Ltd		12,455,124
	1,677,300	Sapporo Hokuyo Holdings Inc		6,379,190
	153,700	Secom Co Ltd		7,153,666
	284,400	Sega Sammy Holdings Inc		6,608,664
	398,000	Seino Holdings Co Ltd		2,901,690
	87,200	Seven & I Holdings Co Ltd		2,314,686
	80,200	Shimamura Co Ltd		8,016,256
	234,000	Shizuoka Bank Ltd (The)		2,306,236
	978,600	Showa Shell Sekiyu KK		7,859,314
	28,700	SMC Corp		4,548,559
	64,400	SoftBank Corp		2,140,971
	5,375,900	Sojitz Corp		10,122,864
	2,540,600	Sumitomo Corp		33,298,913
	79,000	Sumitomo Metal Mining Co Ltd		1,271,421
	5,850,716	Taiheiyo Cement Co Ltd		10,401,267
	3,519,000	Taisei Corp		9,387,015
	284,000	Takashimaya Co Ltd		2,013,714
	94,800	Takata Corp		2,319,137
	1,919,900	Takeda Pharmaceutical Co Ltd		92,987,694
	419,650	Takefuji Corp (a) (b)		5,481
	841,000	Teijin Ltd		3,242,979
	705,000	Toho Zinc Co Ltd		3,017,014
	138,100	Tokai Rika Co Ltd		2,393,368
	1,146,000	Tokyo Gas Co Ltd		5,273,285
	276,300	Tokyo Steel Manufacturing Co		2,622,830
	2,283,000	Tokyo Tatemono Co Ltd		7,698,868
	421	Tokyu REIT Inc (REIT)		2,473,838

See accompanying notes to the financial statements. 13

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	628,000	TonenGeneral Sekiyu KK		7,205,812
	1,060,000	Toray Industries Inc		8,059,611
	2,712,000	Tosoh Corp		10,445,433
	585,300	Toyota Motor Corp		21,085,625
	617,300	Toyota Tsusho Corp		10,332,165
	655,000	Toyo Engineering Corp		2,373,448
	655,000	Ube Industries Ltd		2,074,471
	1,155	United Urban Investment Corp (REIT)		1,396,906
	1,217,200	UNY Co Ltd		10,990,800
	67,090	USS Co Ltd		5,825,251
	13,409	Yahoo Japan Corp		4,348,951
	364,210	Yamada Denki Co Ltd		26,782,395
	146,100	Yamato Kogyo Co Ltd		3,772,610
	410,000	Yokohama Rubber Co Ltd		2,297,660
	270,000	Zeon Corp		2,723,610
		Total Japan		1,299,049,766
		Malta — 0.0%
	15,984,486	BGP Holdings Plc *		—
		Netherlands — 1.2%
	176,239	Aalberts Industries NV		3,286,288
	1,436,433	Aegon NV *		6,468,061
	126,390	ASML Holding NV		4,452,942
	141,148	CSM		3,405,768
	4,846,502	ING Groep NV *		42,054,873
	1,172,460	Koninklijke BAM Groep NV		5,907,252
		Total Netherlands		65,575,184
		New Zealand — 0.5%
	1,372,036	Fletcher Building Ltd		9,137,087
	522,555	Sky City Entertainment Group Ltd		1,502,486
	7,953,929	Telecom Corp of New Zealand		17,211,927
		Total New Zealand		27,851,500

14 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Norway — 0.2%
	1	Aker Solutions ASA		13
	115,680	Frontline Ltd		932,252
	1,547,307	Golden Ocean Group Ltd		1,350,262
	90,948	Kvaerner ASA *		175,479
	157,447	TGS Nopec Geophysical Co ASA		3,938,983
	93,944	Yara International ASA		5,168,630
		Total Norway		11,565,619
		Portugal — 0.1%
	390,104	Banco Espirito Santo SA		1,304,806
	785,475	EDP-Energias de Portugal SA		2,578,410
		Total Portugal		3,883,216
		Singapore — 1.9%
	3,092,000	CapitaCommercial Trust (REIT)		3,065,879
	4,152,000	Ezra Holdings Ltd		3,430,677
	28,278,000	Golden Agri-Resources Ltd		15,488,891
	2,489,000	Ho Bee Investment Ltd		2,809,581
	4,037,000	Jaya Holdings Ltd *		1,658,277
	632,500	Keppel Corp Ltd		4,885,052
	2,619,000	Midas Holdings Ltd		1,022,921
	500	Neptune Orient Lines Ltd		480
	127	Noble Group Ltd		171
	478,876	Oversea-Chinese Banking Corp Ltd		3,483,491
	2,183,100	Sembcorp Industries Ltd		7,817,873
	1,249,000	SembCorp Marine Ltd		4,229,348
	1,161,000	Singapore Exchange Ltd		6,760,051
	2,653,000	Singapore Press Holdings Ltd		8,369,498
	2,202,000	Singapore Technologies Engineering Ltd		5,375,926
	8,588,000	Singapore Telecommunications		22,192,874
	4,532,000	Suntec Real Estate Investment Trust (REIT)		5,080,465
	2,734,000	Swiber Holdings Ltd *		1,271,427

See accompanying notes to the financial statements. 15

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	188,000	United Overseas Bank Ltd		2,896,239
	491,000	Venture Corp Ltd		3,044,392
		Total Singapore		102,883,513
		Spain — 4.1%
	1,070,190	Banco Bilbao Vizcaya Argentaria SA		9,710,504
	2,955,876	Banco Popular Espanol SA		15,399,430
	4,385,750	Banco Santander SA		40,523,071
	189,822	Fomento de Construcciones y Contratas SA		4,933,844
	1,173,097	Gas Natural SDG SA		21,442,750
	1,938,554	Iberdrola SA		14,258,698
	141,766	Inditex SA		12,048,098
	865,047	Mapfre SA		2,960,662
	81,934	Red Electrica de Espana		4,025,724
	1,408,405	Repsol YPF SA		40,534,075
	2,687,348	Telefonica SA		55,870,347
		Total Spain		221,707,203
		Sweden — 1.0%
	214,551	Atlas Copco AB		4,310,546
	333,069	Atlas Copco AB Class A		7,505,352
	603,451	Ericsson LM B Shares		6,772,331
	250,932	Hennes & Mauritz AB Class B		7,817,321
	412,516	Investor AB B Shares		8,119,076
	177,428	NCC Class B		3,404,916
	498,991	Skandinaviska Enskilda Banken AB Class A		2,952,609
	1	SKF AB Class B		24
	650,117	Swedbank AB Class A		8,937,767
	171,491	Trelleborg AB Class B		1,443,704
	160,033	Volvo AB Class B		1,988,050
		Total Sweden		53,251,696

16 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Switzerland — 3.3%
	118,705	ABB Ltd *		2,531,653
	150,517	Compagnie Financiere Richemont SA Class A		8,701,936
	754,858	Nestle SA (Registered)		46,706,533
	1,642,277	Novartis AG (Registered)		95,825,311
	74,444	Roche Holding AG (Non Voting)		13,017,581
	4,829	Swatch Group AG		2,196,952
	8,061	Swisscom AG (Registered)		3,614,055
	20,143	Syngenta AG (Registered) *		6,376,430
		Total Switzerland		178,970,451
		United Kingdom — 19.3%
	880,647	3i Group Plc		3,038,622
	783,918	Amlin Plc		3,960,521
	708,673	Ashtead Group Plc		1,351,076
	3,783,539	AstraZeneca Plc		179,155,650
	1,580,880	Aviva Plc		8,711,533
	3,129,151	BAE Systems Plc		13,962,954
	697,869	Balfour Beatty Plc		2,826,584
	8,745,499	Barclays Plc		24,163,880
	1,016,756	Barratt Developments Plc *		1,354,331
	1,314,778	BG Group Plc		28,354,075
	216,692	BHP Billiton Plc		7,375,279
	5,529,756	BP Plc		36,092,862
	445,777	British American Tobacco Plc		19,833,361
	14,542,913	BT Group Plc		40,334,305
	562,691	Burberry Group Plc		12,549,357
	178,300	Cape Plc		1,389,106
	764,134	Catlin Group Ltd		4,615,125
	1,963,541	Cobham Plc		6,096,765
	187,920	Cookson Group Plc		1,601,123
	1	Daily Mail and General Trust Plc NV Class A		7
	1,810,353	Debenhams Plc		1,568,024
	10,488,127	Dixons Retail Plc *		2,058,964
	1,721,792	Drax Group Plc		14,510,927

See accompanying notes to the financial statements. 17

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	1,092,518	FirstGroup Plc		6,498,285
	1,352,906	Game Group Plc		532,923
	7,443,423	GlaxoSmithKline Plc		158,465,833
	3,252,252	Home Retail Group Plc		6,717,494
	4	HSBC Holdings Plc		35
	232,780	IMI Plc		3,366,126
	1,398,037	Inchcape Plc		7,314,856
	814,646	Intermediate Capital Group Plc		3,283,703
	151,125	Jardine Lloyd Thompson Group Plc		1,617,730
	180,870	JD Wetherspoon Plc		1,216,241
	1,779,615	Kesa Electricals Plc		3,147,545
	417,668	Lancashire Holdings Ltd		4,618,400
	266,250	Land Securities Group Plc (REIT)		3,180,595
	7,475,345	Legal & General Group Plc		12,724,888
	17,142,334	Lloyds Banking Group Plc *		9,350,535
	589,038	Melrose Plc		2,994,588
	1	Michael Page International Plc		6
	298,058	Micro Focus International Plc		1,501,270
	591,268	National Express Group Plc		2,403,732
	204,184	Next Plc		7,818,818
	198,080	Pearson Plc		3,580,245
	640,279	Prudential Plc		6,449,761
	2,198,990	Punch Taverns Plc *		344,247
	103,497	Reckitt Benckiser Group Plc		5,490,006
	486,532	Rio Tinto Plc		29,658,252
	26,461,364	Royal Bank of Scotland Group Plc *		10,401,660
	2,569,862	Royal Dutch Shell Plc A Shares (London)		85,965,413
	2,654,018	Royal Dutch Shell Plc B Shares (London)		89,314,294
	1,274,767	Sage Group Plc (The)		5,200,274
	657,542	Scottish & Southern Energy Plc		13,848,238
	484,962	Smith & Nephew Plc		4,930,760
	70,610	Spirax-Sarco Engineering Plc		2,114,681
	2,198,990	Spirit Pub Co PLC *		1,552,785
	432,428	Standard Chartered Plc		9,823,730

18 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	235,219	Tate & Lyle Plc		2,212,734
	5,350,242	Taylor Wimpey Plc *		2,871,390
	2	Travis Perkins Plc		27
	1,002,645	TUI Travel Plc		2,487,344
	548,239	United Utilities Group Plc		5,329,839
	27,595,468	Vodafone Group Plc		72,417,571
	247,813	Weir Group Plc (The)		7,725,217
	2,932,616	William Hill Plc		10,722,052
	172,739	Wolseley Plc		4,477,416
	470,850	Xstrata Plc		8,177,438
		Total United Kingdom		1,036,753,408
		TOTAL COMMON STOCKS (COST $5,479,650,448)		5,053,133,761
		PREFERRED STOCKS — 0.8%
		Germany — 0.8%
	418,573	Porsche Automobil Holding SE 1.10%		28,177,289
	1	ProSiebenSat.1 Media AG 8.27%		20
	9,049	Villeroy & Boch AG 3.33%		78,060
	101,630	Volkswagen AG 1.97%		16,895,957
		Total Germany		45,151,326
		TOTAL PREFERRED STOCKS (COST $35,869,474)		45,151,326
		MUTUAL FUNDS — 1.3%
		United States — 1.3%
		Affiliated Issuers
	2,699,260	GMO U.S. Treasury Fund		67,508,485
		TOTAL MUTUAL FUNDS (COST $67,487,000)		67,508,485

See accompanying notes to the financial statements. 19

GMO International Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.1%
		Time Deposits — 2.1%
USD	25,000,000	BNP Paribas (Grand Cayman) Time Deposit, 0.12%, due 09/01/11		25,000,000
AUD	1,151,084	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.00%, due 09/01/11		1,230,451
CAD	164,918	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.26%, due 09/01/11		168,404
CHF	7,404	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		9,188
DKK	48,084	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.20%, due 09/01/11		9,272
HKD	511,387	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		65,681
JPY	16,142,560	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		210,821
NZD	12,100	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.70%, due 09/01/11		10,309
SEK	65,339	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.10%, due 09/01/11		10,303
EUR	116,948	Citibank (New York) Time Deposit, 0.13%, due 09/01/11		167,996
SGD	2,089,739	Citibank (New York) Time Deposit, 0.01%, due 09/01/11		1,735,232
USD	72,131	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		72,131
USD	25,000,000	Commerzbank (Frankfurt) Time Deposit, 0.11%, due 09/01/11		25,000,000
USD	10,200,000	HSBC Bank USA (Grand Cayman) Time Deposit, 0.03%, due 09/01/11		10,200,000
GBP	828,044	JPMorgan Chase (New York) Time Deposit, 0.11%, due 09/01/11		1,344,164
NOK	2,558,070	JPMorgan Chase (New York) Time Deposit, 1.05%, due 09/01/11		476,874
USD	25,000,000	Royal Bank of Canada (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		25,000,000
USD	25,000,000	Societe Generale (Grand Cayman) Time Deposit, 0.12%, due 09/01/11		25,000,000
		Total Time Deposits		115,710,826
		TOTAL SHORT-TERM INVESTMENTS (COST $115,710,826)		115,710,826
		TOTAL INVESTMENTS — 98.2% (Cost $5,698,717,748)		5,281,504,398
		Other Assets and Liabilities (net) — 1.8%		95,613,533
		TOTAL NET ASSETS — 100.0%	$	5,377,117,931

20 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement			Deliver/					Appreciation
Date	Counterparty		Receive	Units of Currency		Value		(Depreciation)
Buys †
10/21/11		Morgan Stanley Capital Services Inc.	EUR		15,343,000	$	22,026,818	$	132,142
10/21/11		Brown Brothers Harriman & Co.	GBP		5,929,000		9,619,175		(89,859	)
10/21/11		JPMorgan Chase Bank, N.A.	GBP		8,757,164		14,207,572		(129,657	)
10/21/11		Morgan Stanley Capital Services Inc.	GBP		13,461,526		21,839,902		(56,796	)
10/21/11		Royal Bank of Scotland PLC	GBP		8,757,164		14,207,572		(116,941	)
10/21/11		State Street Bank and Trust and Company	GBP		6,426,763		10,426,743		(91,490	)
10/21/11		Barclays Bank PLC	HKD		186,164,043		23,922,437		18,169
10/21/11		Brown Brothers Harriman & Co.	HKD		331,552,057		42,605,075		29,352
10/21/11		JPMorgan Chase Bank, N.A.	HKD		281,816,156		36,213,917		27,040
10/21/11		Morgan Stanley Capital Services Inc.	HKD		186,164,043		23,922,437		16,349
10/21/11		State Street Bank and Trust Company	HKD		372,328,086		47,844,873		17,608
10/21/11		Deutsche Bank AG	JPY		1,294,435,000		16,912,313		41,214
10/21/11		Bank of America, N.A.	SEK		109,985,898		17,296,249		433,164
10/21/11		Brown Brothers Harriman & Co.	SEK		109,985,898		17,296,249		82,712
10/21/11		Deutsche Bank AG	SEK		109,985,898		17,296,249		312,633
10/21/11		JPMorgan Chase Bank N.A.	SEK		109,985,898		17,296,249		372,902
10/21/11		Bank of America, N.A.	SGD		27,006,408		22,430,460		(3,838	)
10/21/11		Bank of New York Mellon	SGD		26,756,398		22,222,811		(20,895	)
10/21/11		Barclays Bank PLC	SGD		25,820,548		21,445,531		(42,941	)
10/21/11		Brown Brothers Harriman & Co.	SGD		24,884,699		20,668,252		(38,627	)
10/21/11		JPMorgan Chase Bank N.A.	SGD		49,032,796		40,724,711		(879	)
10/21/11		Morgan Stanley Capital Services Inc.	SGD		26,353,324		21,888,034		(35,434	)
10/21/11		Royal Bank of Scotland PLC	SGD		13,781,273		11,446,183		(4,384	)
10/21/11		State Street Bank and Trust Company	SGD		26,756,398		22,222,811		(16,735	)
						$	535,982,623	$	834,809
Sales #
10/21/11		Barclays Bank PLC	CAD		23,391,692	$	23,858,288	$	(87,935	)
10/21/11		Brown Brothers Harriman & Co.	CAD		15,536,777		15,846,691		(68,027	)
10/21/11		JPMorgan Chase Bank N.A.	CAD		21,501,595		21,930,490		(137,743	)

See accompanying notes to the financial statements. 21

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Currency Contracts — continued

								Net Unrealized
Settlement			Deliver/					Appreciation
Date	Counterparty		Receive	Units of Currency		Value		(Depreciation)
10/21/11		Morgan Stanley Capital Services Inc.	CAD		38,281,099	$	39,044,696	$	(258,327	)
10/21/11		Royal Bank of Scotland PLC	CAD		46,746,090		47,678,539		(342,213	)
10/21/11		State Street Bank and Trust Company	CAD		28,194,946		28,757,354		(202,184	)
10/21/11		Brown Brothers Harriman & Co.	EUR		12,361,886		17,747,051		52,087
10/21/11		Morgan Stanley Capital Services Inc.	EUR		19,342,836		27,769,088		(154,366	)
10/21/11		Royal Bank of Scotland PLC	EUR		8,195,742		11,766,024		(2,143	)
10/21/11		Barclays Bank PLC	JPY		1,175,265,449		15,355,315		(61,141	)
10/21/11		Brown Brothers Harriman & Co.	JPY		659,584,124		8,617,731		(24,361	)
10/21/11		Deutsche Bank AG	JPY		1,921,437,545		25,104,352		(93,776	)
10/21/11		JPMorgan Chase Bank, N.A.	JPY		548,242,022		7,163,002		(11,677	)
10/21/11		Royal Bank of Scotland PLC	JPY		1,136,485,817		14,848,643		(22,021	)
10/21/11		State Street Bank and Trust Company	JPY		1,059,992,400		13,849,226		(25,732	)
						$	319,336,490	$	(1,439,559	)

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

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Buys
650		CAC 40	September 2011	$	30,311,880	$	234,028
397		DAX	September 2011		82,391,182		(18,237,245	)
182		FTSE 100	September 2011		15,883,957		665,724
1,876		FTSE/MIB	September 2011		209,188,064		(57,344,042	)
8		Hang Seng	September 2011		1,053,089		44,182
390		IBEX 35	September 2011		48,873,335		665,115
646		MSCI Singapore	September 2011		35,304,236		1,563,972
178		OMXS 30	September 2011		2,680,213		10,844
336		TOPIX	September 2011		34,085,592		(226,541	)
				$	459,771,548	$	(72,623,963	)

22 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Futures Contracts — continued

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Sales
344		Amesterdam IDX	September 2011	$	28,959,586	$	(305,951	)
825		S&P Toronto 60	September 2011		122,557,950		2,237,971
1,189		SPI 200	September 2011		136,845,247		6,888,962
				$	288,362,783	$	8,820,982

As of August 31, 2011, for the above contracts and/or agreements the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

*	Non-income producing security.
(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(b)	Bankrupt issuer.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

See accompanying notes to the financial statements. 23

GMO International Intrinsic Value Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $5,631,230,748) (Note 2)	$	5,213,995,913
Investments in affiliated issuers, at value (cost $67,487,000) (Notes 2 and 10)		67,508,485
Foreign currency, at value (cost $295,954) (Note 2)		286,295
Receivable for investments sold		906,337
Receivable for Fund shares sold		10,251,392
Dividends and interest receivable		18,792,243
Foreign taxes receivable		3,785,298
Unrealized appreciation on open forward currency contracts (Note 4)		1,535,372
Due from broker on open futures contracts		62,702,562
Receivable for variation margin on open futures contracts (Note 4)		9,313,727
Receivable for expenses reimbursed by Manager (Note 5)		245,705
Miscellaneous receivable		2,354
Total assets		5,389,325,683
Liabilities:
Payable for investments purchased		960,461
Payable for Fund shares repurchased		5,152,249
Payable to affiliate for (Note 5):
Management fee		2,227,449
Shareholder service fee		508,179
Administration fee – Class M		2,190
Trustees and Trust Officers or agents unaffiliated with the Manager		16,950
Payable for 12b-1 fee – Class M		5,865
Unrealized depreciation on open forward currency contracts (Note 4)		2,140,122
Accrued expenses		1,194,287
Total liabilities		12,207,752
Net assets	$	5,377,117,931

24 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited) — (Continued)

Net assets consist of:
Paid-in capital	$	6,956,440,788
Accumulated undistributed net investment income		63,450,442
Accumulated net realized loss		(1,161,514,866	)
Net unrealized depreciation		(481,258,433	)
	$	5,377,117,931
Net assets attributable to:
Class II shares	$	197,641,974
Class III shares	$	1,735,337,859
Class IV shares	$	3,431,012,589
Class M shares	$	13,125,509
Shares outstanding:
Class II		9,782,449
Class III		84,981,748
Class IV		168,085,350
Class M		652,519
Net asset value per share:
Class II	$	20.20
Class III	$	20.42
Class IV	$	20.41
Class M	$	20.12

See accompanying notes to the financial statements. 25

GMO International Intrinsic Value Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers (net of withholding taxes of $14,097,148)	$	127,073,823
Dividends from affiliated issuers (Note 10)		17,642
Interest		1,374
Total investment income		127,092,839
Expenses:
Management fee (Note 5)		14,581,419
Shareholder service fee – Class II (Note 5)		231,501
Shareholder service fee – Class III (Note 5)		1,543,992
Shareholder service fee – Class IV (Note 5)		1,597,062
12b-1 fee – Class M (Note 5)		18,035
Administration fee – Class M (Note 5)		14,428
Custodian and fund accounting agent fees		1,152,392
Legal fees		102,672
Trustees fees and related expenses (Note 5)		53,380
Audit and tax fees		47,748
Transfer agent fees		32,200
Registration fees		19,702
Miscellaneous		71,591
Total expenses		19,466,122
Fees and expenses reimbursed by Manager (Note 5)		(1,405,774	)
Expense reductions (Note 2)		(278	)
Net expenses		18,060,070
Net investment income (loss)		109,032,769
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		158,813,085
Realized gains distributions from affiliated issuers (Note 10)		2,934
Futures contracts		2,988,804
Swap contracts		803,085
Foreign currency, forward contracts and foreign currency related transactions		6,561,053
Net realized gain (loss)		169,168,961
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		21,485
Investments in unaffiliated issuers		(834,421,078	)
Futures contracts		(70,689,678	)
Foreign currency, forward contracts and foreign currency related transactions		450,003
Net unrealized gain (loss)		(904,639,268	)
Net realized and unrealized gain (loss)		(735,470,307	)
Net increase (decrease) in net assets resulting from operations	$	(626,437,538	)

26 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	109,032,769		$	127,362,003
Net realized gain (loss)		169,168,961			(13,601,869	)
Change in net unrealized appreciation (depreciation)		(904,639,268	)		959,292,894
Net increase (decrease) in net assets from operations		(626,437,538	)		1,073,053,028
Distributions to shareholders from:
Net investment income
Class II		(4,071,248	)		(3,181,083	)
Class III		(37,880,725	)		(29,415,441	)
Class IV		(67,341,462	)		(48,788,384	)
Class M		(270,155	)		(153,235	)
Total distributions from net investment income		(109,563,590	)		(81,538,143	)
Net share transactions (Note 9):
Class II		8,376,140			(222,885,164	)
Class III		(277,567,862	)		(24,879,740	)
Class IV		434,955,209			92,416,923
Class M		452,162			(1,067,222	)
Increase (decrease) in net assets resulting from net share transactions		166,215,649			(156,415,203	)
Total increase (decrease) in net assets		(569,785,479	)		835,099,682
Net assets:
Beginning of period		5,946,903,410			5,111,803,728
End of period (including accumulated undistributed net investment income of $63,450,442 and $63,981,263, respectively)	$	5,377,117,931		$	5,946,903,410

See accompanying notes to the financial statements. 27

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class II share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	23.07		$	19.35		$	13.86		$	29.69		$	34.99		$	32.35
Income (loss) from investment operations:
Net investment income (loss)†		0.40			0.48			0.41			0.79			0.93			0.79
Net realized and unrealized gain (loss)		(2.85	)		3.51			5.68			(14.01	)		(0.86	)		5.60
Total from investment operations		(2.45	)		3.99			6.09			(13.22	)		0.07			6.39
Less distributions to shareholders:
From net investment income		(0.42	)		(0.27	)		(0.60	)		(0.99	)		(0.83	)		(0.54	)
From net realized gains		—			—			—			(1.62	)		(4.54	)		(3.21	)
Total distributions		(0.42	)		(0.27	)		(0.60	)		(2.61	)		(5.37	)		(3.75	)
Net asset value, end of period	$	20.20		$	23.07		$	19.35		$	13.86		$	29.69		$	34.99
Total Return(a)		(10.74	)%**		20.79	%		44.05	%		(48.04	)%		(1.11	)%		20.46	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	197,642		$	217,090		$	394,009		$	394,070		$	510,006		$	564,440
Net expenses to average daily net assets		0.72	%(b)(c)*		0.72	%(b)(c)		0.72	%(b)		0.74	%(d)		0.76	%(d)		0.76	%
Net investment income (loss) to average daily net assets		3.62	%*		2.36	%		2.21	%		3.41	%		2.59	%		2.32	%
Portfolio turnover rate		22	%**		40	%		40	%		53	%		47	%		36	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.05	%		0.05	%		0.05	%		0.05	%		0.04	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

28 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	23.31		$	19.56		$	14.00		$	29.97		$	35.28		$	32.59
Income (loss) from investment operations:
Net investment income (loss)†		0.42			0.47			0.42			0.79			0.94			0.81
Net realized and unrealized gain (loss)		(2.88	)		3.58			5.76			(14.13	)		(0.86	)		5.66
Total from investment operations		(2.46	)		4.05			6.18			(13.34	)		0.08			6.47
Less distributions to shareholders:
From net investment income		(0.43	)		(0.30	)		(0.62	)		(1.01	)		(0.85	)		(0.57	)
From net realized gains		—			—			—			(1.62	)		(4.54	)		(3.21	)
Total distributions		(0.43	)		(0.30	)		(0.62	)		(2.63	)		(5.39	)		(3.78	)
Net asset value, end of period	$	20.42		$	23.31		$	19.56		$	14.00		$	29.97		$	35.28
Total Return(a)		(10.70	)%**		20.88	%		44.21	%		(48.01	)%		(1.06	)%		20.54	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,735,338		$	2,257,078		$	1,925,104		$	1,487,839		$	2,615,878		$	2,703,050
Net expenses to average daily net assets		0.65	%(b)(c)*		0.65	%(b)(c)		0.65	%(b)		0.67	%(d)		0.69	%(d)		0.69	%
Net investment income (loss) to average daily net assets		3.70	%*		2.30	%		2.19	%		3.38	%		2.61	%		2.36	%
Portfolio turnover rate		22	%**		40	%		40	%		53	%		47	%		36	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.05	%		0.05	%		0.05	%		0.05	%		0.04	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 29

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class IV share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	23.30		$	19.55		$	14.00		$	29.96		$	35.26		$	32.58
Income (loss) from investment operations:
Net investment income (loss)†		0.43			0.48			0.43			0.82			0.96			0.80
Net realized and unrealized gain (loss)		(2.89	)		3.58			5.75			(14.14	)		(0.85	)		5.68
Total from investment operations		(2.46	)		4.06			6.18			(13.32	)		0.11			6.48
Less distributions to shareholders:
From net investment income		(0.43	)		(0.31	)		(0.63	)		(1.02	)		(0.87	)		(0.59	)
From net realized gains		—			—			—			(1.62	)		(4.54	)		(3.21	)
Total distributions		(0.43	)		(0.31	)		(0.63	)		(2.64	)		(5.41	)		(3.80	)
Net asset value, end of period	$	20.41		$	23.30		$	19.55		$	14.00		$	29.96		$	35.26
Total Return(a)		(10.70	)%**		20.96	%		44.22	%		(47.95	)%		(0.98	)%		20.61	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	3,431,013		$	3,458,202		$	2,779,470		$	1,900,168		$	4,131,392		$	4,566,106
Net expenses to average daily net assets		0.59	%(b)(c)*		0.59	%(b)(c)		0.59	%(b)		0.61	%(d)		0.63	%(d)		0.63	%
Net investment income (loss) to average daily net assets		3.77	%*		2.32	%		2.25	%		3.47	%		2.67	%		2.32	%
Portfolio turnover rate		22	%**		40	%		40	%		53	%		47	%		36	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.05	%		0.05	%		0.05	%		0.05	%		0.04	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

30 See accompanying notes to the financial statements.

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class M share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	22.99		$	19.30		$	13.83		$	29.60		$	34.93		$	32.28
Income (loss) from investment operations:
Net investment income (loss)†		0.38			0.41			0.35			0.73			0.79			0.68
Net realized and unrealized gain (loss)		(2.83	)		3.52			5.69			(13.95	)		(0.81	)		5.62
Total from investment operations		(2.45	)		3.93			6.04			(13.22	)		(0.02	)		6.30
Less distributions to shareholders:
From net investment income		(0.42	)		(0.24	)		(0.57	)		(0.93	)		(0.77	)		(0.44	)
From net realized gains		—			—			—			(1.62	)		(4.54	)		(3.21	)
Total distributions		(0.42	)		(0.24	)		(0.57	)		(2.55	)		(5.31	)		(3.65	)
Net asset value, end of period	$	20.12		$	22.99		$	19.30		$	13.83		$	29.60		$	34.93
Total Return(a)		(10.80	)%**		20.50	%		43.72	%		(48.14	)%		(1.36	)%		20.18	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	13,126		$	14,533		$	13,221		$	8,938		$	18,687		$	17,371
Net expenses to average daily net assets		0.95	%(b)(c)*		0.95	%(b)(c)		0.95	%(b)		0.97	%(d)		0.99	%(d)		0.99	%
Net investment income (loss) to average daily net assets		3.41	%*		2.01	%		1.84	%		3.13	%		2.22	%		2.00	%
Portfolio turnover rate		22	%**		40	%		40	%		53	%		47	%		36	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.05	%		0.05	%		0.05	%		0.05	%		0.04	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 31

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO International Intrinsic Value Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks high total return. The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes will provide higher returns than the MSCI EAFE Value Index.

The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, market capitalization, and exposure to groups such as industry, sector, country or currency.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options, forward currency contracts and swap contracts. In addition, the Fund may lend its portfolio securities.

The Fund typically invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equities of companies tied economically to countries other than the U.S. The term “equities” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. The Manager may make investments tied economically to emerging countries.

32

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the period ended August 31, 2011, the Fund had four classes of shares outstanding: Class II, Class III, Class IV and Class M. Class M shares bear an administration fee and a 12b-1 fee while classes II, III, and IV bear a shareholder service fee (See Note 5). The principal economic difference among the classes of shares is the type and level of fees they bear.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented less than 0.01% of net assets. The Fund classifies such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivatives contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

33

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		89.2	%
Futures Contracts		(1.2	)%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

34

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund used the following fair value technique on Level 3 investments: The Fund considered certain bankrupt securities to be near worthless.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Assets		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Common Stocks
Australia	$	—	$	244,687,934		$	—	$	244,687,934
Austria		—		45,213,674			—		45,213,674
Belgium		—		29,516,590			—		29,516,590
Canada		249,771,815		—			—		249,771,815
Denmark		—		23,454,169			—		23,454,169
Finland		—		30,230,568			—		30,230,568
France		22,715,152		625,732,541			—		648,447,693
Germany		7,649,822		282,012,526			—		289,662,348
Greece		—		30,086,931			—		30,086,931
Hong Kong		—		74,785,521			—		74,785,521
Ireland		63,894		41,973,621			—		42,037,515
Israel		—		20,528,079			—		20,528,079
Italy		265,440		322,953,928			—		323,219,368
Japan		—		1,299,044,285			5,481		1,299,049,766
Malta		—		0	*		—		0
Netherlands		—		65,575,184			—		65,575,184
New Zealand		17,211,927		10,639,573			—		27,851,500
Norway		175,479		11,390,140			—		11,565,619
Portugal		—		3,883,216			—		3,883,216
Singapore		—		102,883,513			—		102,883,513
Spain		—		221,707,203			—		221,707,203
Sweden		—		53,251,696			—		53,251,696
Switzerland		—		178,970,451			—		178,970,451
United Kingdom		1,552,785		1,035,200,623			—		1,036,753,408
TOTAL COMMON STOCKS		299,406,314		4,753,721,966			5,481		5,053,133,761

35

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Preferred Stocks
Germany	$	—	$	45,151,326	$	—	$	45,151,326
TOTAL PREFERRED STOCKS		—		45,151,326		—		45,151,326
Mutual Funds
United States		67,508,485		—		—		67,508,485
TOTAL MUTUAL FUNDS		67,508,485		—		—		67,508,485
Short-Term Investments
Time Deposits		115,710,826		—		—		115,710,826
Total Short-Term Investments		115,710,826		—		—		115,710,826
Total Investments		482,625,625		4,798,873,292		5,481		5,281,504,398
Derivatives **
Forward Currency Contracts Foreign currency risk		—		1,535,372		—		1,535,372
Futures Contracts Equity Risk		2,237,971		10,072,827		—		12,310,798
Total Derivatives		2,237,971		11,608,199		—		13,846,170
Total	$	484,863,596	$	4,810,481,491	$	5,481	$	5,295,350,568

36

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Derivatives **
Forward Currency Contracts Foreign currency risk	$	—	$	(2,140,122	)	$	—	$	(2,140,122	)
Futures Contracts Equity Risk		—		(76,113,779	)		—		(76,113,779	)
Total Derivatives		—		(78,253,901	)		—		(78,253,901	)
Total	$	—	$	(78,253,901	)	$	—	$	(78,253,901	)

            * Represents the interest in securities that have no value at August 31, 2011.

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

** Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s direct investments in securities using Level 3 inputs were less than 0.1% of total net assets.

37

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

																			Net Change in
																			Unrealized
																			Appreciation
																			(Depreciation)
																			from
	Balances										Change in						Balances		Investments
	as of						Accrued		Total		Unrealized		Transfer		Transfer		as of		Still Held as of
	February 28,						Discounts/		Realized		Appreciation		into		out of		August 31,		August 31,
	2011		Purchases		Sales		Premiums		Gain/(Loss)		(Depreciation)		Level 3*		Level 3*		2011		2011
Common Stocks
Japan	$	5,130	$	—	$	—	$	—	$	—	$	351	$	—	$	—	$	5,481	$	351
Total	$	5,130	$	—	$	—	$	—	$	—	$	351	$	—	$	—	$	5,481	$	351

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are

38

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(154,259,096	)
February 28, 2018		(948,787,215	)
February 28, 2019		(163,539,321	)
Total	$	(1,266,585,632	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

39

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	5,809,963,374	$	415,367,906	$	(943,826,882	)	$	(528,458,976	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service, 12b-1, and administration fees, which are directly attributable to a class of shares, are

40

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

41

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

42

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

43

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

44

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. During the period ended August 31, 2011, the Fund used forward currency

45

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

contracts to manage against anticipated currency exchange rate changes and adjust exposure to foreign currencies. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust exposure to certain securities markets and maintain the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

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

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is

46

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

47

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

48

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to achieve returns comparable to holding and lending a direct equity position. The Fund had no swap agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants received as a result of corporate actions. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Assets:
Unrealized appreciation on futures contracts *	$	—	$	—		$	—	$	12,310,798		$	—	$	12,310,798
Unrealized appreciation on forward currency contracts		—		1,535,372		$	—		—		$	—		1,535,372
Total	$	—	$	1,535,372		$	—	$	12,310,798		$	—	$	13,846,170
Liabilities:
Unrealized depreciation on futures contracts *	$	—	$	—		$	—	$	(76,113,779	)	$	—	$	(76,113,779	)
Unrealized depreciation on forward currency contracts		—		(2,140,122	)		—		—			—		(2,140,122	)
Total	$	—	$	(2,140,122	)	$	—	$	(76,113,779	)	$	—	$	(78,253,901	)

49

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	—	$	—	$	(1,400,243	)	$	—	$	(1,400,243	)
Futures contracts		—		—		—		2,988,804			—		2,988,804
Forward currency contracts		—		6,406,878		—		—			—		6,406,878
Swap agreements		—		—		—		803,085			—		803,085
Total	$	—	$	6,406,878	$	—	$	2,391,646		$	—	$	8,798,524
Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—	$	—	$	(70,689,678	)	$	—	$	(70,689,678	)
Forward currency contracts		—		245,291		—		—			—		245,291
Total	$	—	$	245,291	$	—	$	(70,689,678	)	$	—	$	(70,444,387	)

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants) or notional amounts (swap agreements) outstanding at each month-end, was as follows for the period ended August 31, 2011.

	Forward
	currency		Futures		Rights and/or		Swap
	contracts		contracts		Warrants		agreements
Average amount outstanding	$	785,424,015	$	718,100,391	$	1,058,551	*$	154,114

            * During the period ended August 31, 2011, the Fund did not hold swap agreements at any month-end, therefore, the average amount outstanding was calculated using daily outstanding notional amounts.

5. Fees and other transactions with affiliates

GMO receives a management fee for management services provided to the Fund. That fee is paid monthly at the annual rate of 0.50% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting,

50

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.22% for Class II shares, 0.15% for Class III shares, and 0.09% for Class IV shares.

Holders of Class M shares of the Fund pay GMO an administration fee for support services provided to Class M shareholders. That fee is paid monthly at the annual rate of 0.20% of average daily net assets of Class M shares. Pursuant to a Rule 12b-1 distribution plan adopted by the Fund, holders of Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily net assets of Class M shares, for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or for the provision of services to Class M shareholders. The Trustees currently limit payments on Class M shares to 0.25% of the Fund’s average daily net assets of Class M shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.50% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means administration fees and distribution (12b-1) fees (Class M Shares only), shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $53,380 and $19,887, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

51

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $1,283,025,628 and $1,336,213,916, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, the Fund had no shareholder who individually held more than 10% of the Fund’s outstanding shares.

As of August 31, 2011, 0.18% shares of the Fund were held by senior management of the Manager and GMO Trust officers, and 59.67% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

52

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class II:	Shares			Amount			Shares			Amount
Shares sold		634,662		$	14,720,073			438,186		$	9,041,413
Shares issued to shareholders in reinvestment of distributions		173,309			3,783,345			144,660			2,982,923
Shares repurchased		(433,999	)		(10,127,278	)		(11,535,143	)		(234,909,500	)
Net increase (decrease)		373,972		$	8,376,140			(10,952,297	)	$	(222,885,164	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		8,003,905		$	179,642,822			16,487,506		$	355,291,715
Shares issued to shareholders in reinvestment of distributions		1,569,024			34,612,663			1,276,264			26,674,838
Shares repurchased		(21,415,950	)		(491,823,347	)		(19,351,996	)		(406,846,293	)
Net increase (decrease)		(11,843,021	)	$	(277,567,862	)		(1,588,226	)	$	(24,879,740	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares			Amount
Shares sold		38,050,566		$	842,405,170			40,511,908		$	810,469,313
Shares issued to shareholders in reinvestment of distributions		2,779,058			61,278,220			2,107,086			44,091,968
Shares repurchased		(21,176,661	)		(468,728,181	)		(36,352,651	)		(762,144,358	)
Net increase (decrease)		19,652,963		$	434,955,209			6,266,343		$	92,416,923

53

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class M:	Shares			Amount			Shares			Amount
Shares sold		74,626		$	1,657,817			122,315		$	2,490,456
Shares issued to shareholders in reinvestment of distributions		12,427			270,155			7,447			153,234
Shares repurchased		(66,598	)		(1,475,810	)		(182,698	)		(3,710,912	)
Net increase (decrease)		20,455		$	452,162			(52,936	)	$	(1,067,222	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	30,133,000	$	37,354,000	$	—	$	17,642	$	2,934	$	67,508,485
Totals	$	30,133,000	$	37,354,000	$	—	$	17,642	$	2,934	$	67,508,485

54

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

55

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

56

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

57

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, distribution (12b-1) and/or administration fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

58

GMO International Intrinsic Value Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class II
1) Actual		0.72	%	$	1,000.00	$	892.60	$	3.43
2) Hypothetical		0.72	%	$	1,000.00	$	1,021.52	$	3.66
Class III
1) Actual		0.65	%	$	1,000.00	$	893.00	$	3.09
2) Hypothetical		0.65	%	$	1,000.00	$	1,021.87	$	3.30
Class IV
1) Actual		0.59	%	$	1,000.00	$	893.00	$	2.81
2) Hypothetical		0.59	%	$	1,000.00	$	1,022.17	$	3.00
Class M
1) Actual		0.95	%	$	1,000.00	$	892.00	$	4.52
2) Hypothetical		0.95	%	$	1,000.00	$	1,020.36	$	4.82

            * Expenses are calculated using each Class’s annualized net expense ratio for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

59

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		93.2	%
Short-Term Investments		4.0
Preferred Stocks		1.2
Investment Funds		0.0	Ù
Debt Obligations		0.0	Ù
Rights and Warrants		0.0	Ù
Swap Agreements		(0.0	)Ù
Forward Currency Contracts		(0.0	)Ù
Futures Contracts		(0.8	)
Other		2.4
		100.0	%

Country / Region Summary**	% of Investments
Japan		26.1	%
United Kingdom		21.6
Germany		9.6
France		9.1
Switzerland		6.0
Italy		4.7
Emerging***		3.0
Canada		2.8
Spain		2.8
Hong Kong		2.4
Singapore		2.4
Sweden		2.4
Australia		1.9
Netherlands		1.1
Denmark		1.0
Finland		0.6
Austria		0.5
Belgium		0.5
Ireland		0.5
Greece		0.3
Norway		0.3
Israel		0.2
New Zealand		0.2
Portugal		0.0	Ù
		100.0	%

1

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).
**	The table above shows 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.
***	The “Emerging” exposure is comprised of: Brazil, Chile, China, Czech Republic, Egypt, Hungary, India, Indonesia, Malaysia, Mexico, Morocco, Philippines, Poland, Russia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand and Turkey.
Ù	Rounds to 0.0%.

2

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,889,669	GMO Emerging Markets Fund, Class VI		24,301,139
	2,544,825	GMO Flexible Equities Fund, Class VI		45,603,256
	16,231,138	GMO International Growth Equity Fund, Class IV		364,875,983
	17,821,888	GMO International Intrinsic Value Fund, Class IV		363,744,741
		TOTAL MUTUAL FUNDS (COST $860,289,640)		798,525,119
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	27,042	State Street Eurodollar Time Deposit, 0.01%, due 09/01/11		27,042
		TOTAL SHORT-TERM INVESTMENTS (COST $27,042)		27,042
		TOTAL INVESTMENTS — 100.0% (Cost $860,316,682)		798,552,161
		Other Assets and Liabilities (net) — (0.0%)		(62,093	)
		TOTAL NET ASSETS — 100.0%	$	798,490,068

See accompanying notes to the financial statements. 3

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $27,042) (Note 2)	$	27,042
Investments in affiliated issuers, at value (cost $860,289,640) (Notes 2 and 10)		798,525,119
Receivable for investments sold		181,243
Receivable for expenses reimbursed by Manager (Note 5)		11,346
Total assets		798,744,750
Liabilities:
Payable for Fund shares repurchased		181,243
Payable to affiliate for (Note 5):
Trustees and Trust Officers or agents unaffiliated with the Manager		1,110
Accrued expenses		72,329
Total liabilities		254,682
Net assets	$	798,490,068
Net assets consist of:
Paid-in capital	$	1,070,159,650
Accumulated undistributed net investment income		10,213,784
Accumulated net realized loss		(220,118,845	)
Net unrealized depreciation		(61,764,521	)
	$	798,490,068
Net assets attributable to:
Class III shares	$	798,490,068
Shares outstanding:
Class III		56,884,398
Net asset value per share:
Class III	$	14.04

4 See accompanying notes to the financial statements.

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	10,222,992
Interest		2
Total investment income		10,222,994
Expenses:
Custodian, fund accounting agent and transfer agent fees		25,116
Audit and tax fees		17,112
Legal fees		13,800
Trustees fees and related expenses (Note 5)		6,591
Registration fees		1,288
Miscellaneous		10,067
Total expenses		73,974
Fees and expenses reimbursed by Manager (Note 5)		(64,676	)
Expense reductions (Note 2)		(88	)
Net expenses		9,210
Net investment income (loss)		10,213,784
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(41,186,078	)
Realized gains distributions from affiliated issuers (Note 10)		1,764,234
Net realized gain (loss)		(39,421,844	)
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(37,021,133	)
Net realized and unrealized gain (loss)		(76,442,977	)
Net increase (decrease) in net assets resulting from operations	$	(66,229,193	)

See accompanying notes to the financial statements. 5

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	10,213,784		$	9,567,983
Net realized gain (loss)		(39,421,844	)		(52,143,275	)
Change in net unrealized appreciation (depreciation)		(37,021,133	)		185,518,128
Net increase (decrease) in net assets from operations		(66,229,193	)		142,942,836
Distributions to shareholders from:
Net investment income
Class III		—			(9,579,484	)
Net share transactions (Note 9):
Class III		68,692,992			1,559,794
Total increase (decrease) in net assets resulting from net share transactions		2,463,799			134,923,146
Net assets:
Beginning of period		796,026,269			661,103,123
End of period (including accumulated undistributed net investment income of $10,213,784 and $0, respectively)	$	798,490,068		$	796,026,269

6 See accompanying notes to the financial statements.

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007(a)
Net asset value, beginning of period	$	15.23		$	12.69		$	9.20		$	20.63		$	22.16		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.19			0.18			0.41			0.65			0.47			0.53
Net realized and unrealized gain (loss)		(1.38	)		2.54			3.49			(9.20	)		0.52			2.45
Total from investment operations		(1.19	)		2.72			3.90			(8.55	)		0.99			2.98
Less distributions to shareholders:
From net investment income		—			(0.18	)		(0.41	)		(0.62	)		(1.24	)		(0.72	)
From net realized gains		—			—			—			(2.26	)		(1.28	)		(0.10	)
Total distributions		—			(0.18	)		(0.41	)		(2.88	)		(2.52	)		(0.82	)
Net asset value, end of period	$	14.04		$	15.23		$	12.69		$	9.20		$	20.63		$	22.16
Total Return(c)		(7.81	)%**		21.53	%		42.22	%		(46.05	)%		3.57	%		14.93	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	798,490		$	796,026		$	661,103		$	409,278		$	718,390		$	440,431
Net expenses to average daily net assets(d)(e)		0.00	%(f)*		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%*
Net investment income (loss) to average daily net assets(b)		2.48	%*		1.34	%		3.39	%		4.12	%		2.04	%		3.32	%*
Portfolio turnover rate		10	%**		14	%		20	%		33	%		4	%		1	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%*		0.02	%		0.02	%		0.01	%		0.02	%		0.03	%*
Redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	0.00	(g)	$	0.00	(g)	$	0.00	(g)	$	0.01

(a)	Period from June 5, 2006 (commencement of operations) through February 28, 2007.
(b)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(c)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(d)	Net expenses to average daily net assets were less than 0.01%.
(e)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(f)	The net expense ratio does not include the effect of expense reductions (Note 2).
(g)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 7

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO International Opportunities Equity Allocation Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return greater than that of its benchmark, the MSCI EAFE Index. The Fund is a fund of funds and invests primarily in shares of the GMO International Equity Funds. The Fund also may invest in shares of other GMO Funds, including the GMO Fixed Income Funds, GMO Alpha Only Fund and GMO Alternative Asset Opportunity Fund (GMO Funds in which the Fund invests are collectively referred to as “underlying funds”). In addition, the Fund may hold securities directly. Although the Fund’s primary exposure is to foreign equity investments (which may include emerging country equities, both growth and value style equities and equities of any market capitalization), the Fund also may have exposure to foreign and U.S. fixed income securities (including fixed income securities of any credit quality and having any maturity or duration), as well as to the investment returns of commodities and, from time to time, other alternative asset classes. Under normal circumstances, the Fund invests (including through investment in the underlying funds) at least 80% of its assets in equity investments. The term “equity investments” refers to direct and indirect (e.g., through the underlying funds) investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

The Manager uses multi-year forecasts of relative value and risk among asset classes (e.g., foreign equity, emerging country equity, emerging country debt, foreign fixed income, U.S. fixed income and commodities) to select the underlying funds in which the Fund invests and to decide how much to invest in each. The Manager changes the Fund’s holdings of the underlying funds in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect) or by visiting GMO’s website at www.gmo.com.

8

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other investment funds are generally valued at their net asset value. Investments held by the underlying funds are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of GMO trust represented 0.2% of net assets. Those underlying funds classify such securities (as defined below) as Level 3.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund, either directly or through investments in the underlying funds, that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) are

9

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

classified as being valued using Level 2 inputs in the table below or in the disclosures in the underlying funds.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		89.3	%
Futures Contracts		(0.8	)%
Swap Agreements		(0.0	)%Ù

            ^Ù Rounds to 0.0%.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

10

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds	$	798,525,119	$	—	$	—	$	798,525,119
Short-Term Investments		27,042		—		—		27,042
Total Investments		798,552,161		—		—		798,552,161
Total	$	798,552,161	$	—	$	—	$	798,552,161

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s indirect investments in securities and derivative financial instruments using Level 3 inputs were 0.2% and 0.0% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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

11

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital losses of $10,370,659.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(39,084,586	)
February 28, 2019	$	(22,515,332	)
Total	$	(61,599,918	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	1,004,405,456	$	2,898,798	$	(208,752,093	)	$	(205,853,295	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or

12

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund’s investments in the underlying funds. Some of the underlying funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market value of a particular security held by those Funds may affect their performance more than if they were diversified. The principal risks of investing in the Fund are summarized below, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. The risks of

13

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. An underlying fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund and the underlying funds normally do not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund or an underlying fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

14

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Commodities Risk — To the extent an underlying fund has exposure to global commodity markets, the value of its shares is affected by factors particular to the commodity markets and may fluctuate more than the value of shares of a fund with a broader range of investments.

• Leveraging Risk — The use of reverse repurchase agreements and other derivatives and securities lending may cause the Fund’s portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

15

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Short Sales Risk — The Fund runs the risk that an underlying fund’s loss on a short sale of securities that the underlying fund does not own is unlimited.

• Market Risk — Fixed Income Securities — Typically, the market value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments.

5. Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not charge the Fund a management fee or shareholder service fee, but it receives management and 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 the Manager’s asset allocation decisions.

16

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This contractual expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $6,591 and $2,707, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder	Indirect Shareholder
service fees)	Service Fees	Total Indirect Expenses
0.514%	0.087%	0.601%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and class exchanges, for the period ended August 31, 2011 aggregated $160,182,247 and $79,490,319, respectively.

7. Guarantees

In the normal course of business the Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Fund. Based on experience, the Manager is of the view that the risk of loss

17

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

to the Fund in connection with the Fund’s indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

8. Principal shareholders and related parties

As of August 31, 2011, 25.32% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, less than 0.01% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		7,739,654		$	115,344,399			5,013,261		$	66,236,875
Shares issued to shareholders in reinvestment of distributions		—			—			645,146			9,354,610
Shares repurchased		(3,108,408	)		(46,651,407	)		(5,496,705	)		(74,031,691	)
Net increase (decrease)		4,631,246		$	68,692,992			161,702		$	1,559,794

18

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO Emerging Markets Fund, Class VI	$	22,727,461	$	5,356,505	$	1,017,898	$	—	$	1,764,234	$	24,301,139
GMO Flexible Equities Fund, Class VI		11,463,067		37,202,625		1,266,531		—		—		45,603,256
GMO International Growth Equity Fund, Class IV		381,363,744		52,055,022		45,207,775		2,717,363		—		364,875,983
GMO International Intrinsic Value Fund, Class IV		380,486,131		65,568,095		31,998,115		7,505,629		—		363,744,741
Totals	$	796,040,403	$	160,182,247	$	79,490,319	$	10,222,992	$	1,764,234	$	798,525,119

19

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one- and three-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

20

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other funds of the Trust in which the Fund invests. The Trustees also considered other so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees noted that they had approved renewal of the Manager’s management agreements with the other funds of the Trust in which the Fund may invest and had concluded that the advisory fees charged to those funds were reasonable, after considering, among other things: possible economies of scale to the Manager in connection with its management of other funds; the Manager’s profitability with respect to those other funds and the Trust as a whole; and information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives to those funds in which the Fund invests.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the

21

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

22

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including indirect management fees, indirect shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

23

GMO International Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.60	%	$	1,000.00	$	921.90	$	2.90
2) Hypothetical		0.60	%	$	1,000.00	$	1,022.12	$	3.05

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

24

GMO International Small Companies Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Small Companies Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		93.4	%
Preferred Stocks		3.0
Mutual Funds		1.9
Short-Term Investments		0.9
Rights/Warrants		0.0	Ù
Forward Currency Contracts		(0.0	)Ù
Futures Contracts		(0.6	)
Other		1.4
		100.0	%

Country Summary*	% of Investments
Japan		32.9	%
United Kingdom		21.8
Germany		11.2
France		6.8
Italy		6.8
Singapore		3.2
Netherlands		2.3
Ireland		2.2
Sweden		1.7
Canada		1.5
Hong Kong		1.5
Austria		1.1
South Korea		1.0
Norway		0.8
Switzerland		0.7
Spain		0.6
Belgium		0.5
Greece		0.5
Australia		0.4
Taiwan		0.4
Finland		0.3
Brazil		0.2
India		0.2
Indonesia		0.2
Chile		0.1
China		0.1
Denmark		0.1
Egypt		0.1

1

GMO International Small Companies Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Country Summary*	% of Investments
Israel		0.1	%
Malaysia		0.1
Mexico		0.1
Philippines		0.1
Poland		0.1
South Africa		0.1
Thailand		0.1
Turkey		0.1
Czech Republic		0.0	Ù
		100.0	%

* The table above 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 agreements and other derivative financial instruments, if any.

Industry Group Summary	% of Equity Investments**
Capital Goods		17.3	%
Materials		12.5
Retailing		8.7
Real Estate		8.7
Automobiles & Components		7.1
Diversified Financials		5.3
Food, Beverage & Tobacco		5.0
Consumer Durables & Apparel		4.6
Consumer Services		3.7
Transportation		3.6
Technology Hardware & Equipment		3.4
Media		2.8
Energy		2.7
Pharmaceuticals, Biotechnology & Life Sciences		2.3
Commercial & Professional Services		2.1
Health Care Equipment & Services		1.9
Software & Services		1.7
Insurance		1.7
Utilities		1.3
Semiconductors & Semiconductor Equipment		1.0
Telecommunication Services		0.9
Food & Staples Retailing		0.8

2

GMO International Small Companies Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Industry Group Summary	% of Equity Investments**
Banks		0.5	%
Household & Personal Products		0.4
		100.0	%

**	Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.
Ù	Rounds to 0.0%.

3

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 93.4%
		Australia — 2.3%
	815,827	Australian Infrastructure Fund		1,664,496
	7,850	Campbell Brothers Ltd		390,686
	223,405	Challenger Ltd		1,175,209
	775,397	Charter Hall Office (REIT)		2,784,608
	636,905	Charter Hall Retail (REIT)		2,248,529
	1,692,981	Investa Office Fund (REIT)		1,117,191
	998,258	PaperlinX Ltd *		117,821
		Total Australia		9,498,540
		Austria — 1.1%
	26,964	Andritz AG		2,496,120
	14,299	Flughafen Wien AG		699,210
	1,761,602	Immofinanz AG (Entitlement Shares)		—
	10,941	Schoeller-Bleckmann Oilfield Equipment AG		854,174
	26,872	Zumtobel AG		581,889
		Total Austria		4,631,393
		Belgium — 0.5%
	9,472	Euronav SA *		87,334
	10,139	GIMV NV		572,673
	19,012	Omega Pharma SA		938,424
	17,833	Tessenderlo Chemie		581,872
	636	Tessenderlo Chemie NV *		164
		Total Belgium		2,180,467
		Brazil — 0.2%
	29,000	Equatorial Energia SA		215,874
	15,600	Ez Tec Empreendimentos e Participacoes SA		157,284
	26,400	Fertilizantes Heringer SA *		140,964
	20,600	Grendene SA		95,630
	11,700	Helbor Empreendimentos SA		154,270
		Total Brazil		764,022

4 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Canada — 2.7%
	32,457	ACE Aviation Holdings Inc Class A *		368,882
	41,100	AltaGas Ltd		1,157,079
	41,100	Davis & Henderson Income Corp		765,510
	30,700	Dorel Industries Inc Class B		740,148
	83,200	Dundee Corp Class A *		1,904,773
	6,200	Linamar Corp		99,018
	100,000	Neo Materials Technologies Inc *		915,960
	14,871	Quebecor Inc Class B		503,546
	119,900	RONA Inc		1,215,773
	50,950	Torstar Corp Class B		520,270
	88,425	Transcontinental Inc		1,269,535
	157,600	Trinidad Drilling Ltd		1,305,153
	362,200	Yellow Media Inc		299,583
		Total Canada		11,065,230
		Chile — 0.1%
	5,288,290	Madeco SA *		257,823
		China — 0.1%
	447,600	Jiangsu Future Land Co Ltd Class B		244,977
		Czech Republic — 0.0%
	4,200	Pegas Nonwovens SA		115,035
		Denmark — 0.1%
	15,408	D/S Norden A/S		459,664
		Egypt — 0.1%
	8,402	Alexandria Mineral Oils Co		92,135
	27,477	Arab Cotton Ginning		19,489
	550,583	Palm Hills Developments SAE *		163,007
		Total Egypt		274,631

See accompanying notes to the financial statements. 5

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Finland — 0.3%
	12,029	Outotec Oyj		497,196
	154,933	Sponda Oyj		731,828
		Total Finland		1,229,024
		France — 6.3%
	95,815	Arkema		7,409,443
	115,962	Derichebourg SA *		613,254
	7,293	Eiffage SA		354,220
	63,125	Faurecia		1,848,946
	6,086	Fonciere des Regions (REIT)		506,162
	22,534	Groupe Steria SCA		498,163
	35,807	Ingenico SA		1,458,548
	8,468	Jacquet Metal Service *		142,631
	32,608	Lagardere SCA		1,113,758
	40,589	Maurel et Prom		843,178
	15,095	Nexans SA		1,209,239
	134,595	PagesJaunes Groupe		876,367
	24,558	Peugeot SA		750,599
	53,800	Plastic Omnium SA		1,631,487
	32,407	Rallye SA		1,142,440
	16,778	Teleperformance		445,398
	78,892	Valeo SA		4,164,085
	8,713	Zodiac Aerospace		700,464
		Total France		25,708,382
		Germany — 8.1%
	85,618	Aareal Bank AG *		1,847,351
	25,167	Aixtron AG		565,621
	52,586	Aurubis AG		3,082,738
	16,641	Axel Springer AG		714,981
	69,878	Balda AG *		673,144
	26,775	Bechtle AG		1,035,906
	22,071	Bertrandt AG		1,199,497
	44,948	Bilfinger & Berger SE		3,770,368

6 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Germany — continued
	150,495	Drillisch AG		1,667,125
	37,977	Freenet AG		473,977
	168,495	Gagfah SA		972,070
	27,124	GEA Group AG		794,314
	3,804	Gerresheimer AG		180,069
	34,089	Gerry Weber International AG		1,149,186
	65,999	Gildemeister AG *		1,138,317
	86,325	Infineon Technologies AG		733,034
	14,741	Kabel Deutschland Holding AG *		823,063
	75,244	Kloeckner & Co SE		1,247,885
	5,700	Krones AG		386,706
	18,710	Lanxess AG		1,164,001
	71,156	Leoni AG		3,047,760
	10,106	Pfeiffer Vacuum Technology AG		1,089,561
	13,633	Rheinmetall AG		903,267
	18,399	Software AG		806,227
	41,330	Stada Arzneimittel AG		1,453,383
	47,364	Suedzucker AG		1,656,192
	4,001	Vossloh AG		488,788
		Total Germany		33,064,531
		Greece — 0.5%
	143,182	Alapis Holding Industrial and Commercial SA *		34,645
	201,715	Intralot SA		230,348
	105,373	Jumbo SA		589,874
	877,922	Marfin Investment Group SA *		386,849
	81,870	Motor Oil (Hellas) Corinth Refineries SA		818,697
		Total Greece		2,060,413
		Hong Kong — 1.4%
	1,756,000	First Pacific Co		1,681,556
	486,400	HKR International Ltd		234,762
	757,000	Kowloon Development Co Ltd		923,502
	3,182,000	Singmas Container Holdings Ltd		974,256

See accompanying notes to the financial statements. 7

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	1,072,000	Texwinca Holdings Ltd		1,309,952
	226,000	Yue Yuen Industrial Holdings		624,339
		Total Hong Kong		5,748,367
		India — 0.2%
	332,656	Alok Industries Ltd		128,807
	106,822	Apollo Tyres Ltd		139,889
	154,409	Geodesic Ltd		179,763
	342,520	Rain Commodities Ltd		222,302
	186,377	REI Agro Ltd		103,390
		Total India		774,151
		Indonesia — 0.1%
	37,964,500	Bakrie & Brothers Tbk PT *		294,558
	3,275,500	Bakrie Sumatera Plantations Tbk PT		148,389
	394,000	Sampoerna Agro Tbk PT		165,277
		Total Indonesia		608,224
		Ireland — 2.2%
	1,326,561	Allied Irish Banks Plc *		76,800
	154,560	DCC Plc		4,214,100
	355,179	Fyffes Plc		172,859
	242,035	Glanbia Plc		1,474,741
	718,499	Irish Life & Permanent Group Holdings Plc *		30,763
	23,217	Paddy Power Plc		1,183,012
	177,321	Smurfit Kappa Group Plc *		1,400,636
	624,173	Total Produce Ltd		350,858
		Total Ireland		8,903,769
		Israel — 0.1%
	136,205	Africa Israel Investments Ltd *		544,571
		Italy — 3.9%
	73,993	Autostrada Torino-Milano SPA		787,161
	202,406	Benetton Group SPA		1,453,483

8 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	49,871	Brembo SPA		520,686
	147,681	Campari		1,204,771
	92,099	Cementir SPA		254,516
	36,568	Danieli & Co SPA		926,803
	139,605	Danieli & Co SPA-RSP		1,838,199
	97,360	De’Longhi SPA		1,084,730
	145,454	Italcementi SPA-Di RISP		525,805
	11,950	Italmobiliare SPA		377,753
	16,402	Italmobiliare SPA-RSP *		350,831
	80,594	Lottomatica SPA *		1,272,737
	317,959	Mediolanum SPA		1,192,339
	265,623	Recordati SPA		2,568,283
	33,683	Societa Iniziative Autostradali e Servizi SPA		280,932
	11,013	Tod’s SPA		1,266,051
		Total Italy		15,905,080
		Japan — 31.4%
	82,200	ADEKA Corp		824,548
	1,510	Advance Residence Investment Corp (REIT)		3,160,911
	188,000	Aichi Steel Corp		1,124,453
	38,000	Alpen Co Ltd		675,998
	236,800	Alps Electric Co Ltd		2,165,493
	132,000	Anritsu Corp		1,614,951
	112,100	AOC Holdings Inc		647,175
	97,900	Aoyama Trading Co Ltd		1,639,679
	120,800	Arnest One Corp		1,293,483
	18,000	Autobacs Seven Co Ltd		821,689
	408,000	Calsonic Kansei Corp		2,441,821
	35,900	Capcom		1,052,880
	90,600	Century Tokyo Leasing Corp		1,781,722
	19,400	Chiba Kogyo Bank Ltd (The) *		115,030
	452	CyberAgent Inc		1,496,239
	180,550	Daiei Inc *		673,820
	56,700	Daiichikosho Co Ltd		1,091,664

See accompanying notes to the financial statements. 9

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	149,000	Dainippon Screen Manufacturing Co Ltd		984,173
	466	Daiwa Office Investment Corp (REIT)		1,425,374
	181,100	DCM Holdings Co Ltd		1,432,078
	700,000	DIC Corp		1,544,900
	227,500	Edion Corp		1,987,070
	38,100	Ferrotec Corp		766,660
	121,000	Fujitsu General Ltd		905,067
	54,800	Fuji Oil Co Ltd		879,259
	32,600	Fuji Soft Inc		503,786
	195,100	Futaba Industrial Co Ltd		1,344,351
	53,800	Fuyo General Lease Co Ltd		1,981,127
	402,000	Godo Steel LTD		917,929
	11,060	Gulliver International Co Ltd		539,427
	400,000	Gunze Ltd		1,331,071
	492,000	Hanwa Co Ltd		2,135,305
	271,000	Ishihara Sangyo Kaisha Ltd *		325,774
	105,400	IT Holdings Corp		1,025,199
	68,300	Itochu Enex Co Ltd		377,148
	310,000	JACCS Co Ltd		1,103,335
	263	Japan Excellent Inc (REIT)		1,320,909
	369,000	JFE Shoji Holdings Inc		1,662,139
	365,000	Juki Corp		809,161
	174,000	J–Oil Mills Inc		531,763
	105,600	K’s Holdings Corp		4,654,544
	19,800	Kaga Electronics Co Ltd		208,300
	176,000	Kaken Pharmaceutical Co Ltd		2,458,177
	433	Kenedix Realty Investment Corp (REIT)		1,541,337
	31,000	Kewpie Corp		425,209
	111,300	Kohnan Shoji Co Ltd		2,072,395
	70,500	Kojima Co Ltd		512,259
	144,000	Krosaki Harima Corp		615,255
	338,000	Kurabo Industries Ltd		684,855
	39,800	Kyoei Steel Ltd		616,740
	75,000	Kyorin Co Ltd		1,521,944

10 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	32,000	Kyudenko Corp		220,493
	77,000	Makino Milling Machine Co Ltd		625,584
	28,600	Mandom Corp		857,391
	409,000	Mitsubishi Steel Manufacturing Co Ltd		1,252,818
	513,000	Mitsui Mining & Smelting Co Ltd		1,556,002
	382	Mori Hills REIT Investment Corp (REIT)		1,387,029
	330,000	Morinaga Milk Industry Co Ltd		1,427,790
	228,000	Nachi-Fujikoshi Corp		1,199,494
	150,000	Nakayama Steel Works Ltd *		177,474
	334	Net One Systems Co Ltd		905,640
	190,000	Nichias Corp		1,130,723
	505,000	Nichirei Corp		2,263,436
	93,300	Nihon Kohden Corp		2,432,422
	163,000	Nippon Chemi-Con Corp		905,474
	865,000	Nippon Coke & Engineering Co Ltd		1,393,312
	115,000	Nippon Corp		1,008,419
	97,000	Nippon Shokubai Co Ltd		1,221,986
	153,000	Nippon Soda Co Ltd		675,522
	71,000	Nippon Synthetic Chemical Industry Co Ltd		429,869
	55,400	Nippon System Development Co Ltd		486,249
	115,000	Nippon Flour Mills Co Ltd		542,279
	1,421,000	Nippon Light Metal Co Ltd		2,735,336
	68,400	Nipro Corp		1,258,639
	123,000	Nissan Shatai Co Ltd		955,969
	185,000	Nisshin Oillio Group Ltd (The)		896,595
	156,000	NS United Kaiun Kaisha Ltd		264,999
	19,500	Okinawa Electric Power Co		924,371
	67,000	OKUMA Corp		517,636
	1,503,000	Orient Corp *		1,583,394
	456	ORIX JREIT Inc (REIT)		2,205,542
	36,900	Osaka Steel Co Ltd		574,196
	26,100	OSAKA Titanium Technologies Co		1,364,546
	27,500	PLENUS Co Ltd		455,073
	8,100	Point Inc		383,392

See accompanying notes to the financial statements. 11

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	206	Premier Investment Corp (REIT)		896,785
	487,000	Press Kogyo Co Ltd		2,386,868
	93,250	Promise Co Ltd *		667,628
	294,800	Round One Corp		2,586,019
	404,000	Ryobi Ltd		1,752,361
	9,900	Ryohin Keikaku Co Ltd		530,296
	8,800	Ryosan Co		197,996
	184,000	Sankyu Inc		865,744
	40,700	Sanrio Co Ltd		1,735,187
	142,000	Seino Holdings Co Ltd		1,035,276
	41,000	Ship Healthcare Holdings Inc		968,108
	143,000	Showa Corp *		954,979
	32,600	Start Today Co Ltd		879,815
	137,000	Taihei Kogyo Co Ltd		657,285
	234,000	TOA Corp		419,899
	298,000	Toho Zinc Co Ltd		1,275,277
	263,000	Toko Inc *		575,989
	289	Tokyu REIT Inc (REIT)		1,698,193
	467,000	Topy Industries Ltd		1,305,968
	179	Top REIT Inc (REIT)		1,032,766
	522,000	Toyo Tire & Rubber Co Ltd		1,394,283
	368	T–Gaia Corp		725,284
	79,000	Uchida Yoko Co Ltd		200,906
	213,000	Uniden Corp		948,008
	65,500	Unipres Corp		1,685,591
	793	United Urban Investment Corp (REIT)		959,088
	140,000	Yokohama Rubber Co Ltd		784,567
		Total Japan		129,104,836
		Malaysia — 0.1%
	242,966	Coastal Contracts Berhad		170,031
	152,500	DRB-Hicom Berhad		104,202

12 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Malaysia — continued
	176,900	Esso Malaysia Berhad		217,281
	679,700	Scomi Group Berhad *		68,147
		Total Malaysia		559,661
		Mexico — 0.1%
	38,000	Bio Pappel SAB de CV *		23,098
	98,000	Gruma SAB de CV Series B *		194,596
	7,200	Grupo Simec SAB de CV Series B *		16,631
		Total Mexico		234,325
		Netherlands — 2.2%
	114,712	Aalberts Industries NV		2,139,008
	26,982	ASM International NV		712,871
	24,011	Koninklijke Ten Cate NV		848,845
	302,704	Koninklijke BAM Groep NV		1,525,126
	45,484	Mediq NV		801,922
	62,016	SBM Offshore NV		1,287,192
	18,200	Vastned NV (REIT)		1,021,378
	10,100	Wereldhave NV (REIT)		856,624
		Total Netherlands		9,192,966
		Norway — 0.8%
	44,636	Atea ASA		448,130
	48,439	Cermaq ASA *		604,130
	117,863	Storebrand ASA		781,780
	59,911	TGS Nopec Geophysical Co ASA		1,498,844
		Total Norway		3,332,884
		Philippines — 0.1%
	1,722,100	Lopez Holding Corp *		204,534

See accompanying notes to the financial statements. 13

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Poland — 0.1%
	17,128	Dom Maklerski IDMSA *		10,458
	129,495	MCI Management SA *		217,644
	148,640	Optimus SA *		262,314
		Total Poland		490,416
		Singapore — 2.2%
	679,000	CapitaCommercial Trust (REIT)		673,264
	1,113,000	GMG Global Ltd		226,246
	679,000	Ho Bee Investment Ltd		766,455
	403,000	Hong Leong Asia Ltd		579,331
	2,536,000	Jaya Holdings Ltd *		1,041,712
	1,436,159	Mapletree Logistics Trust (REIT)		1,061,133
	612,000	MobileOne Ltd		1,275,616
	383,000	SATS Ltd		721,947
	830,000	Swiber Holdings Ltd *		385,985
	183,000	Venture Corp Ltd		1,134,672
	183,000	Wheelock Properties Ltd		258,918
	630,000	Wing Tai Holdings Ltd		712,439
		Total Singapore		8,837,718
		South Africa — 0.1%
	98,254	Basil Read Holdings Ltd		164,997
	6,900	DRDGOLD Ltd Sponsored ADR		37,122
	16,051	Evraz Highveld Steel and Vanadium Ltd *		99,797
	400,000	Simmer & Jack Mines Ltd *		1,140
	73,315	Stefanutti Stocks Holdings Ltd		113,623
	1,145,282	Super Group Ltd *		141,322
		Total South Africa		558,001
		South Korea — 1.0%
	7,301	AtlasBX Co Ltd		166,122
	3,260	Dong Ah Tire & Rubber Co Ltd		29,810
	17,050	Dongbu Corp		91,240
	978	Dongwon Industries Co Ltd		154,439

14 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		South Korea — continued
	1,229	E1 Corp		65,765
	9,680	Handsome Co Ltd		273,455
	85,215	Interpark Corp *		397,387
	5,919	KCC Engineering & Construction Co		278,123
	8,890	KISCO Corp		225,874
	3,050	KISWIRE Ltd		149,165
	6,481	Kolon Corp		205,370
	35,020	Kwang Dong Pharmaceutical Co Ltd		103,125
	343	Lotte Samkang Co Ltd		116,993
	1,740	Moorim Paper Co Ltd		5,120
	13,020	Muhak Co Ltd		159,998
	199	Namyang Dairy Products Co Ltd		153,448
	2,305	Nong Shim Holdings Co Ltd		118,939
	580	Poongsan Corp		16,921
	1,341	SeAH Holdings Corp		187,086
	1,680	SeAH Steel Corp		136,585
	1,060	Shinyoung Securities Co Ltd		30,785
	4,180	Silla Co Ltd		51,660
	4,730	SK Gas Co Ltd		335,216
	243	Taekwang Industrial Co Ltd		319,244
	9,480	Youngone Corp		161,564
	1,820	Youngone Holding Co Ltd		74,206
		Total South Korea		4,007,640
		Spain — 0.5%
	73,001	Fomento de Construcciones y Contratas SA		1,897,438
		Sweden — 2.2%
	35,757	Axfood AB		1,353,724
	63,100	D Carnegie & Co. AB * (a)		7,463
	30,429	Hoganas AB Class B		1,029,284
	218,599	Kungsleden AB		1,839,388
	72,644	NCC Class B		1,394,068
	122,163	Peab AB		719,406

See accompanying notes to the financial statements. 15

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	67,643	SAAB AB Class B		1,409,426
	96,106	Trelleborg AB Class B		809,072
	81,342	Vostok Gas Ltd * (a)		2,822
	41,694	Wihlborgs Fastigheter AB		583,250
		Total Sweden		9,147,903
		Switzerland — 0.7%
	882	Fischer (George) AG (Registered) *		395,614
	18,468	Swiss Life Holding AG (Registered) *		2,539,622
		Total Switzerland		2,935,236
		Taiwan — 0.4%
	54,000	AV Tech Corp		166,163
	290,000	China Bills Finance Corp		101,420
	76,000	Chinese Maritime Transport Ltd		121,487
	359,000	Getac Technology Corp		227,584
	288,000	Grand Pacific Petrochemical Corp		171,672
	110,000	Inventec Appliances Corp		67,326
	126,000	L&K Engineering Co Ltd		121,702
	273,000	Long Bon International Co Ltd		109,508
	86,000	P-Two Industries Inc		66,904
	430,000	ProMOS Technologies Inc *		5,957
	159,000	Quanta Storage Inc		115,704
	925,000	Sampo Corp		291,025
	106,000	ThaiLin Semiconductor Corp		35,000
	221,000	Zig Sheng Industrial Co Ltd		138,413
		Total Taiwan		1,739,865
		Thailand — 0.1%
	9,246,500	G J Steel Pcl (Foreign Registered) * (a)		71,313
	324,600	TPI Polene Pcl (Foreign Registered) (a)		139,946
		Total Thailand		211,259

16 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Turkey — 0.1%
	464,976	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS Class D *		231,342
	125,873	Koza Anadolu Metal Madencilik Isletmeleri AS *		320,094
		Total Turkey		551,436
		United Kingdom — 21.0%
	115,568	Amlin Plc		583,874
	599,922	Ando Corp		1,949,923
	450,098	Ashtead Group Plc		858,106
	57,204	ASOS Plc *		1,831,121
	155,259	Atkins WS Plc		1,370,666
	660,874	Balfour Beatty Plc		2,676,743
	389,731	Bodycote Plc		1,840,455
	68,865	Britvic Plc		354,686
	359,098	Cape Plc		2,797,673
	241,955	Carillion Plc		1,342,983
	262,272	Catlin Group Ltd		1,584,039
	189,115	Cookson Group Plc		1,611,304
	42,404	Croda International Plc		1,240,178
	76,795	Daily Mail and General Trust Plc NV Class A		503,438
	147,890	Dairy Crest Group Plc		871,231
	793,079	Debenhams Plc		686,919
	64,838	Domino’s Pizza UK & IRL Plc		529,550
	427,161	Drax Group Plc		3,600,030
	700,904	DS Smith Plc		2,352,010
	270,608	Elementis Plc		676,711
	930,960	Enterprise Inns Plc *		620,490
	266,296	Fenner Plc		1,585,573
	270,174	Filtrona Plc		1,598,997
	517,674	FirstGroup Plc		3,079,119
	933,711	Game Group Plc		367,798
	502,960	GKN Plc		1,646,435
	83,683	Go-Ahead Group Plc		2,144,100
	147,077	Greene King Plc		1,060,619
	241,106	Halfords Group Plc		1,199,567

See accompanying notes to the financial statements. 17

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	105,610	Hargreaves Lansdown Plc		739,513
	812,621	Home Retail Group Plc		1,678,461
	905,018	Howden Joinery Group PLC *		1,488,376
	131,403	IMI Plc		1,900,159
	748,040	Inchcape Plc		3,913,920
	356,564	Intermediate Capital Group Plc		1,437,250
	145,225	Investec Plc		1,017,102
	79,423	John Wood Group Plc		764,490
	964,761	Johnston Press Plc *		82,298
	954,576	Kesa Electricals Plc		1,688,327
	774,188	Marston’s Plc		1,192,910
	268,198	Mcbride Plc		570,861
	462,957	Melrose Plc		2,353,610
	122,121	Mondi Plc		1,079,286
	418,401	Morgan Crucible Co Plc		1,861,302
	486,124	National Express Group Plc		1,976,281
	5,045,261	Premier Foods Plc *		1,066,900
	1,368,102	Punch Taverns Plc *		214,173
	78,549	Savills Plc		398,793
	257,135	Senior Plc		658,091
	756,883	SIG Plc *		1,274,210
	86,471	Smith News Plc		117,620
	126,574	Spectris Plc		2,951,202
	1,368,102	Spirit Pub Co PLC *		966,065
	433,117	Tate & Lyle Plc		4,074,385
	530,768	Trinity Mirror Plc *		381,940
	233,673	TUI Travel Plc		579,692
	327,341	Tullett Prebon Plc		1,982,954
	122,576	United Business Media Ltd		922,602
	20,653	Weir Group Plc (The)		643,828

18 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	999,785	William Hill Plc		3,655,353
	2,546,413	Yell Group Plc *		205,444
		Total United Kingdom		86,401,736
		TOTAL COMMON STOCKS (COST $384,994,221)		383,446,148
		PREFERRED STOCKS — 3.0%
		Brazil — 0.0%
	2,700	Centrais Eletricas de Santa Catarina SA 6.04%		65,113
	7,100	Cia Energetica do Ceara Class A 12.23%		139,155
		Total Brazil		204,268
		Germany — 3.0%
	12,017	Biotest AG 1.17%		668,153
	10,672	Draegerwerk AG & Co 1.72%		1,066,701
	49,731	Fuchs Petrolub AG 2.81%		2,275,898
	38,372	Hugo Boss AG 2.94%		3,788,507
	35,166	Jungheinrich AG 2.55%		1,112,548
	32,474	Porsche Automobil Holding SE 1.10%		2,186,068
	59,647	ProSiebenSat.1 Media AG 8.57%		1,190,650
		Total Germany		12,288,525
		TOTAL PREFERRED STOCKS (COST $9,198,320)		12,492,793
		RIGHTS/WARRANTS — 0.0%
		Malaysia — 0.0%
	11,833	Coastal Contracts Warrants, Expires 07/18/16 *		1,904
		TOTAL RIGHTS/WARRANTS (COST $0)		1,904

See accompanying notes to the financial statements. 19

GMO International Small Companies Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		MUTUAL FUNDS — 1.9%
		United States — 1.9%
		Affiliated Issuers
	319,914	GMO U.S. Treasury Fund		8,001,043
		TOTAL MUTUAL FUNDS (COST $8,001,043)		8,001,043
		SHORT-TERM INVESTMENTS — 0.9%
		Time Deposits — 0.9%
AUD	80,458	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.00%, due 09/01/11		86,006
CAD	48,793	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.26%, due 09/01/11		49,824
CHF	7,275	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		9,027
DKK	89,358	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.20%, due 09/01/11		17,231
GBP	6,049	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.11%, due 09/01/11		9,819
HKD	78,084	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		10,029
JPY	6,401,361	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		83,602
NOK	54,996	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.05%, due 09/01/11		10,252
NZD	14,419	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.70%, due 09/01/11		12,285
SEK	65,339	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.10%, due 09/01/11		10,303
EUR	39,039	Citibank (New York) Time Deposit, 0.13%, due 09/01/11		56,080
SGD	112,188	Citibank (New York) Time Deposit, 0.01%, due 09/01/11		93,156
USD	2,350,474	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		2,350,474
USD	915,628	JPMorgan Chase (New York) Time Deposit, 0.03%, due 09/01/11		915,628
		Total Time Deposits		3,713,716
		TOTAL SHORT-TERM INVESTMENTS (COST $3,713,716)		3,713,716
		TOTAL INVESTMENTS — 99.2% (Cost $405,907,300)		407,655,604
		Other Assets and Liabilities (net) — 0.8%		3,094,217
		TOTAL NET ASSETS — 100.0%	$	410,749,821

20 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Buys †
10/21/11		JPMorgan Chase Bank, N.A.	AUD		1,267,478	$	1,346,337	$	34,789
10/21/11		Morgan Stanley Capital Services Inc.	AUD		1,267,478		1,346,337		34,741
10/21/11		Royal Bank of Scotland PLC	CHF		859,269		1,067,882		(60,744	)
10/21/11		Bank of New York Mellon	GBP		1,791,725		2,906,884		(25,525	)
10/21/11		Deutsche Bank AG	GBP		1,654,907		2,684,912		(24,668	)
10/21/11		Morgan Stanley Capital Services Inc.	GBP		1,685,373		2,734,339		(24,901	)
10/21/11		State Street Bank and Trust Company	GBP		1,102,506		1,788,699		(15,695	)
10/21/11		Bank of New York Mellon	HKD		13,892,673		1,785,235		751
10/21/11		Brown Brothers Harriman & Co.	HKD		29,108,213		3,740,461		2,577
10/21/11		JPMorgan Chase Bank, N.A.	HKD		12,884,956		1,655,742		1,236
10/21/11		Morgan Stanley Capital Services Inc.	HKD		9,225,235		1,185,460		810
10/21/11		State Street Bank and Trust Company	HKD		22,110,191		2,841,202		1,046
10/21/11		Bank of America, N.A.	SEK		21,536,119		3,386,744		55,300
10/21/11		Bank of New York Mellon	SEK		3,059,439		481,124		7,612
10/21/11		Royal Bank of Scotland PLC	SEK		15,794,643		2,483,846		37,727
10/21/11		Bank of America, N.A.	SGD		13,848,668		11,502,159		(1,968	)
						$	42,937,363	$	23,088
Sales #
10/21/11		Bank of America, N.A.	CAD		1,249,900	$	1,274,832	$	(8,485	)
10/21/11		Deutsche Bank AG	CAD		4,960,106		5,059,046		(22,613	)
10/21/11		JPMorgan Chase Bank, N.A.	CAD		2,844,162		2,900,895		(18,220	)
10/21/11		Royal Bank of Scotland PLC	CAD		468,526		477,872		(3,430	)
10/21/11		Brown Brothers Harriman & Co.	EUR		1,989,078		2,855,573		8,381
10/21/11		Deutsche Bank AG	EUR		1,897,000		2,723,383		5,470
10/21/11		JPMorgan Chase Bank, N.A.	EUR		3,552,916		5,100,660		4,077
10/21/11		Morgan Stanley Capital Services Inc.	EUR		2,685,860		3,855,892		4,189
10/21/11		Bank of New York Mellon	JPY		60,859,782		795,157		(1,472	)
10/21/11		Brown Brothers Harriman & Co.	JPY		232,289,387		3,034,954		(8,579	)
10/21/11		State Street Bank and Trust Company	JPY		160,681,000		2,099,362		(3,901	)
10/21/11		Bank of America, N.A.	NOK		11,674,685		2,170,241		(44,464	)
						$	32,347,867	$	(89,047	)

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

See accompanying notes to the financial statements. 21

GMO International Small Companies Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation/
Contracts	Type		Date	Value		(Depreciation)
Buys
4		IBEX 35	September 2011	$	501,265	$	6,822
42		CAC 40	September 2011		1,958,614		15,122
38		TOPIX	September 2011		3,854,918		(193,765	)
103		FTSE/MIB	September 2011		11,485,272		(3,142,647	)
75		MSCI Singapore	September 2011		4,098,789		181,576
1		Hang Seng	September 2011		131,636		5,523
20		FTSE 100	September 2011		1,745,490		55,507
				$	23,775,984	$	(3,071,862	)
Sales
67		SPI 200	September 2011	$	7,711,212	$	386,618
158		OMXS 30	September 2011		2,379,065		(5,150	)
33		S&P Toronto 60	September 2011		4,902,318		95,407
				$	14,992,595	$	476,875

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

*	Non-income producing security.
(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

22 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $397,906,257) (Note 2)	$	399,654,561
Investments in affiliated issuers, at value (cost $8,001,043) (Notes 2 and 10)		8,001,043
Foreign currency, at value (cost $67,850) (Note 2)		67,662
Dividends receivable		765,430
Foreign taxes receivable		178,296
Unrealized appreciation on open forward currency contracts (Note 4)		198,706
Receivable for foreign currency sold		6
Due from broker on open futures contracts		3,427,206
Receivable for variation margin on open futures contracts (Note 4)		426,233
Receivable for expenses reimbursed by Manager (Note 5)		44,479
Miscellaneous receivable		234
Total assets		412,763,856
Liabilities:
Payable for investments purchased		1,257,000
Payable to affiliate for (Note 5):
Management fee		204,373
Shareholder service fee		51,093
Trustees and Trust Officers or agents unaffiliated with the Manager		244
Unrealized depreciation on open forward currency contracts (Note 4)		264,665
Accrued expenses		236,660
Total liabilities		2,014,035
Net assets	$	410,749,821
Net assets consist of:
Paid-in capital	$	422,505,889
Distributions in excess of net investment income		(1,447,706	)
Accumulated net realized loss		(9,417,635	)
Net unrealized depreciation		(890,727	)
	$	410,749,821
Net assets attributable to:
Class III shares	$	410,749,821
Shares outstanding:
Class III		53,938,036
Net asset value per share:
Class III	$	7.62

See accompanying notes to the financial statements. 23

GMO International Small Companies Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends (net of withholding taxes of $759,872)	$	8,487,208
Dividends from affiliated issuers (Note 10)		1,966
Total investment income		8,489,174
Expenses:
Management fee (Note 5)		1,354,980
Shareholder service fee – Class III (Note 5)		338,745
Custodian and fund accounting agent fees		193,016
Audit and tax fees		43,148
Transfer agent fees		13,248
Legal fees		8,014
Registration fees		3,404
Trustees fees and related expenses (Note 5)		3,351
Miscellaneous		22,701
Total expenses		1,980,607
Fees and expenses reimbursed by Manager (Note 5)		(277,840	)
Expense reductions (Note 2)		(16	)
Net expenses		1,702,751
Net investment income (loss)		6,786,423
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		36,747,180
Investments in affiliated issuers		274
Realized gains distributions from affiliated issuers (Note 10)		409
Futures contracts		(487,253	)
Swap contracts		(49,382	)
Foreign currency, forward contracts and foreign currency related transactions		(493,205	)
Net realized gain (loss)		35,718,023
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(70,628,662	)
Futures contracts		(3,241,709	)
Swap contracts		25,885
Foreign currency, forward contracts and foreign currency related transactions		(131,289	)
Net unrealized gain (loss)		(73,975,775	)
Net realized and unrealized gain (loss)		(38,257,752	)
Net increase (decrease) in net assets resulting from operations	$	(31,471,329	)

24 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	6,786,423		$	10,952,904
Net realized gain (loss)		35,718,023			106,230,547
Change in net unrealized appreciation (depreciation)		(73,975,775	)		19,468,199
Net increase (decrease) in net assets from operations		(31,471,329	)		136,651,650
Distributions to shareholders from:
Net investment income
Class III		(14,145,301	)		(16,518,658	)
Net share transactions (Note 9):
Class III		(11,514,675	)		(817,031,721	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		147,736			4,337,696
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(11,366,939	)		(812,694,025	)
Total increase (decrease) in net assets		(56,983,569	)		(692,561,033	)
Net assets:
Beginning of period		467,733,390			1,160,294,423
End of period (including distributions in excess of net investment income of $1,447,706 and accumulated undistributed net investment income of $5,911,172, respectively)	$	410,749,821		$	467,733,390

See accompanying notes to the financial statements. 25

GMO International Small Companies Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31,
	2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	8.48		$	6.63		$	4.20		$	9.29		$	12.22		$	14.93
Income (loss) from investment operations:
Net investment income (loss)†		0.13			0.14			0.08			0.20			0.24			0.25
Net realized and unrealized gain (loss)		(0.72	)		1.88			2.50			(4.78	)		(0.34	)		2.68
Total from investment operations		(0.59	)		2.02			2.58			(4.58	)		(0.10	)		2.93
Less distributions to shareholders:
From net investment income		(0.27	)		(0.17	)		(0.15	)		(0.13	)		(0.51	)		(0.33	)
From net realized gains		—			—			—			(0.38	)		(2.32	)		(5.31	)
Total distributions		(0.27	)		(0.17	)		(0.15	)		(0.51	)		(2.83	)		(5.64	)
Net asset value, end of period	$	7.62		$	8.48		$	6.63		$	4.20		$	9.29		$	12.22
Total Return(a)		(7.22	)%**		31.11	%		61.64	%		(51.47	)%		(2.04	)%		23.35	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	410,750		$	467,733		$	1,160,294		$	386,816		$	679,536		$	856,471
Net expenses to average daily net assets		0.75	%(b)(c)*		0.76	%(b)(c)		0.75	%(b)		0.75	%(d)		0.76	%(d)		0.75	%
Net investment income (loss) to average daily net assets		3.01	%*		1.91	%		1.17	%		2.89	%		1.98	%		1.79	%
Portfolio turnover rate		42	%**		55	%		58	%		64	%		72	%		48	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.12	%*		0.12	%		0.09	%		0.12	%		0.13	%		0.09	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.00	(e)	$	0.05		$	0.02		$	0.01		$	0.04		$	0.03

(a)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions.
(e)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

26 See accompanying notes to the financial statements.

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO International Small Companies Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks high total return. The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes will provide higher returns than the MSCI EAFE Small Cap Index.

The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, market capitalization, and exposure to groups such as industry, sector, country or currency.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options, forward currency contracts and swap contracts. In addition, the Fund may lend its portfolio securities.

The Fund typically invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equities of non-U.S. small companies. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in securities of small companies. For these purposes, non-U.S. companies are companies tied economically to countries other than the U.S., and include both

27

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

developed and emerging companies (“Non-U.S. Companies”). The Manager considers “small companies” to be all Non-U.S. Companies other than (i) the largest 500 companies in developed countries based on full, non-float adjusted market capitalization and (ii) any company in an emerging country with a full, non-float adjusted market capitalization that is greater than or equal to that of the smallest excluded developed country companies. A company’s full, non-float adjusted market capitalization includes all of the company’s outstanding equity securities. For purposes of the Fund’s investments, the term “equities” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. The Manager may make investments tied economically to emerging countries.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The Fund currently limits subscriptions due to capacity considerations.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31,

28

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

2011, the total value of securities held directly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.1% of net assets. The Fund classifies such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		92.6	%
Futures Contracts		(0.7	)%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

29

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund used the following fair value techniques on Level 3 investments: With respect to certain securities for which no current market or quoted prices were available, the Fund valued those securities at the most recent available market or quoted price. Certain of the Fund’s securities in Thailand were valued at the local price as adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks
Australia	$	—	$	9,498,540	$	—	$	9,498,540
Austria		—		4,631,393		—		4,631,393
Belgium		164		2,180,303		—		2,180,467
Brazil		764,022		—		—		764,022
Canada		11,065,230		—		—		11,065,230
Chile		257,823		—		—		257,823
China		—		244,977		—		244,977
Czech Republic		—		115,035		—		115,035
Denmark		—		459,664		—		459,664
Egypt		—		274,631		—		274,631
Finland		—		1,229,024		—		1,229,024
France		1,848,946		23,859,436		—		25,708,382
Germany		—		33,064,531		—		33,064,531
Greece		—		2,060,413		—		2,060,413
Hong Kong		—		5,748,367		—		5,748,367
India		—		774,151		—		774,151
Indonesia		—		608,224		—		608,224
Ireland		30,763		8,873,006		—		8,903,769
Israel		—		544,571		—		544,571

30

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Italy	$	—	$	15,905,080	$	—	$	15,905,080
Japan		—		129,104,836		—		129,104,836
Malaysia		—		559,661		—		559,661
Mexico		234,325		—		—		234,325
Netherlands		—		9,192,966		—		9,192,966
Norway		—		3,332,884		—		3,332,884
Philippines		—		204,534		—		204,534
Poland		—		490,416		—		490,416
Singapore		—		8,837,718		—		8,837,718
South Africa		37,122		520,879		—		558,001
South Korea		—		4,007,640		—		4,007,640
Spain		—		1,897,438		—		1,897,438
Sweden		—		9,137,618		10,285		9,147,903
Switzerland		—		2,935,236		—		2,935,236
Taiwan		—		1,739,865		—		1,739,865
Thailand		—		—		211,259		211,259
Turkey		—		551,436		—		551,436
United Kingdom		966,065		85,435,671		—		86,401,736
TOTAL COMMON STOCKS		15,204,460		368,020,144		221,544		383,446,148
Preferred Stocks
Brazil		204,268		—		—		204,268
Germany		—		12,288,525		—		12,288,525
TOTAL PREFERRED STOCKS		204,268		12,288,525		—		12,492,793
Rights/Warrants
Malaysia		—		1,904		—		1,904
TOTAL RIGHTS/WARRANTS		—		1,904		—		1,904
Mutual Funds
United States		8,001,043		—		—		8,001,043
TOTAL MUTUAL FUNDS		8,001,043		—		—		8,001,043
Short-Term Investments		3,713,716		—		—		3,713,716
Total Investments		27,123,487		380,310,573		221,544		407,655,604

31

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Derivatives *
Forward Currency Contracts
Foreign currency risk	$	—	$	198,706	$	—	$	198,706
Futures Contracts
Equity risk		95,407		651,168		—		746,575
Total Derivatives		95,407		849,874		—		945,281
Total	$	27,218,894	$	381,160,447	$	221,544	$	408,600,885

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Derivatives *
Forward Currency Contracts
Foreign currency risk	$	—	$	(264,665	)	$	—	$	(264,665	)
Futures Contracts
Equity risk		—		(3,341,562	)		—		(3,341,562	)
Total Derivatives		—		(3,606,227	)		—		(3,606,227	)
Total	$	—	$	(3,606,227	)	$	—	$	(3,606,227	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’

32

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

portfolio valuation notes in their financial statements. The aggregate net value of the Fund’s direct investments in securities using Level 3 inputs was 0.1% of total net assets.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

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

																							Net Change in
																							Unrealized
																							Appreciation
																							(Depreciation)
																							from
	Balances												Change in								Balances		Investments Still
	as of							Accrued		Total			Unrealized			Transfer		Transfer			as of		Held as
	February 28,							Discounts/		Realized			Appreciation			into		out of			August 31,		August 31,
	2011		Purchases		Sales			Premiums		Gain/(Loss)			(Depreciation)			Level 3*		Level 3*			2011		2011
Common Stocks
Egypt	$	201,417	$	—	$	(109,955	)	$	—	$	(34,642	)	$	118,561		$	—	$	(175,381	)**	$	—	$	—
South Korea		85,393		—		—			—		—			(1,472	)		—		(83,921	)**		—		—
Sweden		10,297		—		—			—		—			(12	)		—		—			10,285		(12	)
Thailand		627,570		286,165		(60,828	)		—		(5,976	)	$	(5,879	)		—		(629,793	)**	$	211,259		(10,951	)
Total	$	924,677	$	286,165	$	(170,783	)	$	—	$	(40,618	)	$	111,198		$	—	$	(889,095	)	$	221,544	$	(10,963	)

*	The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.
**	Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

33

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

34

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018 $ (34,702,861 )

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	422,545,779	$	28,206,367	$	(43,096,542	)	$	(14,890,175	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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

35

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.50% of the amount invested or redeemed.

Purchase premiums and redemption fees are paid to and retained by the Fund to help offset non-de minimis 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) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a compnent of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing fee, at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

36

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

37

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Liquidity Risk — Shares of small- and mid-cap companies often have lower trading volumes and a limited number or no market makers. Thus, a large position may limit or prevent the Fund from selling those shares or unwinding derivative positions on them at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small companies 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.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

38

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

39

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect

40

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

41

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the 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 not collateralized. During the period ended August 31, 2011, the Fund used forward currency contracts to manage against anticipated currency exchange rate changes and adjust exposure to foreign currencies. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust exposure to certain securities markets and maintain the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

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

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying

42

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

43

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

44

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used total return swap agreements achieve returns comparable to holding and lending a direct equity position. The Fund had no swap agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants as a result of a corporate action. Rights and/or warrants held by the Fund at the end of the period are listed in the Fund’s Schedule of Investments.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Assets:
Investments, at value (rights and/or warrants)	$	—	$	—	$	—	$	1,904	$	—	$	1,904
Unrealized appreciation on forward currency contracts		—		198,706		—		—		—		198,706
Unrealized appreciation on futures contracts *		—		—		—		746,575		—		746,575
Total	$	—	$	198,706	$	—	$	748,479	$	—	$	947,185

45

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
  August 31, 2011^Ù: — continued

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Liabilities:
Unrealized depreciation on forward currency contracts	$	—	$	(264,665	)	$	—	$	—		$	—	$	(264,665	)
Unrealized depreciation on futures contracts *		—		—			—		(3,341,562	)		—		(3,341,562	)
Total	$	—	$	(264,665	)	$	—	$	(3,341,562	)	$	—	$	(3,606,227	)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended
August 31, 2011^Ù:

	Interest rate		Foreign currency			Credit		Equity			Other
	contracts		contracts			contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	—		$	—	$	212,050		$	—	$	212,050
Futures contracts		—		—			—		(487,253	)		—		(487,253	)
Forward currency contracts		—		(575,544	)		—		—			—		(575,544	)
Swap agreements		—		—			—		(49,382	)		—		(49,382	)
Total	$	—	$	(575,544	)	$	—	$	(324,585	)	$	—	$	(900,129	)
Change in Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	—		$	—	$	945		$	—	$	945
Futures contracts		—		—			—		(3,241,709	)		—		(3,241,709	)
Forward currency contracts		—		(131,207	)		—		—			—		(131,207	)
Swap agreements		—		—			—		25,885			—		25,885
Total	$	—	$	(131,207	)	$	—	$	(3,214,879	)	$	—	$	(3,346,086	)

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

46

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap agreements) outstanding at each month-end, was as follows for the period ended August 31, 2011.

	Forward currency		Futures				Rights and/or
	contract		contracts		Swap agreements		Warrants
Average amount outstanding		95,878,332		44,194,781		107,009		84,341

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.60% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.60% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $3,351 and $1,561, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

47

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $186,255,582 and $206,851,626, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 48.43% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 2.97% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 1.03% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

48

GMO International Small Companies Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		353,549		$	2,782,934			2,736,484		$	19,892,462
Shares issued to shareholders in reinvestment of distributions		1,498,733			12,454,474			2,233,542			15,169,467
Shares repurchased		(3,084,323	)		(26,752,083	)		(124,720,756	)		(852,093,650	)
Purchase premiums		—			13,976			—			88,579
Redemption fees		—			133,760			—			4,249,117
Net increase (decrease)		(1,232,041	)	$	(11,366,939	)		(119,750,730	)	$	(812,694,025	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions
	beginning of				Sales		Dividend		of Realized		Value, end
Affiliate	period		Purchases		Proceeds		Income		Gains		of period
GMO U.S. Treasury Fund	$	8,505,000	$	27,834,001	$	28,338,232	$	1,966	$	409	$	8,001,043
Totals	$	8,505,000	$	27,834,001	$	28,338,232	$	1,966	$	409	$	8,001,043

49

GMO International Small Companies Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

50

GMO International Small Companies Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

51

GMO International Small Companies Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

52

GMO International Small Companies Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

53

GMO International Small Companies Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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 premiums and redemption fees. Therefore, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.75	%	$	1,000.00	$	927.80	$	3.63
2) Hypothetical		0.75	%	$	1,000.00	$	1,021.37	$	3.81

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

54

GMO Quality Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Quality Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.8	%
Short-Term Investments		3.7
Mutual Funds		0.4
Futures Contracts		0.0	^
Other		1.1
		100.0	%

^Ù Rounds to 0.0%.

Country Summary*	% of Investments
United States		85.2	%
United Kingdom		4.4
Switzerland		4.1
France		2.3
Netherlands		2.1
Japan		1.3
Belgium		0.6
		100.0	%

* The table above 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 agreements and other derivative financial instruments, if any.

1

GMO Quality Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Industry Group Summary	% of Equity Investments**
Pharmaceuticals, Biotechnology & Life Sciences		22.0	%
Food, Beverage & Tobacco		19.5
Software & Services		19.0
Technology Hardware & Equipment		11.1
Energy		8.9
Health Care Equipment & Services		5.3
Food & Staples Retailing		4.9
Household & Personal Products		4.8
Consumer Durables & Apparel		1.2
Consumer Services		0.9
Telecommunication Services		0.9
Retailing		0.8
Capital Goods		0.7
		100.0	%

** Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

2

GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.8%
		Capital Goods — 0.6%
	1,289,800	3M Co.		107,027,604
	24,700	United Technologies Corp.		1,833,975
		Total Capital Goods		108,861,579
		Consumer Durables & Apparel — 1.1%
	2,185,000	Nike, Inc.-Class B		189,330,250
		Consumer Services — 0.9%
	1,688,300	McDonald’s Corp.		152,723,618
		Energy — 8.5%
	10,556,507	BP Plc		68,902,590
	5,065,270	Chevron Corp.		501,005,856
	5,743,600	Exxon Mobil Corp.		425,256,144
	6,048,944	Royal Dutch Shell Group-Class A		202,345,385
	4,736,299	Total SA		231,299,335
		Total Energy		1,428,809,310
		Food & Staples Retailing — 4.6%
	2,485,500	Sysco Corp.		69,420,015
	4,000,500	Walgreen Co.		140,857,605
	10,659,700	Wal-Mart Stores, Inc.		567,202,637
		Total Food & Staples Retailing		777,480,257
		Food, Beverage & Tobacco — 18.5%
	3,154,900	Altria Group, Inc.		85,781,731
	1,789,139	Anheuser-Busch InBev NV		98,756,301
	4,389,010	British American Tobacco Plc		195,274,256
	158,800	Brown-Forman Corp.-Class B		11,393,900
	18,200	Campbell Soup Co.		580,034
	10,429,600	Coca-Cola Co. (The)		734,765,320
	198,100	General Mills, Inc.		7,509,971
	887,700	Hansen Natural Corp. *		75,738,564

See accompanying notes to the financial statements. 3

GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Food, Beverage & Tobacco — continued
	9,400	HJ Heinz Co.		494,816
	72,200	Kellogg Co.		3,921,904
	855,500	Lorillard, Inc.		95,319,810
	3,677,162	Nestle SA		227,522,885
	6,412,100	PepsiCo, Inc.		413,131,603
	11,862,300	Philip Morris International, Inc.		822,294,636
	25,100	Reynolds American, Inc.		943,007
	9,983,441	Unilever NV		338,380,089
		Total Food, Beverage & Tobacco		3,111,808,827
		Health Care Equipment & Services — 5.0%
	33,200	Cerner Corp. *		2,189,872
	3,620,980	Express Scripts, Inc. *		169,968,801
	369,400	Henry Schein, Inc. *		24,347,154
	3,500	Intuitive Surgical, Inc. *		1,334,725
	182,400	Laboratory Corp. of America Holdings *		15,235,872
	135,700	Lincare Holdings, Inc.		2,921,621
	438,200	Medco Health Solutions, Inc. *		23,724,148
	5,265,930	Medtronic, Inc.		184,676,165
	1,054,100	Quest Diagnostics, Inc.		52,778,787
	5,268,994	UnitedHealth Group, Inc.		250,382,595
	388,800	WellPoint, Inc.		24,611,040
	1,723,775	Zimmer Holdings, Inc. *		98,065,560
		Total Health Care Equipment & Services		850,236,340
		Household & Personal Products — 4.5%
	717,700	Church & Dwight Co., Inc.		31,248,658
	23,427	Clorox Co.		1,632,862
	2,631,400	Colgate-Palmolive Co.		236,747,058
	368,300	Kimberly-Clark Corp.		25,471,628
	7,401,000	Procter & Gamble Co. (The)		471,295,680
		Total Household & Personal Products		766,395,886

4 See accompanying notes to the financial statements.

GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 20.9%
	7,541,305	Abbott Laboratories		395,993,926
	3,364,860	Amgen, Inc.		186,430,068
	1,147,736	AstraZeneca Plc		54,346,799
	231,500	Bristol-Myers Squibb Co.		6,887,125
	2,677,300	Eli Lilly & Co.		100,425,523
	1,164,900	Gilead Sciences, Inc. *		46,462,037
	8,541,168	GlaxoSmithKline Plc		181,836,068
	14,656,400	Johnson & Johnson		964,391,120
	8,875,100	Merck & Co., Inc.		293,943,312
	3,900,766	Novartis AG (Registered)		227,605,802
	35,633,748	Pfizer, Inc.		676,328,537
	1,174,289	Roche Holding AG		205,340,896
	1,918,511	Sanofi-Aventis		139,913,164
	879,900	Takeda Pharmaceutical Co Ltd		42,616,723
		Total Pharmaceuticals, Biotechnology & Life Sciences		3,522,521,100
		Retailing — 0.8%
	2,445,300	Target Corp.		126,348,651
		Software & Services — 18.0%
	38,973	eBay, Inc. *		1,203,096
	997,660	Google, Inc.-Class A *		539,694,154
	1,896,670	International Business Machines Corp.		326,056,540
	641,280	MasterCard, Inc.-Class A		211,436,429
	36,524,300	Microsoft Corp.		971,546,380
	25,825,400	Oracle Corp.		724,918,978
	2,827,000	Visa, Inc.-Class A		248,436,760
	56,725	Yahoo! Japan Corp.		18,397,662
		Total Software & Services		3,041,689,999
		Technology Hardware & Equipment — 10.5%
	1,623,890	Apple, Inc. *		624,921,589
	55,190,600	Cisco Systems, Inc.		865,388,608

See accompanying notes to the financial statements. 5

GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value ($)		Description	Value ($)
		Technology Hardware & Equipment — continued
	212,000	Hewlett-Packard Co.		5,518,360
	5,420,200	Qualcomm, Inc.		278,923,492
		Total Technology Hardware & Equipment		1,774,752,049
		Telecommunication Services — 0.9%
	78,309	NTT Docomo Inc		142,753,763
		TOTAL COMMON STOCKS (COST $14,231,528,062)		15,993,711,629
		MUTUAL FUNDS — 0.4%
		Affiliated Issuers — 0.4%
	2,699,287	GMO U.S. Treasury Fund		67,509,160
		TOTAL MUTUAL FUNDS (COST $67,495,362)		67,509,160
		SHORT-TERM INVESTMENTS — 3.7%
		Money Market Funds — 0.9%
	152,273,370	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		152,273,370
		U.S. Government — 2.8%
	290,000,000	U.S. Treasury Bill, 0.11%, due 09/08/11 (b)		289,993,233
	175,000,000	U.S. Treasury Bill, 0.06%, due 05/03/12 (b)		174,928,600
		Total U.S. Government		464,921,833
		TOTAL SHORT-TERM INVESTMENTS (COST $617,076,048)		617,195,203
		TOTAL INVESTMENTS — 98.9% (Cost $14,916,099,472)		16,678,415,992
		Other Assets and Liabilities (net) — 1.1%		189,628,700
		TOTAL NET ASSETS — 100.0%	$	16,868,044,692

6 See accompanying notes to the financial statements.

GMO Quality Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation/
Contracts	Type		Date	Value		(Depreciation)
Buys
1,918		S&P 500 E-Mini Index	September 2011	$	116,777,430	$	2,147,947

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

*	Non-income producing security.
(a)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.
(b)	Rate shown represents yield-to-maturity.

See accompanying notes to the financial statements. 7

GMO Quality Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $14,848,604,110) (Note 2)	$	16,610,906,832
Investments in affiliated issuers, at value (cost $67,495,362) (Notes 2 and 10)		67,509,160
Foreign currency, at value (cost $1,471,041) (Note 2)		1,473,590
Receivable for Fund shares sold		136,534,309
Dividends and interest receivable		51,709,501
Foreign taxes receivable		14,110,690
Due from broker on open futures contracts		2,824,000
Receivable for variation margin on open futures contracts (Note 4)		475,504
Receivable for expenses reimbursed by Manager (Note 5)		206,119
Total assets		16,885,749,705
Liabilities:
Payable for Fund shares repurchased		10,946,074
Payable to affiliate for (Note 5):
Management fee		4,492,079
Shareholder service fee		1,242,459
Trustees and Trust Officers or agents unaffiliated with the Manager		49,633
Accrued expenses		974,768
Total liabilities		17,705,013
Net assets	$	16,868,044,692

8 See accompanying notes to the financial statements.

GMO Quality Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited) — (Continued)

Net assets consist of:
Paid-in capital	$	15,615,159,324
Accumulated undistributed net investment income		54,669,018
Accumulated net realized loss		(568,791,921	)
Net unrealized appreciation		1,767,008,271
	$	16,868,044,692
Net assets attributable to:
Class III shares	$	5,541,541,565
Class IV shares	$	1,309,098,400
Class V shares	$	851,448,892
Class VI shares	$	9,165,955,835
Shares outstanding:
Class III		264,387,500
Class IV		62,408,930
Class V		40,606,485
Class VI		437,158,321
Net asset value per share:
Class III	$	20.96
Class IV	$	20.98
Class V	$	20.97
Class VI	$	20.97

See accompanying notes to the financial statements. 9

GMO Quality Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends (net of withholding taxes of $7,400,100)	$	214,993,952
Interest		294,616
Dividends from affiliated issuers (Note 10)		18,953
Total investment income		215,307,521
Expenses:
Management fee (Note 5)		26,797,218
Shareholder service fee – Class III (Note 5)		4,008,414
Shareholder service fee – Class IV (Note 5)		878,609
Shareholder service fee – Class V (Note 5)		148,709
Shareholder service fee – Class VI (Note 5)		2,440,004
Custodian, fund accounting agent and transfer agent fees		811,256
Legal fees		276,092
Trustees fees and related expenses (Note 5)		144,091
Audit and tax fees		40,112
Registration fees		21,896
Miscellaneous		107,230
Total expenses		35,673,631
Fees and expenses reimbursed by Manager (Note 5)		(1,200,692	)
Expense reductions (Note 2)		(36,439	)
Net expenses		34,436,500
Net investment income (loss)		180,871,021
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		656,833,385
Investments in affiliated issuers		8,363
Realized gains distributions from affiliated issuers (Note 10)		2,934
Futures contracts		3,876,405
Foreign currency, forward contracts and foreign currency related transactions		1,165,172
Net realized gain (loss)		661,886,259
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(560,291,996	)
Investments in affiliated issuers		13,798
Futures contracts		2,147,947
Foreign currency, forward contracts and foreign currency related transactions		1,722,789
Net unrealized gain (loss)		(556,407,462	)
Net realized and unrealized gain (loss)		105,478,797
Net increase (decrease) in net assets resulting from operations	$	286,349,818

10 See accompanying notes to the financial statements.

GMO Quality Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	180,871,021		$	290,991,854
Net realized gain (loss)		661,886,259			197,853,164
Change in net unrealized appreciation (depreciation)		(556,407,462	)		1,242,645,412
Net increase (decrease) in net assets from operations		286,349,818			1,731,490,430
Distributions to shareholders from:
Net investment income
Class III		(57,254,280	)		(83,157,601	)
Class IV		(18,961,417	)		(24,529,451	)
Class V		(2,181,745	)		(9,752,353	)
Class VI		(98,502,088	)		(166,119,977	)
Total distributions from net investment income		(176,899,530	)		(283,559,382	)
Net share transactions (Note 9):
Class III		207,918,669			689,070,770
Class IV		(373,034,031	)		421,295,506
Class V		493,617,877			(228,234,746	)
Class VI		193,455,473			(1,052,519,127	)
Increase (decrease) in net assets resulting from net share transactions		521,957,988			(170,387,597	)
Total increase (decrease) in net assets		631,408,276			1,277,543,451
Net assets:
Beginning of period		16,236,636,416			14,959,092,965
End of period (including accumulated undistributed net investment income of $54,669,018 and $50,697,527, respectively)	$	16,868,044,692		$	16,236,636,416

See accompanying notes to the financial statements. 11

GMO Quality Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	20.81		$	18.99		$	14.17		$	20.56		$	21.78		$	20.81
Income (loss) from investment operations:
Net investment income (loss)†		0.23			0.36			0.33			0.37			0.39			0.35
Net realized and unrealized gain (loss)		0.15			1.82			4.83			(6.30	)		(0.70	)		1.12
Total from investment operations		0.38			2.18			5.16			(5.93	)		(0.31	)		1.47
Less distributions to shareholders:
From net investment income		(0.23	)		(0.36	)		(0.34	)		(0.34	)		(0.36	)		(0.34	)
From net realized gains		—			—			—			(0.12	)		(0.55	)		(0.16	)
Total distributions		(0.23	)		(0.36	)		(0.34	)		(0.46	)		(0.91	)		(0.50	)
Net asset value, end of period	$	20.96		$	20.81		$	18.99		$	14.17		$	20.56		$	21.78
Total Return(a)		1.80	%**		11.67	%		36.73	%		(29.37	)%		(1.76	)%		7.18	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	5,541,542		$	5,288,776		$	4,119,119		$	1,952,579		$	2,003,758		$	1,575,300
Net expenses to average daily net assets		0.48	%(b) (c)*		0.48	%(b) (c)		0.48	%(b)		0.48	%(b)		0.48	%(b)		0.48	%
Net investment income (loss) to average daily net assets		2.17	%*		1.88	%		1.88	%		2.03	%		1.74	%		1.64	%
Portfolio turnover rate		21	%**		32	%		28	%		36	%		46	%		50	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.02	%		0.02	%		0.02	%		0.02	%		0.02	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

12 See accompanying notes to the financial statements.

GMO Quality Fund
(A Series of GMO Trust)

Financial Highlights — (Continued)
(For a Class IV share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	20.83		$	19.01		$	14.19		$	20.57		$	21.80		$	20.82
Income (loss) from investment operations:
Net investment income (loss)†		0.23			0.38			0.34			0.39			0.40			0.37
Net realized and unrealized gain (loss)		0.15			1.81			4.83			(6.30	)		(0.71	)		1.11
Total from investment operations		0.38			2.19			5.17			(5.91	)		(0.31	)		1.48
Less distributions to shareholders:
From net investment income		(0.23	)		(0.37	)		(0.35	)		(0.35	)		(0.37	)		(0.34	)
From net realized gains		—			—			—			(0.12	)		(0.55	)		(0.16	)
Total distributions		(0.23	)		(0.37	)		(0.35	)		(0.47	)		(0.92	)		(0.50	)
Net asset value, end of period	$	20.98		$	20.83		$	19.01		$	14.19		$	20.57		$	21.80
Total Return(a)		1.82	%**		11.71	%		36.73	%		(29.27	)%		(1.77	)%		7.19	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,309,098		$	1,662,542		$	1,132,006		$	787,276		$	432,046		$	800,458
Net expenses to average daily net assets		0.44	%(b) (c)*		0.44	%(b) (c)		0.44	%(b)		0.44	%(b)		0.44	%(b)		0.44	%
Net investment income (loss) to average daily net assets		2.16	%*		1.95	%		1.97	%		2.11	%		1.78	%		1.79	%
Portfolio turnover rate		21	%**		32	%		28	%		36	%		46	%		50	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.02	%		0.02	%		0.02	%		0.02	%		0.02	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 13

GMO Quality Fund
(A Series of GMO Trust)

Financial Highlights — (Continued)
(For a Class V share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007(a)
Net asset value, beginning of period	$	20.82		$	19.00		$	14.17		$	20.56		$	21.79		$	21.91
Income (loss) from investment operations:
Net investment income (loss)†		0.27			0.38			0.34			0.39			0.41			0.07
Net realized and unrealized gain (loss)		0.11			1.81			4.84			(6.30	)		(0.72	)		0.04
Total from investment operations		0.38			2.19			5.18			(5.91	)		(0.31	)		0.11
Less distributions to shareholders:
From net investment income		(0.23	)		(0.37	)		(0.35	)		(0.36	)		(0.37	)		(0.09	)
From net realized gains		—			—			—			(0.12	)		(0.55	)		(0.14	)
Total distributions		(0.23	)		(0.37	)		(0.35	)		(0.48	)		(0.92	)		(0.23	)
Net asset value, end of period	$	20.97		$	20.82		$	19.00		$	14.17		$	20.56		$	21.79
Total Return(b)		1.80	%**		11.73	%		36.87	%		(29.31	)%		(1.75	)%		0.49	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	851,449		$	371,927		$	551,272		$	637,834		$	663,616		$	259,430
Net expenses to average daily net assets		0.42	%(c) (d)*		0.42	%(c) (d)		0.42	%(c)		0.42	%(c)		0.42	%(c)		0.42	%*
Net investment income (loss) to average daily net assets		2.59	%*		1.96	%		1.98	%		2.11	%		1.83	%		1.40	%*
Portfolio turnover rate		21	%**		32	%		28	%		36	%		46	%		50	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.02	%		0.02	%		0.02	%		0.02	%		0.02	%*

(a)	Period from December 8, 2006 (commencement of operations) through February 28, 2007.
(b)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover of the Fund for the year ended February 28, 2007.
*	Annualized.
**	Not annualized.

14 See accompanying notes to the financial statements.

GMO Quality Fund
(A Series of GMO Trust)

Financial Highlights — (Continued)
(For a Class VI share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007(a)
Net asset value, beginning of period	$	20.82		$	19.00		$	14.18		$	20.57		$	21.79		$	21.91
Income (loss) from investment operations:
Net investment income (loss)†		0.24			0.38			0.35			0.40			0.41			0.07
Net realized and unrealized gain (loss)		0.15			1.81			4.82			(6.31	)		(0.70	)		0.04
Total from investment operations		0.39			2.19			5.17			(5.91	)		(0.29	)		0.11
Less distributions to shareholders:
From net investment income		(0.24	)		(0.37	)		(0.35	)		(0.36	)		(0.38	)		(0.09	)
From net realized gains		—			—			—			(0.12	)		(0.55	)		(0.14	)
Total distributions		(0.24	)		(0.37	)		(0.35	)		(0.48	)		(0.93	)		(0.23	)
Net asset value, end of period	$	20.97		$	20.82		$	19.00		$	14.18		$	20.57		$	21.79
Total Return(b)		1.85	%**		11.77	%		36.81	%		(29.28	)%		(1.67	)%		0.49	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	9,165,956		$	8,913,391		$	9,156,696		$	5,273,791		$	5,237,363		$	2,588,116
Net expenses to average daily net assets		0.39	%(c) (d)*		0.39	%(c) (d)		0.39	%(c)		0.39	%(c)		0.39	%(c)		0.39	%*
Net investment income (loss) to average daily net assets		2.26	%*		1.99	%		2.00	%		2.16	%		1.84	%		1.43	%*
Portfolio turnover rate		21	%**		32	%		28	%		36	%		46	%		50	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.02	%		0.02	%		0.02	%		0.02	%		0.02	%*

(a)	Period from December 8, 2006 (commencement of operations) through February 28, 2007.
(b)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover of the Fund for the year ended February 28, 2007.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 15

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Quality Fund 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return. The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes to be of high quality. The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy. In assessing a company’s quality, the Manager may consider several factors, including in particular, high return on equity, low debt to equity and the Manager’s assessment of the company relative to its competitors.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, market capitalization and exposure to groups such as industry, sector, country or currency.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options and swap contracts. In addition, the Fund may lend its portfolio securities.

The Fund may hold fewer than 100 stocks. The Fund may make tactical allocations of up to 20% of its net assets to investments in cash and high quality debt instruments. To the extent the Fund takes temporary defensive positions or holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

16

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund is permitted to invest directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equities of companies tied economically to any country in the world, including emerging countries. The term “equities” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds.

Throughout the period ended August 31, 2011, the Fund had four classes of shares outstanding: Class III, Class IV, Class V and Class VI. Each class of shares bears a different shareholder service fee.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of

17

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		14.1	%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

18

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks
Belgium	$	—	$	98,756,301	$	—	$	98,756,301
France		—		371,212,499		—		371,212,499
Japan		—		203,768,148		—		203,768,148
Netherlands		—		338,380,089		—		338,380,089
Switzerland		—		660,469,583		—		660,469,583
United Kingdom		—		702,705,098		—		702,705,098
United States		13,618,419,911		—		—		13,618,419,911
TOTAL COMMON STOCKS		13,618,419,911		2,375,291,718		—		15,993,711,629
Mutual Funds		67,509,160		—		—		67,509,160
Short-Term Investments		327,201,970		289,993,233		—		617,195,203
Total Investments		14,013,131,041		2,665,284,951		—		16,678,415,992
Derivatives *
Futures Contracts
Equity risk		2,147,947		—		—		2,147,947
Total	$	14,015,278,988	$	2,665,284,951	$	—	$	16,680,563,939

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

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

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

19

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary

20

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(81,384,354	)
February 28, 2018		(768,120,457	)
Total	$	(849,504,811	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	15,258,993,839	$	1,577,915,586	$	(158,493,433	)	$	1,419,422,153

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are

21

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

22

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Focused Investment Risk — Focusing investments in a limited number of countries, sectors or companies or in industries with high positive correlations to one another creates additional risk. The Fund invests its assets in the securities of a limited number of issuers, and a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in

23

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

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

24

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty

25

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives

26

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust exposure to maintain the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

27

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Options

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

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

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance

28

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the

29

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

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

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

30

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Assets:
Unrealized appreciation on futures contracts *	$	—	$	—	$	—	$	2,147,947	$	—	$	2,147,947
Total	$	—	$	—	$	—	$	2,147,947	$	—	$	2,147,947

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Net Realized Gain (Loss) on:
Futures contracts	$	—	$	—	$	—	$	3,876,405	$	—	$	3,876,405
Total	$	—	$	—	$	—	$	3,876,405	$	—	$	3,876,405
Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—	$	—	$	—	$	2,147,947	$	—	$	2,147,947
Total	$	—	$	—	$	—	$	2,147,947	$	—	$	2,147,947

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (futures contracts) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Futures
	contracts
Average amount outstanding	$	19,462,905

31

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.33% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.105% for Class IV shares, 0.085% for Class V shares and 0.055% for Class VI shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.33% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $144,091 and $55,342, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

32

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $3,535,355,429 and $3,295,010,488, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 12.15% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.37% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and 45.81% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

33

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		34,480,301		$	717,172,938			88,856,935		$	1,694,729,284
Shares issued to shareholders in reinvestment of distributions		2,268,205			48,144,972			3,592,173			67,822,139
Shares repurchased		(26,451,929	)		(557,399,241	)		(55,211,086	)		(1,073,480,653	)
Net increase (decrease)		10,296,577		$	207,918,669			37,238,022		$	689,070,770
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares			Amount
Shares sold		14,536,910		$	311,779,079			41,881,875		$	835,664,891
Shares issued to shareholders in reinvestment of distributions		550,189			11,698,659			687,101			12,952,102
Shares repurchased		(32,488,621	)		(696,511,769	)		(22,308,314	)		(427,321,487	)
Net increase (decrease)		(17,401,522	)	$	(373,034,031	)		20,260,662		$	421,295,506
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class V:	Shares			Amount			Shares			Amount
Shares sold		30,997,558		$	665,370,202			842,183		$	15,799,234
Shares issued to shareholders in reinvestment of distributions		102,662			2,181,745			463,507			8,758,346
Shares repurchased		(8,359,675	)		(173,934,070	)		(12,459,450	)		(252,792,326	)
Net increase (decrease)		22,740,545		$	493,617,877			(11,153,760	)	$	(228,234,746	)

34

GMO Quality Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class VI:	Shares			Amount			Shares			Amount
Shares sold		124,675,334		$	2,621,616,203			76,643,800		$	1,454,354,242
Shares issued to shareholders in reinvestment of distributions		4,364,915			92,625,110			8,411,337			158,834,375
Shares repurchased		(119,978,923	)		(2,520,785,840	)		(138,896,296	)		(2,665,707,744	)
Net increase (decrease)		9,061,326		$	193,455,473			(53,841,159	)	$	(1,052,519,127	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	52,104,000	$	36,298,000	$	20,915,000	$	18,953	$	2,934	$	67,509,160
Totals	$	52,104,000	$	36,298,000	$	20,915,000	$	18,953	$	2,934	$	67,509,160

35

GMO Quality Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five- and seven-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

36

GMO Quality Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

37

GMO Quality Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

38

GMO Quality Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

39

GMO Quality Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.48	%	$	1,000.00	$	1,018.00	$	2.43
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.72	$	2.44
Class IV
1) Actual		0.44	%	$	1,000.00	$	1,018.20	$	2.23
2) Hypothetical		0.44	%	$	1,000.00	$	1,022.92	$	2.24
Class V
1) Actual		0.42	%	$	1,000.00	$	1,018.00	$	2.13
2) Hypothetical		0.42	%	$	1,000.00	$	1,023.03	$	2.14
Class VI
1) Actual		0.39	%	$	1,000.00	$	1,018.50	$	1.98
2) Hypothetical		0.39	%	$	1,000.00	$	1,023.18	$	1.98

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

40

GMO Real Estate Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Real Estate Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.8	%
Mutual Funds		1.2
Short-Term Investments		0.5
Other		(0.5	)
		100.0	%

Sub-industry Summary	% of REIT Investments
Specialized		26.7	%
Retail		26.3
Residential		19.7
Office		16.2
Diversified		7.1
Industrial		4.0
		100.0	%

1

GMO Real Estate Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		REAL ESTATE INVESTMENTS — 98.8%
		REAL ESTATE INVESTMENT TRUSTS — 98.8%
		Diversified — 7.1%
	2,500	CapLease, Inc.		9,975
	3,200	Colonial Properties Trust		67,264
	3,500	Liberty Property Trust		118,790
	700	PS Business Parks, Inc.		38,269
	9,446	Vornado Realty Trust		811,506
	900	Washington Real Estate Investment Trust		27,846
	1,300	Winthrop Realty Trust		13,286
		Total Diversified		1,086,936
		Industrial — 3.9%
	9,200	DCT Industrial Trust, Inc.		41,492
	2,400	DuPont Fabros Technology, Inc.		55,560
	1,500	EastGroup Properties, Inc.		60,615
	2,000	First Industrial Realty Trust, Inc. *		18,880
	15,760	ProLogis, Inc.		429,145
		Total Industrial		605,692
		Office — 16.0%
	3,170	Alexandria Real Estate Equities, Inc.		230,808
	7,200	BioMed Realty Trust, Inc.		131,688
	8,400	Boston Properties, Inc.		876,036
	4,289	Brandywine Realty Trust		42,633
	4,225	CommonWealth REIT		86,866
	1,000	Corporate Office Properties Trust		26,790
	3,300	Digital Realty Trust, Inc.		197,175
	4,800	Douglas Emmett, Inc.		86,592
	5,100	Duke Realty Corp.		60,537
	2,900	Franklin Street Properties Corp.		37,816
	1,200	Government Properties Income Trust		28,104
	2,600	Highwoods Properties, Inc.		85,176
	2,600	Kilroy Realty Corp.		92,898

2 See accompanying notes to the financial statements.

GMO Real Estate Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Office — continued
	4,608	Lexington Realty Trust		34,007
	2,200	Mack-Cali Realty Corp.		68,530
	3,200	Piedmont Office Realty Trust, Inc.-Class A		60,480
	4,523	SL Green Realty Corp.		326,741
		Total Office		2,472,877
		Residential — 19.4%
	800	American Campus Communities, Inc.		31,208
	5,886	Apartment Investment & Management Co.-Class A		156,386
	5,283	AvalonBay Communities, Inc.		720,496
	4,000	BRE Properties, Inc.		201,040
	2,700	Camden Property Trust		180,414
	3,100	Education Realty Trust, Inc.		27,900
	1,000	Equity Lifestyle Properties, Inc.		68,920
	15,000	Equity Residential		917,700
	1,170	Essex Property Trust, Inc.		167,953
	1,200	Home Properties, Inc.		80,244
	1,600	Mid-America Apartment Communities, Inc.		114,368
	2,500	Post Properties, Inc.		104,500
	1,000	Sun Communities, Inc.		38,540
	6,781	UDR, Inc.		181,121
		Total Residential		2,990,790
		Retail — 26.0%
	1,984	Acadia Realty Trust		41,823
	70	Alexander’s, Inc.		30,303
	7,731	CBL & Associates Properties, Inc.		113,723
	11,197	Developers Diversified Realty Corp.		138,731
	2,200	Equity One, Inc.		39,622
	2,300	Federal Realty Investment Trust		208,265
	5,200	General Growth Properties, Inc.		70,928
	1,300	Getty Realty Corp.		24,713
	18,258	Kimco Realty Corp.		323,166
	7,396	Macerich Co. (The)		362,700

See accompanying notes to the financial statements. 3

GMO Real Estate Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Retail — continued
	3,400	National Retail Properties, Inc.		92,684
	3,300	Ramco-Gershenson Properties Trust		34,155
	3,700	Realty Income Corp.		128,316
	3,000	Regency Centers Corp.		123,780
	300	Saul Centers, Inc.		10,614
	16,153	Simon Property Group, Inc.		1,897,977
	1,400	Tanger Factory Outlet Centers, Inc.		39,382
	3,000	Taubman Centers, Inc.		172,890
	1,000	Urstadt Biddle Properties, Inc.		16,810
	5,900	Weingarten Realty Investors		143,783
		Total Retail		4,014,365
		Specialized — 26.4%
	6,611	DiamondRock Hospitality Co.		51,169
	2,600	Entertainment Properties Trust		109,538
	4,300	Extra Space Storage, Inc.		92,450
	18,500	HCP, Inc.		689,680
	7,200	Health Care, Inc.		366,912
	1,200	Healthcare Realty Trust, Inc.		20,988
	6,100	Hospitality Properties Trust		143,228
	24,637	Host Hotels & Resorts, Inc.		291,456
	3,200	LaSalle Hotel Properties		60,160
	1,200	LTC Properties, Inc.		32,388
	6,300	Medical Properties Trust, Inc.		67,347
	1,400	National Health Investors, Inc.		63,980
	4,100	Omega Healthcare Investors, Inc.		74,415
	8,194	Public Storage		1,013,843
	8,200	Senior Housing Properties Trust		195,078
	1,400	Sovran Self Storage, Inc.		56,896
	4,500	Sunstone Hotel Investors, Inc. *		27,180

4 See accompanying notes to the financial statements.

GMO Real Estate Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Specialized — continued
	800	Universal Health Realty Income Trust		29,936
	12,804	Ventas, Inc.		684,763
		Total Specialized		4,071,407
		TOTAL REAL ESTATE INVESTMENT TRUSTS (COST $11,361,820)		15,242,067
		TOTAL REAL ESTATE INVESTMENTS (COST $11,361,820)		15,242,067
		MUTUAL FUNDS — 1.2%
		Affiliated Issuers — 1.2%
	7,719	GMO U.S. Treasury Fund		193,042
		TOTAL MUTUAL FUNDS (COST $193,042)		193,042
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	77,532	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%(a)		77,532
		TOTAL SHORT-TERM INVESTMENTS (COST $77,532)		77,532
		TOTAL INVESTMENTS — 100.5% (Cost $11,632,394)		15,512,641
		Other Assets and Liabilities (net) — (0.5%)		(77,817	)
		TOTAL NET ASSETS — 100.0%	$	15,434,824

Notes to Schedule of Investments:

* Non-income producing security.

REIT - Real Estate Investment Trust

(a) Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

See accompanying notes to the financial statements. 5

GMO Real Estate Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $11,439,352) (Note 2)	$	15,319,599
Investments in affiliated issuers, at value (cost $193,042) (Notes 2 and 10)		193,042
Dividends receivable		7,799
Receivable for expenses reimbursed by Manager (Note 5)		7,925
Total assets		15,528,365
Liabilities:
Payable for investments purchased		43,000
Payable to affiliate for (Note 5):
Management fee		4,112
Shareholder service fee		1,869
Trustees and Trust Officers or agents unaffiliated with the Manager		20
Accrued expenses		44,540
Total liabilities		93,541
Net assets	$	15,434,824
Net assets consist of:
Paid-in capital	$	18,632,565
Accumulated undistributed net investment income		215,045
Accumulated net realized loss		(7,293,033	)
Net unrealized appreciation		3,880,247
	$	15,434,824
Net assets attributable to:
Class III shares	$	15,434,824
Shares outstanding:
Class III		1,892,243
Net asset value per share:
Class III	$	8.16

6 See accompanying notes to the financial statements.

GMO Real Estate Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers	$	262,886
Dividends from affiliated issuers (Note 10)		47
Total investment income		262,933
Expenses:
Management fee (Note 5)		25,939
Shareholder service fee – Class III (Note 5)		11,791
Audit and tax fees		28,888
Custodian, fund accounting agent and transfer agent fees		2,116
Registration fees		1,934
Legal fees		276
Trustees fees and related expenses (Note 5)		105
Miscellaneous		5,163
Total expenses		76,212
Fees and expenses reimbursed by Manager (Note 5)		(38,366	)
Net expenses		37,846
Net investment income (loss)		225,087
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(166,237	)
Investments in affiliated issuers		60
Realized gains distributions from affiliated issuers (Note 10)		2
Net realized gain (loss)		(166,175	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(111,061	)
Net realized and unrealized gain (loss)		(277,236	)
Net increase (decrease) in net assets resulting from operations	$	(52,149	)

See accompanying notes to the financial statements. 7

GMO Real Estate Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	225,087		$	353,532
Net realized gain (loss)		(166,175	)		(2,011,981	)
Change in net unrealized appreciation (depreciation)		(111,061	)		6,314,334
Net increase (decrease) in net assets from operations		(52,149	)		4,655,885
Distributions to shareholders from:
Net investment income
Class III		(87,455	)		(426,840	)
Net share transactions (Note 9):
Class III		(161,683	)		(2,605,218	)
Total increase (decrease) in net assets		(301,287	)		1,623,827
Net assets:
Beginning of period		15,736,111			14,112,284
End of period (including accumulated undistributed net investment income of $215,045 and $77,413, respectively)	$	15,434,824		$	15,736,111

8 See accompanying notes to the financial statements.

GMO Real Estate Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	8.23		$	6.16		$	3.34		$	7.85		$	12.87		$	12.27
Income (loss) from investment operations:
Net investment income (loss)†		0.12			0.18			0.21			0.31			0.40			0.38
Net realized and unrealized gain (loss)		(0.14	)		2.11			2.76			(4.40	)		(3.29	)		2.72
Total from investment operations		(0.02	)		2.29			2.97			(4.09	)		(2.89	)		3.10
Less distributions to shareholders:
From net investment income		(0.05	)		(0.22	)		(0.15	)		(0.29	)		(0.14	)		(0.31	)
From net realized gains		—			—			—			(0.13	)		(1.99	)		(2.19	)
Total distributions		(0.05	)		(0.22	)		(0.15	)		(0.42	)		(2.13	)		(2.50	)
Net asset value, end of period	$	8.16		$	8.23		$	6.16		$	3.34		$	7.85		$	12.87
Total Return(a)		(0.32	)%**		38.19	%		89.86	%		(54.45	)%		(24.04	)%		29.76	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	15,435		$	15,736		$	14,112		$	8,299		$	19,465		$	37,650
Net expenses to average daily net assets		0.48	%*(b)		0.48	%(b)		0.48	%(c)		0.48	%(c)		0.48	%		0.48	%
Net investment income (loss) to average daily net assets		2.86	%*		2.50	%		4.18	%		4.44	%		3.78	%		3.24	%
Portfolio turnover rate		6	%**		25	%		34	%		29	%		49	%		43	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.49	%*		0.58	%		0.55	%		0.41	%		0.22	%		0.28	%

(a)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.
(b)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 9

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Real Estate Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks high total return. The Manager seeks to achieve the Fund’s investment objective by investing in investments or groups of investments that the Manager believes will provide higher returns than the MSCI U.S. REIT Index. The Manager uses active investment management methods, which means that investments are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting investments for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify investments that the Manager believes present positive return potential relative to other investments. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an investment or a group of investments. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an investment or group of investments relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, industry and sector exposure, and market capitalization.

As a substitute for direct investments, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options and swap contracts. In addition, the Fund may lend its portfolio securities.

The Fund has a fundamental policy to concentrate its investments in real estate-related investments. Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in real estate investment trusts (“REITs”) and other real estate-related investments. REITs are managed vehicles that invest in real estate or real estate-related investments (both equity and fixed income securities). The term “real estate-related investments” includes securities of REITs and of companies that derive at least 50% of their revenues and profits from,

10

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

or have at least 50% of their assets invested in, (i) the development, construction, management, or sale of real estate or (ii) real estate holdings.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See Note 4 for a further discussion on valuation of derivative financial instruments.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation

11

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks	$	15,242,067	$	—	$	—	$	15,242,067
Mutual Funds		193,042		—		—		193,042
Short-Term Investments		77,532		—		—		77,532
Total Investments		15,512,641		—		—		15,512,641
Total	$	15,512,641	$	—	$	—	$	15,512,641

All of the Fund’s common stocks held at period end are classified as Level 1. Please refer to the Schedule of Investments for a more detailed categorization of common stocks.

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

12

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011 whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(517,045	)
February 28, 2018		(3,096,414	)
February 28, 2019		(2,351,537	)
Total	$	(5,964,996	)

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital loss of $134,674.

13

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	12,630,639	$	3,138,974	$	(256,972	)	$	2,882,002

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. Distributions paid by real estate investment trusts (“REITs”) in excess of their income are recorded as reductions of the cost of the related investments

14

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

which increases/decreases the unrealized/realized gains/losses as applicable. If the Fund no longer owns the applicable securities, any distributions received in excess of income are recorded as realized gains. Dividends representing a return of capital are reflected as a reduction of cost, when the amount of the return of capital is conclusively determined. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act, and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Real Estate Risk — Real estate-related investments may decline in value as a result of factors affecting the real estate industry, such as the supply of real property in particular markets, changes in zoning laws, delays in completion of construction, changes in real estate values, changes in property taxes, levels of occupancy, adequacy of rent to cover operating expenses, and local and regional market conditions. The value of real estate-related investments also may be affected by changes in interest rates and social and economic trends. REITs are subject to the risk of fluctuations in income from underlying real estate assets, their inability to manage effectively the cash flows generated by those assets, prepayments and defaults by borrowers, and failing to qualify for the special tax treatment granted to REITs under the Internal Revenue Code of 1986 and/or to maintain exempt status under the 1940 Act.

15

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Models that have demonstrated an ability to explain prior market data often fail to accurately predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Focused Investment Risk — Focusing investments in sectors and industries with high positive correlations to one another creates additional risk. The Fund’s concentration in real estate-related investments make the Fund’s net asset value more susceptible to economic, market, political and other developments affecting the real estate industry.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

16

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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 — Fixed Income Securities — Typically, the market value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using

17

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives.

The Fund also may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero).

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

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposure in excess of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services

18

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

19

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Futures contracts

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

Options

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

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

20

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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.

21

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type

22

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.33% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.33% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

23

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $105 and $12, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Total Indirect
expense)	Service Fees	Expense
< 0.001%	0.00%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $892,773 and $912,570, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 95.66% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.94% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and 75.28% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

24

GMO Real Estate Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,542		$	12,394			17,112		$	132,325
Shares issued to shareholders in reinvestment of distributions		441			3,830			2,375			15,703
Shares repurchased		(21,564	)		(177,907	)		(399,558	)		(2,753,246	)
Net increase (decrease)		(19,581	)	$	(161,683	)		(380,071	)	$	(2,605,218	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	201,043	$	292,000	$	300,062	$	47	$	2	$	193,042
Totals	$	201,043	$	292,000	$	300,062	$	47	$	2	$	193,042

25

GMO Real Estate Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

26

GMO Real Estate Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

27

GMO Real Estate Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

28

GMO Real Estate Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below for each class provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

29

GMO Real Estate Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.48	%	$	1,000.00	$	996.80	$	2.41
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.72	$	2.44

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

30

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Debt Obligations		98.7	%
Short-Term Investments		1.2
Swap Agreements		(0.1	)
Other		0.2
		100.0	%

Industry Sector Summary	% of Debt Obligations
Residential Asset-Backed Securities (United States)		20.6	%
Credit Cards		11.2
CMBS		10.1
Auto Financing		7.5
Student Loans		7.5
Residential Mortgage-Backed Securities (European)		7.1
Insured Auto Financing		5.8
Residential Mortgage-Backed Securities (Australian)		5.3
Insured Other		5.3
Business Loans		5.3
CMBS Collateralized Debt Obligations		2.9
U.S. Government Agency		2.2
Corporate Collateralized Debt Obligations		2.2
Airlines		1.1
Insured Residential Mortgage-Backed Securities (United States)		1.1
Rate Reduction Bonds		1.0
Insured High Yield Collateralized Debt Obligations		0.9
Insured Residential Asset-Backed Securities (United States)		0.9
Insured Time Share		0.9
Equipment Leases		0.5
Insured Transportation		0.2
Residential Mortgage-Backed Securities (United States)		0.2
Time Share		0.1
Insured Business Loans		0.1
ABS Collateralized Debt Obligations		0.0	Ù
		100.0	%

^Ù Rounds to 0.0%.

1

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 98.7%
		Asset-Backed Securities — 96.5%
		ABS Collateralized Debt Obligations — 0.0%
	11,200,000	Paragon CDO Ltd., Series 04-1A, Class A, 144A, 3 mo. LIBOR + .65%, 0.90%, due 10/20/44		—
		Airlines — 1.0%
	16,644,888	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.69%, due 05/15/24		9,071,464
	5,543,053	Continental Airlines, Inc., Series 99-1A, 6.55%, due 02/02/19		5,764,775
		Total Airlines		14,836,239
		Auto Financing — 7.4%
	3,883,715	Capital Auto Receivable Asset Trust, Series 07-2, Class A4B, 1 mo. LIBOR + .40%, 0.61%, due 02/18/14		3,885,617
	4,902,486	Capital Auto Receivable Asset Trust, Series 08-1, Class A4B, 1 mo. LIBOR + 1.35%, 1.56%, due 07/15/14		4,923,175
	24,500,000	Carmax Auto Owner Trust, Series 08-2, Class A4B, 1 mo. LIBOR + 1.65%, 1.86%, due 08/15/13		24,673,215
	17,315,592	Daimler Chrysler Auto Trust, Series 08-B, Class A4A, 5.32%, due 11/10/14		17,492,211
	13,510,820	Daimler Chrysler Auto Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 1.85%, 2.06%, due 11/10/14		13,571,484
	3,116,612	Ford Credit Auto Owner Trust, Series 07-B, Class A4B, 1 mo. LIBOR + .38%, 0.59%, due 07/15/12		3,117,641
	25,216,752	Ford Credit Auto Owner Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 2.00%, 2.21%, due 03/15/13		25,376,374
	3,032,236	Franklin Auto Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.95%, 2.16%, due 05/20/16		3,039,817
	9,892,878	Wachovia Auto Owner Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.15%, 1.36%, due 03/20/14		9,938,088
		Total Auto Financing		106,017,622
		Business Loans — 5.2%
	6,011,572	ACAS Business Loan Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .14%, 0.43%, due 08/16/19		5,861,282
	2,481,626	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.58%, due 04/25/34		2,034,933

2 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Business Loans — continued
	2,027,778	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.59%, due 01/25/35		1,662,778
	8,615,601	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.61%, due 01/25/36		6,030,921
	7,910,410	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.46%, due 07/25/37		5,814,151
	30,310,145	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.52%, due 12/25/37		25,157,420
	2,609,336	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.50%, due 05/15/32		2,400,590
	5,054,056	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.45%, due 11/15/33		4,523,380
	15,862,494	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.07%, due 10/25/37		12,689,996
	6,481,425	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.47%, due 02/25/30		5,185,140
	3,760,230	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.47%, due 09/25/30		3,045,787
		Total Business Loans		74,406,378
		CMBS — 10.0%
	2,600,181	Banc of America Commercial Mortgage, Inc., Series 06-3, Class A2, 5.81%, due 07/10/44		2,615,262
	12,078,265	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.33%, due 07/15/44		11,595,135
	32,300,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.34%, due 12/15/20		28,747,000
	8,659,893	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		8,659,893
	14,123,209	GE Capital Commercial Mortgage Corp., Series 06-C1, Class A2, 5.51%, due 03/10/44		14,123,209
	15,576,020	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		15,809,660
	5,539,422	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .39%, 1.14%, due 03/06/20		5,484,028
	6,300,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .57%, 1.32%, due 03/06/20		6,205,500
	6,377,951	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-LDP7, Class A2, 6.06%, due 04/15/45		6,383,691
	18,609,217	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.82%, due 05/12/39		19,232,626

See accompanying notes to the financial statements. 3

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		CMBS — continued
	8,340,292	Morgan Stanley Capital I, Series 06-IQ11, Class A3, 5.86%, due 10/15/42		8,507,098
	16,223,442	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.30%, due 09/15/21		15,412,269
		Total CMBS		142,775,371
		CMBS Collateralized Debt Obligations — 2.9%
	4,398,348	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.10%, due 11/23/52		43,984
	5,797,522	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.60%, due 06/28/19		5,333,720
	10,344,066	G-Force LLC, Series 05-RR2, Class A2, 144A, 5.16%, due 12/25/39		10,033,744
	6,922,089	Guggenheim Structured Real Estate Funding, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .32%, 0.54%, due 08/26/30		6,264,490
	26,805,443	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.55%, due 05/25/46		19,702,001
		Total CMBS Collateralized Debt Obligations		41,377,939
		Corporate Collateralized Debt Obligations — 2.1%
	34,200,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.54%, due 06/20/13		30,766,320
		Credit Cards — 11.1%
	4,200,000	Bank of America Credit Card Trust, Series 06-A12, Class A12, 1 mo. LIBOR + .02%, 0.23%, due 03/15/14		4,199,580
	33,750,000	Cabela’s Master Credit Card Trust, Series 08-4A, Class A2, 144A, 1 mo. LIBOR + 3.00%, 3.21%, due 09/15/14		33,786,450
	7,700,000	Capital One Multi-Asset Execution Trust, Series 07-A4, Class A4, 1 mo. LIBOR + .03%, 0.24%, due 03/16/15		7,693,224
	39,000,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.46%, due 09/15/17		39,088,530
	46,600,000	Chase Issuance Trust, Series 05-A6, Class A6, 1 mo. LIBOR + .07%, 0.28%, due 07/15/14		46,585,438
	16,400,000	Discover Card Master Trust I, Series 05-4, Class A2, 1 mo. LIBOR + .09%, 0.30%, due 06/16/15		16,394,875

4 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	10,600,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.34%, due 02/15/17		10,502,268
		Total Credit Cards		158,250,365
		Equipment Leases — 0.5%
	6,502,674	CNH Equipment Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.95%, 2.16%, due 08/15/14		6,524,133
		Insured Auto Financing — 5.8%
	7,449,497	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, 1 mo. LIBOR + .04%, 0.25%, due 10/06/13		7,429,383
	7,224,498	AmeriCredit Automobile Receivables Trust, Series 07-BF, Class A4, FSA, 1 mo. LIBOR + .05%, 0.26%, due 12/06/13		7,192,999
	7,224,422	AmeriCredit Automobile Receivables Trust, Series 07-DF, Class A4B, FSA, 1 mo. LIBOR + .80%, 1.01%, due 06/06/14		7,218,665
	15,736,635	AmeriCredit Prime Automobile Receivable Trust, Series 07-2M, Class A4B, MBIA, 1 mo. LIBOR + .50%, 0.71%, due 03/08/16		15,667,394
	44,697,314	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.41%, due 07/14/14		45,000,809
		Total Insured Auto Financing		82,509,250
		Insured Business Loans — 0.1%
	2,383,130	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.66%, due 10/25/30		1,739,685
		Insured High Yield Collateralized Debt Obligations § — 0.9%
	14,169,231	Augusta Funding Ltd., Series 10A, Class F1, 144A, CapMAC, 3mo. LIBOR +.25%, 0.50%, due 06/30/17 (a)		12,380,100
	834,271	GSC Partners CDO Fund Ltd., Series 03-4A, Class A3, 144A, AMBAC, 3 mo. LIBOR + .46%, 0.71%, due 12/16/15		825,928
		Total Insured High Yield Collateralized Debt Obligations		13,206,028
		Insured Other — 5.2%
	45,300,000	Dominos Pizza Master Issuer LLC, Series 07-1, Class A2, 144A, MBIA, 5.26%, due 04/25/37		45,526,500
	9,693,435	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 09/15/41		8,898,649

See accompanying notes to the financial statements. 5

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Insured Other — continued
	9,165,716	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 12/15/41		8,441,768
	11,378,209	TIB Card Receivables Fund, 144A, FGIC, 3 mo. LIBOR + .25%, 0.50%, due 01/05/14		9,785,260
	2,988,000	Toll Road Investment Part II, Series B, 144A, NPGC, Zero Coupon, due 02/15/30		433,260
	26,300,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		1,841,000
		Total Insured Other		74,926,437
		Insured Residential Asset-Backed Securities (United States) u — 0.9%
	2,170,649	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.64%, due 07/25/34		1,801,638
	2,511,259	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.60%, due 12/25/33		2,147,127
	686,272	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.55%, due 03/25/34		562,743
	11,419,679	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.44%, due 11/25/35		8,222,169
		Total Insured Residential Asset-Backed Securities (United States)		12,733,677
		Insured Residential Mortgage-Backed Securities (United States) — 1.0%
	434,785	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.56%, due 10/25/34		289,132
	968,118	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.55%, due 01/25/35		677,682
	9,589,111	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.36%, due 06/15/37		6,020,044
	4,976,723	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.45%, due 10/25/34		3,902,747
	268,481	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.68%, due 07/25/29		177,179
	292,897	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.77%, due 08/15/30		182,718
	613,323	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.66%, due 06/25/34		344,687

6 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Insured Residential Mortgage-Backed Securities (United States) — continued
	148,805	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.51%, due 12/25/32		46,130
	3,658,161	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.41%, due 11/25/35		3,165,772
		Total Insured Residential Mortgage-Backed Securities (United States)		14,806,091
		Insured Time Share — 0.8%
	2,072,244	Sierra Receivables Funding Co., Series 06-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .15%, 0.36%, due 05/20/18		2,039,113
	2,357,923	Sierra Receivables Funding Co., Series 07-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .15%, 0.36%, due 03/20/19		2,284,238
	7,887,156	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.21%, due 09/20/19		7,737,655
		Total Insured Time Share		12,061,006
		Insured Transportation — 0.2%
	3,440,000	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.51%, due 04/17/19		3,349,700
		Rate Reduction Bonds — 1.0%
	1,754,517	Massachusetts RRB Special Purpose Trust, Series 05-1, Class A3, 4.13%, due 09/15/13		1,756,184
	12,534,879	PG&E Energy Recovery Funding LLC, Series 05-1, Class A4, 4.37%, due 06/25/14		12,713,124
		Total Rate Reduction Bonds		14,469,308
		Residential Asset-Backed Securities (United States) u — 20.4%
	977,554	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.61%, due 01/25/35		760,354
	6,859,464	ACE Securities Corp., Series 06-CW1, Class A2B, 1 mo. LIBOR + .10%, 0.32%, due 07/25/36		6,353,578
	2,725,181	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.31%, due 06/25/36		2,467,992
	2,674,610	ACE Securities Corp., Series 06-ASP4, Class A2B, 1 mo. LIBOR + .10%, 0.32%, due 08/25/36		2,463,984
	3,595,175	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.54%, due 09/25/35		674,095

See accompanying notes to the financial statements. 7

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) u — continued
	5,860,964	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.40%, due 03/25/36		4,842,621
	5,644,978	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.38%, due 05/25/36		2,878,939
	20,300,000	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.40%, due 10/25/36		6,090,000
	7,557,572	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.32%, due 06/25/36		944,697
	8,784,917	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.39%, due 06/25/36		1,164,002
	3,261,324	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.29%, due 11/25/36		1,174,076
	2,543,848	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.36%, due 02/25/36		559,647
	11,100,000	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 04/25/36		6,382,500
	5,425,383	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.31%, due 01/25/37		1,519,107
	11,953,151	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.42%, due 05/25/37		597,658
	3,448,275	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 1.26%, due 05/25/34		3,054,956
	10,533,434	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.41%, due 03/25/36		3,291,698
	289,909	Argent Securities, Inc., Series 06-W4, Class A2B, 1 mo. LIBOR + .11%, 0.33%, due 05/25/36		81,899
	50,422,132	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 07/25/36		14,937,556
	8,333,953	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 06/25/36		2,476,747
	7,745,410	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.33%, due 09/25/36		2,420,441
	10,037,190	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.37%, due 10/25/36		5,671,012
	17,865,263	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.44%, due 05/25/37		13,888,456

8 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) u — continued
	5,249,729	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.22%, due 05/28/39		1,824,281
	5,473,122	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.52%, due 05/28/39		1,765,082
	9,740,612	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.22%, due 02/28/40		5,698,258
	3,498,286	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.33%, due 11/25/36		2,461,394
	8,500,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.42%, due 11/25/36		1,311,550
	2,502,802	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.54%, due 02/25/37		602,424
	1,368,098	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A1, 1 mo. LIBOR + .12%, 0.34%, due 02/25/37		1,339,095
	38,100,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.42%, due 02/25/37		24,098,250
	9,197,677	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.38%, due 06/25/36		7,036,223
	169,456	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.76%, due 04/25/33		142,343
	96,702	Citigroup Mortgage Loan Trust, Inc., Series 04-OPT1, Class A1B, 1 mo. LIBOR + .41%, 0.63%, due 10/25/34		89,933
	12,100,000	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.38%, due 12/25/36		3,993,000
	1,420,363	Countrywide Asset-Backed Certificates, Series 06-BC5, Class 2A1, 1 mo. LIBOR + .08%, 0.30%, due 03/25/37		1,371,928
	36,200,000	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.36%, due 02/25/37		28,326,500
	417,854	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.52%, due 04/25/34		317,569
	11,601,044	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.38%, due 04/25/36		7,163,645
	1,287,466	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.32%, due 08/25/36		503,721
	19,185,796	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.38%, due 08/25/36		6,235,384

See accompanying notes to the financial statements. 9

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) u — continued
	3,651,992	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.41%, due 05/25/36		2,198,613
	13,032,180	GE-WMC Mortgage Securities, Series 06-1, Class A2B, 1 mo. LIBOR + .15%, 0.37%, due 08/25/36		3,551,269
	2,800,228	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.52%, due 01/20/35		2,449,324
	2,420,853	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.50%, due 01/20/35		2,153,802
	8,238,020	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.37%, due 01/20/36		7,313,817
	27,139,983	J.P. Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.34%, due 12/25/36		9,667,262
	14,400,000	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.38%, due 10/25/36		4,752,000
	16,918,254	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.37%, due 03/25/36		7,782,397
	1,947,580	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.47%, due 10/25/35		1,850,201
	11,300,000	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 06/25/36		3,503,000
	2,503,725	Master Asset-Backed Securities Trust, Series 06-AM3, Class A2, 1 mo. LIBOR + .13%, 0.35%, due 10/25/36		2,397,317
	21,343,633	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 08/25/36		5,976,217
	5,795,008	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.54%, due 03/25/36		695,401
	5,524,597	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.34%, due 02/25/37		2,596,561
	2,108,927	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 0.62%, due 08/25/34		1,613,329
	32,500,000	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.45%, due 02/25/37		8,612,500
	14,423,888	Morgan Stanley Home Equity Loans, Series 06-3, Class A3, 1 mo. LIBOR + .16%, 0.38%, due 04/25/36		7,067,705
	3,764,496	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.32%, due 04/25/37		3,256,289

10 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) u — continued
	9,296,291	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 11/25/36		2,765,646
	5,877,914	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.48%, due 12/25/35		3,512,054
	5,712,214	RAAC Series Trust, Series 06-SP1, Class A2, 1 mo. LIBOR + .19%, 0.41%, due 09/25/45		4,783,979
	1,413,955	Residential Asset Mortgage Products, Inc., Series 05-RS8, Class A2, 1 mo. LIBOR + .29%, 0.51%, due 10/25/33		1,282,457
	813,008	Residential Asset Securities Corp., Series 07-KS3, Class AI1, 1 mo. LIBOR + .11%, 0.33%, due 04/25/37		805,935
	3,756,399	Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.47%, due 01/25/36		3,192,939
	236,691	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 0.76%, due 03/25/35		156,845
	790,762	Securitized Asset Backed Receivables LLC, Series 06-NC1, Class A2, 1 mo. LIBOR + .16%, 0.38%, due 03/25/36		695,871
	454,140	Security National Mortgage Loan Trust, Series 06-2A, Class A1, 144A, 1 mo. LIBOR + .29%, 0.51%, due 10/25/36		434,839
	1,154,945	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.48%, due 10/25/35		1,081,606
	1,035,800	Soundview Home Equity Loan Trust, Series 07-NS1, Class A1, 1 mo. LIBOR + .12%, 0.34%, due 01/25/37		988,703
	17,100,000	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 06/25/37		7,780,500
	6,050,269	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.42%, due 01/25/36		4,440,897
	3,066,667	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.80%, due 11/25/35		2,422,667
	14,324,118	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.62%, due 06/25/37		859,447
		Total Residential Asset-Backed Securities (United States)		291,617,984
		Residential Mortgage-Backed Securities (Australian) — 5.3%
	5,538,955	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.31%, due 07/20/38		5,412,600
	9,004,080	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.31%, due 04/19/38		8,703,253

See accompanying notes to the financial statements. 11

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — continued
	2,462,613	Crusade Global Trust, Series 04-2, Class A1, 3 mo. LIBOR + .13%, 0.43%, due 11/19/37		2,416,220
	1,495,062	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.75%, due 09/27/35		1,394,519
	14,556,217	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.65%, due 03/14/36		13,423,744
	953,756	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.65%, due 12/08/36		867,918
	1,642,956	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 0.62%, due 05/27/38		1,520,671
	1,226,174	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.35%, due 05/10/36		1,186,942
	6,072,020	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.30%, due 06/14/37		5,809,411
	2,675,647	Medallion Trust, Series 07-1G, Class A1, 3 mo. LIBOR + .04%, 0.36%, due 02/27/39		2,599,041
	7,026,434	National RMBS Trust, Series 06-3, Class A1, 144A, 3 mo. LIBOR + .07%, 0.32%, due 10/20/37		6,807,407
	8,905,196	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.37%, due 02/21/38		8,479,528
	884,042	Superannuation Members Home Loans Global Fund, Series 7, Class A1, 3 mo. LIBOR + .14%, 0.53%, due 03/09/36		860,016
	750,965	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.39%, due 01/12/37		734,767
	9,280,182	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.31%, due 06/12/40		8,814,790
	6,542,777	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 0.35%, due 05/21/38		6,328,567
		Total Residential Mortgage-Backed Securities (Australian)		75,359,394
		Residential Mortgage-Backed Securities (European) — 7.0%
	9,639,249	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.36%, due 09/20/66		7,904,184
	22,710,538	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.35%, due 01/13/39		20,893,695
	3,764,209	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .04%, 0.29%, due 12/20/54		3,542,120
	2,118,518	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .14%, 0.39%, due 09/20/44		2,012,593

12 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — continued
	3,333,333	Holmes Master Issuer Plc, Series 07-2A, Class 3A1, 3 mo. LIBOR + .08%, 0.33%, due 07/15/21		3,327,633
	9,473,967	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.31%, due 12/10/43		8,597,625
	3,245,242	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 0.53%, due 12/21/37		3,066,754
	6,187,636	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.71%, due 05/15/34		5,399,949
	10,560,025	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .11%, 0.51%, due 11/15/38		7,905,129
	6,135,922	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .10%, 0.35%, due 09/15/39		5,181,172
	26,600,000	Permanent Master Issuer Plc, Series 06-1, Class 5A, 3 mo. LIBOR + .11%, 0.36%, due 07/15/33		26,243,560
	6,400,000	Permanent Master Issuer Plc, Series 07-1, Class 4A, 3 mo. LIBOR + .08%, 0.33%, due 10/15/33		6,367,360
		Total Residential Mortgage-Backed Securities (European)		100,441,774
		Residential Mortgage-Backed Securities (United States) — 0.2%
	516,840	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.52%, due 08/25/35		356,620
	2,527,428	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.47%, due 02/26/34		2,097,765
		Total Residential Mortgage-Backed Securities (United States)		2,454,385
		Student Loans — 7.4%
	20,300,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.50%, due 01/25/24		20,264,475
	839,693	Goal Capital Funding Trust, Series 07-1, Class A1, 3 mo. LIBOR + .02%, 0.27%, due 06/25/21		838,601
	2,299,837	National Collegiate Student Loan Trust, Series 06-1, Class A2, 1 mo. LIBOR + .14%, 0.36%, due 08/25/23		2,267,640
	9,600,000	Nelnet Student Loan Trust, Series 05-2, Class A4, Variable Rate, 3 mo. LIBOR + .08%, 0.33%, due 12/23/19		9,449,856
	10,405,868	SLM Student Loan Trust, Series 05-1, Class A2, Variable Rate, 3 mo. LIBOR + .08%, 0.33%, due 04/27/20		10,243,027

See accompanying notes to the financial statements. 13

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Student Loans — continued
	24,600,000	SLM Student Loan Trust, Series 05-3, Class A4, 3 mo. LIBOR + .07%, 0.32%, due 04/27/20		24,269,376
	3,983,401	SLM Student Loan Trust, Series 07-A, Class A1, 3 mo. LIBOR + .03%, 0.28%, due 09/15/22		3,963,484
	18,040,934	SLM Student Loan Trust, Series 07-2, Class A2, 3 mo. LIBOR + 0.00%, 0.25%, due 07/25/17		17,849,339
	5,500,000	SLM Student Loan Trust, Series 07-6, Class A2, 3 mo. LIBOR + .25%, 0.50%, due 01/25/19		5,474,040
	10,800,000	SLM Student Loan Trust, Series 08-6, Class A3, 3 mo. LIBOR + .75%, 1.00%, due 01/25/19		10,715,625
		Total Student Loans		105,335,463
		Time Share — 0.1%
	2,010,128	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.21%, due 02/20/20		2,073,572
		Total Asset-Backed Securities		1,382,038,121
		U.S. Government Agency — 2.2%
	11,625,000	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR + .15%, 0.63%, due 10/29/26 (a)		10,836,741
	13,331,250	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR -0.02%, 0.46%, due 02/01/25 (a)		12,366,562
	380,050	Agency for International Development Floater (Support of Peru), Series A, 6 mo. U.S. Treasury Bill + .35%, 0.40%, due 05/01/14 (a)		373,792
	8,460,000	Agency for International Development Floater (Support of Tunisia), 6 mo. LIBOR, 0.48%, due 07/01/23 (a)		7,925,395
		Total U.S. Government Agency		31,502,490
		TOTAL DEBT OBLIGATIONS (COST $1,842,497,407)		1,413,540,611

14 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 1.2%
	17,613,928	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00%(b)		17,613,928
		TOTAL SHORT-TERM INVESTMENTS (COST $17,613,928)		17,613,928
		TOTAL INVESTMENTS — 99.9% (Cost $1,860,111,335)		1,431,154,539
		Other Assets and Liabilities (net) — 0.1%		1,147,766
		TOTAL NET ASSETS — 100.0%	$	1,432,302,305

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Swap Agreements

Credit Default Swaps

Maximum

Potential

Amount of

Future

Payments

Implied

by the Fund

Net Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

Under the

Appreciation/

Amount

Date

Counterparty

(Pay)Ù

Premium

Spread (1)

Entity

Contract (2)

(Depreciation)

31,000,000

USD

3/20/2013

Morgan Stanley Capital Services Inc.

Receive

0.25%

1.76%

MS Synthetic 2006-1

31,000,000

USD

$

(725,672

)

Premiums to (Pay) Receive

$

—

^Ù Receive - Fund receives premium and sells credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.

See accompanying notes to the financial statements. 15

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

(1)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of August 31, 2011, 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 agreement.

(2)

The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

CapMAC - Insured as to the payment of principal and interest by Capital Markets Assurance Corporation.

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

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

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

LIBOR - London Interbank Offered Rate

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

NPGC - Insured as to the payment of principal and interest by National Public Guarantee Corp.

RMBS - Residential Mortgage Backed Security

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

The rates shown on variable rate notes are the current interest rates at August 31, 2011, which are subject to change based on the terms of the security.

§	These securities were categorized as “high yield” as a result of being rated below investment grade at issuance (Note 3).
u	These securities are primarily backed by subprime mortgages.
(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(b)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

Currency Abbreviations:

USD - United States Dollar

16 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments, at value (cost $1,860,111,335) (Note 2)	$	1,431,154,539
Receivable for investments sold		7,923
Interest receivable		1,457,812
Receivable for collateral on open swap contracts (Note 4)		592,000
Receivable for expenses reimbursed by Manager (Note 5)		29,761
Total assets		1,433,242,035
Liabilities:
Payable to affiliate for (Note 5):
Trustees and Trust Officers or agents unaffiliated with the Manager		5,153
Payable for open swap contracts (Note 4)		725,672
Accrued expenses		208,905
Total liabilities		939,730
Net assets	$	1,432,302,305
Net assets consist of:
Paid-in capital	$	1,943,812,676
Accumulated undistributed net investment income		5,183,473
Accumulated net realized loss		(87,011,376	)
Net unrealized depreciation		(429,682,468	)
Net assets	$	1,432,302,305
Shares outstanding:		199,083,510
Net asset value per share:	$	7.19

See accompanying notes to the financial statements. 17

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Interest	$	13,421,942
Dividends		51
Total investment income		13,421,993
Expenses:
Custodian, fund accounting agent and transfer agent fees		109,756
Legal fees		44,528
Audit and tax fees		38,456
Trustees fees and related expenses (Note 5)		17,737
Registration fees		368
Miscellaneous		16,828
Total expenses		227,673
Fees and expenses reimbursed by Manager (Note 5)		(196,512	)
Expense reductions (Note 2)		(1,823	)
Net expenses		29,338
Net investment income (loss)		13,392,655
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(653,101	)
Swap contracts		39,181
Foreign currency, forward contracts and foreign currency related transactions		(2,655,856	)
Net realized gain (loss)		(3,269,776	)
Change in net unrealized appreciation (depreciation) on:
Investments		(39,170,921	)
Swap contracts		(471,020	)
Foreign currency, forward contracts and foreign currency related transactions		1,858,065
Net unrealized gain (loss)		(37,783,876	)
Net realized and unrealized gain (loss)		(41,053,652	)
Net increase (decrease) in net assets resulting from operations	$	(27,660,997	)

18 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	13,392,655		$	39,093,211
Net realized gain (loss)		(3,269,776	)		(988,798	)
Change in net unrealized appreciation (depreciation)		(37,783,876	)		188,604,077
Net increase (decrease) in net assets from operations		(27,660,997	)		226,708,490
Distributions to shareholders from:
Net investment income		(10,437,089	)		(38,177,038	)
Return of capital		(592,862,914	)		(1,149,622,973	)
		(603,300,003	)		(1,187,800,011	)
Net share transactions (Note 9):		9,679,082			(174,738,221	)
Total increase (decrease) in net assets		(621,281,918	)		(1,135,829,742	)
Net assets:
Beginning of period		2,053,584,223			3,189,413,965
End of period (including accumulated undistributed net investment income of $5,183,473 and $2,227,907, respectively)	$	1,432,302,305		$	2,053,584,223

See accompanying notes to the financial statements. 19

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Financial Highlights
(For a share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	10.38		$	14.98		$	17.10		$	24.03		$	25.66		$	25.60
Income (loss) from investment operations:
Net investment income (loss)†		0.07			0.19			0.26			0.76			1.38			1.43
Net realized and unrealized gain (loss)		(0.22	)		0.91			3.40			(4.41	)		(1.64	)		0.00	(a)
Total from investment operations		(0.15	)		1.10			3.66			(3.65	)		(0.26	)		1.43
Less distributions to shareholders:
From net investment income		(0.05	)		(0.18	)		(0.24	)		(1.06	)		(1.37	)		(1.37	)
From return on capital		(2.99	)		(5.52	)		(5.54	)		(2.22	)		—			—
Total distributions		(3.04	)		(5.70	)		(5.78	)		(3.28	)		(1.37	)		(1.37	)
Net asset value, end of period	$	7.19		$	10.38		$	14.98		$	17.10		$	24.03		$	25.66
Total Return(b)		(1.87	)%**		9.30	%		25.58	%		(15.97	)%		(1.14	)%		5.68	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,432,302		$	2,053,584		$	3,189,414		$	3,676,748		$	7,671,415		$	6,603,600
Net operating expenses to average daily net assets(c)		0.00	%*(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%(d)		0.00	%
Interest expense to average daily net assets		—	*		0.01	%(e)		0.01	%(e)		—			—			0.01	%(e)
Total net expenses to average daily net assets		0.00	%*(d)(f)		0.01	%(d)		0.01	%(d)		0.00	%(d)(f)		0.00	%(d)(f)		0.01	%
Net investment income (loss) to average daily net assets		1.47	%*		1.52	%		1.60	%		3.46	%		5.41	%		5.50	%
Portfolio turnover rate		0	%**		0	%		0	%		16	%		27	%		68	%
Fees and expenses reimbursed by the Manager to average daily net assets		0.02	%*		0.02	%		0.02	%		0.02	%		0.01	%		0.02	%
Redemption fees consisted of the following per share amounts:†		—			—			—		$	0.02			—			—

(a)	Net realized and unrealized gain (loss) was less than $0.01 per share.
(b)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.
(c)	Net operating expenses were less than 0.01% to average daily net assets.
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(f)	Total net expenses were less than 0.01% to average daily net assets.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

20 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Short-Duration Collateral Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return comparable to that of its benchmark, the J.P. Morgan U.S. 3 Month Cash Index. The Fund is not currently pursuing its investment objective or an active investment program and is not acquiring new investments.

The Fund primarily holds asset-backed securities, including, but not limited to, securities backed by pools of residential and commercial mortgages, credit-card receivables, home equity loans, automobile loans, educational loans, corporate and sovereign bonds and bank loans made to corporations. In addition, the Fund has invested in government securities, corporate debt securities, money market instruments and commercial paper and has entered into credit default swaps, reverse repurchase agreements and repurchase agreements. The Fund has also used other exchange-traded and over-the-counter (“OTC”) derivatives.

Because of the deterioration in credit markets that became acute in 2008, the Fund currently has and is expected to continue to have material exposure to below investment grade securities.

The Manager does not seek to maintain a specified interest rate duration for the Fund.

Since October 2008, the Fund has declared and paid distributions when it has acquired a meaningful cash position rather than reinvesting that cash in portfolio securities. The Fund currently intends to continue this practice. A substantial portion of any such distributions could constitute a return of capital to shareholders for tax purposes.

The Fund currently limits subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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

21

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 3.1% of net assets. The Fund classifies such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Typically the Fund values debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund. As of August 31, 2011, the total value of securities held for which no alternative pricing source was available represented 11.6% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

22

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: The Fund valued certain debt securities using quoted prices. The Fund valued certain other debt securities by using an estimated specified spread above the LIBOR Rate. The Fund also used third party valuation services to value credit default swaps using unobservable inputs.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
Asset-Backed Securities	$	—	$	353,063,563	$	1,028,974,558	$	1,382,038,121
U.S. Government Agency		—		—		31,502,490		31,502,490
TOTAL DEBT OBLIGATIONS		—		353,063,563		1,060,477,048		1,413,540,611

23

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)			Total
Short-Term Investments	$	17,613,928	$	—	$	—		$	17,613,928
Total Investments		17,613,928		353,063,563		1,060,477,048			1,431,154,539
Total	$	17,613,928	$	353,063,563	$	1,060,477,048		$	1,431,154,539
LIABILITY VALUATION INPUTS
	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Liabilities		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)			Total
Derivatives*
Swap Agreements Credit Risk	$	—	$	—	$	(725,672	)	$	(725,672	)
Total	$	—	$	—	$	(725,672	)	$	(725,672	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

            * Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The aggregate net values of the Fund’s direct investments in securities and derivative financial instruments using Level 3 inputs were 74.0% and (0.1)% of total net assets, respectively.

24

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

																								Net Change in
																								Unrealized
																								Appreciation
																								(Depreciation)
																								from
																								Investments
	Balances													Change in							Balances			Still
	as of								Accrued		Total			Unrealized			Transfers				as of			Held as
	February 28,								Discounts/		Realized			Appreciation			into		Transfers out		August 31,			August
	2011			Purchases		Sales			Premiums		Gain/(Loss)			(Depreciation)			level 3 *		of level 3 *		2011			31, 2011
Debt Obligation
Asset Backed Securities	$	1,361,784,127		$	—	$	(297,646,004	)	$	133,776	$	(5,341,021	)	$	(29,956,320	)	$	—	$	—	$	1,028,974,558		$	(35,888,606	)
U.S. Government Agency		32,607,449			—		(1,269,065	)		11,391		(1,123	)	$	153,838			—		—		31,502,490			153,838
Swap Agreements		(254,652	)		—		(39,181	)		—		39,181		$	(471,020	)		—		—		(725,672	)		(471,020	)
Total	$	1,394,136,924		$	—	$	(298,954,250	)	$	145,167	$	(5,302,963	)	$	(30,273,502	)	$	—	$	—	$	1,059,751,376		$	(36,205,788	)

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or

25

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

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

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. The Fund had no inflation-indexed bonds outstanding at the end of the period.

26

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. The Fund is permitted to, and will from time to time, declare and pay distributions from net investment income, if any, more frequently (e.g. monthly). All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of tax basis earnings and profits, if significant, are reported in the Fund’s financial statements as a return of capital for tax purposes. Such amounts are estimated for the six months ended August 31, 2011.

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital loss of $1,891,426.

27

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 29, 2012	$	(142,552	)
February 28, 2014		(614,650	)
February 28, 2015		(5,952,458	)
February 29, 2016		(1,158,601	)
February 28, 2017		(32,360,541	)
February 28, 2018		(41,313,788	)
February 28, 2019		(307,583	)
Total	$	(81,850,173	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	1,859,562,990	$	6,580,930	$	(434,989,381	)	$	(428,408,451	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

28

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 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. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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.

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Fixed Income Securities — Typically, the market value of the Fund’s fixed income securities will decline during periods of widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

29

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans and home equity loans), creates additional risk.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S.

30

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

31

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Agreements”) or other similar types of agreements with selected counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Agreements typically include representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse effect on the Fund’s operations.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange

32

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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 their investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal

33

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates or indices they are designed to track. The use of derivatives also may increase the taxes payable by shareholders.

34

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself.

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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. During the period ended August 31, 2011, the Fund used forward currency contracts to adjust exposure to foreign currencies and otherwise adjust currency exchange rate risk. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally

35

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. The Fund had no futures contracts outstanding at the end of the period.

Options

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

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

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

36

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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.

37

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to achieve exposure to a reference entity’s credit. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use

38

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2011:

	Interest rate		Foreign currency		Credit			Equity		Other
	contracts		contracts		contracts			contracts		contracts		Total
Liabilities:
Unrealized depreciation on swap agreements	$	—	$	—	$	(725,672	)	$	—	$	—	$	(725,672	)
Total	$	—	$	—	$	(725,672	)	$	—	$	—	$	(725,672	)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011:

	Interest rate		Foreign currency			Credit			Equity		Other
	contracts		contracts			contracts			contracts		contracts		Total
Net Realized Gain (Loss) on:
Forward currency contracts	$	—	$	(2,851,132	)	$	—		$	—	$	—	$	(2,851,132	)
Swap agreements		—		—			39,181			—		—		39,181
Total	$	—	$	(2,851,132	)	$	39,181		$	—	$	—	$	(2,811,951	)
Change in Unrealized Appreciation (Depreciation) on:
Forward currency contracts	$	—	$	1,858,086		$	—		$	—	$	—	$	1,858,086
Swap agreements		—		—			(471,020	)		—		—		(471,020	)
Total	$	—	$	1,858,086		$	(471,020	)	$	—	$	—	$	1,387,066

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

39

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The volume of derivative activity, based on absolute values (forward currency contracts), or notional amounts (swap agreements) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Forward
	Currency
	Contracts		Swap Agreements
Average amount outstanding	$	36,112,460	$	31,000,000

5. Fees and other transactions with affiliates

GMO does not charge the Fund any management or service fees for its services. The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $17,737 and $6,892, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	1,269,065
Investments (non-U.S. Government securities)		—		582,350,836

40

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 75.83% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. Each of the shareholders are other funds of the Trust. On that date, no other shareholders owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and all of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
	Shares			Amount			Shares			Amount
Shares sold		1,119,782		$	9,650,000			9,830,646		$	114,233,500
Shares issued to shareholders in reinvestment of distributions		256,287			1,852,267			4,292			51,533
Shares repurchased		(205,234	)		(1,823,185	)		(24,773,343	)		(289,023,254	)
Net increase (decrease)		1,170,835		$	9,679,082			(14,938,405	)	$	(174,738,221	)

41

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five- and seven-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

42

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees gave substantial consideration to the fact that the Fund does not pay a management fee to the Manager under the Fund’s management agreement. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also considered so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

43

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

44

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 01, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

45

GMO Short-Duration Collateral Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio*			Value		Value		Incurred **
1) Actual		0.00	%	$	1,000.00	$	981.30	$	0.00
2) Hypothetical		0.00	%	$	1,000.00	$	1,025.14	$	0.00

*	Annualized net expense ratios are less than 0.01%.
**	Expenses are calculated using the annualized expense ratio for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

46

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		98.7	%
Short-Term Investments		1.3
Swap Agreements		(0.1	)
Other		0.1
		100.0	%

* The table above incorporates aggregate indirect asset class exposure associated with investments in GMO Short-Duration Collateral Fund.

Industry Sector Summary**	% of Debt Obligations
Residential Asset-Backed Securities (United States)		20.6	%
Credit Cards		11.2
CMBS		10.1
Auto Financing		7.5
Student Loans		7.5
Residential Mortgage-Backed Securities (European)		7.1
Insured Auto Financing		5.8
Residential Mortgage-Backed Securities (Australian)		5.3
Insured Other		5.3
Business Loans		5.3
CMBS Collateralized Debt Obligations		2.9
U.S. Government Agency		2.2
Corporate Collateralized Debt Obligations		2.2
Airlines		1.1
Insured Residential Mortgage-Backed Securities (United States)		1.1
Rate Reduction Bonds		1.0
Insured High Yield Collateralized Debt Obligations		0.9
Insured Residential Asset-Backed Securities (United States)		0.9
Insured Time Share		0.9
Equipment Leases		0.5
Insured Transportation		0.2
Residential Mortgage-Backed Securities (United States)		0.2
Time Share		0.1
Insured Business Loans		0.1
ABS Collateralized Debt Obligations		0.0	^
		100.0	%

**	The table above incorporates aggregate indirect industry sector exposure associated with investments in GMO Short-Duration Collateral Fund.
Ù	Rounds to 0.0%.

1

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	4,608,247	GMO Short-Duration Collateral Fund		33,133,295
		TOTAL MUTUAL FUNDS (COST $31,312,982)		33,133,295
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	46,465	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00%(a)		46,465
		TOTAL SHORT-TERM INVESTMENTS (COST $46,465)		46,465
		TOTAL INVESTMENTS — 100.1% (Cost $31,359,447)		33,179,760
		Other Assets and Liabilities (net) — (0.1%)		(48,575	)
		TOTAL NET ASSETS — 100.0%	$	33,131,185

Notes to Schedule of Investments:

(a) Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

2 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $46,465) (Note 2)	$	46,465
Investments in affiliated issuers, at value (cost $31,312,982) (Notes 2 and 10)		33,133,295
Receivable for expenses reimbursed by Manager (Note 5)		5,620
Total assets		33,185,380
Liabilities:
Payable to affiliate for (Note 5):
Management fee		1,436
Shareholder service fee		4,311
Trustees and Trust Officers or agents unaffiliated with the Manager		27
Accrued expenses		48,421
Total liabilities		54,195
Net assets	$	33,131,185
Net assets consist of:
Paid-in capital	$	36,558,375
Accumulated undistributed net investment income		155,164
Accumulated net realized loss		(5,402,667	)
Net unrealized appreciation		1,820,313
	$	33,131,185
Net assets attributable to:
Class III shares	$	33,131,185
Shares outstanding:
Class III		1,816,283
Net asset value per share:
Class III	$	18.24

See accompanying notes to the financial statements. 3

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	200,275
Dividends from unaffiliated issuers		2
Total investment income		200,277
Expenses:
Management fee (Note 5)		8,682
Shareholder service fee – Class III (Note 5)		26,046
Audit and tax fees		16,192
Custodian, fund accounting agent and transfer agent fees		3,128
Legal fees		1,656
Registration fees		1,196
Trustees fees and related expenses (Note 5)		269
Miscellaneous		5,328
Total expenses		62,497
Fees and expenses reimbursed by Manager (Note 5)		(27,416	)
Net expenses		35,081
Net investment income (loss)		165,196
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(100,636	)
Net realized gain (loss)		(100,636	)
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(743,473	)
Net realized and unrealized gain (loss)		(844,109	)
Net increase (decrease) in net assets resulting from operations	$	(678,913	)

4 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	165,196		$	412,822
Net realized gain (loss)		(100,636	)		(305,352	)
Change in net unrealized appreciation (depreciation)		(743,473	)		2,841,488
Net increase (decrease) in net assets from operations		(678,913	)		2,948,958
Distributions to shareholders from:
Net investment income
Class III		(77,837	)		(345,017	)
		(77,837	)		(345,017	)
Net share transactions (Note 9):
Class III		(1,070,676	)		(1,388,981	)
Total increase (decrease) in net assets resulting from net share transactions		(1,070,676	)		(1,388,981	)
Total increase (decrease) in net assets		(1,827,426	)		1,214,960
Net assets:
Beginning of period		34,958,611			33,743,651
End of period (including accumulated undistributed net investment income of $155,164 and $67,805, respectively)	$	33,131,185		$	34,958,611

See accompanying notes to the financial statements. 5

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007(a)
Net asset value, beginning of period	$	18.65		$	17.27		$	17.08		$	23.39		$	25.05		$	24.82
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.09			0.22			0.21			1.17			1.07			(0.01	)
Net realized and unrealized gain (loss)		(0.46	)		1.34			3.47			(4.92	)		(1.38	)		0.24
Total from investment operations		(0.37	)		1.56			3.68			(3.75	)		(0.31	)		0.23
Less distributions to shareholders:
From net investment income		(0.04	)		(0.18	)		(0.22	)		(0.81	)		(1.35	)		—
Return of capital		—			—			(3.27	)		(1.75	)		—			—
Total distributions		(0.04	)		(0.18	)		(3.49	)		(2.56	)		(1.35	)		—
Net asset value, end of period	$	18.24		$	18.65		$	17.27		$	17.08		$	23.39		$	25.05
Total Return(c)		(1.98	)%**		9.08	%		25.13	%		(15.90	)%		(1.33	)%		0.93	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	33,131		$	34,959		$	33,744		$	26,878		$	10,637		$	40,563
Net expenses to average daily net assets(d)		0.20	%*		0.20	%		0.20	%(e)		0.20	%		0.20	%		0.21	%*
Net investment income (loss) to average daily net assets(b)		0.95	%*		1.22	%		1.28	%		5.47	%		4.25	%		(0.21	)%*
Portfolio turnover rate		3	%**		5	%		2	%		18	%		127	%		125	%**††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.16	%*		0.16	%		0.20	%		0.17	%		0.15	%		0.06	%*
Redemption fees consisted of the following per share amounts (Note 2):†	$	—		$	—		$	0.00	(f)	$	0.01		$	—		$	—

(a)	Period from December 28, 2006 (commencement of operations) through February 28, 2007.
(b)	Net investment income is affected by the timing of the declaration of dividends by GMO Short-Duration Collateral Fund.
(c)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.
(d)	Net expenses exclude expenses incurred indirectly through investment in Short-Duration Collateral Fund.
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover of the Fund for the period from March 1, 2006 (commencement of operations) through February 28, 2007.
*	Annualized.
**	Not annualized.

6 See accompanying notes to the financial statements.

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Short-Duration Collateral Share Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return comparable to that of its benchmark, the J.P. Morgan U.S. 3 Month Cash Index. The Fund invests substantially all of its assets in GMO Short-Duration Collateral Fund (“SDCF”). The Fund also may invest in GMO U.S. Treasury Fund, unaffiliated money market funds, cash and cash equivalents. Its investment objective and principal investment strategies, therefore, are substantially similar to those of SDCF. SDCF is not currently pursuing its investment objective or an active investment program and is not acquiring new investments.

SDCF primarily holds asset-backed securities, including, but not limited to, securities backed by pools of residential and commercial mortgages, credit-card receivables, home equity loans, automobile loans, educational loans, corporate and sovereign bonds and bank loans made to corporations. In addition, SDCF has invested in government securities, corporate debt securities, money market instruments, and commercial paper, and has entered into credit default swaps, reverse repurchase agreements and repurchase agreements. SDCF has also used exchange-traded and over-the-counter (“OTC”) derivatives. Because of the deterioration in credit markets that became acute in 2008, the Fund, through its holdings of SDCF, currently has and is expected to continue to have material exposure to below investment grade securities.

The Manager does not seek to maintain a specified interest rate duration for SDCF.

Since October of 2008, SDCF has declared and paid distributions when it has acquired a meaningful cash position rather than reinvesting that cash in portfolio securities. SDCF currently intends to continue this practice. A substantial portion of any such distributions could constitute a return of capital to SDCF shareholders, including the Fund, for tax purposes. Therefore, if the Fund, in turn, distributes these amounts to its shareholders, the Fund’s distributions similarly could constitute a return of capital to Fund shareholders for tax purposes.

The financial statements of SDCF should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect).

The Fund currently limits subscriptions.

7

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

GMO Short-Duration Collateral Share Fund (the “Fund”) invests substantially all of its assets in GMO Short-Duration Collateral Fund (“SDCF”) (an arrangement often referred to as a “master-feeder” structure) and, to a limited extent, in cash and cash equivalents.

Shares of SDCF are generally valued at their net asset value. Investments held by SDCF are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of GMO trust represented 3.1% of net assets. SDCF classifies such securities (as defined below) as Level 3.

Typically SDCF values debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. In addition, although alternative prices are available for other securities held by SDCF, those alternative sources are not

8

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

typically part of the valuation process and would not necessarily confirm the security price used by SDCF. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund. As of August 31, 2011, the total value of securities held indirectly for which no alternative pricing source was available represented 11.6% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

9

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds	$	33,133,295	$	—	$	—	$	33,133,295
Short-Term Investments		46,465		—		—		46,465
Total Investments		33,179,760		—		—		33,179,760
Total	$	33,179,760	$	—	$	—	$	33,179,760

SDCF is classified as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of SDCF, please refer to the portfolio valuation notes in SDCF’s financial statements. The aggregate net value of the Fund’s indirect investments (through SDCF) in securities and derivative financial instruments using Level 3 inputs were 74.0% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011 whose fair value was categorized using Level 3 inputs.

For a listing of derivative financial instruments held by SDCF, if any, please refer to SDCF’s Schedule of Investments.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semi-annually, and from net realized short-term and long-term capital gain, if any, at least annually. The Fund is permitted to, and will from time to time, declare and pay distributions from net investment income, if any, more frequently (e.g. monthly). All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

10

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 29, 2016	$	(3,400,357	)
February 28, 2017		(862,175	)
Total	$	(4,262,532	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

						Net Unrealized
		Gross Unrealized		Gross Unrealized		Appreciation
Aggregate Cost		Appreciation		(Depreciation)		(Depreciation)
$	32,782,390	$	397,370	$	—	$	397,370

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of

11

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in SDCF (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in SDCF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through SDCF, which include those outlined in the following brief summary of principal risks. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time. The Fund and SDCF are non-diversified investment companies under the 1940 Act and therefore a decline in

12

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

• Market Risk — Fixed Income Securities — Typically, the market value of SDCF’s fixed income securities will decline during periods of widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent SDCF from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans and home equity loans), creates additional risk.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

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

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

13

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

The Fund invests indirectly in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit card receivables, which expose the Fund to additional types of market risk. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers. Payment of interest on asset backed securities and repayment of principal largely depend on the cash flows generated by the assets backing the securities. The market risk of a particular asset-backed security depends on many factors, including the deal structure (e.g., determination as to the amount of underlying assets or other support

14

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets and, if any, the level of credit support and the credit quality of the credit-support provider. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. The obligations of issuers (and obligors of underlying assets) also are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative financial instruments directly. For a listing of derivative financial instruments held by SDCF, if any, please refer to SDCF’s’ Schedule of Investments.

15

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.05% of average daily net assets. The Fund has adopted a Shareholder service Plan under which the Fund pays GMO a shareholder service fee for client and shareholders service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.05% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in other GMO Funds (excluding those Funds’ Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $269 and $84, respectively. The compensation Indirect Interest Expense and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

16

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in SDCF. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
0.003%	0.000%	0.003%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and class exchanges, for the period ended August 31, 2011 aggregated $11,495,455 and $1,125,000, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 88.15% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 92.38% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

17

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		14,654		$	269,194			2,882		$	49,884
Shares issued to shareholders in reinvestment of distributions		4,220			77,822			18,836			344,881
Shares repurchased		(77,070	)		(1,417,692	)		(101,191	)		(1,783,746	)
Net increase (decrease)		(58,196	)	$	(1,070,676	)		(79,473	)	$	(1,388,981	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Return		Distributions
	beginning of				Sales		Dividend		of		of Realized		Value, end
Affiliate	period		Purchases		Proceeds		Income*		Capital*		Gains*		of period
GMO Short-Duration	$	34,983,226	$	11,495,455	$	1,125,000	$	200,275	$	11,376,277	$	—	$	33,133,295
Collateral Fund
Totals	$	34,983,226	$	11,495,455	$	1,125,000	$	200,275	$	11,376,277	$	—	$	33,133,295

            * The table above includes estimated sources of all distributions paid by SDCF during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by SDCF will be determined through the fiscal year ending February 29, 2012.

18

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees noted that the Fund invests substantially all of its assets in another series of the Trust, GMO Short-Duration Collateral Fund (“SDCF”), and, therefore, that the Fund’s investment objective and principal investment strategies are identical to those of SDCF. The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing SDCF’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund and SDCF. The Trustees considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s and SDCF’s investment performance, including information as to performance in relation to risk, relative to their performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance over various periods, including one- and three-year periods and for the life of the Fund and SDCF’s performance over various periods, including one-, three-, five- and seven-year periods and for the life of SDCF, information prepared by the third-party data services, various statistical measures of the Fund’s and SDCF’s performance, as well as factors identified by the Manager as contributing to the Fund’s and SDCF’s performance. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund and SDCF, the support those personnel

19

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

received from the Manager, the investment techniques used by the Manager to manage SDCF’s investments, and the overall competence of the Manager.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements, and noted that SDCF does not pay a management fee to the Manager. The Trustees also noted that the Fund’s expense ratio reflects total expenses payable by the Fund and SDCF. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage SDCF. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding the combined profits it realized on the services (excluding distribution services) it provided to the Fund and SDCF, and profits it realized on the management and shareholder services (excluding distribution services) it provided to the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of SDCF (which does not pay a management fee to the Manager) and other funds in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the Fund’s agreement appropriately reflected any economies of scale associated with managing the Fund and SDCF. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Fund’s management agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and SDCF and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund, SDCF, and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund and SDCF with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager

20

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund and SDCF, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

21

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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 premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total

22

GMO Short-Duration Collateral Share Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.21	%	$	1,000.00	$	980.20	$	1.05
2) Hypothetical		0.21	%	$	1,000.00	$	1,024.08	$	1.07

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

23

GMO Short-Duration Investment Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Short-Duration Investment Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Short-Term Investments		60.9	%
Debt Obligations		39.5
Swap Agreements		(0.0	)Ù
Other		(0.4	)
		100.0	%

*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).
Ù	Rounds to 0.0%.

1

GMO Short-Duration Investment Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 9.9%
		U.S. Government Agency — 9.9%
	35,000	Agency for International Development Floater (Support of Botswana), 6 mo. U.S. Treasury Bill + .40%, 0.44%, due 10/01/12 (a)		34,446
	227,025	Agency for International Development Floater (Support of C.A.B.E.I.), 6 mo. U.S. Treasury Bill + .40%, 0.44%, due 10/01/12 (a)		225,528
	88,119	Agency for International Development Floater (Support of Honduras), 3 mo. U.S. Treasury Bill x 117%, 0.05%, due 10/01/11 (a)		88,000
	17,971	Agency for International Development Floater (Support of Peru), Series B, 6 mo. U.S. Treasury Bill +.35%, 0.40%, due 05/01/14 (a)		17,675
	181,529	Small Business Administration Pool #502320, Prime - 2.19%, 1.06%, due 08/25/18		182,579
		Total U.S. Government Agency		548,228
		TOTAL DEBT OBLIGATIONS (COST $549,571)		548,228
		MUTUAL FUNDS — 90.4%
		Affiliated Issuers — 90.4%
	231,576	GMO Short-Duration Collateral Fund		1,665,032
	9,192	GMO Special Purpose Holding Fund (b)		3,953
	134,193	GMO U.S. Treasury Fund		3,356,173
		TOTAL MUTUAL FUNDS (COST $5,534,250)		5,025,158
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	8,733	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (c)		8,733
		TOTAL SHORT-TERM INVESTMENTS (COST $8,733)		8,733
		TOTAL INVESTMENTS — 100.5% (Cost $6,092,554)		5,582,119
		Other Assets and Liabilities (net) — (0.5%)		(26,726	)
		TOTAL NET ASSETS — 100.0%	$	5,555,393

2 See accompanying notes to the financial statements.

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Notes to Schedule of Investments:

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

The rates shown on variable rate notes are the current interest rates at August 31, 2011, which are subject to change based on the terms of the security.

(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(b)	Underlying investment represents interests in defaulted claims. See “Other Matters” in Notes to Financial Statements for additional information.
(c)	Rate disclosed , the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

See accompanying notes to the financial statements. 3

GMO Short-Duration Investment Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $558,304) (Note 2)	$	556,961
Investments in affiliated issuers, at value (cost $5,534,250) (Notes 2 and 10)		5,025,158
Receivable for investments sold		32,107
Dividends and interest receivable		1,123
Receivable for expenses reimbursed by Manager (Note 5)		6,326
Total assets		5,621,675
Liabilities:
Payable for investments purchased		119
Payable for Fund shares repurchased		29,538
Payable to affiliate for (Note 5):
Management fee		237
Shareholder service fee		711
Trustees and Trust Officers or agents unaffiliated with the Manager		84
Accrued expenses		35,593
Total liabilities		66,282
Net assets	$	5,555,393
Net assets consist of:
Paid-in capital	$	8,751,460
Accumulated undistributed net investment income		5,034
Accumulated net realized loss		(2,690,666	)
Net unrealized depreciation		(510,435	)
	$	5,555,393
Net assets attributable to:
Class III shares	$	5,555,393
Shares outstanding:
Class III		669,376
Net asset value per share:
Class III	$	8.30

4 See accompanying notes to the financial statements.

GMO Short-Duration Investment Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	13,218
Interest		1,828
Total investment income		15,046
Expenses:
Management fee (Note 5)		1,486
Shareholder service fee – Class III (Note 5)		4,459
Audit and tax fees		19,688
Registration fees		2,576
Custodian, fund accounting agent and transfer agent fees		2,300
Legal fees		92
Trustees fees and related expenses (Note 5)		21
Miscellaneous		5,163
Total expenses		35,785
Fees and expenses reimbursed by Manager (Note 5)		(29,808	)
Net expenses		5,977
Net investment income (loss)		9,069
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		18
Investments in affiliated issuers		(147	)
Realized gains distributions from affiliated issuers (Note 10)		169
Net realized gain (loss)		40
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		1,924
Investments in affiliated issuers		(45,553	)
Net unrealized gain (loss)		(43,629	)
Net realized and unrealized gain (loss)		(43,589	)
Net increase (decrease) in net assets resulting from operations	$	(34,520	)

See accompanying notes to the financial statements. 5

GMO Short-Duration Investment Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	9,069		$	38,015
Net realized gain (loss)		40			193
Change in net unrealized appreciation (depreciation)		(43,629	)		220,193
Net increase (decrease) in net assets from operations		(34,520	)		258,401
Distributions to shareholders from:
Net investment income
Class III		(4,374	)		(37,704	)
Net share transactions (Note 9):
Class III		(403,111	)		(850,602	)
Total increase (decrease) in net assets		(442,005	)		(629,905	)
Net assets:
Beginning of period		5,997,398			6,627,303
End of period (including accumulated undistributed net investment income of $5,034 and $339, respectively)	$	5,555,393		$	5,997,398

6 See accompanying notes to the financial statements.

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	8.36		$	8.07		$	7.15		$	8.45		$	8.93		$	8.82
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.01			0.05			0.06			0.30			0.32			0.47
Net realized and unrealized gain (loss)		(0.06	)		0.29			0.96			(1.29	)		(0.28	)		0.11
Total from investment operations		(0.05	)		0.34			1.02			(0.99	)		0.04			0.58
Less distributions to shareholders:
From net investment income		(0.01	)		(0.05	)		(0.07	)		(0.31	)		(0.52	)		(0.47	)
Return of capital		—			—			(0.03	)		—			—			—
Total distributions		(0.01	)		(0.05	)		(0.10	)		(0.31	)		(0.52	)		(0.47	)
Net asset value, end of period	$	8.30		$	8.36		$	8.07		$	7.15		$	8.45		$	8.93
Total Return(b)		(0.65	)%**		4.22	%		14.40	%		(11.78	)%		0.40	%		6.62	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	5,555		$	5,997		$	6,627		$	6,228		$	7,375		$	31,315
Net expenses to average daily net assets(c)		0.20	%*		0.20	%(d)		0.20	%		0.20	%		0.20	%		0.20	%
Net investment income (loss) to average daily net assets(a)		0.31	%*		0.60	%		0.83	%		3.81	%		3.59	%		5.21	%
Portfolio turnover rate		10	%**		20	%		11	%		4	%		5	%		12	%
Fees and expenses reimbursed by the Manager to average daily net assets:		1.00	%*		0.94	%		0.90	%		0.79	%		0.60	%		0.14	%
Redemption fees consisted of the following per share amounts:†		—			—		$	0.00	(e)	$	0.00	(e)		—			—

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 7

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Short-Duration Investment Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks to provide current income. The Fund is not currently pursuing its investment objective or an active investment program.

Historically, the Fund has sought to provide current income to the extent consistent with the preservation of capital and liquidity. The Fund primarily holds shares of GMO Short-Duration Collateral Fund (“SDCF”) and GMO U.S. Treasury Fund (“USTF”). SDCF primarily holds asset-backed securities, including, but not limited to, securities backed by pools of residential and commercial mortgages, credit-card receivables, home equity loans, automobile loans, educational loans, corporate and sovereign bonds and bank loans made to corporations. In addition, SDCF has invested in government securities, corporate debt securities, money market instruments and commercial paper and has entered into credit default swaps, reverse repurchase agreements, and repurchase agreements. SDCF has also used other exchange-traded and over-the-counter (“OTC”) derivatives. The Fund also has invested directly in asset-backed securities issued by private issuers, U.S. government and agency securities (including securities neither guaranteed nor insured by the U.S. government), corporate debt securities, money market instruments, prime commercial paper and master demand notes, and certificates of deposit, bankers’ acceptances and other bank obligations.

Because of the deterioration in credit markets that became acute in 2008, the Fund, in particular through its investment in SDCF, currently has and is expected to continue to have material exposure to below investment grade securities.

The Manager does not seek to maintain a specified interest rate duration for the Fund.

The Fund is not a money market fund and is not subject to the duration, quality, diversification and other requirements applicable to money market funds.

The financial statements of the GMO Funds in which the Fund invests, collectively referred to as the “underlying funds” should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). As of August 31, 2011, shares of GMO Special Purpose Holding Fund (“SPHF”) and SDCF were not publicly available for direct purchase.

8

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund currently limits subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly and indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 7.5% of net assets. The Fund and the underlying funds classify such securities (as defined below) as Level 3.

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative

9

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 6.8% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: The Fund valued certain debt securities using quoted prices. The Fund valued certain other debt securities by using an estimated specified spread above the LIBOR rate.

10

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
U.S. Government Agency	$	—	$	—	$	548,228	$	548,228
TOTAL DEBT OBLIGATIONS		—		—		548,228		548,228
Mutual Funds		5,021,205		3,953		—		5,025,158
Short-Term Investments		8,733		—		—		8,733
Total Investments		5,029,938		3,953		548,228		5,582,119
Total	$	5,029,938	$	3,953	$	548,228	$	5,582,119

The underlying funds held at period end are classified above as either Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and derivative financial instruments using Level 3 inputs were 32.1% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

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

																				Net Change in
																				Unrealized
																				Appreciation
																				(Depreciation)
																				from
	Balances											Change in						Balances		Investments
	as of							Accrued		Total		Unrealized		Transfer		Transfer		as of		still Held as of
	February 28,							Discounts/		Realized		Appreciation		into		out of		August 31,		August 31,
	2011		Purchases		Sales			Premiums		Gain/(Loss)		(Depreciation)		Level 3*		Level 3*		2011		2011
Debt Obligations
U.S. Government Agency	$	731,636	$	—	$	(185,368	)	$	30	$	5	$	1,925	$	—	$	—	$	548,228	$	1,925
Total	$	731,636	$	—	$	(185,368	)	$	30	$	5	$	1,925	$	—	$	—	$	548,228	$	1,925

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

11

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of tax basis earnings and profits, if significant, are reported in the financial statements as a return of capital for tax purposes.

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital losses of $122.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 29, 2012	$	(470,143	)
February 28, 2013		(708	)
February 28, 2014		(1,377,141	)
February 29, 2016		(226,383	)
February 29, 2019		(867	)
Total	$	(2,075,242	)

12

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	6,708,051	$	6,096	$	(1,132,028	)	$	(1,125,932	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 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. 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 Fund uses the identified cost basis.

13

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Other matters

SPHF, an investment of the Fund, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the period ended August 31, 2011, the Fund received no distributions from SPHF in connection with the defaulted securities or the related litigation.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund and SDCF are non-diversified investment companies under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund or SDCF may affect the Fund’s performance more than if the Fund or SDCF were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Fixed Income Securities — Typically, the market value of the Fund’s fixed income securities will decline during periods of widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at

14

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans and home equity loans), creates additional risk.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

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

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

15

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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

16

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.05% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and

17

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.05% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in other GMO Funds (excluding those Funds’ Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $21 and $11, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
0.027%	0.000%	0.000%	0.027%

18

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

6. Purchases and sales of securities

For the period ended August 31, 2011, cost of purchases and proceeds from sales of securities, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	185,368
Investments (non-U.S. Government securities)		915,997		425,000

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 82.23% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. One of the shareholders is another fund of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 18.41% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 79.96% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

19

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		525			4,374			4,340			35,703
Shares repurchased		(48,926	)		(407,484	)		(107,603	)		(886,305	)
Net increase (decrease)		(48,401	)	$	(403,110	)		(103,263	)	$	(850,602	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Return		Value,
	beginning of				Sales		Dividend		of Realized		of		end of
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		period
GMO Short-Duration Collateral Fund	$	2,403,760	$	—	$	—	$	12,190	$	—	$	692,411	$	1,665,032
GMO Special Purpose Holding Fund		4,596		—		—		—		—		—		3,953
GMO U.S. Treasury Fund		2,863,916		915,997		425,000		1,028		169		—		3,356,173
Totals	$	5,272,272	$	915,997	$	425,000	$	13,218	$	169	$	692,411	$	5,025,158

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2012.

20

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

21

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s

22

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

23

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

24

GMO Short-Duration Investment Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.23	%	$	1,000.00	$	993.50	$	1.15
2) Hypothetical		0.23	%	$	1,000.00	$	1,023.98	$	1.17

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

25

GMO Special Purpose Holding Fund
(A Series of GMO Trust)
Consolidated Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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 private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

GMO Special Purpose Holding Fund
(A Series of GMO Trust)
Consolidated Investments Concentration Summary ^(a)
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-term Investments		9.7	%
Debt Obligations		0.0
Other		90.3
		100.0	%

(a) GMO SPV I, LLC is a 74.9% owned subsidiary of GMO Special Purpose Holding Fund.

1

GMO Special Purpose Holding Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		DEBT OBLIGATIONS — 0.0% (a)
		Asset-Backed Securities — 0.0%
		Health Care Receivables — 0.0%
		Interest related to the Bankruptcy Estate of NPF VI Inc. Series 02-1 Class A (b) (c)		—
		Interest related to the Bankruptcy Estate of NPF XII Inc. Series 00-3 Class A (b) (c)		—
		Interest related to the Bankruptcy Estate of NPF XII Inc. Series 02-1 Class A (b) (c)		—
		Total Asset-Backed Securities		—
		TOTAL DEBT OBLIGATIONS (COST $0)		—
		SHORT-TERM INVESTMENTS — 9.7%
		Money Market Funds — 9.7%
	11,594	State Street Institutional Liquid Reserves Fund-Institutional Class, 0.10% (d)		11,594
	11,594	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (d)		11,594
		TOTAL SHORT-TERM INVESTMENTS (COST $23,188)		23,188
		TOTAL INVESTMENTS — 9.7% (Cost $23,188)		23,188
		Other Assets and Liabilities (net) — 90.3%		214,862
		TOTAL NET ASSETS — 100.0%	$	238,050

Notes to Consolidated Schedule of Investments:

(a)	Owned by GMO SPV I, LLC. GMO SPV I, LLC is a 74.9% subsidiary of GMO Special Purpose Holding Fund.
(b)	Security in default.
(c)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(d)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

2 See accompanying notes to the financial statements.

GMO Special Purpose Holding Fund
(A Series of GMO Trust)


Consolidating Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

	GMO Special
	Purpose Holding		GMO		Noncontrolling						Consolidated
	Fund		SPV I, LLC		Interest			Eliminations			Totals
Assets:
Investments in affiliated issuers, at value (cost $0) (Note 2)	$	108,767	$	—	$	—		$	(108,767	)	$	—
Investments in unaffiliated issuers, at value (cost $23,188) (Note 2)		23,188		—		—			—			23,188
Cash		163,916		332,806		—			—			496,722
Dividends receivable		1		—		—			—			1
Receivable for expenses reimbursed by Manager (Note 5)		7,392		3,348		—			—			10,740
Total assets		303,264		336,154		—			(108,767	)		530,651
Liabilities:
Accrued expenses		65,214		193,238		—			—			258,452
Noncontrolling interest in subsidiary		—		—		34,149			—			34,149
Total liabilities		65,214		193,238		34,149			—			292,601
Net assets	$	238,050	$	142,916	$	(34,149	)	$	(108,767	)	$	238,050
Shares outstanding		554,071										554,071
Net asset value per share	$	0.43									$	0.43

See accompanying notes to the financial statements. 3

GMO Special Purpose Holding Fund
(A Series of GMO Trust)


Consolidating Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

	GMO Special
	Purpose Holding			GMO			Noncontrolling				Consolidated
	Fund			SPV I, LLC			Interest		Eliminations		Totals
Investment Income:
Dividends	$	11		$	—		$	—	$	—	$	11
Total income		11			—			—		—		11
Expenses:
Custodian and transfer agent fees		1,840			12,972			—		—		14,812
Audit and tax fees		29,072			6,808			—		—		35,880
Legal fees		—			57,776			—		—		57,776
Trustees fees and related expenses (Note 5)		11			—			—		—		11
Miscellaneous		4,978			368			—		—		5,346
Total expenses		35,901			77,924			—		—		113,825
Fees and expenses reimbursed by Manager (Note 5)		(35,880	)		(20,148	)		—		—		(56,028	)
Expense Reduction (Note 2)		(65	)		(132	)		—		—		(197	)
Net expenses		(44	)		57,644			—		—		57,600
Net income (loss)		55			(57,644	)		—		—		(57,589	)
Noncontrolling interest in subsidiary net income (loss)		—			—			18,092		—		18,092
Net investment income (loss) after noncontrolling interest		55			(57,644	)		18,092		—		(39,497	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			—			—		—		—
Realized gains distributions from affiliated issuers		—			—			—		—		—
Net realized gain (loss)		—			—			—		—		—
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(39,552	)		—			—		39,552		—
Net unrealized gain (loss)		(39,552	)		—			—		39,552		—
Net realized and unrealized gain (loss)		(39,552	)		—			—		39,552		—
Noncontrolling interest in subsidiary’s realized and unrealized gain (loss)		—			—			—		—		—
Net increase (decrease) in net assets resulting from operations	$	(39,497	)	$	(57,644	)	$	18,092	$	39,552	$	(39,497	)

4 See accompanying notes to the financial statements.

GMO Special Purpose Holding Fund
(A Series of GMO Trust)


Consolidated Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss) after noncontrolling interest	$	(39,497	)	$	(29,668	)
Net realized gain (loss)		—			—
Change in net unrealized appreciation (depreciation)		—			—
		(39,497	)		(29,668	)
Noncontrolling interest in realized and unrealized gain (loss)		—			—
Net increase (decrease) in net assets from operations		(39,497	)		(29,668	)
Fund share transactions: (Note 9)
Proceeds from sale of shares		—			—
Cost of shares repurchased		—			—
Net increase (decrease) from Fund share transactions		—			—
Total increase (decrease) in net assets		(39,497	)		(29,668	)
Net assets:
Beginning of period		277,547			307,215
End of period	$	238,050		$	277,547

See accompanying notes to the financial statements. 5

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Consolidated Financial Highlights
(For a share outstanding throughout each period)

	Six Months Ended
	August 31, 2011			Year Ended February 28/29
	(Unaudited)			2011			2010(a)			2009			2008			2007
Net asset value, beginning of period	$	0.50		$	0.55		$	0.73		$	1.26		$	1.41		$	8.22
Income from investment operations:
Net investment income (loss)†		(0.07	)		(0.05	)		(0.18	)		0.00	(b)		0.06			0.02
Net realized and unrealized gain (loss)		—			—			—			1.73			6.28			41.16
Total from investment operations		(0.07	)		(0.05	)		(0.18	)		1.73			6.34			41.18
Less distributions to shareholders:
From cash distributions		—			—			—			(2.26	)		(6.49	)		(47.99	)
Total distributions		—			—			—			(2.26	)		(6.49	)		(47.99	)
Net asset value, end of period	$	0.43		$	0.50		$	0.55		$	0.73		$	1.26		$	1.41
Total Return(c)(d)		(14.00	)%**		(9.09	)%		(24.66	)%		137.67	%		517.54	%		3613.95	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	238		$	278		$	307		$	407		$	697		$	780
Net expenses to average daily net assets		33.30	%(e)*		10.18	%(e)		27.55	%(e)		0.81	%		0.00	%(f)		0.85	%
Net investment income (loss) to average daily net assets		(30.45	)%*		(10.03	)%		(27.38	)%		0.25	%		3.91	%		1.05	%
Portfolio turnover rate		0	%**		0	%		0	%		0	%		0	%		0	%
Fees and expenses reimbursed by the Manager to average daily net assets:		27.66	%*		35.58	%		25.66	%		15.56	%		8.84	%		3.74	%

(a)	For the year ended February 28, 2010, the Fund’s financial results reflect a legal expense adjustment related to pending litigation against various entities related to the default of the NPF Securities (Note 1).
(b)	Net investment income (loss) was less than $0.01 per share.
(c)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(d)	Had the effect of reinvested distributions not been assumed and income from investment operations been retained, the total returns would have been (0.08)% for the six months ended August 31, 2011, and (0.05)%, (0.20)%, 1.93%, 7.61%, and 97.84% for the fiscal years ended 2011, 2010, 2009, 2008, and 2007, respectively.
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Net expenses as a percentage of average daily net assets was less than 0.01%.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

6 See accompanying notes to the financial statements.

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Special Purpose Holding Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return. The Fund’s investments consist primarily of: (i) units of GMO SPV I, LLC (“SPV”), a special purpose vehicle that holds an interest in liquidating trusts (described below) related to certain defaulted asset-backed securities (the “NPF Securities”) issued by NPF VI, Inc. and NPF XII, Inc. (the “Issuers”), and (ii) cash and cash items. The Fund expects that any new investments will be made primarily in cash, cash items, and high quality debt securities.

One of the Fund’s principal investments is units of SPV, which in turn holds an interest in liquidating trusts related to the NPF Securities. In November 2002, National Century Financial Enterprises (“NCFE”), which organized and administered the Issuers and the NPF Securities, defaulted on its obligations with respect to the NPF Securities (health care asset-backed receivables). The NPF Securities had been acquired by the Fund prior to this default. NCFE and its affiliates are alleged to have violated the terms of the bonds’ indentures by, among other things, purportedly spending cash collateral, accepting collateral other than permitted receivables, moving receivables between trusts to meet compliance tests and reimbursing health care providers for more than the value of receivables purchased. NCFE, its affiliated operations (including the Issuers), and many of the health care providers declared bankruptcy.

In November 2002, the NPF Securities were transferred to SPV to facilitate the redemption of the NPF Securities in-kind, if necessary, to protect the interests of non-redeeming shareholders. In connection with the Fund’s placement of the NPF Securities in SPV, the Fund assigned to SPV the right to any proceeds received in connection with any claims or actions against various parties arising out of the Fund’s purchase of the NPF Securities (including those described below). The Fund’s pro rata portion of the costs associated with the Fund’s attempted recovery of losses associated with the NPF Securities will be borne by the Fund, subject to a priority reimbursement of such costs by SPV in the event SPV receives any proceeds in connection with any claims or actions.

In 2003, the Fund joined with certain other holders of the NPF Securities in filing a lawsuit against certain parties related to the NCFE offerings, including the indenture trustees, underwriters, and certain other parties. In April 2004, a plan of liquidation was approved by the bankruptcy court with respect to NCFE and its affiliated operations (including the Issuers). Pursuant to such plan, SPV received cash distributions, which were distributed, less expenses, to holders of SPV, including the Fund. SPV also received interests in liquidating trusts, which it continues to hold. In July 2005 and April 2006, the Fund entered into

7

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

settlement agreements with two of the defendants in the lawsuit and received (through its investment in SPV) cash settlements in connection therewith. Litigation against the remaining defendants continues at this time.

The cash items and high quality debt securities in which the Fund may invest may include securities issued by the U.S. government and agencies thereof (including securities neither guaranteed nor insured by the U.S. government), bankers’ acceptances, commercial paper, bank certificates of deposit, and money market mutual funds. The Fund is also permitted to invest in debt securities of any quality or type, including governmental and corporate and other private issuers.

The Fund is presently closed to new subscriptions and additional investments from existing shareholders. The Fund’s shares are held by other GMO Funds and certain other accredited investors.

The Fund has litigation pending against various entities related to the default of certain of the NPF Securities. For the period ended August 31, 2011, the Fund received no distributions in conjunction with a settlement agreement related to the default of those securities. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of the Fund. To the extent additional recoveries are realized, such recoveries may be material to the net asset value of the Fund.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Basis of presentation and principles of consolidation

The accompanying consolidated financial statements include the accounts of the Fund and its majority owned investment in SPV. The consolidated financial statements include 100% of the assets and liabilities of SPV and the ownership interests of participants in SPV other than the Fund are recorded as a “Noncontrolling Interest”. All significant interfund accounts and transactions have been eliminated in consolidation.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a

8

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.0% of net assets. The Fund classifies such securities (as defined below) as Level 3.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: Consistent with U.S. GAAP, the Fund valued potential litigation recoveries with respect to the bankruptcy proceedings at zero. The Fund valued interests related to bankruptcy proceedings at zero.

9

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)			Total
Debt Obligations	$	—	$	—	$	0	*	$	—
Short-Term Investments		23,188		—		—			23,188
Total Investments	$	23,188	$	—	$	0	*	$	23,188

* Represents the interest in securities that are defaulted and have no value at August 31, 2011 or February 28, 2011.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

Taxes

The Fund has elected to be treated as a partnership for U.S. federal income tax purposes. As a partnership, the Fund is not itself subject to U.S. federal income tax. Instead, each shareholder is required to take into account in determining its tax liability, its distributive share of items of Fund income, gain, loss, deduction, credit, and tax preference for each taxable year substantially as though such items have been realized directly by the shareholder and without regard to whether any distribution by the Fund has been or will be received. The Fund trades securities for its own account and, as such, is generally not subject to U.S. tax on such earnings (other than certain withholding taxes). The Manager intends to conduct the business of the Fund to the maximum extent practicable so that the Fund’s activities do not constitute a U.S. trade or business. Accordingly, no provision (benefit) for U.S. federal and state income taxes is reflected in the accompanying financial statements. Dividends and other revenue may be subject to withholding or similar taxes imposed by the country in which such dividends or other revenue originate. The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes and associated penalty and interest amounts related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes. SPV is also treated as a partnership for U.S. federal income tax purposes and is subject to the same rules as the Fund with respect to the U.S. federal taxation of partnerships.

10

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

						Net Unrealized
		Gross Unrealized		Gross Unrealized		Appreciation
Aggregate Cost		Appreciation		(Depreciation)		(Depreciation)
$	23,188	$	—	$	—	$	—

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

Distributions

Because the Fund has elected to be treated as a partnership for U.S. federal income tax purposes, it is not required to make distributions to its shareholders.

The Fund will distribute proceeds and other cash receipts received from its underlying investments. Distributions made by the Fund, other than distributions made in partial or complete redemption of shareholder interests in the Fund, are reported in the Fund’s financial statements as cash distributions to shareholders.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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

11

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Litigation-Related Risk — The ultimate amount of the Fund’s recovery (through its investment in SPV) of losses on the defaulted NPF Securities and the total costs the Fund may incur with respect to its funding of litigation related to the NPF Securities is unknown at this time. Therefore, the Fund is subject to the risk that SPV may ultimately be unable to recover certain losses related to the NPF Securities.

• Liquidity Risk — Low trading volume, lack of a market maker, a large size position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind. Liquidity risk is particularly pronounced for the Fund due to the nature and size of its investment in the NPF Securities (through the SPV). The Fund may be exposed (through the SPV) to the NPF Securities for an indefinite period of time and may experience a substantial loss in the event the SPV sells the NPF Securities.

12

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Risk — Fixed Income Securities — Typically, the value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative contracts.

5. Fees and other transactions with affiliates

GMO does not charge the Fund any management or service fees for its services. The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s total annual operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities-lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). The Fund’s contractual expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

13

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $11 and $10, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

6. Purchases and sales of securities

There were no purchases or sales of securities, excluding short-term investments, for the period ended August 31, 2011.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 61.72% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. One of the shareholders is another fund of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 91.02% of the shares of the Fund were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011		Year Ended
	(Unaudited)		February 28, 2011
Shares sold		—		—
Shares repurchased		—		—
Net decrease		—		—
Fund shares:
Beginning of period		554,071		554,071
End of period		554,071		554,071

14

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

At a meeting held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of this meeting, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees gave substantial consideration to the fact that the Fund does not pay a management fee to the Manager under the Fund’s management agreement. The Trustees also took note of the fact that the Fund serves as a limited purpose holding vehicle for litigation-related receivables, and does not make any new investments.

The Trustees considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees considered the business reputation of the Manager and its professional liability insurance coverage. The Trustees noted that, because of the limited nature of the Fund’s investment program, no comparable accounts managed by the Manager or other funds managed by other managers existed to which the Fund could be compared for purposes of evaluating the Fund’s performance.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered the extent and quality of the resources, including human resources, brought to bear by the Manager, the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services, the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the funds of the Trust and the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees).

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management

15

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements.

Due to the limited scope of the Fund’s operations and the fact that the Fund does not pay a management fee to the Manager under the Fund’s management agreement, the Trustees did not consider comparative performance and expense information regarding the Fund, economies of scale, profitability of the Manager or other factors that might be considered relevant in other circumstances.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

16

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

17

GMO Special Purpose Holding Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
1) Actual		33.30	%	$	1,000.00	$	860.00	$	155.69
2) Hypothetical		33.30	%	$	1,000.00	$	857.73	$	155.50

            * Expenses are calculated using the annualized expense ratio for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

18

GMO Special Situations Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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 private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

GMO Special Situations Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Mutual Funds		86.5	%
Short-Term Investments		6.9
Debt Obligations		2.0
Futures Contracts		1.6
Forward Currency Contracts		(0.2	)
Swap Agreements		(1.4	)
Other		4.6
		100.0	%

1

GMO Special Situations Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 2.0%
		Asset-Backed Securities — 0.7%
		Residential Asset-Backed Securities (United States) u — 0.7%
	247,805	Countrywide Asset-Backed Certificates, Series 07-S2, Class A1, 1 mo. LIBOR + .14%, 0.36%, due 05/25/37		239,751
	1,865,151	Countrywide Asset-Backed Certificates, Series 07-S1, Class A1A, 1 mo. LIBOR + .11%, 0.33%, due 11/25/36		1,799,871
	3,577,480	Countrywide Asset-Backed Certificates, Series 06-S9, Class A2, Variable Rate, 5.51%, due 08/25/36		3,467,651
		Total Residential Asset-Backed Securities (United States)		5,507,273
		Total Asset-Backed Securities		5,507,273
		Corporate Debt — 1.3%
	9,357,734	CIT Group, Inc., 7.00%, due 05/01/14		9,415,752
		TOTAL DEBT OBLIGATIONS (COST $14,635,484)		14,923,025
		MUTUAL FUNDS — 86.5%
		Affiliated Issuers — 86.5%
	25,027,508	GMO U.S. Treasury Fund		625,937,967
		TOTAL MUTUAL FUNDS (COST $625,767,795)		625,937,967
		SHORT-TERM INVESTMENTS — 6.9%
		Money Market Funds — 6.9%
	49,938,583	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%(a)		49,938,583
		TOTAL SHORT-TERM INVESTMENTS (COST $49,938,583)		49,938,583
		TOTAL INVESTMENTS — 95.4% (COST $690,341,862)		690,799,575
		Other Assets and Liabilities (net) — 4.6%		32,980,848
		TOTAL NET ASSETS — 100.0%	$	723,780,423

2 See accompanying notes to the financial statements.

GMO Special Situations Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Forward Currency Contracts

								Net Unrealized
Settlement								Appreciation
Date	Counterparty		Deliver/Receive	Units of Currency		Value		(Depreciation)
Buys †
10/17/11		Bank of America N.A.	KRW		179,865,270,000	$	168,116,533	$	(296,641	)
10/21/11		Bank of America N.A.	SGD		46,187,204		38,361,210		(6,628	)
10/21/11		Brown Brothers Harriman & Co.	SGD		57,416,745		47,688,010		(89,205	)
10/21/11		Deutsche Bank AG	SGD		104,131,800		86,487,631		(176,927	)
						$	340,653,384	$	(569,401	)
Sales #
10/21/11		Bank of America N.A.	AUD		151,262,267	$	160,699,997	$	(4,366,057	)
10/21/11		JPMorgan Chase Bank N.A.	AUD		75,631,133		80,349,998		(2,089,170	)
10/21/11		Bank of New York Mellon	AUD		3,375,022		3,585,600		(94,123	)
10/21/11		Barclays Bank PLC	AUD		3,375,000		3,585,577		(79,458	)
10/21/11		Royal Bank of Scotland PLC	CHF		48,188,202		59,885,521		2,168,136
10/21/11		Bank of America N.A.	CHF		12,782,051		15,884,797		538,812
10/21/11		Bank of New York Mellon	CHF		12,873,543		15,998,497		531,157
10/21/11		Brown Brothers Harriman & Co.	CHF		83,985,483		104,372,319		2,221,770
						$	444,362,306	$	(1,168,933	)

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

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation/
Contracts	Type		Date	Value		(Depreciation)
Buys
2,482		S & P 500 E-Mini Index	September 2011	$	151,116,570	$	10,995,931
4,393		Euro STOXX 50 Futures	September 2011		144,890,194		529,879
				$	296,006,764	$	11,525,810

See accompanying notes to the financial statements. 3

GMO Special Situations Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Swap Agreements

Forward Starting Dividend Swaps

								Net
								Unrealized
Notional			Starting	Expiration				Appreciation/
Amount			Date	Date	Counterparty	Fund Pays	Fund Receives	(Depreciation)
	686,006	EUR	12/19/2014	12/18/2015	Barclays Bank PLC	25,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from the Fixed Strike	25,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from the Fixed Strike	$	37,551
	2,020,000	EUR	12/18/2015	12/16/2016	Barclays Bank PLC	25,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from the Fixed Strike	25,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from the Fixed Strike		44,697
	5,436,000	EUR	12/16/2016	12/15/2017	BNP Paribas	60,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from the Fixed Strike	60,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from the Fixed Strike		(622,019)
	2,062,500	EUR	12/15/2017	12/21/2018	BNP Paribas	25,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from the Fixed Strike	25,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from the Fixed Strike		(14,878)
	2,065,000	EUR	12/15/2017	12/21/2018	Barclays Bank PLC	25,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from the Fixed Strike	25,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from the Fixed Strike		(17,854)
	2,072,500	EUR	12/15/2017	12/21/2018	Barclays Bank PLC	25,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from the Fixed Strike	25,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from the Fixed Strike		(26,781)

4 See accompanying notes to the financial statements.

GMO Special Situations Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Forward Starting Dividend Swaps — continued

								Net
								Unrealized
Notional			Starting	Expiration				Appreciation/
Amount			Date	Date	Counterparty	Fund Pays	Fund Receives	(Depreciation)
	1,007,000	EUR	12/15/2017	12/21/2018	BNP Paribas	10,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from the Fixed Strike	10,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from the Fixed Strike	$	(222,577)
	2,729,225	EUR	12/21/2018	12/20/2019	BNP Paribas	30,000 EUR for every 1 dividend EURO STOXX 50 Index point decrease in the actual dividends from the Fixed Strike	30,000 EUR for every 1 dividend EURO STOXX 50 Index point increase in the actual dividends from the Fixed Strike		(591,067)
								$	(1,412,928)
Premiums to (Pay) Receive								$	—

Interest Rate Swaps

								Net Unrealized
Notional			Expiration		Receive		Variable	Appreciation/
Amount			Date	Counterparty	(Pay)#	Fixed Rate	Rate	(Depreciation)
	3,100,000	CHF	9/1/2021	Barclays Bank PLC	(Pay)	1.63%	6 Month CHF BBA LIBOR	$	29,149
	840,000,000	JPY	10/22/2020	Citibank N.A.	(Pay)	0.97%	6 Month JPY BBA LIBOR		(38,945	)
	840,000,000	JPY	10/26/2020	Citibank N.A.	(Pay)	0.97%	6 Month JPY BBA LIBOR		(37,999	)
	840,000,000	JPY	10/26/2020	Citibank N.A.	(Pay)	0.97%	6 Month JPY BBA LIBOR		(40,118	)
	840,000,000	JPY	10/27/2020	Citibank N.A.	(Pay)	0.99%	6 Month JPY BBA LIBOR		(52,001	)
	2,435,000,000	JPY	11/1/2020	Morgan Stanley Capital Services Inc.	(Pay)	1.04%	6 Month JPY BBA LIBOR		(288,738	)
								$	(428,652	)
Premiums to (Pay) Receive								$	—

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

See accompanying notes to the financial statements. 5

GMO Special Situations Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Total Return Swaps

							Net Unrealized
Notional			Expiration				Appreciation/
Amount			Date	Counterparty	Fund Pays	Fund Receives	(Depreciation)
	20,882,439	USD	5/16/2012	Goldman Sachs International	Return on Europe Equity Basket Swap	1 Month Federal Funds Effective Rate -.33%	$	(252,616	)
	7,828,572	USD	5/16/2012	Goldman Sachs International	Return on U.S. Equity Basket Swap	1 Month Federal Funds Effective Rate -.80%		(259,657	)
	48,466,804	USD	5/16/2012	Goldman Sachs International	Return on Asia Equity Basket Swap	1 Month Federal Funds Effective Rate -.68%		314,817
	2,547,255	USD	5/17/2012	Morgan Stanley Capital Services	Return on Industrial and Commercial Bank of China Ltd. -Class H	1 Month Federal Funds Effective Rate -.40%		(9,816	)
	961,914	USD	7/25/2012	Morgan Stanley Capital Services	Return on Doosan Infracore Ltd.	1 Month Federal Funds Effective Rate -.85%		(170,611	)
	4,400,000	EUR	12/18/2015	Deutsche Bank AG	Depreciation of EURO STOXX 50 December 2015 Dividend Future	Appreciation of EURO STOXX 50 December 2015 Dividend Future		(373,490	)
	8,880,000	EUR	12/16/2016	Morgan Stanley Capital Services	Depreciation of EURO STOXX 50 December 2016 Dividend Future	Appreciation of EURO STOXX 50 December 2016 Dividend Future		(948,091	)
	2,585,250	EUR	12/15/2017	Deutsche Bank AG	Depreciation of EURO STOXX 50 December 2017 Dividend Future	Appreciation of EURO STOXX 50 December 2017 Dividend Future		(525,544	)
	9,125,000	EUR	12/15/2017	Morgan Stanley Capital Services	Depreciation of EURO STOXX 50 December 2017 Dividend Future	Appreciation of EURO STOXX 50 December 2017 Dividend Future		(1,300,033	)
	547,500	EUR	12/21/2018	Deutsche Bank AG	Depreciation of EURO STOXX 50 December 2018 Dividend Future	Appreciation of EURO STOXX 50 December 2018 Dividend Future		(197,519	)
	789,000	EUR	12/21/2018	Morgan Stanley Capital Services	Depreciation of EURO STOXX 50 December 2018 Dividend Future	Appreciation of EURO STOXX 50 December 2018 Dividend Future		(249,951	)

6 See accompanying notes to the financial statements.

GMO Special Situations Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Total Return Swaps — continued

							Net Unrealized
Notional			Expiration				Appreciation/
Amount			Date	Counterparty	Fund Pays	Fund Receives	(Depreciation)
	275,860	EUR	12/21/2018	Morgan Stanley Capital Services	Depreciation of EURO STOXX 50 December 2018 Dividend Future	Appreciation of EURO STOXX 50 December 2018 Dividend Future	$	(90,011	)
	904,250	EUR	12/21/2018	Morgan Stanley Capital Services	Depreciation of EURO STOXX 50 December 2018 Dividend Future	Appreciation of EURO STOXX 50 December 2018 Dividend Future		(262,377	)
	2,663,701	EUR	12/21/2018	Morgan Stanley Capital Services	Depreciation of EURO STOXX 50 December 2018 Dividend Future	Appreciation of EURO STOXX 50 December 2018 Dividend Future		(645,996	)
	552,500	EUR	12/20/2019	Deutsche Bank AG	Depreciation of EURO STOXX 50 December 2019 Dividend Future	Appreciation of EURO STOXX 50 December 2019 Dividend Future		(203,265	)
	3,037,500	EUR	12/20/2019	Deutsche Bank AG	Depreciation of EURO STOXX 50 December 2019 Dividend Future	Appreciation of EURO STOXX 50 December 2019 Dividend Future		(820,960	)
	2,937,000	EUR	12/20/2019	Deutsche Bank AG	Depreciation of EURO STOXX 50 December 2019 Dividend Future	Appreciation of EURO STOXX 50 December 2019 Dividend Future		(676,592	)
	5,587,500	EUR	12/20/2019	Deutsche Bank AG	Depreciation of EURO STOXX 50 December 2019 Dividend Future	Appreciation of EURO STOXX 50 December 2019 Dividend Future		(941,626	)
	881,250	EUR	12/20/2019	Morgan Stanley Capital Services	Depreciation of EURO STOXX 50 December 2019 Dividend Future	Appreciation of EURO STOXX 50 December 2019 Dividend Future		(380,314	)
							$	(7,993,652	)
Premiums to (Pay) Receive							$	—

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

BBA - British Banks Association

LIBOR - London Interbank Offered Rate

(a) Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

See accompanying notes to the financial statements. 7

GMO Special Situations Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

The rates shown on variable rate notes are the current interest rates at August 31, 2011, which are subject to change based on the terms of the security.

u These securities are primarily backed by subprime mortgages.

Currency Abbreviations:

AUD - Australian Dollar

CHF - Swiss Franc

EUR - Euro

JPY - Japanese Yen

KRW - South Korean Won

SGD - Singapore Dollar

USD - United States Dollar

8 See accompanying notes to the financial statements.

GMO Special Situations Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $64,574,067) (Note 2)	$	64,861,608
Investments in affiliated issuers, at value (cost $625,767,795) (Notes 2 and 10)		625,937,967
Receivable for Fund shares sold		3,158,539
Dividends and interest receivable		131,963
Unrealized appreciation on open forward currency contracts (Note 4)		5,459,875
Due from broker on open futures contracts		25,951,800
Receivable for variation margin on open futures contracts (Note 4)		5,128,125
Receivable for open swap contracts (Note 4)		426,214
Receivable for collateral on open swap contracts (Note 4)		12,040,000
Receivable for expenses reimbursed by Manager (Note 5)		21,684
Total assets		743,117,775
Liabilities:
Payable for investments purchased		22,763
Payable for Fund shares repurchased		1,262,366
Payable for closed swap contracts		49,447
Payable to affiliate for (Note 5):
Management fee		223,741
Shareholder service fee		36,284
Trustees and Trust Officers or agents unaffiliated with the Manager		966
Unrealized depreciation on open forward currency contracts (Note 4)		7,198,209
Interest payable for open swap contracts		158,922
Payable for open swap contracts (Note 4)		10,261,446
Accrued expenses		123,208
Total liabilities		19,337,352
Net assets	$	723,780,423
Net assets attributable to:
Class III shares	$	37,457,291
Class VI shares	$	686,323,132
Shares outstanding:
Class III		1,398,125
Class VI		25,508,817
Net asset value per share:
Class III	$	26.79
Class VI	$	26.91

See accompanying notes to the financial statements. 9

GMO Special Situations Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Interest	$	691,398
Dividends from affiliated issuers (Note 10)		208,404
Dividends (net of withholding taxes of $9,644)		19,158
Total investment income		918,960
Expenses:
Management fee (Note 5)		1,379,119
Shareholder service fee – Class III (Note 5)		23,559
Shareholder service fee – Class VI (Note 5)		196,366
Custodian, fund accounting agent and transfer agent fees		56,948
Audit and tax fees		45,448
Legal fees		14,352
Trustees fees and related expenses (Note 5)		5,853
Miscellaneous		12,006
Total expenses		1,733,651
Fees and expenses reimbursed by Manager (Note 5)		(123,464	)
Expense reductions (Note 2)		(33	)
Net expenses		1,610,154
Net investment income (loss)		(691,194	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		3,920,894
Investments in affiliated issuers		(13,600	)
Realized gains distributions from affiliated issuers (Note 10)		30,030
Futures contracts		(10,205,945	)
Written options		2,473,242
Swap contracts		7,385,336
Foreign currency, forward contracts and foreign currency related transactions		(9,052,976	)
Net realized gain (loss)		(5,463,019	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,595,550	)
Investments in affiliated issuers		263,825
Futures contracts		11,525,810
Swap contracts		(30,893,274	)
Foreign currency, forward contracts and foreign currency related transactions		6,785,700
Net unrealized gain (loss)		(13,913,489	)
Net realized and unrealized gain (loss)		(19,376,508	)
Net increase (decrease) in net assets resulting from operations	$	(20,067,702	)

10 See accompanying notes to the financial statements.

GMO Special Situations Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	(691,194	)	$	1,239,277
Net realized gain (loss)		(5,463,019	)		15,988,518
Change in net unrealized appreciation (depreciation)		(13,913,489	)		(6,607,483	)
Net increase (decrease) in net assets from operations		(20,067,702	)		10,620,312
Net share transactions (Note 9):
Class III		15,111,581			5,789,457
Class VI		(10,246,641	)		357,283,727
Increase (decrease) in net assets resulting from net share transactions		4,864,940			363,073,184
Total increase (decrease) in net assets		(15,202,762	)		373,693,496
Net assets:
Beginning of period		738,983,185			365,289,689
End of period	$	723,780,423		$	738,983,185

See accompanying notes to the financial statements. 11

GMO Special Situations Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008(a)
Net asset value, beginning of period	$	27.53		$	27.47		$	25.47		$	21.32		$	20.09
Income (loss) from investment operations:
Net investment income (loss)†		(0.04	)		0.04			0.33			0.26			0.31
Net realized and unrealized gain (loss)		(0.70	)		0.02	(b)		1.67			3.89			0.92
Total from investment operations		(0.74	)		0.06			2.00			4.15			1.23
Net asset value, end of period	$	26.79		$	27.53		$	27.47		$	25.47		$	21.32
Total Return(c)		(2.69	)%**		0.22	%		7.85	%		19.47	%		6.12	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	37,457		$	23,299		$	17,332		$	20,366		$	88,204
Net operating expenses to average daily net assets		0.52	%(d)(e)*		0.53	%(d)(e)		0.53	%		0.52	%		0.53	%*
Interest expense to average daily net assets		—			0.01	%		0.03	%		—			—
Total net expenses to average daily net assets		0.52	%*		0.54	%		0.56	%		0.52	%		0.53	%*
Net investment income (loss) to average daily net assets		(0.30	)%*		0.15	%		1.24	%		1.20	%		2.71	%*
Portfolio turnover rate		1	%**		60	%		15	%		62	%		0	%††**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%*		0.04	%		0.04	%		0.03	%		0.05	%*

(a)	Period from August 13, 2007 (commencement of operations) through February 29, 2008.
(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 during the periods shown.
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover rate of the Fund for the period from July 31, 2007 (commencement of operations) through February 29, 2008.
*	Annualized.
**	Not annualized.

12 See accompanying notes to the financial statements.

GMO Special Situations Fund
(A Series of GMO Trust)

Financial Highlights — (Continued)
(For a Class IV share outstanding throughout each period)

	Six Months Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008(a)
Net asset value, beginning of period	$	27.63		$	27.55		$	25.51		$	21.33		$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		(0.02	)		0.05			0.36			0.23			0.34
Net realized and unrealized gain (loss)		(0.70	)		0.03	(b)		1.68			3.95			0.99
Total from investment operations		(0.72	)		0.08			2.04			4.18			1.33
Net asset value, end of period	$	26.91		$	27.63		$	27.55		$	25.51		$	21.33
Total Return(c)		(2.61	)%**		0.29	%		8.00	%		19.60	%		6.65	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	686,323		$	715,684		$	347,957		$	326,148		$	593,131
Net operating expenses to average daily net assets		0.43	%(d)(e)*		0.43	%(d)(e)		0.44	%		0.43	%		0.43	%*
Interest expense to average daily net assets		—			0.01	%		0.03	%		—			—
Total net expenses to average daily net assets		0.43	%*		0.44	%		0.47	%		0.43	%		0.43	%*
Net investment income (loss) to average daily net assets		(0.18	)%*		0.19	%		1.35	%		1.03	%		2.84	%*
Portfolio turnover rate		1	%**		60	%		15	%		62	%		0	%††**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%*		0.04	%		0.05	%		0.03	%		0.05	%*

(a)	Period from July 31, 2007 (commencement of operations) through February 29, 2008.
(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 during the periods shown.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover rate of the Fund for the period from July 31, 2007 (commencement of operations) through February 29, 2008.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 13

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Special Situations Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks capital appreciation and capital preservation. The Manager pursues the Fund’s investment objectives by using investment strategies designed to complement broader asset allocation strategies being implemented by the Manager in other GMO asset allocation funds or accounts. Accordingly, the Fund is not a standalone investment. The Manager uses multi-year forecasts of relative value and risk to determine the Fund’s strategic direction.

The Fund may have long or short exposure to foreign and U.S. equity securities (which may include both growth and value style equities and equities of any market capitalization), foreign and U.S. fixed income securities (which may include fixed income securities of any credit quality and having any maturity or duration), currencies, and, from time to time, other alternative asset classes (e.g., instruments that seek exposure to or reduce risks of market volatility). The Fund is not restricted in its exposure to any particular asset class, and at times may be substantially exposed (long or short) to a single asset class (e.g., equity securities or fixed income securities). In addition, the Fund is not restricted in its exposure (long or short) to any particular market. The Fund may have substantial exposure (long or short) to a particular country or type of country (e.g., emerging countries). The Fund could be subject to material losses from a single investment.

In pursuing its investment objectives, the Fund is permitted to use a wide variety of exchange-traded and over-the-counter (“OTC”) derivatives, including reverse repurchase agreements, options, futures, swap contracts, swaptions, and foreign currency derivative transactions. The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

The Fund may choose to make some or all of its investments through one or more wholly-owned, non-U.S. subsidiaries. GMO may serve as the investment manager to these companies but will not receive any additional management or other fees for such services. The Fund does not seek to control risk relative to a particular securities market index or benchmark. In addition, the Fund does not seek to outperform a particular securities market index or blend of market indices (i.e., the Fund does not seek “relative” return).

14

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes a temporary defensive position, it may not achieve its investment objective.

For the period ended August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class VI. Each class of shares bears a different shareholder service fee.

Currently, shares of the Fund are not publicly offered and are principally available for purchase by other GMO Funds and certain other accredited investors.

The Fund currently limits subscriptions.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of

15

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Futures Contracts		0.1	%
Swap Agreements		(0.1	)%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include most recent quoted prices, interest rates, prepayment speeds, credit risk, yield curves and similar data. Inputs may also include: fair value adjustments provided by an independent pricing service applied to foreign equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

16

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund used the following fair value techniques on Level 3 investments: The Fund valued certain debt securities using quoted prices.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
Asset-Backed Securities	$	—	$	—	$	5,507,273	$	5,507,273
Corporate Debt		—		9,415,752		—		9,415,752
TOTAL DEBT OBLIGATIONS		—		9,415,752		5,507,273		14,923,025
Mutual Funds		625,937,967		—		—		625,937,967
Short-Term Investments		49,938,583		—		—		49,938,583
Total Investments		675,876,550		9,415,752		5,507,273		690,799,575
Derivatives*
Forward Currency Contracts
Foreign Currency risk		—		5,459,875		—		5,459,875
Futures Contracts
Equity risk		10,995,931		529,879		—		11,525,810
Swap Agreements
Interest risk		—		29,149		—		29,149
Equity risk		—		397,065		—		397,065
Total	$	686,872,481	$	15,831,720	$	5,507,273	$	708,211,474

17

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Derivatives *
Forward Currency Contracts
Foreign Currency risk	$	—	$	(7,198,209	)	$	—	$	(7,198,209	)
Swap Agreements
Interest risk		—		(457,801	)		—		(457,801	)
Equity risk		—		(9,803,645	)		—		(9,803,645	)
Total	$	—	$	(17,459,655	)	$	—	$	(17,459,655	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net value of the Fund’s direct investments in securities using Level 3 inputs was 0.7% of total net assets.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

18

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

																				Net Change in
																				Unrealized
																				Appreciation
																				(Depreciation)
	Balances											Change in						Balances		from
	as of							Accrued		Total		Unrealized				Transfer		as of		Investments Still
	February 28,							Discounts/		Realized		Appreciation		Transfer		out of		August 31,		Held as of
	2011		Purchases		(Sales)			Premiums		Gain/(Loss)		(Depreciation)		into level 3*		level 3*		2011		August 31, 2011
Debt Obligations
Asset-Backed Securities	$	—	$	6,011,997	$	(549,642	)	$	922	$	21,620	$	22,376	$	—	$	—	$	5,507,273	$	22,376
Total	$	—	$	6,011,997	$	(549,642	)	$	922	$	21,620	$	22,376	$	—	$	—	$	5,507,273	$	22,376

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

19

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Reverse repurchase agreements

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

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. The Fund had no inflation-indexed bonds outstanding at the end of the period.

Taxes

The Fund has elected to be treated as a partnership for U.S. federal income tax purposes. As a partnership, the Fund is not itself subject to U.S. federal income tax. Instead, each shareholder is required to take into account in determining its tax liability, its distributive share of items of Fund income, gain, loss, deduction, credit, and tax preference for each taxable year substantially as though such items have been

20

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

realized directly by the shareholder and without regard to whether any distribution by the Fund has been or will be received. The Fund trades securities for its own account and, as such, is generally not subject to U.S. tax on such earnings (other than certain withholding taxes). The Manager intends to conduct the business of the Fund to the maximum extent practicable so that the Fund’s activities do not constitute a U.S. trade or business. Accordingly, no provision (benefit) for U.S. federal and state income tax is reflected in the accompanying financial statements. Dividends and other revenue may be subject to withholding or similar taxes imposed by the country in which such dividends or other revenue originate. The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes and associated penalty and interest amounts related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes. Effective on March 1, 2009, the Fund was required to maintain a tax year-end of December 31.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

						Net Unrealized
		Gross Unrealized		Gross Unrealized		Appreciation
Aggregate Cost		Appreciation		(Depreciation)		(Depreciation)
$	690,341,862	$	457,713	$	—	$	457,713

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the periods ended February 29, 2008 through the current year.

21

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Distributions

Because the Fund has elected to be treated as a partnership for U.S. federal income tax purposes, it is not required to make distributions to its shareholders. It is the policy of the Fund to declare and pay distributions as determined by the Trustees (or their delegates). Distributions made by the Fund, if any, other than distributions made in partial or complete redemption of shareholders’ interests in the Fund, are reported in the Fund’s Statement of Changes in Net Assets as cash distributions to shareholders.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 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. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of

22

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Customized Investment Program Risk — Because the Fund is intended to complement the Manager’s asset allocation strategies, the risks associated with the Fund’s investments often will be far greater (and investment returns may be far more volatile) than if the Fund served as a stand-alone investment vehicle.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Liquidity Risk — Low trading volume, lack of a market maker, a large size position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

23

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Focused Investment Risk — Focusing investments in particular countries, regions, sectors or companies, or in industries with high positive correlations to one another creates additional risk.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Market Risk — Fixed Income Securities — Typically, the value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

24

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds, or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

• Fund of Funds Risk — The Fund is indirectly exposed to all of the risks of an investment in the underlying funds, including the risk that the underlying funds in which it invests will not perform as expected or that the Fund will invest in underlying funds with higher fees or expenses.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to

25

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

synthetically “buy” exposure to that index). 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which

26

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

The Fund may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund’s forward currency contracts is marked to market daily using rates supplied

27

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

by a quotation service and changes in value are recorded by the Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. During the period ended August 31, 2011, the Fund used forward currency contracts to adjust exposure to foreign currencies and manage against anticipated currency exchange rate changes. Forward currency contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to maintain the diversity and liquidity of the portfolio and to adjust exposure to equity markets. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund 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. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of

28

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the option. The potential loss associated with purchasing put and call options is limited to the premium paid. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the period ended August 31, 2011, the Fund used written options to adjust exposure of the portfolio to various equity markets. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

For the period ended August 31, 2011, investment activity in options contracts written by the Fund was as follows:

	Puts								Calls
	Principal		Number						Principal		Number
	Amount of		of						Amount of		of
	Contracts		Contracts			Premiums			Contracts		Contracts		Premiums
Outstanding, beginning of period		—		—		$	—			—		—	$	—
Options written		—		(351,384	)		(2,822,342	)		—		—		—
Options exercised		—		—			—			—		—		—
Options expired		—		—			—			—		—		—
Options bought back		—		351,384			2,822,342			—		—		—
Outstanding, end of period		—		—		$	—			—		—	$	—

29

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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

30

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

Forward starting dividend swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive the changes in a dividend index point. The 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 the 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 agreements involve an exchange by the parties of their respective commitments to pay or right 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 increase in value and would be obligated to pay if that index decreased in value.

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that the collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type

31

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to adjust interest rate exposure, its exposure to certain securities markets, and its exposure to certain companies and industries, as well as to hedge some or all of the broad market exposure of the assets in which the Fund invests and manage the duration of the portfolio. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate			Foreign currency			Credit		Equity			Other
	contracts			contracts			contracts		contracts			contracts		Total
Assets:
Unrealized appreciation on futures contracts *	$	—		$	—		$	—	$	11,525,810		$	—	$	11,525,810
Unrealized appreciation on forward currency contracts		—			5,459,875			—		—			—		5,459,875
Unrealized appreciation on swap agreements		29,149			—			—		397,065			—		426,214
Total	$	29,149		$	5,459,875		$	—	$	11,922,875		$	—	$	17,411,899
Liabilities:
Unrealized depreciation on forward currency contracts	$	—		$	(7,198,209	)	$	—	$	—		$	—	$	(7,198,209	)
Unrealized depreciation on swap agreements		(457,801	)		—			—		(9,803,645	)		—		(10,261,446	)
Total	$	(457,801	)	$	(7,198,209	)	$	—	$	(9,803,645	)	$	—	$	(17,459,655	)

32

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended
August 31, 2011^Ù:

	Interest rate			Foreign currency			Credit		Equity			Other
	contracts			contracts			contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Written options	$	—		$	—		$	—	$	2,473,242		$	—	$	2,473,242
Futures contracts		—			—			—		(10,205,945	)		—		(10,205,945	)
Forward currency contracts		—			(8,944,892	)		—		—			—		(8,944,892	)
Swap agreements		(287,378	)		—			—		7,672,714			—		7,385,336
Total	$	(287,378	)	$	(8,944,892	)	$	—	$	(59,989	)	$	—	$	(9,292,259	)
Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	—		$	—		$	—	$	11,525,810		$	—	$	11,525,810
Forward currency contracts		—			6,788,495			—		—			—		6,788,495
Swap agreements		(2,373,309	)		—			—		(28,519,965	)		—		(30,893,274	)
Total	$	(2,373,309	)	$	6,788,495		$	—	$	(16,994,155	)	$	—	$	(12,578,969	)

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts) or notional amounts (swap agreements) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Forward
	currency		Futures		Swap
	contracts		contracts		agreements		Options
Average amount outstanding	$	1,049,173,770	$	138,714,146	$	232,028,424	*$	29,090

            * During the period ended August 31, 2011, the Fund did not hold written options at any month-end, therefore, the average amount outstanding was calculated using daily outstanding absolute values.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.37% of average daily net assets. The Fund has adopted a Shareholder Service Plan under

33

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s total annual operating expenses that exceed 0.37% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities-lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $5,853 and $2,622, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder	Indirect Shareholder
service fees)	Service Fees	Total Indirect Expenses
0.002%	0.000%	0.002%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $6,250,432 and $68,744,057, respectively.

34

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 90.52% of the outstanding shares of the Fund were held by four shareholders, each holding more than 10% of the Fund’s outstanding shares. Three of the shareholders are other funds of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and all of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		732,189		$	19,956,522			680,954		$	18,376,962
Shares repurchased		(180,451	)		(4,844,941	)		(465,449	)		(12,587,505	)
Net increase (decrease)		551,738		$	15,111,581			215,505		$	5,789,457
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class VI:	Shares			Amount			Shares			Amount
Shares sold		10,094,804		$	273,141,281			16,813,107		$	453,971,886
Shares repurchased		(10,488,011	)		(283,387,922	)		(3,543,278	)		(96,688,159	)
Net increase (decrease)		(393,207	)	$	(10,246,641	)		13,269,829		$	357,283,727

35

GMO Special Situations Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions
	beginning of				Sales		Dividend		of Realized		Value, end
Affiliate	period		Purchases		Proceeds		Income		Gains		of period
GMO U.S. Treasury Fund	$	659,449,307	$	238,434	$	34,000,000	$	208,404	$	30,030	$	625,937,967
Totals	$	659,449,307	$	238,434	$	34,000,000	$	208,404	$	30,030	$	625,937,967

36

GMO Special Situations Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one- and three-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered that the Fund’s performance is intended to complement broader asset allocation strategies being implemented by the Manager in other asset allocation funds or accounts and noted that the Fund is not separately available nor does it seek to control risk relative to a particular securities market index or benchmark nor does it seek to outperform a particular securities market index or blend of market indices. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and

37

GMO Special Situations Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its

38

GMO Special Situations Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

39

GMO Special Situations Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 01, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

40

GMO Special Situations Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.52	%	$	1,000.00	$	973.10	$	2.58
2) Hypothetical		0.52	%	$	1,000.00	$	1,022.52	$	2.64
Class VI
1) Actual		0.43	%	$	1,000.00	$	973.90	$	2.13
2) Hypothetical		0.43	%	$	1,000.00	$	1,022.97	$	2.19

            * Expenses are calculated using each Class’s annualized expense ratio (including interest expense and indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

41

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		56.7	%
Short-Term Investments		42.4
Swap Agreements		1.2
Options Purchased		1.0
Loan Participations		0.2
Loan Assignments		0.1
Rights/Warrants		0.0	Ù
Promissory Notes		0.0	Ù
Forward Currency Contracts		(0.0	)Ù
Futures Contracts		(0.2	)
Written Options		(0.2	)
Reverse Repurchase Agreements		(1.4	)
Other		0.2
		100.0	%

Country / Region Summary**	% of Investments
United States		52.6	%
Australia		46.5
New Zealand		6.6
Emerging***		1.6
Japan		0.1
Euro Region****		0.0	Ù
Norway		0.0	Ù
Canada		(0.1	)
Sweden		(0.1	)
United Kingdom		(0.1	)
Switzerland		(7.1	)
		100.0	%

*

The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).

**

The table above 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 exposures, taking into account the market value of securities and the notional amounts of swaps and other derivative financial instruments. For example, U.S. asset-backed securities represent a relatively small percentage due to their short duration, even though they represent a large

1

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

	percentage of market value (direct and indirect). Duration is based on the Manager’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 “Emerging” exposure is associated only with investments in the GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Russia, Argentina, Brazil, Philippines, Mexico, Venezuela, Colombia, Cougo, Turkey, and Indonesia. Additional information about the fund’s emerging country exposure is available in the financial statements of the GMO Emerging Country Debt Fund.
****	The “Euro Region” is comprised of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Malta, Netherlands, Portugal, Slovakia, Slovenia and Spain.
Ù	Rounds to 0.0%.

2

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($) /
Shares /
Notional Amount		Description	Value ($)
		DEBT OBLIGATIONS — 11.3%
		United States — 11.3%
		U.S. Government — 11.3%
	79,258,500	U.S. Treasury Inflation Indexed Note, 2.00%, due 04/15/12 (a) (b)		80,428,831
	50,000,000	U.S. Treasury Note, 0.38%, due 09/30/12		50,123,050
	33,000,000	U.S. Treasury Note, 1.38%, due 01/15/13 (b)		33,540,111
	150,000,000	U.S. Treasury Note, 1.75%, due 01/31/14		155,437,500
		Total United States		319,529,492
		TOTAL DEBT OBLIGATIONS (COST $317,395,529)		319,529,492
		MUTUAL FUNDS — 84.9%
		United States — 84.9%
		Affiliated Issuers
	8,809,450	GMO Emerging Country Debt Fund, Class IV		85,451,670
	105,394,919	GMO Short-Duration Collateral Fund		757,789,469
	40,323,372	GMO U.S. Treasury Fund		1,008,487,531
	23,817,449	GMO World Opportunity Overlay Fund		545,657,755
		Total United States		2,397,386,425
		TOTAL MUTUAL FUNDS (COST $2,510,875,679)		2,397,386,425
		OPTIONS PURCHASED — 0.6%
		Options on Interest Rate Swaps — 0.6%
NZD	250,000,000	Swaption Call, Expires 06/01/12, Strike 4.00, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 250,000,000 NZD in which it will pay 3 month NZD Bank Bill and will receive 4.00%, maturing on June 6, 2013, (OTC) (CP - Morgan Stanley Capital Services Inc.)		1,418,710
NZD	500,000,000	Swaption Call, Expires 02/15/12, Strike 4.22, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 500,000,000 NZD in which it will pay 3 month NZD Bank Bill and will receive 4.22%, maturing on February 16, 2013, (OTC) (CP - Morgan Stanley Capital Services Inc.)		3,817,587

See accompanying notes to the financial statements. 3

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Notional Amount		Description	Value ($)
		Options on Interest Rate Swaps — continued
NZD	500,000,000	Swaption Call, Expires 05/11/12, Strike 3.63, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 500,000,000 NZD in which it will pay 3 month NZD Bank Bill and will receive 3.63%, maturing on May 15, 2013, (OTC) (CP - Morgan Stanley Capital Services Inc.)		1,863,640
NZD	500,000,000	Swaption Call, Expires 03/27/12, Strike 3.80, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 500,000,000 NZD in which it will pay 3 month NZD Bank Bill and will receive 3.80%, maturing on March 28, 2013, (OTC) (CP - Morgan Stanley Capital Services Inc.)		2,363,735
NZD	500,000,000	Swaption Call, Expires 03/26/12, Strike 3.80, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 500,000,000 NZD in which it will pay 3 month NZD Bank Bill and will receive 3.80%, maturing on March 28, 2013, (OTC) (CP - Morgan Stanley Capital Services Inc.)		2,365,013
USD	400,000,000	Swaption Call, Expires 05/20/13, Strike 0.77, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 400,000,000 USD in which it will pay 3 month USD LIBOR and will receive 0.77%, maturing on May 22, 2014, (OTC) (CP - Merrill Lynch Capital Services Inc.)		1,170,400
USD	400,000,000	Swaption Call, Expires 05/21/12, Strike 0.77, Upon potential excercise of the option, the Fund will enter into a swap with a notional amount of 400,000,000 USD in which it will pay 3 month USD LIBOR and will receive 0.77%, maturing on May 23, 2013, (OTC) (CP - Merrill Lynch Capital Services Inc.)		1,394,400
USD	500,000,000	Swaption Call, Expires 01/22/13, Strike 0.85, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 500,000,000 USD in which it will pay 3 month USD LIBOR and will receive 0.85%, maturing on January 24, 2014, (OTC) (CP - Citibank N.A.)		1,949,500

4 See accompanying notes to the financial statements.

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Notional Amount /
Shares /
Par Value ($)		Description	Value ($)
USD	500,000,000	Swaption Call, Expires 01/23/12, Strike 0.85, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 500,000,000 USD in which it will pay 3 month USD LIBOR and will receive 0.85%, maturing on January 25, 2013, (OTC) (CP - Citibank N.A.)		1,932,000
		Total Options on Interest Rate Swaps		18,274,985
		TOTAL OPTIONS PURCHASED (COST $7,920,291)		18,274,985
		SHORT-TERM INVESTMENTS — 1.1%
		Money Market Funds — 0.1%
	1,365,786	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (c)		1,365,786
		U.S. Government — 1.0%
	27,300,000	U.S. Treasury Bill, 0.07%, due 05/31/12 (b) (d)		27,286,132
		TOTAL SHORT-TERM INVESTMENTS (COST $28,632,662)		28,651,918
		TOTAL INVESTMENTS — 97.9% (Cost $2,864,824,161)		2,763,842,820
		Other Assets and Liabilities (net) — 2.1%		60,664,204
		TOTAL NET ASSETS — 100.0%	$	2,824,507,024

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Buys
300		Australian Government Bond 10 Yr.	September 2011	$	36,320,723	$	810,850
8,650		Euro Dollar 90 Day	December 2011		2,151,579,375		2,574,499
				$	2,187,900,098	$	3,385,349

See accompanying notes to the financial statements. 5

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Futures Contracts — continued

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Sales
565		Australian Government Bond 3 Yr.	September 2011	$	64,231,971	$	121,094
8,650		Euro Dollar 90 Day	March 2013		2,151,363,125		(6,295,087	)
				$	2,215,595,096	$	(6,173,993	)

Written Options

A summary of open written option contracts for the Fund at August 31, 2011 is as follows:

Options on Interest Rate Swaps

						Description of Underlying Swap
	Notional			Expiration		Receive	Fixed	Variable
Description	Amount			Date	Counterparty	(Pay)#	Rate	Rate	Premiums			Market Value
Call - OTC 2 Year Interest Rate Swap		500,000,000	USD	01/23/12	Citibank N.A.	(Pay)	0.85%	3 Month USD LIBOR		$(200,000	)	$	(3,229,000	)
Call - OTC 2 Year Interest Rate Swap		400,000,000	USD	05/21/12	Merrill Lynch Capital Services Inc.	(Pay)	0.77%	3 Month LIBOR		(310,000	)		(1,971,600	)
Call- OTC 1 Year Interest Rate Swap		250,000,000	NZD	06/01/12	Morgan Stanley Capital Services Inc.	(Pay)	3.25%	3 Month NZD Bank Bill		(193,871	)		(528,209	)
Call - OTC 1 Year Interest Rate Swap		500,000,000	NZD	02/15/12	Morgan Stanley Capital Services Inc.	(Pay)	3.33%	3 Month NZD Bank Bill		(281,812	)		(1,145,873	)
Call - OTC 1 Year Interest Rate Swap		500,000,000	NZD	05/11/12	Morgan Stanley Capital Services Inc.	(Pay)	3.13%	3 Month NZD Bank Bill		(354,780	)		(842,578	)
Call - OTC 1 Year Interest Rate Swap		500,000,000	NZD	03/27/12	Morgan Stanley Capital Services Inc.	(Pay)	2.80%	3 Month NZD Bank Bill		(263,568	)		(372,302	)
Call - OTC 1 Year Interest Rate Swap		500,000,000	NZD	03/26/12	Morgan Stanley Capital Services Inc.	(Pay)	2.80%	3 Month NZD Bank Bill		(262,360	)		(371,450	)
										$(1,866,391	)	$	(8,461,012	)

6 See accompanying notes to the financial statements.

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Swap Agreements

Interest Rate Swaps

								Net Unrealized
Notional			Expiration		Receive			Appreciation/
Amount			Date	Counterparty	(Pay)#	Fixed Rate	Variable Rate	(Depreciation)
	100,000,000	AUD	8/25/2020	Barclays Bank PLC	Receive	5.27%	6 Month AUD Bank Bill Rate	$	1,242,074
	200,000,000	AUD	8/26/2020	Morgan Stanley Capital Services Inc.	Receive	5.26%	6 Month AUD Bank Bill Rate		2,286,414
	200,000,000	AUD	8/30/2020	Morgan Stanley Capital Services Inc.	Receive	5.25%	6 Month AUD Bank Bill Rate		2,001,934
	300,000,000	AUD	9/20/2020	Morgan Stanley Capital Services Inc.	Receive	5.58%	6 Month AUD Bank Bill Rate		10,975,462
	200,000,000	AUD	9/22/2020	Morgan Stanley Capital Services Inc.	Receive	5.65%	6 Month AUD Bank Bill Rate		8,431,062
	100,000,000	AUD	12/2/2020	Barclays Bank PLC	Receive	5.95%	6 Month AUD Bank Bill Rate		6,497,504
	200,000,000	AUD	4/5/2021	Morgan Stanley Capital Services Inc.	Receive	6.06%	6 Month AUD Bank Bill Rate		15,061,505
	100,000,000	NZD	7/14/2015	Barclays Bank PLC	Receive	4.87%	3 Month NZD Bank Bill Rate		3,027,507
	100,000,000	NZD	7/15/2015	Barclays Bank PLC	Receive	4.86%	3 Month NZD Bank Bill Rate		3,003,513
	100,000,000	NZD	7/15/2015	Citibank N.A.	Receive	4.85%	3 Month NZD Bank Bill Rate		2,980,606
	125,000,000	NZD	7/16/2015	Merrill Lynch Capital Services	Receive	4.86%	3 Month NZD Bank Bill Rate		3,767,672
	1,215,000,000	USD	2/8/2014	Morgan Stanley Capital Services Inc.	(Pay)	0.71%	3 Month USD Libor		(3,454,807	)
	505,000,000	USD	2/8/2017	Morgan Stanley Capital Services Inc.	Receive	1.79%	3 Month USD Libor		7,474,164
								$	63,294,610
Premiums to (Pay) Receive								$	—

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

See accompanying notes to the financial statements. 7

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

As of August 31, 2011, for the above contracts and/or agreements the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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

CP - Counterparty

LIBOR - London Interbank Offered Rate

OTC - Over-the-Counter

USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.

(a)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).
(b)	All or a portion of this security has been pledged to cover margin requirements on open financial futures contracts, collateral on open swap contracts, forward currency contracts, and/or written options, if any, (Note 4).
(c)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.
(d)	Rate shown represents yield-to-maturity.

Currency Abbreviations:

AUD - Australian Dollar

NZD - New Zealand Dollar

USD - United States Dollar

8 See accompanying notes to the financial statements.

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $353,948,482) (Note 2)	$	366,456,395
Investments in affiliated issuers, at value (cost $2,510,875,679) (Notes 2 and 10)		2,397,386,425
Receivable for Fund shares sold		9,992,147
Dividends and interest receivable		1,002,495
Receivable for open swap contracts (Note 4)		66,749,417
Interest receivable for open swap contracts		3,671,264
Receivable for expenses reimbursed by Manager (Note 5)		78,338
Total assets		2,845,336,481
Liabilities:
Payable for investments purchased		3,200,000
Payable for Fund shares repurchased		4,116,997
Payable to affiliate for (Note 5):
Management fee		596,054
Shareholder service fee		137,514
Trustees and Trust Officers or agents unaffiliated with the Manager		6,901
Payable for variation margin on open futures contracts (Note 4)		665,832
Payable for open swap contracts (Note 4)		3,454,807
Written options outstanding, at value (premiums $1,866,391) (Note 4)		8,461,012
Accrued expenses		190,340
Total liabilities		20,829,457
Net assets	$	2,824,507,024
Net assets consist of:
Paid-in capital	$	3,022,830,768
Distributions in excess of net investment income		(24,748,201	)
Accumulated net realized loss		(126,505,547	)
Net unrealized depreciation		(47,069,996	)
	$	2,824,507,024
Net assets attributable to:
Class III shares	$	80,295,448
Class VI shares	$	2,744,211,576
Shares outstanding:
Class III		4,829,635
Class VI		165,038,022
Net asset value per share:
Class III	$	16.63
Class VI	$	16.63

See accompanying notes to the financial statements. 9

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	6,816,072
Interest		2,545,812
Dividends from unaffiliated issuers		38
Total investment income		9,361,922
Expenses:
Management fee (Note 5)		3,356,269
Shareholder service fee – Class III (Note 5)		62,595
Shareholder service fee – Class VI (Note 5)		715,428
Custodian, fund accounting agent and transfer agent fees		146,004
Legal fees		54,464
Audit and tax fees		29,808
Trustees fees and related expenses (Note 5)		23,112
Registration fees		1,620
Miscellaneous		21,865
Total expenses		4,411,165
Fees and expenses reimbursed by Manager (Note 5)		(234,380	)
Indirectly incurred fees waived or borne by Manager (Note 5)		(168,291	)
Shareholder service fee waived (Note 5)		(39,745	)
Net expenses		3,968,749
Net investment income (loss)		5,393,173
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		4,966,414
Investments in affiliated issuers		(70,152	)
Realized gains distributions from affiliated issuers (Note 10)		39,047
Futures contracts		40,311,926
Written options		(462,000	)
Swap contracts		39,903,513
Foreign currency, forward contracts and foreign currency related transactions		12,508
Net realized gain (loss)		84,701,256
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		10,682,957
Investments in affiliated issuers		(10,296,969	)
Futures contracts		14,680,964
Written options		(6,158,550	)
Swap contracts		110,250,652
Foreign currency, forward contracts and foreign currency related transactions		1,135,015
Net unrealized gain (loss)		120,294,069
Net realized and unrealized gain (loss)		204,995,325
Net increase (decrease) in net assets resulting from operations	$	210,388,498

10 See accompanying notes to the financial statements.

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,393,173		$	21,750,906
Net realized gain (loss)		84,701,256			15,688,280
Change in net unrealized appreciation (depreciation)		120,294,069			69,051,297
Net increase (decrease) in net assets from operations		210,388,498			106,490,483
Distributions to shareholders from:
Net investment income
Class III		—			(3,957,713	)
Class VI		—			(59,707,182	)
Total distributions from net investment income		—			(63,664,895	)
Return of capital
Class III		—			(3,143,823	)
Class VI		—			(47,291,285	)
Total distributions from return of capital		—			(50,435,108	)
		—			(114,100,003	)
Net share transactions (Note 9):
Class III		(3,111,753	)		(62,723,736	)
Class VI		64,073,176			478,030,361
Increase (decrease) in net assets resulting from net share transactions		60,961,423			415,306,625
Total increase (decrease) in net assets		271,349,921			407,697,105
Net assets:
Beginning of period		2,553,157,103			2,145,459,998
End of period (including distributions in excess of net investment income of $24,748,201 and $30,141,374, respectively)	$	2,824,507,024		$	2,553,157,103

See accompanying notes to the financial statements. 11

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007(a)
Net asset value, beginning of period	$	15.39		$	15.51		$	17.37		$	23.60		$	25.22		$	25.06
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.03			0.17			0.16			0.71			0.78			0.96
Net realized and unrealized gain (loss)		1.21			0.54			3.78			(5.70	)		(1.37	)		0.34
Total from investment operations		1.24			0.71			3.94			(4.99	)		(0.59	)		1.30
Less distributions to shareholders:
From net investment income		—			(0.46	)		(0.27	)		(1.24	)		(0.97	)		(1.14	)
From net realized gains		—			—			—			—			(0.06	)		—
Return of capital		—			(0.37	)		(5.53	)		—			—			—
Total distributions		—			(0.83	)		(5.80	)		(1.24	)		(1.03	)		(1.14	)
Net asset value, end of period	$	16.63		$	15.39		$	15.51		$	17.37		$	23.60		$	25.22
Total Return(c)		8.06	%**		4.76	%		27.97	%		(21.20	)%		(2.39	)%		5.23	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	80,295		$	77,084		$	139,571		$	227,453		$	277,879		$	226,917
Net expenses to average daily net assets(d)		0.39	%*		0.39	%(e)		0.39	%		0.40	%(e)		0.38	%(e)		0.39	%*
Net investment income (loss) to average daily net assets(b)		0.32	%*		1.09	%		1.01	%		3.32	%		3.12	%		5.96	%*
Portfolio turnover rate		8	%**		19	%		35	%		70	%		67	%		7	%††*
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.03	%*		0.04	%		0.03	%		0.03	%		0.04	%		0.06	%*
Redemption fees consisted of the following per share amounts:†		—			—		$	0.00	(f)	$	0.02			—			—

(a)	Period from July 13, 2006 (commencement of operations) through February 28, 2007.
(b)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(c)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
††	Calculation represents portfolio turnover of the Fund for the period from May 31, 2006 (commencement of operations) through February 28, 2007.
*	Annualized.
**	Not annualized.

12 See accompanying notes to the financial statements.

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class VI share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007(a)
Net asset value, beginning of period	$	15.38		$	15.49		$	17.35		$	23.57		$	25.22		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.03			0.15			0.17			0.68			0.97			0.76
Net realized and unrealized gain (loss)		1.22			0.57			3.77			(5.64	)		(1.55	)		0.61
Total from investment operations		1.25			0.72			3.94			(4.96	)		(0.58	)		1.37
Less distributions to shareholders:
From net investment income		—			(0.46	)		(0.29	)		(1.26	)		(1.01	)		(1.15	)
From net realized gains		—			—			—			—			(0.06	)		—
Return of capital		—			(0.37	)		(5.51	)		—			—			—
Total distributions		—			(0.83	)		(5.80	)		(1.26	)		(1.07	)		(1.15	)
Net asset value, end of period	$	16.63		$	15.38		$	15.49		$	17.35		$	23.57		$	25.22
Total Return(c)		8.13	%**		4.84	%		28.00	%		(21.09	)%		(2.35	)%		5.52	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	2,744,212		$	2,476,073		$	2,005,889		$	2,246,197		$	5,121,698		$	2,224,310
Net expenses to average daily net assets(d)		0.29	%*		0.29	%(e)		0.30	%		0.30	%(e)		0.29	%(e)		0.29	%*
Net investment income (loss) to average daily net assets(b)		0.40	%*		1.00	%		1.05	%		3.14	%		3.87	%		4.01	%*
Portfolio turnover rate		8	%**		19	%		35	%		70	%		67	%		7	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.03	%*		0.04	%		0.03	%		0.03	%		0.04	%		0.06	%*
Redemption fees consisted of the following per share amounts:†		—			—		$	0.00	(f)	$	0.02			—			—

(a)	Period from May 31, 2006 (commencement of operations) through February 28, 2007.
(b)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(c)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 13

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Strategic Fixed Income Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the J.P. Morgan U.S. 3 Month Cash Index. The Manager pursues the Fund’s investment objective by using investment strategies designed to complement broader asset allocation strategies being implemented by the Manager in other GMO Asset Allocation Funds or accounts. Accordingly, the Fund is not a standalone investment. The Manager uses multi-year forecasts of relative value and risk to determine the Fund’s strategic direction.

Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in fixed income securities. The term “fixed income security” includes (i) obligations of an issuer to make payments of principal and/or interest (whether fixed or variable) on future dates and (ii) synthetic debt instruments created by the Manager by using derivatives (e.g., a futures contract, swap contract, currency forward or option). The Fund is permitted to invest in fixed income securities of any kind (e.g., fixed income securities of any maturity, duration or credit quality). The Fund may invest in any sector of the fixed income market and is not required to maintain a minimum or maximum allocation of investments in any one sector. The Fund may invest all of its assets in below investment grade securities (also known as “junk bonds”). The sectors and types of fixed income securities in which the Fund may invest or hold include, but are not limited to: investment grade bonds denominated in various currencies, including bonds issued by the U.S. and foreign governments and their agencies or instrumentalities (as well as bonds neither guaranteed nor insured by the U.S. government), corporate bonds and taxable and tax-exempt municipal bonds; below investment grade bonds; inflation indexed bonds issued by the U.S. government (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) and foreign governments and their agencies or instrumentalities (as well as bonds neither guaranteed nor insured by the U.S. and/or foreign governments) and inflation indexed bonds issued by corporations; sovereign debt of emerging countries and other bonds issued in emerging countries (including below investment grade bonds); and asset-backed securities.

The Fund has substantial holdings of GMO Short-Duration Collateral Fund (“SDCF”) (a Fund that primarily holds U.S. asset-backed securities) and GMO World Opportunity Overlay Fund (“Overlay Fund”) (a Fund that invests in asset-backed securities and uses derivatives to attempt to exploit misvaluations in world interest rates, currencies and credit markets).

14

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may also invest in exchange traded and over-the-counter (“OTC”) derivatives, including futures contracts, currency options, currency forwards, reverse repurchase agreements, swap contracts (including credit default swaps), interest rate options, swaps on interest rates and other types of derivatives. The Fund is not limited in its use of derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

The Fund may gain exposure to the investments described above through investments in shares of other GMO Funds, including SDCF and Overlay Fund, and also GMO Emerging Country Debt Fund (“ECDF”) (to gain exposure to emerging country debt markets), GMO High Quality Short-Duration Bond Fund (to seek to generate a return in excess of that of the J.P.Morgan U.S. 3 Month Cash Index by investing in a wide variety of high quality U.S. and foreign debt investments), GMO Debt Opportunities Fund (to gain exposure to global credit markets) and GMO U.S. Treasury Fund (for cash management purposes). For cash management purposes, the Fund may invest in unaffiliated money market funds.

The Fund, primarily though its investments in SDCF, Overlay Fund and ECDF, has and is expected to continue to have material exposure to below investment grade U.S. asset-backed and emerging country debt securities.

The Manager does not seek to maintain a specified interest rate duration for the Fund, and the Fund’s interest rate duration will change depending on the Fund’s investments and the Manager’s assessment of different sectors of the bond market. The Fund, if deemed prudent by the Manager, will take temporary defensive measures until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund’s normal investment strategies. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The Fund is not intended to serve as a standalone investment product and is available for investment only by other GMO Funds and other GMO asset allocation clients.

As of August 31 2011, the Fund had two classes of shares outstanding: Class III and Class VI. Each class of shares bears a different shareholder service fee.

The financial statements of the series of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request by calling (617) 346-7646 (collect). As of August 31, 2011, shares of Overlay Fund and SDCF were not publicly available for direct purchase.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP

15

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly and indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.9% of net assets. The Fund and the underlying funds classify such securities (as defined below) as Level 3. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 4.5% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation”

16

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
U.S. Government	$	239,100,661	$	80,428,831	$	—	$	319,529,492
TOTAL DEBT OBLIGATIONS		239,100,661		80,428,831		—		319,529,492

17

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds	$	2,397,386,425	$	—	$	—	$	2,397,386,425
Options Purchased		—		18,274,985		—		18,274,985
Short-Term Investments		28,651,918		—		—		28,651,918
Total Investments		2,665,139,004		98,703,816		—		2,763,842,820
Derivatives *
Futures Contracts
Interest rate risk		3,506,443		—		—		3,506,443
Swap Agreements
Interest rate risk		—		66,749,417		—		66,749,417
Total	$	2,668,645,447	$	165,453,233	$	—	$	2,834,098,680

LIABILITY VALUATION INPUTS

	Quoted Prices			Significant
	in Active			Other			Significant
	Markets for			Observable			Unobservable
	Identical Liabilities			Inputs			Inputs
Description	(Level 1)			(Level 2)			(Level 3)		Total
Derivatives *
Written Options
Interest rate risk	$	—		$	(8,461,012	)	$	—	$	(8,461,012	)
Futures Contracts
Interest rate risk		(6,295,087	)		—			—		(6,295,087	)
Swap Agreements
Interest rate risk		—			(3,454,807	)		—		(3,454,807	)
Total	$	(6,295,087	)	$	(11,915,819	)	$	—	$	(18,210,906	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative

18

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s indirect investments in securities and derivative financial instruments using Level 3 inputs were 27.1% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon

19

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United

20

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

States. The foreign withholding rates applicable to a Fund’s investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, certain tax attributes consisted of the following:

Tax Attributes:
Post-October currency loss deferral	$	(30,191,877	)

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(101,247,961	)
February 28, 2018		(123,451,454	)
Total	$	(224,699,415	)

21

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	2,886,038,615	$	13,138,450	$	(135,334,245	)	$	(122,195,795	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 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. 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 Fund uses the identified cost basis.

22

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Fixed Income Securities — Typically, the market value of the Fund’s fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s

23

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

credit rating. The Fund’s investments in below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

24

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another creates additional risk.

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

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

The Fund invests (including through investment in underlying funds) in asset-backed securities, which may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, or credit card receivables, which expose the Fund to additional types of market risk. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers. Payment of interest on asset backed securities and repayment of principal largely depend on the cash flows generated by the assets backing the securities. The market risk of a particular asset-backed security depends on many factors, including the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets and, if any, the level of credit support and the credit quality of the credit-support provider. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. The obligations of issuers (and obligors of underlying assets) also

25

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

are subject to bankruptcy, insolvency, and other laws affecting the rights and remedies of creditors. Many asset-backed securities in which the Fund has invested are now rated below investment grade.

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Agreements”) or other similar types of agreements with selected counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Agreements typically include representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA

26

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse effect on the Fund’s operations.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

27

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of

28

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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. During the period ended

29

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

August 31, 2011, the Fund used forward currency contracts to adjust exposure to foreign currencies and otherwise adjust currency exchange rate risk. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust interest-rate exposure and enhance the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Options

The Fund 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. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. During the period ended August 31, 2011, the Fund used purchased option contracts to adjust interest rate exposure. Option contracts purchased by the Fund and outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set

30

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the period ended August 31, 2011, the Fund used written option contracts to adjust interest rate exposure. Written options outstanding at the end of the period are listed in the 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 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 Statement of Operations.

For the period ended August 31, 2011, investment activity in options contracts written by the Fund was as follows:

	Puts						Calls
	Principal		Number				Principal			Number
	Amount		of Futures				Amount			of Futures
	of Contracts		Contracts		Premiums		of Contracts			Contracts			Premiums
Outstanding, beginning of period		—		—	$	—		(1,000,000,000	)		(3,000	)	$	(700,812	)
Options written		—		—		—		(2,150,000,000	)		—			(1,384,579	)
Options bought back		—		—		—		—			3,000			219,000
Options expired		—		—		—		—			—			—
Options sold		—		—		—		—			—			—
Outstanding, end of period		—		—	$	—		(3,150,000,000	)		—		$	(1,866,391	)

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

31

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a

32

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to adjust interest rate exposure and adjust its exposure to certain markets. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

33

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate			Foreign currency		Credit		Equity		Other
	contracts			contracts		contracts		contracts		contracts		Total
Assets:
Investments, at value (purchased options)	$	18,274,985		$	—	$	—	$	—	$	—	$	18,274,985
Unrealized appreciation on futures contracts *		3,506,443			—		—		—		—		3,506,443
Unrealized appreciation on swap agreements		66,749,417			—		—		—		—		66,749,417
Total	$	88,530,845		$	—	$	—	$	—	$	—	$	88,530,845
Liabilities:
Written options outstanding	$	(8,461,012	)	$	—	$	—	$	—	$	—	$	(8,461,012	)
Unrealized depreciation on futures contracts *		(6,295,087	)		—		—		—		—		(6,295,087	)
Unrealized depreciation on swap agreements		(3,454,807	)		—		—		—		—		(3,454,807	)
Total	$	(18,210,906	)	$	—	$	—	$	—	$	—	$	(18,210,906	)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate			Foreign currency		Credit		Equity		Other
	contracts			contracts		contracts		contracts		contracts		Total
Net Realized Gain (Loss) on:
Investments (purchased options)	$	4,801,000		$	—	$	—	$	—	$	—	$	4,801,000
Written options		(462,000	)		—		—		—		—		(462,000	)
Futures contracts		40,311,926			—		—		—		—		40,311,926
Forward currency contracts		—			109,393		—		—		—		109,393
Swap agreements		39,903,513			—		—		—		—		39,903,513
Total	$	84,554,439		$	109,393	$	—	$	—	$	—	$	84,663,832
Change in Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	9,171,564		$	—	$	—	$	—	$	—	$	9,171,564
Written options		(6,158,550	)		—		—		—		—		(6,158,550	)
Futures contracts		14,680,964			—		—		—		—		14,680,964
Swap agreements		110,250,652			—		—		—		—		110,250,652
Total	$	127,944,630		$	—	$	—	$	—	$	—	$	127,944,630

34

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end, was as follows for the period ended August 31, 2011.

	Forward
	currency		Futures		Swap
	contracts		contracts		agreements		Options
Average amount outstanding	$	422,992	$	9,086,694,856	$	5,728,697,563	$	6,094,036,984

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares. The Manager has contractually agreed through at least June 30, 2012 to waive the Fund’s shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by a class of shares of the Fund exceeds 0.15% for Class III shares and 0.055% for Class VI shares; provided, however, that the amount of this waiver will not exceed the respective Class’s shareholder service fee.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.25% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by

35

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the Fund through its direct or indirect investment in other GMO Funds (excluding those Funds’ Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $23,112 and $8,986, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding	Indirect
shareholder service	Shareholder	Indirect Interest	Total Indirect
fees and interest expense)	Service Fees	Expense	Expenses
0.016%	0.003%	0.008%	0.027%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011, were as follows:

	Purchases		Sales
U.S. Government securities	$	102,816,406	$	—
Investments (non-U.S. Government securities)		581,288,441		207,100,500

7. Guarantees

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

36

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

8. Principal shareholders and related parties

As of August 31, 2011, 78.71% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. Two of the shareholders are other funds of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and all of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,482,957		$	23,357,595			867,372		$	13,365,511
Shares repurchased		(1,662,428	)		(26,469,348	)		(4,858,048	)		(76,089,247	)
Net increase (decrease)		(179,471	)	$	(3,111,753	)		(3,990,676	)	$	(62,723,736	)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class VI:	Shares			Amount			Shares			Amount
Shares sold		53,528,195		$	854,783,506			42,267,853		$	643,193,980
Shares repurchased		(49,435,534	)		(790,710,330	)		(10,805,287	)		(165,163,619	)
Net increase (decrease)		4,092,661		$	64,073,176			31,462,566		$	478,030,361

37

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Return		Value,
	beginning of				Sales		Dividend		of Realized		of		end of
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		period
GMO Emerging Country Debt Fund, Class IV	$	74,177,360	$	6,200,000	$	—	$	1,026,777	$	—	$	—	$	85,451,670
GMO Short-Duration Collateral Fund		1,093,999,261		—		—		5,547,728		—		315,130,215		757,789,469
GMO U.S. Treasury Fund		639,615,835		566,515,000		197,950,000		241,567		39,047		—		1,008,487,531
GMO World Opportunity Overlay Fund		539,186,004		1,000,000		—		—		—		—		545,657,755
Totals	$	2,346,978,460	$	573,715,000	$	197,950,000	$	6,816,072	$	39,047	$	315,130,215	$	2,397,386,425

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by the underlying funds will be determined through fiscal year ending February 29, 2012.

38

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one- and three-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees observed that the Fund’s purpose is to complement broader asset allocation strategies being implemented by the Manager in other asset allocation funds or accounts and noted that the Fund is not separately available. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received

39

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees noted in particular that certain underlying funds do not charge any advisory fees, and that with respect to all other underlying funds, pursuant to a contractual expense reimbursement arrangement in place with the Fund, the Manager effectively reimburses the Fund for management fees, shareholder servicing fees and most other expenses of the underlying funds that the Fund would otherwise bear as a result of its investments in those other funds. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal

40

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

41

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

42

GMO Strategic Fixed Income Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.42	%	$	1,000.00	$	1,080.60	$	2.20
2) Hypothetical		0.42	%	$	1,000.00	$	1,023.03	$	2.14
Class VI
1) Actual		0.32	%	$	1,000.00	$	1,081.30	$	1.67
2) Hypothetical		0.32	%	$	1,000.00	$	1,023.53	$	1.63

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

43

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		75.8	%
Short-Term Investments		13.0
Debt Obligations		9.1
Preferred Stocks		0.7
Options Purchased		0.1
Investment Funds		0.1
Loan Participations		0.1
Swap Agreements		0.0	Ù
Loan Assignments		0.0	Ù
Rights/Warrants		0.0	Ù
Promissory Notes		0.0	Ù
Written Options		(0.0	)Ù
Forward Currency Contracts		(0.0	)Ù
Futures Contracts		(0.2	)
Reverse Repurchase Agreements		(0.3	)
Other		1.6
		100.0	%

Country / Region Summary**	% of Investments
United States		43.6	%
Japan		14.0
United Kingdom		9.6
Australia		6.1
Emerging***		5.8
France		4.2
Germany		3.5
Switzerland		3.0
Italy		1.7
Netherlands		1.2
Canada		1.0
Spain		1.0
Hong Kong		0.9
New Zealand		0.9
Singapore		0.9
Sweden		0.9
Belgium		0.4
Denmark		0.4
Austria		0.2

1

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Country / Region Summary**	% of Investments
Finland		0.2	%
Ireland		0.2
Greece		0.1
Israel		0.1
Norway		0.1
Portugal		0.0	Ù
		100.0	%

Ù	Rounds to 0.00%.
*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”) except for GMO Alpha Only Fund.
**	The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds except for GMO Alpha Only Fund and GMO Special Situations Fund. 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.
***	The “Emerging” exposure is comprised of: Argentina, Brazil, Chile, China, Colombia, Congo, Czech Republic, Egypt, Hungary, India, Indonesia Malaysia, Mexico, Philippines, Poland, Russia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand, Turkey and Venezuela.

2

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 99.2%
		Affiliated Issuers — 99.2%
	2,919,863	GMO Alpha Only Fund, Class IV		72,266,610
	6,170,977	GMO Domestic Bond Fund, Class VI		20,672,774
	1,270,045	GMO Emerging Country Debt Fund, Class IV		12,319,438
	6,266,954	GMO Emerging Markets Fund, Class VI		80,593,024
	5,675,086	GMO Flexible Equities Fund, Class VI		101,697,549
	12,648,481	GMO International Growth Equity Fund, Class IV		284,337,849
	13,494,106	GMO International Intrinsic Value Fund, Class IV		275,414,708
	31,904,525	GMO Quality Fund, Class VI		669,037,885
	3,689,954	GMO Special Situations Fund, Class VI		99,296,649
	11,517,493	GMO Strategic Fixed Income Fund, Class VI		191,535,904
	4,640,884	GMO U.S. Core Equity Fund, Class VI		54,112,711
	384,516	GMO World Opportunity Overlay Fund		8,809,267
		TOTAL MUTUAL FUNDS (COST $1,705,577,137)		1,870,094,368
		DEBT OBLIGATIONS — 0.8%
		Asset-Backed Securities — 0.8%
		Auto Financing — 0.1%
	576,763	Capital Auto Receivable Asset Trust, Series 08-1, Class A4B, 1 mo. LIBOR + 1.35%, 1.56%, due 07/15/14		579,197
	388,242	Daimler Chrysler Auto Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 1.85%, 2.06%, due 11/10/14		389,985
		Total Auto Financing		969,182
		Business Loans — 0.1%
	842,831	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.61%, due 01/25/36		589,982
	302,532	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.50%, due 05/15/32		278,329
	551,068	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.47%, due 09/25/30		446,365
		Total Business Loans		1,314,676

See accompanying notes to the financial statements. 3

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		CMBS — 0.1%
	600,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.34%, due 12/15/20		534,000
	167,827	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		167,827
	600,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .57%, 1.32%, due 03/06/20		591,000
	89,202	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-LDP7, Class A2, 6.06%, due 04/15/45		89,282
	275,692	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.82%, due 05/12/39		284,928
	247,686	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.30%, due 09/15/21		235,302
		Total CMBS		1,902,339
		Corporate Collateralized Debt Obligations — 0.1%
	1,100,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.54%, due 06/20/13		989,560
		Credit Cards — 0.1%
	800,000	Cabela’s Master Credit Card Trust, Series 08-4A, Class A2, 144A, 1 mo. LIBOR + 3.00%, 3.21%, due 09/15/14		800,864
	700,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.46%, due 09/15/17		701,589
		Total Credit Cards		1,502,453
		Insured Auto Financing — 0.1%
	543,190	AmeriCredit Automobile Receivables Trust, Series 07-DF, Class A4B, FSA, 1 mo. LIBOR + .80%, 1.01%, due 06/06/14		542,757
	609,905	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.41%, due 07/14/14		614,046
		Total Insured Auto Financing		1,156,803
		Insured Other — 0.0%
	900,000	Dominos Pizza Master Issuer LLC, Series 07-1, Class A2, 144A, MBIA, 5.26%, due 04/25/37		904,500

4 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, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Insured Residential Asset-Backed Securities (United States) u — 0.0%
	118,033	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.44%, due 11/25/35		84,984
		Insured Residential Mortgage-Backed Securities (United States) — 0.0%
	430,971	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.36%, due 06/15/37		270,564
		Insured Time Share — 0.0%
	196,565	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.21%, due 09/20/19		192,839
		Residential Asset-Backed Securities (United States) u — 0.2%
	423,485	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.32%, due 06/25/36		52,936
	298,422	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.29%, due 11/25/36		107,432
	192,920	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.41%, due 03/25/36		60,287
	154,908	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.33%, due 09/25/36		48,409
	175,839	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.44%, due 05/25/37		136,697
	595,714	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.52%, due 05/28/39		192,118
	1,200,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.42%, due 02/25/37		759,000
	19,184	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.76%, due 04/25/33		16,114
	1,600,000	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.36%, due 02/25/37		1,252,000
	1,015,442	J.P. Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.34%, due 12/25/36		361,700
	323,640	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.37%, due 03/25/36		148,874

See accompanying notes to the financial statements. 5

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) u — continued
	293,562	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.32%, due 04/25/37		253,931
	314,399	Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.47%, due 01/25/36		267,239
		Total Residential Asset-Backed Securities (United States)		3,656,737
		Residential Mortgage-Backed Securities (Australian) — 0.0%
	124,402	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.65%, due 12/08/36		113,206
	103,330	Superannuation Members Home Loans Global Fund, Series 7, Class A1, 3 mo. LIBOR + .14%, 0.53%, due 03/09/36		100,522
	304,315	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 0.35%, due 05/21/38		294,352
		Total Residential Mortgage-Backed Securities (Australian)		508,080
		Residential Mortgage-Backed Securities (European) — 0.0%
	442,413	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.35%, due 01/13/39		407,020
	469,947	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.71%, due 05/15/34		410,123
		Total Residential Mortgage-Backed Securities (European)		817,143
		Student Loans — 0.0%
	26,898	National Collegiate Student Loan Trust, Series 06-1, Class A2, 1 mo. LIBOR + .14%, 0.36%, due 08/25/23		26,522
	600,000	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.33%, due 12/23/19		590,616
		Total Student Loans		617,138
		Total Asset-Backed Securities		14,886,998
		Corporate Debt — 0.0%
	147,000	Health Care Property Investors, Inc., Series G, MTN, 5.63%, due 02/28/13		153,704
		U.S. Government Agency — 0.0%
	175,000	Agency for International Development Floater (Support of Morocco), 6 mo. U.S. Treasury Bill + .45%, 0.50%, due 11/15/14 (a)		171,819

6 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, 2011 (Unaudited)

Par Value ($) /
Shares		Description	Value ($)
		U.S. Government Agency — continued
	33,334	Agency for International Development Floater (Support of Zimbabwe), 3 mo. U.S. Treasury Bill x 115%, 0.05%, due 01/01/12 (a)		33,160
		Total U.S. Government Agency		204,979
		TOTAL DEBT OBLIGATIONS (COST $14,207,686)		15,245,681
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	34,190	State Street Institutional U.S. Government Money Market Fund-Institutional Class, 0.00% (b)		34,190
		TOTAL SHORT-TERM INVESTMENTS (COST $34,190)		34,190
		TOTAL INVESTMENTS — 100.0% (Cost $1,719,819,013)		1,885,374,239
		Other Assets and Liabilities (net) — (0.0%)		(107,901	)
		TOTAL NET ASSETS — 100.0%	$	1,885,266,338

Notes to Schedule of Investments:

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

CMBS - Commercial Mortgage Backed Security

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

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

LIBOR - London Interbank Offered Rate

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

MTN - Medium Term Note

The rates shown on variable rate notes are the current interest rates at August 31, 2011, which are subject to change based on the terms of the security.

u	These securities are primarily backed by subprime mortgages.
(a)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(b)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

See accompanying notes to the financial statements. 7

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in affiliated issuers, at value (cost $1,705,577,137) (Notes 2 and 10)	$	1,870,094,368
Investments in unaffiliated issuers, at value (cost $14,241,876) (Note 2)		15,279,871
Receivable for Fund shares sold		52,807,039
Interest receivable		14,943
Receivable for expenses reimbursed by Manager (Note 5)		16,616
Total assets		1,938,212,837
Liabilities:
Payable for investments purchased		52,806,055
Payable to affiliate for (Note 5):
Trustees and Trust Officers or agents unaffiliated with the Manager		4,393
Accrued expenses		136,051
Total liabilities		52,946,499
Net assets	$	1,885,266,338
Net assets consist of:
Paid-in capital	$	1,853,419,334
Accumulated undistributed net investment income		15,060,259
Accumulated net realized loss		(148,768,481	)
Net unrealized appreciation		165,555,226
	$	1,885,266,338
Net assets attributable to:
Class III shares	$	1,885,266,338
Shares outstanding:
Class III		91,921,513
Net asset value per share:
Class III	$	20.51

8 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	15,094,504
Interest		778,570
Dividends from unaffiliated issuers		4
Total investment income		15,873,078
Expenses:
Audit and tax fees		32,568
Legal fees		30,268
Custodian, fund accounting agent and transfer agent fees		26,404
Trustees fees and related expenses (Note 5)		15,839
Registration fees		1,104
Miscellaneous		16,117
Total expenses		122,300
Fees and expenses reimbursed by Manager (Note 5)		(100,464	)
Expense reductions (Note 2)		(330	)
Net expenses		21,506
Net investment income (loss)		15,851,572
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		441,241
Investments in affiliated issuers		47,003,230
Realized gains distributions from affiliated issuers (Note 10)		6,315,402
Foreign currency, forward contracts and foreign currency related transactions		(2,501	)
Net realized gain (loss)		53,757,372
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,464,402	)
Investments in affiliated issuers		(94,861,038	)
Net unrealized gain (loss)		(96,325,440	)
Net realized and unrealized gain (loss)		(42,568,068	)
Net increase (decrease) in net assets resulting from operations	$	(26,716,496	)

See accompanying notes to the financial statements. 9

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	15,851,572		$	34,181,544
Net realized gain (loss)		53,757,372			(95,783,947	)
Change in net unrealized appreciation (depreciation)		(96,325,440	)		332,543,959
Net increase (decrease) in net assets from operations		(26,716,496	)		270,941,556
Distributions to shareholders from:
Net investment income
Class III		—			(37,205,811	)
Net share transactions (Note 9):
Class III		159,815,044			(332,781,041	)
Total increase (decrease) in net assets		133,098,548			(99,045,296	)
Net assets:
Beginning of period		1,752,167,790			1,851,213,086
End of period (including accumulated undistributed net investment income of $15,060,259 and distributions in excess of net investment income of $791,313, respectively)	$	1,885,266,338		$	1,752,167,790

10 See accompanying notes to the financial statements.

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	20.78		$	18.54		$	14.37		$	22.70		$	23.71		$	22.37
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.18			0.33			0.54			1.57			0.99			0.69
Net realized and unrealized gain (loss)		(0.45	)		2.26			4.26			(7.23	)		(0.15	)		2.17
Total from investment operations		(0.27	)		2.59			4.80			(5.66	)		0.84			2.86
Less distributions to shareholders:
From net investment income		—			(0.35	)		(0.63	)		(1.61	)		(1.02	)		(0.90	)
From net realized gains		—			—			—			(1.06	)		(0.83	)		(0.62	)
Total distributions		—			(0.35	)		(0.63	)		(2.67	)		(1.85	)		(1.52	)
Net asset value, end of period	$	20.51		$	20.78		$	18.54		$	14.37		$	22.70		$	23.71
Total Return(b)		(1.30	)%**		14.02	%		33.44	%		(26.75	)%		3.15	%		12.98	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,885,266		$	1,752,168		$	1,851,213		$	1,107,258		$	1,100,116		$	529,374
Net expenses to average daily net assets(c)(d)		0.00	%(e)*		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%(e)		0.00	%
Net investment income (loss) to average daily net assets(a)		1.75	%*		1.73	%		3.04	%		8.05	%		4.05	%		2.98	%
Portfolio turnover rate		14	%**		36	%		14	%		34	%		47	%		23	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.01	%		0.02	%		0.01	%		0.01	%		0.02	%
Redemption fees consisted of the following per share amounts:†		—			—		$	0.00	(f)	$	0.01		$	0.01		$	0.00	(f)

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(b)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	Net expenses to average daily net assets were less than 0.01%.
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 11

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Strategic Opportunities Allocation Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return greater than that of its benchmark, the GMO Strategic Opportunities Allocation Index. The GMO Strategic Opportunities Allocation Index is an internally maintained composite benchmark computed by the Manager for the Fund consisting of (i) the MSCI World Index and (ii) the Barclays Capital U.S. Aggregate Index, in the following proportions: 75% MSCI World Index and 25% Barclays Capital U.S. Aggregate Index. The Fund is a fund of funds and invests primarily in shares of other GMO Funds, which may include the GMO International Equity Funds, the GMO U.S. Equity Funds, the GMO Fixed Income Funds, GMO Alpha Only Fund, GMO Alternative Asset Opportunity Fund, GMO Debt Opportunities Fund, GMO High Quality Short-Duration Bond Fund, GMO Special Situations Fund and GMO World Opportunity Overlay Fund (collectively the “underlying funds”). In addition, the Fund may hold securities (particularly asset-backed securities) directly or through one or more subsidiaries or other entities. The Fund may have exposure to foreign and U.S. equity investments (which may include emerging country equities, both growth and value style equities and equities of any market capitalization), U.S. and foreign fixed income securities (including asset-backed securities and other fixed income securities of any credit quality and having any maturity or duration), the investment returns of commodities and, from time to time, other alternative asset classes.

The Manager uses multi-year forecasts of relative value and risk among asset classes (e.g., foreign equity, U.S. equity, emerging country equity, emerging country debt, U.S. fixed income, foreign fixed income and commodities) to select the underlying funds in which the Fund invests and to decide how much to invest in each. The Manager changes the Fund’s holdings of underlying funds in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The Fund may invest in unaffiliated money market funds. Additionally, the Fund may (but is not required to) invest in GMO U.S. Treasury Fund. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

12

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The financial statements of the underlying funds in which the Fund invests should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect) or by visiting GMO’s website at www.gmo.com. As of August 31, 2011, shares of GMO Alternative Asset Opportunity Fund, GMO Special Situations Fund, and GMO World Opportunity Overlay Fund were not publicly available for direct purchase.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other investment funds are generally valued at their net asset value. Investments held by the underlying funds are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly and indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.4% of net assets. The Fund and the underlying funds classify such securities (as defined below) as Level 3.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based

13

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund, either directly or through investments in the underlying funds, that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below or in the disclosures in the underlying funds.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		41.3	%
Futures Contracts		(0.3	)%
Swap Agreements		0.1	%

Typically the Fund and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices are available for securities held by the Fund and the underlying funds, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund and the underlying funds. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund and the underlying funds. As of August 31, 2011, the total value of securities held directly and indirectly for which no alternative pricing source was available represented 0.8% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately

14

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

(i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: The Fund valued certain debt securities using quoted prices. The Fund valued certain other debt securities by using an estimated specified spread above the LIBOR rate.

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds	$	1,870,094,368	$	—	$	—	$	1,870,094,368
Debt Obligations
Asset-Backed Securities		—		2,416,439		12,470,559		14,886,998
Corporate Debt		—		153,704		—		153,704
U.S. Government Agency		—		—		204,979		204,979
TOTAL DEBT OBLIGATIONS		—		2,570,143		12,675,538		15,245,681
Short-Term Investments		34,190		—		—		34,190
Total Investments		1,870,128,558		2,570,143		12,675,538		1,885,374,239
Total	$	1,870,128,558	$	2,570,143	$	12,675,538	$	1,885,374,239

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s investments (both direct and indirect) in securities and derivative financial instruments using Level 3 inputs were 4.9% and (0.1)% of total net assets, respectively.

15

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

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

																					Net Change in
																					Unrealized
																					Appreciation
																					(Depreciation)
																					from
																					Investments
	Balances											Change in							Balances		Still Held
	as of							Accrued		Total		Unrealized			Transfers		Transfers		as of		as of
	February 28,							Discounts/		Realized		Appreciation			into		out of		August 31,		August 31,
	2011		Purchases		Sales			Premiums		Gain/(Loss)		(Depreciation)			level 3*		level 3*		2011		2011
Debt Obligations
Asset-Backed Securities	$	16,149,456	$	—	$	(3,327,951	)	$	204,790	$	565,924	$	(1,121,660	)	$	—	$	—	$	12,470,559	$	(858,061	)
U.S. Government Agency		262,453		—		(58,105	)		151		890		(410	)		—		—		204,979		(410	)
Total	$	16,411,909	$	—	$	(3,386,056	)	$	204,941	$	566,814	$	(1,122,070	)	$	—	$	—	$	12,675,538	$	(858,471	)

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are

16

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital loss of $53,973,722 and post-October currency loss of $789,455.

As of February 8, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards, post-October capital and currency losses and future realized losses, if any, subsequent to February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity. The Fund’s capital loss carryforwards expire as follows:

February 28, 2018	$	(49,481,317	)
February 28, 2019		(25,410,999	)
Total	$	(74,892,316	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	1,792,465,998	$	94,291,460	$	(1,383,219	)	$	92,908,241

17

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

18

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund’s investments in the underlying funds. Some of the underlying funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market value of a particular security held by those Funds may affect their performance more than if they were diversified. The principal risks of investing in the Fund are summarized below, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. An underlying fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

19

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Risk — Fixed Income Securities — Typically, the market value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund or an underlying fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

20

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Commodities Risk — To the extent an underlying fund has exposure to global commodity markets, the value of its shares is affected by factors particular to the commodity markets and may fluctuate more than the value of shares of a fund with a broader range of investments.

• Currency Risk — Fluctuations in exchange rates can adversely affect the market value of foreign currency holdings and investments denominated in foreign currencies, or that the U.S. dollar will decline in value relative to the foreign currency being hedged.

• Leveraging Risk — The use of reverse repurchase agreements and other derivatives and securities lending may cause the Fund’s portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Real Estate Risk — To the extent an underlying fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.

• Short Sales Risk — The Fund runs the risk that an underlying fund’s loss on a short sale of securities that the underlying fund does not own is unlimited.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

21

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

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

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in

22

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments.

5. Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not charge the Fund a management fee or shareholder service fee, but it receives management and 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 the Manager’s asset allocation decisions.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This contractual expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011

23

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

was $15,839 and $5,997, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net
Expenses
(excluding
shareholder service	Indirect
fees and interest	Shareholder	Indirect Interest	Total Indirect
expense)	Service Fees	Expense	Expenses
0.412%	0.068%	0.002%	0.482%

6. Purchases and sales of securities

For the period ended August 31, 2011, cost of purchases and proceeds from sales of securities, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	25,000
Investments (non-U.S. Government securities)		447,547,687		259,102,791

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 28.07% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.02% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 99.97% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

24

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		8,316,365		$	175,319,358			22,916,081		$	434,251,778
Shares issued to shareholders in reinvestment of distributions		—			—			1,812,018			36,365,288
Shares repurchased		(732,935	)		(15,504,314	)		(40,255,182	)		(803,398,107	)
Net increase (decrease)		7,583,430		$	159,815,044			(15,527,083	)	$	(332,781,041	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Return		Value,
	beginning of				Sales		Dividend		of Realized		of		end of
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		period
GMO Alpha Only Fund, Class IV	$	76,562,509	$	52,926,307	$	62,199,634	$	—	$	—	$	—	$	72,266,610
GMO Asset Allocation Bond Fund, Class VI		19,060,719		10,366,213		28,721,459		198,912		1,022,195		—		—
GMO Domestic Bond Fund, Class VI		28,263,076		—		—		158,441		—		7,043,436		20,672,774
GMO Emerging Country Debt Fund, Class IV		10,590,652		1,014,705		—		148,048		—		—		12,319,438
GMO Emerging Markets Fund, Class VI		71,011,675		18,829,139		1,276,370		—		5,293,207		—		80,593,024
GMO Flexible Equities Fund, Class VI		30,813,653		73,862,077		—		—		—		—		101,697,549
GMO International Growth Equity Fund, Class IV		320,270,734		43,379,688		63,458,153		1,984,233		—		—		284,337,849
GMO International Intrinsic Value Fund, Class IV		320,384,848		43,180,684		50,971,694		5,524,987		—		—		275,414,708

25

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Value,								Distributions		Return		Value,
	beginning of				Sales		Dividend		of Realized		of		end of
Affiliate	period		Purchases		Proceeds		Income*		Gains*		Capital*		period
GMO Quality Fund, Class VI	$	579,206,834	$	134,019,362	$	46,980,591	$	6,502,546	$	—	$	—	$	669,037,885
GMO Special Situations Fund, Class VI		90,321,776		11,460,543		—		—		—		—		99,296,649
GMO Strategic Fixed Income Fund, Class VI		123,130,167		55,670,834		—		—		—		—		191,535,904
GMO U.S. Core Equity Fund, Class VI		52,712,842		2,838,135		—		577,337		—		—		54,112,711
GMO World Opportunity Overlay Fund		8,720,829		—		—		—		—		—		8,809,267
Totals	$	1,731,050,314	$	447,547,687	$	253,607,901	$	15,094,504	$	6,315,402	$	7,043,436	$	1,870,094,368

            * The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2011 through August 31, 2011 for tax purposes. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 29, 2012.

26

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three- and five-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing agreement, but that the Fund indirectly

27

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

bears management and shareholder servicing fees paid to the Manager by the other funds of the Trust in which the Fund invests. The Trustees also considered other so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees noted that they had approved renewal of the Manager’s management agreements with the other funds of the Trust in which the Fund may invest and had concluded that the advisory fees charged to those funds were reasonable, after considering, among other things: possible economies of scale to the Manager in connection with its management of other funds; the Manager’s profitability with respect to those other funds and the Trust as a whole; and information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives to those funds in which the Fund invests.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant

28

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

29

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including indirect management fees, indirect shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

30

GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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 premiums and redemption fees. Therefore, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.48	%	$	1,000.00	$	987.00	$	2.40
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.72	$	2.44

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

31

GMO Taiwan Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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 private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained by calling 1-617-346-7646 (collect).

GMO Taiwan Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.3	%
Investment Funds		2.5
Mutual Funds		1.1
Short-Term Investments		0.8
Other		1.3
		100.0	%

Industry Summary	% of Equity Investments*
Computer Hardware		20.0	%
Semiconductors & Semiconductor Equipment		19.6
Diversified Telecommunication Services		13.3
Chemicals		9.5
Commerical Banks		7.7
Computers & Peripherals		7.5
Wireless Telecommunication Services		5.2
Electronic Equipment, Instruments & Components		5.0
Metals & Mining		5.0
Construction Materials		2.0
Machinery		1.5
Diversified Financial Services		1.4
Communications Equipment		0.7
Industrial		0.7
Real Estate		0.5
Oil, Gas & Consumable Fuels		0.4
Building Products		0.0	Ù
		100.0	%

*	Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.
Ù	Rounds to 0.0%.

1

GMO Taiwan Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 94.3%
		Taiwan — 94.3%
	411,400	Advantech Co Ltd		1,191,979
	776,220	Asia Cement Corp		1,032,815
	768,923	Asustek Computer Inc		6,539,055
	909,448	Catcher Technology Co Ltd		7,193,656
	1,266,000	China Life Insurance Co Ltd.		1,626,596
	1,640,650	China Petrochemical Development Corp		2,422,144
	5,316,938	China Steel Corp		5,799,779
	3,760,996	Chinatrust Financial Holding Co Ltd		3,090,610
	3,809,812	Chunghwa Telecom Co Ltd		13,156,003
	30,700	Chunghwa Telecom Co Ltd ADR		1,067,439
	5,894,886	Compal Electronics Inc		6,369,300
	7,952	Compeq Manufacturing Co Ltd *		3,437
	200,000	Dynapack International Technology Corp		760,666
	2,164,467	Far Eastone Telecommunications Co Ltd		3,468,045
	5,194	First Financial Holding Co Ltd		4,019
	306,000	Formosa Chemicals & Fibre Co		936,237
	173,605	Formosa Petrochemical Corp		507,902
	197,400	Foxconn Technology Co Ltd		704,771
	284,655	Genesis Photonics Inc *		518,034
	515,531	Gintech Energy Corp		770,113
	944,000	Grand Pacific Petrochemical Corp		562,703
	281,000	Highwealth Construction Corp		543,345
	683,936	Hon Hai Precision Industry Co Ltd		1,742,906
	30,228	HTC Corp		796,512
	279,000	Kinsus Interconnect Technology Corp		1,016,805
	37,000	Largan Precision Co Ltd		1,065,190
	1,301,852	Lite-On Technology Corp		1,419,886
	3,434,000	Macronix International Co Ltd		1,455,386
	4,395,180	Mega Financial Holding Co Ltd		3,911,956
	2,479,180	Nan Ya Plastics Corp		5,944,339
	371,000	Neo Solar Power Corp		379,733
	462,995	Novatek Microelectronics Corp Ltd		1,224,919
	683,888	Pegatron Corp *		666,846

2 See accompanying notes to the financial statements.

GMO Taiwan Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	695,425	Powertech Technology Inc		1,685,463
	2,912,656	Quanta Computer Inc		5,947,323
	692,080	Radiant Opto-Electronics Corp		2,297,291
	4,213,226	Taishin Financial Holding Co Ltd		1,917,855
	967,000	Taiwan Cement Corp		1,298,783
	9,350	Taiwan Glass Industrial Corp		12,182
	926,065	Taiwan Mobile Co Ltd		2,515,190
	4,460,190	Taiwan Semiconductor Manufacturing Co Ltd		10,696,331
	122,710	TPK Holding Co Ltd *		3,004,541
	453,400	TSRC Corp		1,154,511
	6,528,000	United Microelectronics Corp		2,562,338
	58,500	United Microelectronics Corp Sponsored ADR		116,415
	2,347,059	Wistron Corp		2,950,728
	2,968,195	Ya Hsin Industrial Co Ltd * (a) (b)		—
	959,152	Yungtay Engineering Co Ltd		1,713,934
		Total Taiwan		115,766,011
		TOTAL COMMON STOCKS (COST $111,706,042)		115,766,011
		INVESTMENT FUNDS — 2.5%
		United States — 2.5%
	224,811	iShares MSCI Taiwan Index Fund (c)		3,088,903
		TOTAL INVESTMENT FUNDS (COST $2,921,858)		3,088,903
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	51,980	GMO U.S. Treasury Fund		1,300,026
		TOTAL MUTUAL FUNDS (COST $1,300,026)		1,300,026

See accompanying notes to the financial statements. 3

GMO Taiwan Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.8%
		Time Deposits — 0.8%
USD	1,000,000	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		1,000,000
USD	36,589	JPMorgan Chase (New York) Time Deposit, 0.03%, due 09/01/11		36,589
		Total Time Deposits		1,036,589
		TOTAL SHORT-TERM INVESTMENTS (COST $1,036,589)		1,036,589
		TOTAL INVESTMENTS — 98.7% (Cost $116,964,515)		121,191,529
		Other Assets and Liabilities (net) — 1.3%		1,564,766
		TOTAL NET ASSETS — 100.0%	$	122,756,295

Notes to Schedule of Investments:

ADR - American Depositary Receipt

MSCI - Morgan Stanley Capital International

*	Non-income producing security.
(a)	Bankrupt issuer.
(b)	Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).
(c)	Represents an investment to equitize cash in the iShares® MSCI Taiwan Index Fund, which is a separate investment portfolio of iShares, Inc., a registered investment company. The iShares® MSCI Taiwan Index Fund prospectus states that the fund invests in the Taiwanese market and seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Taiwan Index. iShares® is a registered trademark of BlackRock. Neither BlackRock nor the iShares® Funds make any representations regarding the advisability of investing in the iShares® MSCI Taiwan Index Fund.

Currency Abbreviations:

USD - United States Dollar

4 See accompanying notes to the financial statements.

GMO Taiwan Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $115,664,489) (Note 2)	$	119,891,503
Investments in affiliated issuers, at value (cost $1,300,026) (Notes 2 and 10)		1,300,026
Foreign currency, at value (cost $1,071,116) (Note 2)		1,071,702
Dividends receivable		1,194,075
Receivable for expenses reimbursed by Manager (Note 5)		1,331
Miscellaneous receivable		21
Total assets		123,458,658
Liabilities:
Payable for investments purchased		430,039
Payable to affiliate for (Note 5):
Management fee		83,084
Shareholder service fee		15,386
Trustees and Trust Officers or agents unaffiliated with the Manager		89
Accrued expenses		173,765
Total liabilities		702,363
Net assets	$	122,756,295
Net assets consist of:
Paid-in capital	$	114,455,598
Accumulated undistributed net investment income		3,852,086
Accumulated net realized gain		225,752
Net unrealized appreciation		4,222,859
	$	122,756,295
Net assets attributable to:
Class III shares	$	122,756,295
Shares outstanding:
Class III		5,080,326
Net asset value per share:
Class III	$	24.16

See accompanying notes to the financial statements. 5

GMO Taiwan Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends (net of withholding taxes of $1,237,233)	$	4,738,951
Interest		621
Dividends from affiliated issuers (Note 10)		93
Total investment income		4,739,665
Expenses:
Management fee (Note 5)		532,788
Shareholder service fee – Class III (Note 5)		98,665
Custodian and fund accounting agent fees		146,832
Audit and tax fees		42,320
Transfer agent fees		13,064
Legal fees		2,300
Registration fees		1,032
Trustees fees and related expenses (Note 5)		985
Miscellaneous		8,110
Total expenses		846,096
Net investment income (loss)		3,893,569
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		12,758,005
Realized gains distributions from affiliated issuers (Note 10)		400
Foreign currency, forward contracts and foreign currency related transactions		(192,627	)
Net realized gain (loss)		12,565,778
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(15,206,376	)
Foreign currency, forward contracts and foreign currency related transactions		(4,404	)
Net unrealized gain (loss)		(15,210,780	)
Net realized and unrealized gain (loss)		(2,645,002	)
Net increase (decrease) in net assets resulting from operations	$	1,248,567

6 See accompanying notes to the financial statements.

GMO Taiwan Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,893,569		$	679,815
Net realized gain (loss)		12,565,778			18,674,667
Change in net unrealized appreciation (depreciation)		(15,210,780	)		11,331,871
Net increase (decrease) in net assets from operations		1,248,567			30,686,353
Distributions to shareholders from:
Net investment income
Class III		—			(1,696,633	)
Net share transactions (Note 9):
Class III		(25,511,875	)		26,324,872
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		162,375			367,043
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(25,349,500	)		26,691,915
Total increase (decrease) in net assets		(24,100,933	)		55,681,635
Net assets:
Beginning of period		146,857,228			91,175,593
End of period (including accumulated undistributed net investment income of $3,852,086 and distributions in excess of net investment income of $41,483, respectively)	$	122,756,295		$	146,857,228

See accompanying notes to the financial statements. 7

GMO Taiwan Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	23.85		$	17.75		$	11.06		$	22.42		$	30.98		$	28.34
Income (loss) from investment operations:
Net investment income (loss)†		0.74			0.16			0.25			0.59			0.61			0.46
Net realized and unrealized gain (loss)		(0.43	)		6.30			6.89	(a)		(10.80	)		1.50			4.32
Total from investment operations		0.31			6.46			7.14			(10.21	)		2.11			4.78
Less distributions to shareholders:
From net investment income		—			(0.36	)		(0.45	)		(0.30	)		(0.85	)		(0.39	)
From net realized gains		—			—			—			(0.85	)		(9.82	)		(1.75	)
Total distributions		—			(0.36	)		(0.45	)		(1.15	)		(10.67	)		(2.14	)
Net asset value, end of period	$	24.16		$	23.85		$	17.75		$	11.06		$	22.42		$	30.98
Total Return(b)		1.30	%**		36.71	%		64.80	%		(47.14	)%		6.97	%(c)		17.12	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	122,756		$	146,857		$	91,176		$	100,176		$	220,359		$	316,887
Net expenses to average daily net assets		1.29	%*		1.33	%		1.35	%(d)(e)		1.32	%(d)		1.29	%(d)		1.26	%
Net investment income (loss) to average daily net assets		5.92	%*		0.78	%		1.55	%		3.42	%		1.98	%		1.56	%
Portfolio turnover rate		44	%**		129	%		106	%		88	%		94	%		41	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.03		$	0.09		$	0.06		$	0.03		$	0.06		$	0.03

(a)	The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain/loss for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.
(b)	Calculation excludes purchase premiums and redemption fees which are borne by the shareholder and assumes the effect of reinvested distributions.
(c)	The effect of losses in the amount of $56,687, resulting from compliance violations and the Manager’s reimbursement of such losses, had no effect on the total return.
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
(e)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

8 See accompanying notes to the financial statements.

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Taiwan Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return in excess of that of its benchmark, the MSCI Taiwan Index. The Fund typically makes equity investments directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in companies doing business in, or otherwise tied economically to, Taiwan. The Fund may invest in companies of any market capitalization. The term “equity investments” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to Taiwan.

The Manager uses proprietary quantitative techniques and fundamental analysis to evaluate and select sectors and equity investments. In evaluating and selecting investments, the Manager may consider many factors, including the Manager’s assessment of a sector’s fundamentals as well as a company’s positioning relative to its competitors.

The Fund may invest a significant portion of its assets in securities of issuers in industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services).

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives and exchange-traded funds (“ETFs”). The Manager also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include options, futures, warrants, swap contracts and reverse repurchase agreements. The Fund’s foreign currency exposure may differ from the currency exposure represented by its equity investments. In addition, the Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark. In addition, the Fund may lend its portfolio securities.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

9

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held directly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.0% of net assets. The Fund classifies such securities (as defined below) as Level 3. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of the closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to

10

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the time of closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		93.3	%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: The Fund deemed certain bankrupt securities to be worthless.

11

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)			Total
Common Stocks
Taiwan	$	1,183,854	$	114,582,157	$	0	*	$	115,766,011
TOTAL COMMON STOCKS		1,183,854		114,582,157		0			115,766,011
Investment Funds
United States		3,088,903		—		—			3,088,903
TOTAL INVESTMENT FUNDS		3,088,903		—		—			3,088,903
Mutual Funds
United States		1,300,026		—		—			1,300,026
TOTAL MUTUAL FUNDS		1,300,026		—		—			1,300,026
Short-Term Investments		1,036,589		—		—			1,036,589
Total Investments		6,609,372		114,582,157		0			121,191,529
Total	$	6,609,372	$	114,582,157	$	0		$	121,191,529

            * Represents the interest in securities that have no value at August 31, 2011.

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net value of the Fund’s direct investments in securities using Level 3 inputs was 0.0% of total net assets.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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

12

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated on the Statement 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.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on Taiwan-source interest and dividend income are withheld in accordance with applicable Taiwanese law.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

13

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October currency losses of $41,483.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(11,177,352	)
Total	$	(11,177,352	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	117,747,332	$	13,439,961	$	(9,995,764	)	$	3,444,197

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

14

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis. Taiwanese companies typically declare dividends in the third calendar quarter of each year.

Dividend and interest income generated in Taiwan is subject to a 20% withholding tax. Stock dividends received (except those which have resulted from capitalization of capital surplus) are taxable at 20% of the par value of the stock dividends received.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases of Fund shares was 0.15% of the amount invested and the fee on cash redemptions was 0.45% of the amount redeemed. Purchase premiums and redemption fees are paid to and retained by the Fund to help offset non-de minimis 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) as a result of the purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee or modify or eliminate an existing fee at any time.

15

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S.

16

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries. Certain characteristics of Taiwan’s economy and geographic location also subject the Fund to risks. For example, Taiwan is a small island state with few raw material resources and limited land area and thus it relies heavily on imports for its commodity needs. Any fluctuations or shortages in the commodity markets could have a negative impact on the Taiwanese economy. Also, rising labor costs and increasing environmental consciousness have led some labor-intensive industries to relocate to countries with cheaper work forces, and continued labor outsourcing may adversely affect the Taiwanese economy. Taiwan’s economy also is intricately linked with economies of other Asian countries, which, like emerging market economies, often experience over-extensions of credit, frequent and pronounced currency fluctuations, devaluations and restrictions, rising unemployment and fluctuations in inflation. Currency devaluations in any one country can have a significant effect on the entire region. Political and social unrest in Asian countries could cause further economic and market uncertainty in Taiwan. In particular, the Taiwanese economy is dependent on the economies of Japan and China, and also the United States, and a reduction in purchases by any of them of Taiwanese products and services or negative changes in their economies would likely have an adverse impact on the Taiwanese economy. Taiwan’s geographic proximity to the People’s Republic of China and Taiwan’s history of political contention with China have resulted in ongoing tensions with China, including the continual risk of war with China. These tensions may materially affect the Taiwanese economy and securities markets. All of these risks could reduce the value of an investment in Taiwan Fund.

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

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments tied economically to Taiwan, creates additional risk.

17

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

18

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The 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 the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of

19

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may

20

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures

21

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. The Fund had no futures contracts outstanding at the end of the period.

Options

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

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

22

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic

23

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

24

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.81% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for an amount equal to the fees and expenses incurred indirectly by the Fund through its investment in other GMO Funds (excluded those Funds’ Excluded Fund Fees and Expenses). “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. This expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $985 and $497, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

25

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder	Indirect Shareholder
service fees)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $57,415,357 and $76,175,882, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, all of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, none of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and all of the Fund’s shares were held by accounts for which the Manager had investment discretion.

26

GMO Taiwan Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		302,289		$	7,925,578			3,812,495		$	79,643,637
Shares issued to shareholders in reinvestment of distributions		—			—			81,938			1,696,633
Shares repurchased		(1,379,400	)		(33,437,453	)		(2,872,301	)		(55,015,398	)
Purchase premiums		—			11,906			—			119,645
Redemption fees		—			150,469			—			247,398
Net increase (decrease)		(1,077,111	)	$	(25,349,500	)		1,022,132		$	26,691,915

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	—	$	5,600,086	$	4,300,461	$	93	$	400	$	1,300,026
Totals	$	—	$	5,600,086	$	4,300,461	$	93	$	400	$	1,300,026

27

GMO Taiwan Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five- and seven- year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a

28

GMO Taiwan Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

29

GMO Taiwan Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

30

GMO Taiwan Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

This example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, March 1, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

31

GMO Taiwan Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		1.29	%	$	1,000.00	$	1,013.00	$	6.53
2) Hypothetical		1.29	%	$	1,000.00	$	1,018.65	$	6.55

            * Expenses are calculated using the Class’s annualized net expense ratio for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

32

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.6	%
Short-Term Investments		2.2
Preferred Stocks		1.4
Mutual Funds		0.0	Ù
Other		(1.2	)
		100.0	%

Country Summary*	% of Equity Investments**
Japan		24.5	%
United Kingdom		21.3
France		12.1
Germany		9.0
Italy		6.2
Spain		4.3
Switzerland		4.3
Australia		3.7
Canada		2.5
Singapore		2.4
Sweden		2.1
Hong Kong		1.4
Ireland		1.0
Netherlands		1.0
Austria		0.9
Belgium		0.7
Denmark		0.7
Finland		0.7
New Zealand		0.5
Greece		0.4
Norway		0.3
Malta		0.0	Ù
Portugal		0.0	Ù
		100.0	%

* The table above 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 agreements and other derivative financial instruments, if any.

1

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

Industry Group Summary	% of Equity Investments**
Pharmaceuticals, Biotechnology & Life Sciences		15.7	%
Energy		13.6
Capital Goods		10.6
Telecommunication Services		8.9
Materials		8.9
Utilities		6.7
Automobiles & Components		5.4
Banks		4.5
Retailing		3.2
Food, Beverage & Tobacco		2.9
Real Estate		2.5
Consumer Durables & Apparel		2.4
Diversified Financials		2.0
Technology Hardware & Equipment		2.0
Insurance		1.9
Food & Staples Retailing		1.6
Software & Services		1.5
Transportation		1.0
Semiconductors & Semiconductor Equipment		1.0
Consumer Services		0.9
Household & Personal Products		0.9
Commercial & Professional Services		0.8
Media		0.7
Health Care Equipment & Services		0.4
		100.0	%

**	Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.
Ù	Rounds to 0.0%.

2

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.6%
		Australia — 3.6%
	59,350	BHP Billiton Ltd		2,525,089
	301,186	BlueScope Steel Ltd		265,296
	174,362	Charter Hall Office (REIT)		626,169
	29,780	Commonwealth Bank of Australia		1,541,534
	484,938	Dexus Property Group (REIT)		446,348
	1,147,737	Goodman Group (REIT)		801,472
	343,612	GPT Group (REIT)		1,149,194
	302,836	Mirvac Group (REIT)		391,683
	147,344	QBE Insurance Group Ltd		2,230,791
	229,609	Stockland (REIT)		736,720
	95,990	TABCORP Holdings Ltd		290,189
	982,472	Telstra Corp Ltd		3,183,724
	44,779	Wesfarmers Ltd		1,476,368
	32,916	Westfield Group (REIT)		287,359
	73,649	Westpac Banking Corp		1,631,049
	27,762	Woodside Petroleum Ltd		1,049,304
		Total Australia		18,632,289
		Austria — 0.9%
	4,995	Andritz AG		462,398
	115,631	Immofinanz AG *		412,562
	88,088	Immofinanz AG (Entitlement Shares) *		—
	57,730	OMV AG		2,274,977
	15,218	Raiffeisen International Bank Holding		630,126
	27,451	Voestalpine AG		1,056,330
		Total Austria		4,836,393
		Belgium — 0.7%
	99,807	Ageas		200,596
	34,388	Belgacom SA		1,125,653
	17,172	Colruyt SA		898,551
	3,768	Delhaize Group		252,495
	1	Dexia SA *		2

See accompanying notes to the financial statements. 3

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Belgium — continued
	6,642	Mobistar SA		430,096
	13,855	Umicore SA		668,796
		Total Belgium		3,576,189
		Canada — 2.5%
	30,600	BCE Inc		1,230,499
	32,000	Canadian Natural Resources Ltd		1,209,027
	16,800	Canadian National Railway Co		1,235,683
	93,600	EnCana Corp		2,377,037
	26,000	Husky Energy Inc		647,279
	16,500	Magna International Inc Class A		626,606
	47,000	Manulife Financial Corp		642,632
	10,100	Metro Inc Class A		480,712
	26,014	Precision Drilling Corp *		362,862
	32,100	Research In Motion Ltd *		1,038,423
	15,700	Shoppers Drug Mart Corp		637,587
	66,500	Sun Life Financial Inc		1,802,216
	13,000	Valeant Pharmaceuticals International Inc		582,763
		Total Canada		12,873,326
		Denmark — 0.7%
	33,764	Novo-Nordisk A/S Class B		3,596,613
	1,272	Novozymes A/S Class B		185,749
		Total Denmark		3,782,362
		Finland — 0.7%
	10,529	Kone Oyj Class B		622,359
	21,391	Metso Oyj		810,379
	5,205	Nokian Renkaat Oyj		193,020
	240,245	Nokia Oyj		1,545,321
	12,300	Sampo Oyj Class A		353,180
	15,345	UPM — Kymmene Oyj		200,734
		Total Finland		3,724,993

4 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		France — 12.0%
	4,067	Air Liquide SA		528,205
	246,761	Alcatel-Lucent *		903,482
	12,932	Arkema		1,000,041
	45,160	BNP Paribas		2,322,870
	7,524	Casino Guichard-Perrachon SA		625,942
	31,669	Compagnie de Saint-Gobain		1,590,653
	9,737	Compagnie Generale des Etablissements Michelin-Class B		712,576
	12,581	Dassault Systemes SA		1,018,565
	12,316	Essilor International SA		943,036
	1,613	Esso SAF		189,575
	86,896	France Telecom SA		1,660,187
	16,002	GDF Suez VVPR Strip *		23
	5,585	L’Oreal SA		606,173
	20,102	Lagardere SCA		686,603
	5,640	Legrand SA		223,379
	9,419	LVMH Moet Hennessy Louis Vuitton SA		1,589,586
	2,071	Nexans SA		165,905
	4,045	NYSE Euronext		109,892
	48,564	PagesJaunes Groupe		316,207
	1,206	PPR		200,683
	32,694	Renault SA		1,328,530
	45,896	Rhodia SA		2,076,105
	22,853	Safran SA		884,058
	274,962	Sanofi		20,052,419
	9,403	Schneider Electric SA		1,252,279
	21,229	Societe Generale		710,870
	322,575	Total SA		15,753,099
	12,345	Valeo SA		651,595
	20,175	Vinci SA		1,052,704
	107,727	Vivendi SA		2,619,306
		Total France		61,774,548

See accompanying notes to the financial statements. 5

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Germany — 7.5%
	10,260	Adidas AG		714,334
	16,187	Aurubis AG		948,927
	94,965	BASF AG		6,753,264
	39,856	Bayerische Motoren Werke AG		3,224,587
	5,547	Beiersdorf AG		326,073
	2,676	Bilfinger & Berger SE		224,471
	9,814	Continental AG *		723,568
	24,852	Daimler AG (Registered)		1,342,506
	26,022	Deutsche Lufthansa AG (Registered)		439,148
	13,832	Deutsche Post AG (Registered)		211,105
	341,070	E.ON AG		7,448,373
	21,064	GEA Group AG		616,849
	230,544	Infineon Technologies AG		1,957,679
	8,692	K+S AG		610,002
	23,606	Kloeckner & Co SE		391,494
	25,633	Lanxess AG		1,594,700
	6,458	Leoni AG		276,610
	5,311	Linde AG		812,577
	14,089	MAN SE		1,841,735
	2,934	Merck KGaA		262,758
	20,651	RWE AG		774,540
	14,923	Salzgitter AG		924,116
	30,527	SAP AG		1,664,771
	15,321	Siemens AG (Registered)		1,576,042
	20,733	Software AG		908,501
	29,341	Suedzucker AG		1,025,976
	19,510	ThyssenKrupp AG		655,106
	1,625	Volkswagen AG		246,828
		Total Germany		38,496,640
		Greece — 0.4%
	60,941	Alpha Bank A.E. *		196,461
	60,239	National Bank of Greece SA *		266,136

6 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Greece — continued
	101,932	OPAP SA		1,236,700
	34,445	Public Power Corp SA		295,611
		Total Greece		1,994,908
		Hong Kong — 1.4%
	231,900	CLP Holdings Ltd		2,144,793
	137,365	Esprit Holdings Ltd		386,734
	265,800	Hong Kong & China Gas		625,452
	46,000	Hutchison Whampoa Ltd		441,787
	715,000	Pacific Basin Shipping Ltd		348,275
	221,000	Power Assets Holdings Ltd		1,710,669
	158,000	SJM Holdings Ltd		364,204
	55,000	Swire Pacific Ltd		735,346
	175,000	Yue Yuen Industrial Holdings		483,449
		Total Hong Kong		7,240,709
		Ireland — 0.9%
	44,303	C&C Group Plc		193,737
	122,795	CRH Plc		2,168,479
	27,738	DCC Plc		756,280
	33,879	Kerry Group Plc Class A		1,312,858
	3,655	Paddy Power Plc		186,239
	28,048	Smurfit Kappa Group Plc *		221,547
		Total Ireland		4,839,140
		Italy — 6.1%
	47,666	Benetton Group SPA		342,291
	1,860,319	Enel SPA		9,073,456
	530,694	ENI SPA		10,670,278
	21,239	Exor SPA		507,451
	62,016	Fiat SPA		384,441
	95,602	Finmeccanica SPA		709,692
	225,417	Intesa San Paolo		366,881
	105,523	Mediaset SPA		408,211

See accompanying notes to the financial statements. 7

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	65,932	Mediobanca SPA		607,737
	33,093	Pirelli & C SPA		276,855
	41,959	Recordati SPA		405,698
	43,434	Saipem SPA		1,946,148
	250,459	Snam Rete Gas SPA		1,210,081
	1,190,946	Telecom Italia SPA		1,444,463
	1,553,914	Telecom Italia SPA-Di RISP		1,702,336
	315,026	Terna SPA		1,143,014
	1,727	Tod’s SPA		198,535
		Total Italy		31,397,568
		Japan — 24.3%
	189	Advance Residence Investment Corp (REIT)		395,637
	130,900	Aeon Co Ltd		1,648,663
	24,400	Aisin Seiki Co Ltd		818,397
	76,800	Alps Electric Co Ltd		702,322
	48,000	Asahi Glass Co Ltd		472,528
	104,000	Asahi Kasei Corp		694,098
	75,100	Astellas Pharma Inc		2,838,119
	32,200	Bridgestone Corp		718,377
	14,700	Canon Inc		693,670
	205,000	Cosmo Oil Co Ltd		544,510
	127	CyberAgent Inc		420,403
	62,300	Daiei Inc *		232,506
	184,000	Daikyo Inc *		328,233
	86,000	Dainippon Screen Manufacturing Co Ltd		568,046
	45,100	Daito Trust Construction Co Ltd		4,181,727
	31,900	Dena Co Ltd		1,663,715
	20,700	Don Quijote Co Ltd		780,168
	15,500	Edion Corp		135,383
	34,600	Eisai Co Ltd		1,476,743
	22,600	Electric Power Development Co Ltd		635,537
	13,600	Fanuc Ltd		2,263,766
	7,600	Fast Retailing Co Ltd		1,451,422

8 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	178,000	Fuji Electric Co Ltd		518,651
	157,000	Fuji Heavy Industries Ltd		984,940
	23,500	Fuji Oil Co Ltd		377,055
	75,000	Hanwa Co Ltd		325,504
	577,000	Hitachi Ltd		3,121,297
	60,500	Honda Motor Co Ltd		1,971,393
	27,200	Hosiden Corp		218,776
	191	INPEX Corp		1,302,115
	286,000	Isuzu Motors Ltd		1,287,467
	252,000	Itochu Corp		2,719,978
	368	Japan Retail Fund Investment Corp (REIT)		555,073
	47,400	JFE Holdings Inc		1,101,698
	20,000	JGC Corp		570,550
	599,000	JX Holdings Inc		3,813,622
	29,560	K’s Holdings Corp		1,302,920
	486,000	Kajima Corp		1,545,131
	62,000	Kamigumi Co Ltd		561,414
	88,900	Kao Corp		2,361,749
	229,000	Kawasaki Kisen Kaisha Ltd		591,584
	480	KDDI Corp		3,600,953
	246,000	Kobe Steel Ltd		460,227
	88,200	Komatsu Ltd		2,352,541
	13,000	Kyudenko Corp		89,575
	14,100	Lawson Inc		768,822
	14,000	Makita Corp		582,402
	231,000	Marubeni Corp		1,464,783
	267,000	Mazda Motor Corp *		575,082
	44,300	Medipal Holdings Corp		409,380
	180,000	Mitsubishi Heavy Industries Ltd		765,117
	295,000	Mitsubishi Chemical Holdings Corp		2,076,777
	34,900	Mitsubishi Corp		839,756
	116,000	Mitsubishi Electric Corp		1,160,595
	19,570	Mitsubishi UFJ Lease & Finance Co Ltd		793,133
	45,600	Mitsui & Co Ltd		782,382

See accompanying notes to the financial statements. 9

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	329,000	Mitsui Mining & Smelting Co Ltd		997,904
	198,000	Mitsui OSK Lines Ltd		838,343
	597,400	Mizuho Financial Group Inc		911,837
	15,900	Murata Manufacturing Co Ltd		970,444
	16,100	Nagase & Co		203,481
	178	Net One Systems Co Ltd		482,646
	3,100	Nintendo Co Ltd		546,550
	19,000	Nippon Corp		166,608
	384,000	Nippon Steel Corp		1,157,861
	70,800	Nippon Telegraph & Telephone Corp		3,314,915
	107,000	Nippon Yusen Kabushiki Kaisha		325,204
	182,300	Nissan Motor Co Ltd		1,676,325
	24,000	Nisshinbo Holdings Inc		219,706
	9,550	Nitori Holdings Co Ltd		979,056
	20,900	Nitto Denko Corp		818,806
	1,726	NTT Docomo Inc		3,146,420
	186,000	Obayashi Corp		915,197
	12,000	Ono Pharmaceutical Co Ltd		693,169
	23,520	ORIX Corp		2,136,066
	316,000	Osaka Gas Co Ltd		1,284,528
	31,000	Pacific Metals Co Ltd		208,445
	10,440	Point Inc		494,149
	515,000	Resona Holdings Inc		2,343,933
	80,100	Round One Corp		702,646
	14,200	Ryohin Keikaku Co Ltd		760,627
	7,600	Ryosan Co		170,997
	22,700	Sankyo Co Ltd		1,165,422
	19,800	Secom Co Ltd		921,552
	30,500	Sega Sammy Holdings Inc		708,735
	4,600	Shimamura Co Ltd		459,785
	5,700	SMC Corp		903,372
	20,200	SoftBank Corp		671,547
	111,000	Sojitz Corp		209,014
	255,700	Sumitomo Corp		3,351,386

10 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	592,000	Taiheiyo Cement Co Ltd		1,052,444
	443,000	Taisei Corp		1,181,713
	14,000	Taisho Pharmaceutical Co Ltd		325,476
	167,700	Takeda Pharmaceutical Co Ltd		8,122,317
	118,000	Teijin Ltd		455,020
	112,000	Tokyo Gas Co Ltd		515,365
	46,200	Tokyo Steel Manufacturing Co		438,562
	165,000	Tokyo Tatemono Co Ltd		556,423
	69,000	TonenGeneral Sekiyu KK		791,721
	146,000	Toray Industries Inc		1,110,097
	150,000	Tosoh Corp		577,734
	58,800	Toyota Motor Corp		2,118,289
	68,600	Toyota Tsusho Corp		1,148,204
	108,500	UNY Co Ltd		979,709
	6,990	USS Co Ltd		606,924
	2,471	Yahoo Japan Corp		801,421
	37,870	Yamada Denki Co Ltd		2,784,793
	47,200	Yamaha Motor Co Ltd *		710,470
	46,000	Zeon Corp		464,022
		Total Japan		125,213,792
		Malta — 0.0%
	1,718,063	BGP Holdings Plc *		—
		Netherlands — 1.0%
	102,733	Aegon NV *		462,593
	16,299	CSM		393,279
	4,124	Heineken Holding NV		175,216
	364,048	ING Groep NV *		3,158,978
	56,813	Koninklijke BAM Groep NV		286,243
	12,353	Koninklijke DSM NV		618,852
		Total Netherlands		5,095,161

See accompanying notes to the financial statements. 11

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		New Zealand — 0.5%
	113,103	Fletcher Building Ltd		753,211
	742,189	Telecom Corp of New Zealand		1,606,062
		Total New Zealand		2,359,273
		Norway — 0.3%
	23,130	Acergy SA *		535,966
	15,844	Frontline Ltd		127,685
	11,446	Statoil ASA		275,030
	8,264	Yara International ASA		454,670
		Total Norway		1,393,351
		Portugal — 0.0%
	9,565	Jeronimo Martins SGPS SA		178,266
		Singapore — 2.4%
	271,000	CapitaCommercial Trust (REIT)		268,711
	228,000	Cosco Corp		211,956
	346,000	Ezra Holdings Ltd		285,890
	490,000	Genting Singapore Plc *		676,936
	4,598,000	Golden Agri-Resources Ltd		2,518,492
	198,000	Ho Bee Investment Ltd		223,502
	370,200	Jaya Holdings Ltd *		152,067
	169,400	Keppel Corp Ltd		1,308,344
	45,083	Oversea-Chinese Banking Corp Ltd		327,948
	384,000	SembCorp Marine Ltd		1,300,296
	186,000	Singapore Exchange Ltd		1,083,006
	250,000	Singapore Press Holdings Ltd		788,682
	932,670	Singapore Telecommunications		2,410,180
	442,001	Suntec Real Estate Investment Trust (REIT)		495,492
	341,067	Swiber Holdings Ltd *		158,611
	38,000	Venture Corp Ltd		235,615
		Total Singapore		12,445,728

12 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Spain — 4.2%
	52,107	Banco Bilbao Vizcaya Argentaria SA		472,799
	298,464	Banco Popular Espanol SA		1,554,928
	384,673	Banco Santander SA		3,554,268
	19,186	Fomento de Construcciones y Contratas SA		498,682
	122,100	Gas Natural SDG SA		2,231,836
	212,581	Iberdrola SA		1,563,603
	22,039	Inditex SA		1,873,002
	172,906	Mapfre SA		591,779
	13,989	Red Electrica de Espana		687,332
	104,342	Repsol YPF SA		3,002,976
	273,970	Telefonica SA		5,695,875
		Total Spain		21,727,080
		Sweden — 2.1%
	18,275	Alfa Laval AB		358,747
	42,420	Atlas Copco AB		852,261
	81,988	Atlas Copco AB Class A		1,847,511
	39,563	Ericsson LM B Shares		444,002
	35,038	Hennes & Mauritz AB Class B		1,091,544
	51,797	Investor AB B Shares		1,019,460
	106,323	Skandinaviska Enskilda Banken AB Class A		629,130
	39,128	SKF AB Class B		921,594
	150,792	Swedbank AB Class A		2,073,079
	7,209	Swedish Match AB		261,452
	56,462	Trelleborg AB Class B		475,328
	47,020	Volvo AB Class B		584,118
		Total Sweden		10,558,226
		Switzerland — 4.3%
	39,932	Compagnie Financiere Richemont SA Class A		2,308,614
	82,425	Nestle SA (Registered)		5,100,013
	166,415	Novartis AG (Registered)		9,710,158
	9,573	Roche Holding AG (Non Voting)		1,673,974
	4,100	Swatch Group AG		1,865,294

See accompanying notes to the financial statements. 13

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Switzerland — continued
	1,802	Swisscom AG (Registered)		807,906
	1,855	Syngenta AG (Registered) *		587,215
		Total Switzerland		22,053,174
		United Kingdom — 21.1%
	47,044	3i Group Plc		162,323
	38,511	Aggreko Plc		1,208,777
	79,832	Amlin Plc		403,328
	255,800	ARM Holdings Plc		2,346,773
	22,385	Associated British Foods Plc		388,688
	332,858	AstraZeneca Plc		15,761,273
	144,691	Aviva Plc		797,328
	433,821	BAE Systems Plc		1,935,804
	68,870	Balfour Beatty Plc		278,945
	410,863	Barclays Plc		1,135,218
	153,272	BG Group Plc		3,305,414
	42,870	BHP Billiton Plc		1,459,113
	423,815	BP Plc		2,766,252
	51,310	British American Tobacco Plc		2,282,867
	1,334,209	BT Group Plc		3,700,386
	120,692	Burberry Group Plc		2,691,721
	39,353	Capita Group Plc		452,498
	53,236	Centrica Plc		257,945
	197,295	Cobham Plc		612,598
	26,105	Cookson Group Plc		222,421
	13,123	Croda International Plc		383,805
	33,472	Diageo Plc		672,559
	147,071	Drax Group Plc		1,239,486
	39,184	Experian Plc		446,610
	125,029	FirstGroup Plc		743,671
	25,643	Fresnillo Plc		874,064
	659,239	GlaxoSmithKline Plc		14,034,787
	203,695	Home Retail Group Plc		420,730
	41,712	IMI Plc		603,178

14 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	92,859	Inchcape Plc		485,860
	26,347	Intertek Group Plc		862,350
	20,298	Kazakhmys Plc		357,624
	20,171	Land Securities Group Plc (REIT)		240,961
	805,633	Legal & General Group Plc		1,371,387
	815,705	Lloyds Banking Group Plc *		444,938
	206,704	Man Group Plc		748,647
	49,343	Next Plc		1,889,491
	27,139	Pearson Plc		490,530
	35,724	Petrofac Ltd		791,635
	80,884	Prudential Plc		814,774
	213,300	Punch Taverns Plc *		33,392
	23,680	Reckitt Benckiser Group Plc		1,256,107
	74,581	Rio Tinto Plc		4,546,345
	1,499,092	Royal Bank of Scotland Group Plc *		589,276
	140,742	Royal Dutch Shell Group Class A (Amsterdam)		4,706,309
	87,292	Royal Dutch Shell Plc A Shares (London)		2,920,037
	222,874	Royal Dutch Shell Plc B Shares (London)		7,500,263
	156,433	Sage Group Plc (The)		638,151
	63,700	Scottish & Southern Energy Plc		1,341,561
	21,618	Shire Plc		696,431
	62,677	Smith & Nephew Plc		637,257
	213,300	Spirit Pub Co PLC *		150,619
	52,476	Standard Chartered Plc		1,192,129
	38,079	Travis Perkins Plc		508,641
	106,249	TUI Travel Plc		263,581
	2,768,253	Vodafone Group Plc		7,264,604
	44,654	Weir Group Plc (The)		1,392,025
	253,927	William Hill Plc		928,392
	51,169	Wolseley Plc		1,326,307
	33,566	Xstrata Plc		582,954
		Total United Kingdom		108,561,140
		TOTAL COMMON STOCKS (COST $449,809,457)		502,754,256

See accompanying notes to the financial statements. 15

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value		Description	Value ($)
		PREFERRED STOCKS — 1.4%
		Germany — 1.4%
	1,846	Hugo Boss AG 2.94%		182,257
	44,886	Porsche Automobil Holding SE 1.10%		3,021,613
	36,657	ProSiebenSat.1 Media AG 8.27%		731,733
	21,154	Volkswagen AG 1.97%		3,516,846
		Total Germany		7,452,449
		TOTAL PREFERRED STOCKS (COST $6,268,543)		7,452,449
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers
	2	GMO U.S. Treasury Fund		38
		TOTAL MUTUAL FUNDS (COST $38)		38
		SHORT-TERM INVESTMENTS — 2.2%
		Time Deposits — 2.2%
AUD	96,505	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.00%, due 09/01/11		103,159
CAD	9,928	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.26%, due 09/01/11		10,138
CHF	7,403	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		9,186
DKK	52,395	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.20%, due 09/01/11		10,103
EUR	3,779,904	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.13%, due 09/01/11		5,429,832
GBP	28,028	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.11%, due 09/01/11		45,498
HKD	598,031	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		76,810
JPY	3,252,350	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 09/01/11		42,476
NOK	161,493	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.05%, due 09/01/11		30,105
NZD	12,104	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.70%, due 09/01/11		10,312
SEK	65,340	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.10%, due 09/01/11		10,304
EUR	555,223	Citibank (New York) Time Deposit, 0.13%, due 09/01/11		797,578
SGD	259,324	Citibank (New York) Time Deposit, 0.01%, due 09/01/11		215,332
USD	1,484,861	Citibank (New York) Time Deposit, 0.03%, due 09/01/11		1,484,861

16 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value		Description	Value ($)
		Time Deposits — continued
USD	533,358	HSBC Bank (New York) Time Deposit, 0.03%, due 09/01/11		533,358
EUR	1,736,292	JPMorgan Chase (New York) Time Deposit, 0.13%, due 09/01/11		2,494,183
		Total Time Deposits		11,303,235
		TOTAL SHORT-TERM INVESTMENTS (COST $11,303,235)		11,303,235
		TOTAL INVESTMENTS — 101.2% (Cost $467,381,273)		521,509,978
		Other Assets and Liabilities (net) — (1.2%)		(6,413,712	)
		TOTAL NET ASSETS — 100.0%	$	515,096,266

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

See accompanying notes to the financial statements. 17

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $467,381,235) (Note 2)	$	521,509,940
Investments in affiliated issuers, at value (cost $38) (Notes 2 and 10)		38
Foreign currency, at value (cost $1,121) (Note 2)		1,123
Receivable for investments sold		195,003
Receivable for Fund shares sold		200,000
Dividends receivable		1,669,184
Foreign taxes receivable		427,811
Receivable for expenses reimbursed by Manager (Note 5)		46,463
Total assets		524,049,562
Liabilities:
Payable for Fund shares repurchased		8,400,000
Payable to affiliate for (Note 5):
Management fee		217,750
Shareholder service fee		65,325
Trustees and Trust Officers or agents unaffiliated with the Manager		480
Payable for foreign currency purchased		7,153
Miscellaneous payable		213
Accrued expenses		262,375
Total liabilities		8,953,296
Net assets	$	515,096,266
Net assets consist of:
Paid-in capital	$	555,472,257
Accumulated undistributed net investment income		5,292,075
Accumulated net realized loss		(99,940,129	)
Net unrealized appreciation		54,272,063
	$	515,096,266
Net assets attributable to:
Class III shares	$	515,096,266
Shares outstanding:
Class III		36,651,054
Net asset value per share:
Class III	$	14.05

18 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers (net of withholding taxes of $1,406,935)	$	12,596,830
Interest		13,162
Dividends from affiliated issuers (Note 10)		35
Total investment income		12,610,027
Expenses:
Management fee (Note 5)		1,456,836
Shareholder service fee – Class III (Note 5)		437,051
Custodian and fund accounting agent fees		195,040
Audit and tax fees		42,688
Transfer agent fees		13,984
Legal fees		10,304
Trustees fees and related expenses (Note 5)		4,528
Registration fees		1,748
Miscellaneous		24,521
Total expenses		2,186,700
Fees and expenses reimbursed by Manager (Note 5)		(283,360	)
Expense reductions (Note 2)		(4	)
Net expenses		1,903,336
Net investment income (loss)		10,706,691
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		14,622,938
Investments in affiliated issuers		(36	)
Futures contracts		187,725
Foreign currency, forward contracts and foreign currency related transactions		361,615
Net realized gain (loss)		15,172,242
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(73,490,057	)
Foreign currency, forward contracts and foreign currency related transactions		32,873
Net unrealized gain (loss)		(73,457,184	)
Net realized and unrealized gain (loss)		(58,284,942	)
Net increase (decrease) in net assets resulting from operations	$	(47,578,251	)

See accompanying notes to the financial statements. 19

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	10,706,691		$	12,256,266
Net realized gain (loss)		15,172,242			5,685,931
Change in net unrealized appreciation (depreciation)		(73,457,184	)		93,723,179
Net increase (decrease) in net assets from operations		(47,578,251	)		111,665,376
Distributions to shareholders from:
Net investment income
Class III		(3,164,253	)		(12,622,343	)
Net share transactions (Note 9):
Class III		(34,036,823	)		(46,345,846	)
Total increase (decrease) in net assets		(84,779,327	)		52,697,187
Net assets:
Beginning of period		599,875,593			547,178,406
End of period (including accumulated undistributed net investment income of $5,292,075 and distributions in excess of net investment income of $2,250,363, respectively)	$	515,096,266		$	599,875,593

20 See accompanying notes to the financial statements.

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	15.41		$	12.97		$	9.28		$	18.73		$	20.76		$	18.31
Income (loss) from investment operations:
Net investment income (loss)†		0.28			0.30			0.26			0.48			0.51			0.36
Net realized and unrealized gain (loss)		(1.56	)		2.47			3.80			(8.92	)		0.20	(a)		3.28
Total from investment operations		(1.28	)		2.77			4.06			(8.44	)		0.71			3.64
Less distributions to shareholders:
From net investment income		(0.08	)		(0.33	)		(0.37	)		(0.49	)		(0.57	)		(0.40	)
From net realized gains		—			—			—			(0.52	)		(2.17	)		(0.79	)
Total distributions		(0.08	)		(0.33	)		(0.37	)		(1.01	)		(2.74	)		(1.19	)
Net asset value, end of period	$	14.05		$	15.41		$	12.97		$	9.28		$	18.73		$	20.76
Total Return(b)		(8.31	)%**		21.51	%		43.60	%		(46.71	)%		2.28	%		20.33	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	515,096		$	599,876		$	547,178		$	414,024		$	1,092,346		$	1,105,264
Net expenses to average daily net assets		0.65	%(c)(d)*		0.65	%(c)(d)		0.65	%(c)		0.67	%(c)		0.69	%(c)		0.69	%
Net investment income (loss) to average daily net assets		3.67	%*		2.20	%		2.08	%		3.09	%		2.33	%		1.83	%
Portfolio turnover rate		19	%**		40	%		49	%		67	%		41	%		34	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.10	%*		0.11	%		0.09	%		0.11	%		0.09	%		0.08	%

(a)	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.
(b)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 21

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Tax-Managed International Equities Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks high after-tax total return. The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes will provide higher returns than the MSCI EAFE Index (after tax).

The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, market capitalization, and exposure to groups such as industry, sector, country or currency.

The Manager considers the tax effects of a proposed trade in conjunction with the return forecast of the identified equities, and their potential contribution to the overall portfolio. The Manager also may consider the Fund’s realized and unrealized gains and losses, and current market conditions, because these factors also influence the decision to buy or sell securities.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options, forward currency contracts and swap contracts. In addition, the Fund may lend its portfolio securities.

22

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund typically invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equities of companies tied economically to countries other than the U.S. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in equity investments. The terms “equities” and “equity investments” refer to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts. The Manager may make investments tied economically to emerging countries. These investments generally will represent 15% or less of the Fund’s total assets.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See Note 4 for a further discussion on valuation of derivative financial instruments.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of the closing of the NYSE due to time zone differences (including the value of

23

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		95.5	%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include: fair value adjustments provided by an independent pricing service applied to equity securities (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) due to market events that have occurred since the local market close but prior to the time of closing of the NYSE.

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

24

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Assets		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Common Stocks
Australia	$	—	$	18,632,289		$	—	$	18,632,289
Austria		—		4,836,393			—		4,836,393
Belgium		—		3,576,189			—		3,576,189
Canada		12,873,326		—			—		12,873,326
Denmark		—		3,782,362			—		3,782,362
Finland		—		3,724,993			—		3,724,993
France		1,660,210		60,114,338			—		61,774,548
Germany		1,841,735		36,654,905			—		38,496,640
Greece		—		1,994,908			—		1,994,908
Hong Kong		—		7,240,709			—		7,240,709
Ireland		—		4,839,140			—		4,839,140
Italy		—		31,397,568			—		31,397,568
Japan		—		125,213,792			—		125,213,792
Malta		—		0	*		—		0
Netherlands		—		5,095,161			—		5,095,161
New Zealand		1,606,062		753,211			—		2,359,273
Norway		—		1,393,351			—		1,393,351
Portugal		—		178,266			—		178,266
Singapore		—		12,445,728			—		12,445,728
Spain		—		21,727,080			—		21,727,080
Sweden		—		10,558,226			—		10,558,226
Switzerland		—		22,053,174			—		22,053,174
United Kingdom		150,619		108,410,521			—		108,561,140
TOTAL COMMON STOCKS		18,131,952		484,622,304			—		502,754,256
Preferred Stocks
Germany		—		7,452,449			—		7,452,449
TOTAL PREFERRED STOCKS		—		7,452,449			—		7,452,449

25

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  ASSET VALUATION INPUTS — continued

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds
United States	$	38	$	—	$	—	$	38
TOTAL MUTUAL FUNDS		38		—		—		38
Short-Term Investments
Time Deposits		11,303,235		—		—		11,303,235
Total Short-Term Investments		11,303,235		—		—		11,303,235
Total Investments		29,435,225		492,074,753		—		521,509,978
Total	$	29,435,225	$	492,074,753	$	—	$	521,509,978

            * Represents the interest in securities that have no value at August 31, 2011.

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

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

26

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. 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 foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

27

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(115,112,358	)
Total	$	(115,112,358	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	472,622,726	$	79,679,342	$	(30,792,090	)	$	48,887,252

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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

28

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

Brown Brothers Harriman & Co. (“BBH”) serves as the Fund’s custodian and fund accounting agent. State Street Bank and Trust Company (“State Street”) serves as the Fund’s transfer agent. BBH’s and State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. There can be no assurance that the Fund’s tax management strategies will be effective, and you may incur tax liabilities that exceed your economic return. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

29

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

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

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Liquidity Risk — Shares of small- and mid-cap companies often have lower trading volumes and a limited number or no market makers. Thus, a large position may limit or prevent the Fund from selling those shares or unwinding derivative positions on them at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

30

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). The Fund also may use currency derivatives in an attempt to reduce some aspect of

31

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, 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 stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their 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 currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposures in excess of its net assets. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives

32

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to

33

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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 not collateralized. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless otherwise adjusted due to the time at which foreign markets close, as described in Note 2). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust exposure to certain securities markets and maintain the diversity and liquidity of the portfolio. The Fund had no futures contracts outstanding at the end of the period.

34

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Options

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

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

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance

35

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the

36

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

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

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants received as a result of corporate actions. The Fund held no rights or warrants at the end of the period.

37

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended
August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Investments, at value (rights and/or warrants)	$	—	$	—	$	—	$	(85,004	)	$	—	$	(85,004	)
Futures contracts		—		—		—		187,725			—		187,725
Total	$	—	$	—	$	—	$	102,721		$	—	$	102,721

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The volume of derivative activity, based on absolute values (futures contracts and rights and/or warrants) outstanding at each month-end, was as follows for the period ended August 31, 2011:

			Rights
	Futures		and/or
	contracts		Warrants
Average amount outstanding	$	3,704,397	$	83,635

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.50% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.50% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an

38

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These contractual expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $4,528 and $1,980, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	<0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $110,525,948 and $132,666,007, respectively.

7. Guarantees

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

39

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

8. Principal shareholders and related parties

As of August 31, 2011, 23.82% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.67% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		230,306		$	3,275,459			3,622,498		$	45,310,663
Shares issued to shareholders in reinvestment of distributions		109,418			1,651,124			471,904			6,752,942
Shares repurchased		(2,617,876	)		(38,963,406	)		(7,368,609	)		(98,409,451	)
Net increase (decrease)		(2,278,152	)	$	(34,036,823	)		(3,274,207	)	$	(46,345,846	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	263,025	$	1,197,000	$	1,459,952	$	35	$	—	$	38
Totals	$	263,025	$	1,197,000	$	1,459,952	$	35	$	—	$	38

40

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

41

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

42

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

43

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

44

GMO Tax-Managed International Equities Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.65	%	$	1,000.00	$	916.90	$	3.13
2) Hypothetical		0.65	%	$	1,000.00	$	1,021.87	$	3.30

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

45

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.7	%
Mutual Funds		1.9
Short-Term Investments		0.4
Rights and Warrants		0.0	Ù
Other		0.0	Ù
		100.0	%

Industry Group Summary	% of Equity Investments*
Software & Services		21.4	%
Pharmaceuticals, Biotechnology & Life Sciences		20.3
Food, Beverage & Tobacco		11.8
Health Care Equipment & Services		8.7
Household & Personal Products		6.4
Food & Staples Retailing		6.4
Technology Hardware & Equipment		4.8
Capital Goods		3.9
Energy		3.8
Consumer Services		2.6
Retailing		2.4
Telecommunication Services		1.7
Consumer Durables & Apparel		1.5
Insurance		0.9
Media		0.8
Materials		0.8
Commercial & Professional Services		0.6
Transportation		0.3
Diversified Financials		0.3
Semiconductors & Semiconductor Equipment		0.2
Banks		0.1
Real Estate		0.1
Automobiles & Components		0.1
Utilities		0.1
		100.0	%

*	Equity investments may consist of common stocks, and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.
Ù	Rounds to 0.0%.

1

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.7%
		Automobiles & Components — 0.1%
	100	BorgWarner, Inc. *		7,139
	100	Harley-Davidson, Inc.		3,866
		Total Automobiles & Components		11,005
		Banks — 0.2%
	1,400	CapitalSource, Inc.		8,890
	300	CIT Group, Inc. *		10,371
	500	West Coast Bancorp/OR *		7,400
		Total Banks		26,661
		Capital Goods — 3.9%
	2,700	3M Co.		224,046
	220	Caterpillar, Inc.		20,020
	100	Cummins, Inc.		9,292
	2,000	Danaher Corp.		91,620
	200	Eaton Corp.		8,590
	900	Fastenal Co.		30,132
	1,400	General Electric Co.		22,834
	800	General Dynamics Corp.		51,264
	300	ITT Industries, Inc.		14,202
	100	Joy Global, Inc.		8,345
	100	L-3 Communications Holdings, Inc.		6,782
	200	Northrop Grumman Corp.		10,924
	100	Parker Hannifin Corp.		7,343
	70	Precision Castparts Corp.		11,470
	200	Primoris Services Corp.		2,300
	200	Raytheon Co.		8,646
	200	Rockwell Collins, Inc.		10,092
	200	Tyco International Ltd.		8,316
	1,300	United Technologies Corp.		96,525
	110	WW Grainger, Inc.		16,951
		Total Capital Goods		659,694

2 See accompanying notes to the financial statements.

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Commercial & Professional Services — 0.6%
	300	Copart, Inc. *		12,912
	200	Dun & Bradstreet Corp.		13,378
	200	IHS, Inc.-Class A *		15,518
	500	Pitney Bowes, Inc.		10,155
	500	Rollins, Inc.		10,455
	500	RR Donnelley & Sons Co.		7,625
	300	Stericycle, Inc. *		26,313
	100	Verisk Analytics, Inc.-Class A *		3,484
		Total Commercial & Professional Services		99,840
		Consumer Durables & Apparel — 1.4%
	900	Coach, Inc.		50,598
	40	Deckers Outdoor Corp. *		3,558
	100	Fortune Brands, Inc.		5,712
	100	Fossil, Inc. *		9,661
	500	Johnson Outdoors, Inc.-Class A *		7,910
	1,700	Nike, Inc.-Class B		147,305
	200	VF Corp.		23,412
		Total Consumer Durables & Apparel		248,156
		Consumer Services — 2.6%
	700	Apollo Group, Inc.-Class A *		32,777
	30	Chipotle Mexican Grill, Inc. *		9,401
	100	DeVry, Inc.		4,418
	500	H&R Block, Inc.		7,560
	100	ITT Educational Services, Inc. *		7,216
	200	Las Vegas Sands Corp. *		9,314
	3,800	McDonald’s Corp.		343,748
	200	Weight Watchers International, Inc.		12,104
	40	Wynn Resorts Ltd.		6,189
	100	Yum! Brands, Inc.		5,437
		Total Consumer Services		438,164

See accompanying notes to the financial statements. 3

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Diversified Financials — 0.3%
	200	American Capital Ltd. *		1,742
	200	Capital One Financial Corp.		9,210
	400	Discover Financial Services		10,064
	300	Leucadia National Corp.		8,889
	200	Moody’s Corp.		6,166
	100	Safeguard Scientifics, Inc. *		1,604
	1,000	SLM Corp.		13,730
		Total Diversified Financials		51,405
		Energy — 3.7%
	200	Anadarko Petroleum Corp.		14,750
	100	Approach Resources, Inc. *		1,856
	300	Baker Hughes, Inc.		18,333
	1,130	Chevron Corp.		111,768
	1,674	ConocoPhillips		113,949
	2,600	Exxon Mobil Corp.		192,504
	600	Halliburton Co.		26,622
	10	Hess Corp.		594
	100	HollyFrontier Corp.		7,176
	250	Marathon Petroleum Corp.		9,265
	500	Marathon Oil Corp.		13,460
	500	National Oilwell Varco, Inc.		33,060
	100	Oil States International, Inc. *		6,608
	300	Patterson-UTI Energy, Inc.		7,332
	200	Peabody Energy Corp.		9,760
	100	Pioneer Natural Resources Co.		7,817
	100	Rowan Cos, Inc. *		3,607
	340	Schlumberger Ltd.		26,561
	300	Tesoro Corp. *		7,218
	500	Valero Energy Corp.		11,360
	300	Williams Cos., Inc.		8,097
		Total Energy		631,697

4 See accompanying notes to the financial statements.

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Food & Staples Retailing — 6.2%
	900	Costco Wholesale Corp.		70,686
	1,100	CVS Caremark Corp.		39,501
	1,000	Kroger Co. (The)		23,560
	300	Safeway, Inc.		5,499
	2,300	Sysco Corp.		64,239
	4,000	Walgreen Co.		140,840
	13,500	Wal-Mart Stores, Inc.		718,335
		Total Food & Staples Retailing		1,062,660
		Food, Beverage & Tobacco — 11.5%
	1,700	Altria Group, Inc.		46,223
	500	Brown-Forman Corp.-Class B		35,875
	100	Bunge Ltd.		6,471
	900	Campbell Soup Co.		28,683
	500	Coca-Cola Enterprises, Inc.		13,810
	8,600	Coca-Cola Co. (The)		605,870
	800	Dean Foods Co. *		6,912
	850	Flowers Foods, Inc.		16,192
	2,500	General Mills, Inc.		94,775
	500	Hansen Natural Corp. *		42,660
	1,000	Hershey Co. (The)		58,650
	900	HJ Heinz Co.		47,376
	1,200	Hormel Foods Corp.		33,132
	200	J.M. Smucker Co. (The)		14,418
	1,300	Kellogg Co.		70,616
	580	Lorillard, Inc.		64,624
	600	McCormick & Co., Inc. (Non Voting)		28,674
	5,930	PepsiCo, Inc.		382,070
	4,800	Philip Morris International, Inc.		332,736
	1,000	Reynolds American, Inc.		37,570
	100	Sara Lee Corp.		1,804
		Total Food, Beverage & Tobacco		1,969,141

See accompanying notes to the financial statements. 5

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — 8.5%
	600	Aetna, Inc.		24,018
	600	AmerisourceBergen Corp.		23,748
	2,300	Baxter International, Inc.		128,754
	900	Becton, Dickinson and Co.		73,242
	1,200	Boston Scientific Corp. *		8,136
	400	C.R. Bard, Inc.		38,104
	600	Cardinal Health, Inc.		25,500
	300	CareFusion Corp. *		7,683
	600	Cerner Corp. *		39,576
	200	Cigna Corp.		9,348
	300	Coventry Health Care, Inc. *		9,864
	200	Covidien PLC		10,436
	500	DENTSPLY International, Inc.		17,600
	500	Edwards Lifesciences Corp. *		37,725
	1,500	Express Scripts, Inc. *		70,410
	200	Gen-Probe, Inc. *		11,994
	200	Healthspring, Inc. *		7,808
	400	Henry Schein, Inc. *		26,364
	300	Humana, Inc.		23,292
	300	Idexx Laboratories, Inc. *		23,934
	110	Intuitive Surgical, Inc. *		41,948
	200	Kinetic Concepts, Inc. *		13,508
	400	Laboratory Corp. of America Holdings *		33,412
	300	McKesson Corp.		23,979
	200	Mednax, Inc. *		13,062
	4,900	Medtronic, Inc.		171,843
	100	Omnicare, Inc.		2,971
	500	Patterson Cos., Inc.		14,610
	100	Quality Systems, Inc.		9,202
	700	Quest Diagnostics, Inc.		35,049
	1,600	Stryker Corp.		78,144
	1,300	St Jude Medical, Inc.		59,202
	4,521	UnitedHealth Group, Inc.		214,838
	500	Varian Medical Systems, Inc. *		28,480

6 See accompanying notes to the financial statements.

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	800	WellPoint, Inc.		50,640
	700	Zimmer Holdings, Inc. *		39,823
		Total Health Care Equipment & Services		1,448,247
		Household & Personal Products — 6.3%
	400	Avon Products, Inc.		9,024
	600	Church & Dwight Co., Inc.		26,124
	300	Clorox Co.		20,910
	1,800	Colgate-Palmolive Co.		161,946
	720	Estee Lauder Cos. (The), Inc.-Class A		70,315
	600	Herbalife Ltd.		33,480
	1,500	Kimberly-Clark Corp.		103,740
	10,200	Procter & Gamble Co. (The)		649,536
		Total Household & Personal Products		1,075,075
		Insurance — 0.8%
	100	ACE, Ltd.		6,458
	100	American Financial Group, Inc.		3,328
	100	American International Group, Inc. *		2,533
	200	Aon Corp.		9,346
	300	Arch Capital Group Ltd. *		10,104
	200	Assurant, Inc.		7,034
	300	Axis Capital Holdings Ltd.		8,598
	100	Brown & Brown, Inc.		2,101
	100	Chubb Corp.		6,189
	300	CNO Financial Group, Inc. *		1,929
	400	Hartford Financial Services Group, Inc. (The)		7,656
	300	Kemper Corp.		7,692
	100	PartnerRe Ltd.		5,699
	200	Prudential Financial, Inc.		10,042
	100	RenaissanceRe Holdings Ltd.		6,557
	200	Symetra Financial Corp.		2,144
	150	Torchmark Corp.		5,732

See accompanying notes to the financial statements. 7

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Insurance — continued
	600	Travelers Cos. (The), Inc.		30,276
	300	Validus Holdings Ltd.		7,746
		Total Insurance		141,164
		Materials — 0.8%
	500	Alcoa, Inc.		6,405
	200	Celanese Corp.-Class A		9,402
	10	CF Industries Holdings, Inc.		1,828
	400	Dow Chemical Co. (The)		11,380
	100	Eastman Chemical Co.		8,273
	700	Ecolab, Inc.		37,520
	500	Freeport-McMoRan Copper & Gold, Inc.		23,570
	200	Huntsman Corp.		2,622
	100	LSB Industries, Inc. *		3,995
	120	Monsanto Co.		8,272
	300	Sigma-Aldrich Corp.		19,317
		Total Materials		132,584
		Media — 0.8%
	300	Arbitron, Inc.		11,265
	100	Cablevision Systems Corp.-Class A		1,806
	600	CBS Corp.-Class B (Non Voting)		15,030
	200	Charter Communications, Inc.-Class A *		9,976
	200	Clear Channel Outdoor Holdings, Inc.-Class A *		2,290
	300	Comcast Corp.-Class A		6,453
	100	DirectTV-Class A *		4,397
	200	Gannett Co., Inc.		2,310
	100	Liberty Global, Inc.-Class A *		4,039
	100	Liberty Media Corp. Capital-Class A *		7,131
	500	McGraw-Hill Cos. (The), Inc.		21,055
	500	News Corp.-Class A		8,635
	100	Time Warner Cable, Inc.		6,550
	500	Time Warner, Inc.		15,830

8 See accompanying notes to the financial statements.

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Media — continued
	200	Viacom, Inc.-Class B		9,648
	21	Washington Post Co. (The)-Class B		7,471
		Total Media		133,886
		Pharmaceuticals, Biotechnology & Life Sciences — 19.8%
	6,500	Abbott Laboratories		341,315
	200	Alexion Pharmaceuticals, Inc. *		11,589
	1,300	Allergan, Inc.		106,353
	3,700	Amgen, Inc.		204,999
	650	Biogen Idec, Inc. *		61,230
	6,600	Bristol-Myers Squibb Co.		196,350
	200	Covance, Inc. *		9,912
	6,400	Eli Lilly & Co.		240,064
	700	Endo Pharmaceuticals Holdings, Inc. *		22,337
	900	Enzon Pharmaceuticals, Inc. *		7,695
	1,700	Forest Laboratories, Inc. *		58,208
	3,400	Gilead Sciences, Inc. *		135,609
	9,900	Johnson & Johnson		651,420
	14,161	Merck & Co., Inc.		469,012
	120	Mettler-Toledo International, Inc. *		19,112
	100	Mylan, Inc. *		2,076
	40,564	Pfizer, Inc.		769,905
	500	Pharmaceutical Product Development, Inc.		15,740
	200	Techne Corp.		14,494
	400	Theravance, Inc. *		7,600
	100	Thermo Fisher Scientific, Inc. *		5,493
	400	Waters Corp. *		31,948
		Total Pharmaceuticals, Biotechnology & Life Sciences		3,382,461
		Real Estate — 0.1%
	500	Annaly Capital Management, Inc. REIT		9,065
	100	Forest City Enterprises, Inc.-Class A *		1,329
	510	General Growth Properties, Inc. REIT		6,956
		Total Real Estate		17,350

See accompanying notes to the financial statements. 9

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Retailing — 2.3%
	100	Abercrombie & Fitch Co.-Class A		6,361
	200	Advance Auto Parts, Inc.		12,144
	500	Aeropostale, Inc. *		5,590
	90	Amazon.com, Inc. *		19,376
	1,100	Audiovox Corp.-Class A *		7,051
	400	AutoNation, Inc. *		16,152
	40	AutoZone, Inc. *		12,280
	500	Best Buy Co., Inc.		12,795
	100	Dillard’s, Inc.-Class A		4,628
	500	Dollar Tree, Inc. *		35,710
	400	Family Dollar Stores, Inc.		21,356
	400	GameStop Corp.-Class A *		9,572
	400	Gap (The), Inc.		6,608
	600	Genuine Parts Co.		33,012
	300	J.C. Penney Co., Inc.		7,989
	500	Liberty Media Corp.-Interactive-Class A *		7,910
	200	Limited Brands, Inc.		7,548
	200	Macy’s, Inc.		5,190
	40	Netflix, Inc. *		9,400
	100	O’Reilly Automotive, Inc. *		6,488
	40	Priceline.com, Inc. *		21,491
	600	RadioShack Corp.		7,806
	400	Ross Stores, Inc.		30,610
	200	Target Corp.		10,334
	1,200	TJX Cos. (The), Inc.		65,544
	200	Tractor Supply Co.		12,274
		Total Retailing		395,219
		Semiconductors & Semiconductor Equipment — 0.2%
	200	Altera Corp.		7,278
	1,000	ON Semiconductor Corp. *		7,270
	1,100	Texas Instruments, Inc.		28,831
		Total Semiconductors & Semiconductor Equipment		43,379

10 See accompanying notes to the financial statements.

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Software & Services — 20.9%
	2,800	Accenture Plc.-Class A		150,052
	1,000	Adobe Systems, Inc. *		25,240
	700	Amdocs Ltd. *		19,229
	400	Ansys, Inc. *		21,592
	500	AOL, Inc. *		7,790
	1,500	Automatic Data Processing, Inc.		75,045
	800	BMC Software, Inc. *		32,488
	400	Broadridge Financial Solutions, Inc.		8,328
	100	CACI International, Inc.-Class A *		5,506
	500	Citrix Systems, Inc. *		30,215
	1,000	Cognizant Technology Solutions Corp.-Class A *		63,450
	200	Computer Sciences Corp.		6,132
	100	Convergys Corp. *		1,065
	4,661	eBay, Inc. *		143,885
	200	Factset Research Systems, Inc.		17,580
	100	Fiserv, Inc. *		5,583
	400	Global Payments, Inc.		18,332
	1,260	Google, Inc.-Class A *		681,610
	600	Informatica Corp. *		25,068
	3,510	International Business Machines Corp.		603,404
	1,200	Intuit, Inc. *		59,196
	500	Jack Henry & Associates, Inc.		14,620
	500	Lender Processing Services, Inc.		8,820
	70	MasterCard, Inc.-Class A		23,080
	300	Micros Systems, Inc. *		14,298
	29,400	Microsoft Corp.		782,040
	21,900	Oracle Corp.		614,733
	1,500	Paychex, Inc.		40,470
	400	Quest Software, Inc. *		6,892
	500	SAIC, Inc. *		7,500
	40	Salesforce.com, Inc. *		5,150
	1,200	Symantec Corp. *		20,580
	200	Syntel, Inc.		9,152

See accompanying notes to the financial statements. 11

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Software & Services — continued
	300	TIBCO Software, Inc. *		6,714
	700	Total System Services, Inc.		12,705
		Total Software & Services		3,567,544
		Technology Hardware & Equipment — 4.7%
	650	Apple, Inc. *		250,139
	300	Arrow Electronics, Inc. *		9,360
	4,600	Cisco Systems, Inc.		72,128
	1,900	Dell, Inc. *		28,244
	300	FLIR Systems, Inc.		7,761
	100	Harris Corp.		4,035
	800	Hewlett-Packard Co.		20,824
	500	Ingram Micro, Inc.-Class A *		8,920
	300	Lexmark International, Inc. *		9,588
	100	NCR Corp. *		1,723
	7,000	Qualcomm, Inc.		360,220
	200	Tech Data Corp. *		9,416
	200	Viasat, Inc. *		7,100
	300	Western Digital Corp. *		8,847
	700	Xerox Corp.		5,810
		Total Technology Hardware & Equipment		804,115
		Telecommunication Services — 1.6%
	3,863	AT&T, Inc.		110,018
	600	Centurylink, Inc.		21,690
	4,142	Verizon Communications, Inc.		149,816
		Total Telecommunication Services		281,524
		Transportation — 0.3%
	600	CH Robinson Worldwide, Inc.		42,300
	200	Expeditors International of Washington, Inc.		9,100
	600	Hertz Global Holdings, Inc. *		6,720
		Total Transportation		58,120

12 See accompanying notes to the financial statements.

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Utilities — 0.1%
	400	NRG Energy, Inc. *		9,376
		TOTAL COMMON STOCKS (COST $14,415,170)		16,688,467
		MUTUAL FUNDS — 1.9%
		Affiliated Issuers — 1.9%
	12,680	GMO U.S. Treasury Fund		317,121
		TOTAL MUTUAL FUNDS (COST $317,062)		317,121
		RIGHTS AND WARRANTS — 0.0%
		Insurance — 0.0%
	533	American International Group, Inc., Warrants, Strike 45.00 *		3,998
		Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
	100	Sanofi Aventis, Rights, Expires 12/31/20 *		105
		TOTAL RIGHTS AND WARRANTS (COST $9,296)		4,103
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	67,471	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%(a)		67,471
		TOTAL SHORT-TERM INVESTMENTS (COST $67,471)		67,471
		TOTAL INVESTMENTS — 100.0% (COST $14,808,999)		17,077,162
		Other Assets and Liabilities (net) — (0.0%)		(2,506	)
		TOTAL NET ASSETS — 100.0%	$	17,074,656

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*	Non-income producing security.
(a)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

See accompanying notes to the financial statements. 13

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $14,491,937) (Note 2)	$	16,760,041
Investments in affiliated issuers, at value (cost $317,062) (Notes 2 and 10)		317,121
Dividends receivable		47,355
Receivable for expenses reimbursed by Manager (Note 5)		8,394
Total assets		17,132,911
Liabilities:
Payable to affiliate for (Note 5):
Management fee		4,614
Shareholder service fee		2,097
Trustees and Trust Officers or agents unaffiliated with the Manager		20
Accrued expenses		51,524
Total liabilities		58,255
Net assets	$	17,074,656
Net assets consist of:
Paid-in capital	$	33,824,386
Accumulated undistributed net investment income		53,026
Accumulated net realized loss		(19,070,919	)
Net unrealized appreciation		2,268,163
	$	17,074,656
Net assets attributable to:
Class III shares	$	17,074,656
Shares outstanding:
Class III		1,458,395
Net asset value per share:
Class III	$	11.71

14 See accompanying notes to the financial statements.

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers	$	187,702
Dividends from affiliated issuers (Note 10)		106
Total investment income		187,808
Expenses:
Management fee (Note 5)		27,531
Shareholder service fee – Class III (Note 5)		12,515
Audit and tax fees		28,888
Custodian, fund accounting agent and transfer agent fees		13,248
Registration fees		736
Legal fees		276
Trustees fees and related expenses (Note 5)		118
Miscellaneous		5,165
Total expenses		88,477
Fees and expenses reimbursed by Manager (Note 5)		(48,300	)
Net expenses		40,177
Net investment income (loss)		147,631
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(1,291	)
Investments in affiliated issuers		62
Realized gains distributions from affiliated issuers (Note 10)		15
Futures contracts		(29,819	)
Net realized gain (loss)		(31,033	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(241,293	)
Investments in affiliated issuers		59
Net unrealized gain (loss)		(241,234	)
Net realized and unrealized gain (loss)		(272,267	)
Net increase (decrease) in net assets resulting from operations	$	(124,636	)

See accompanying notes to the financial statements. 15

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	147,631		$	274,577
Net realized gain (loss)		(31,033	)		917,147
Change in net unrealized appreciation (depreciation)		(241,234	)		1,130,093
Net increase (decrease) in net assets from operations		(124,636	)		2,321,817
Distributions to shareholders from:
Net investment income
Class III		(141,789	)		(267,753	)
Net share transactions (Note 9):
Class III		1,012,064			(1,611,081	)
Total increase (decrease) in net assets		745,639			442,983
Net assets:
Beginning of period		16,329,017			15,886,034
End of period (including accumulated undistributed net investment income of $53,026 and $47,184, respectively)	$	17,074,656		$	16,329,017

16 See accompanying notes to the financial statements.

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	11.88		$	10.49		$	7.74		$	12.21		$	13.48		$	12.83
Income (loss) from investment operations:
Net investment income (loss)†		0.11			0.18			0.18			0.18			0.21			0.19
Net realized and unrealized gain (loss)		(0.18	)		1.39			2.75			(4.45	)		(1.08	)		0.64
Total from investment operations		(0.07	)		1.57			2.93			(4.27	)		(0.87	)		0.83
Less distributions to shareholders:
From net investment income		(0.10	)		(0.18	)		(0.18	)		(0.20	)		(0.22	)		(0.18	)
From net realized gains		—			—			—			—			(0.18	)		—
Total distributions		(0.10	)		(0.18	)		(0.18	)		(0.20	)		(0.40	)		(0.18	)
Net asset value, end of period	$	11.71		$	11.88		$	10.49		$	7.74		$	12.21		$	13.48
Total Return(a)		(0.59	)%**		15.18	%		38.22	%		(35.43	)%		(6.78	)%		6.53	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	17,075		$	16,329		$	15,886		$	10,199		$	88,686		$	116,725
Net expenses to average daily net assets		0.48	%*(c)		0.48	%(b)(c)		0.48	%(b)		0.48	%(b)		0.48	%(b)		0.48	%
Net investment income (loss) to average daily net assets		1.77	%*		1.71	%		1.86	%		1.55	%		1.55	%		1.46	%
Portfolio turnover rate		19	%**		70	%		61	%		66	%		62	%		67	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.58	%*		0.56	%		0.84	%		0.17	%		0.12	%		0.11	%

(a)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 17

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Tax-Managed U.S. Equities Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks high after-tax total return. The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes will provide higher returns than the Russell 3000 Index. The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, industry and sector exposure, and market capitalization.

The Manager considers the tax effects of a proposed trade in conjunction with the return forecast of the identified equities, and their potential contribution to the overall portfolio. The Manager also may consider the Fund’s realized and unrealized gains and losses, and current market conditions, because these factors also influence the decision to buy or sell securities.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options and swap contracts. In addition, the Fund may lend its portfolio securities.

Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in equity investments tied economically to the

18

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

U.S. The terms “equities” and “equity investments” refer to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See Note 4 for a further discussion on valuation of derivative financial instruments.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

19

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks	$	16,688,467	$	—	$	—	$	16,688,467
Mutual Funds		317,121		—		—		317,121
Rights/Warrants		—		4,103		—		4,103
Short-Term Investments		67,471		—		—		67,471
Total Investments		17,073,059		4,103		—		17,077,162
Total	$	17,073,059	$	4,103	$	—	$	17,077,162

All of the Fund’s common stocks held at period end are classified as Level 1. Please refer to the Schedule of Investments for a more detailed categorization of common stocks.

20

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(7,517,802	)
February 28, 2018		(11,370,066	)
Total	$	(18,887,868	)

21

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	14,960,983	$	2,273,379	$	(157,200	)	$	2,116,179

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

22

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. There can be no assurance that the Fund’s tax management strategies will be effective, and you may incur tax liabilities that exceed your economic return. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain

23

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

prior market data can fail to predict future market events. Models that have demonstrated an ability to explain prior market data often fail to accurately predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Liquidity Risk — Shares of small- and mid-cap companies often have lower trading volumes and a limited number or no market makers. Thus, a large position may limit or prevent the Fund from selling those shares or unwinding derivative positions on them at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Focused Investment Risk — Focusing investments in sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

24

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

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

The Fund also may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero).

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

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposure in excess of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

25

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which

26

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to maintain the diversity and liquidity of the portfolio. The Fund had no futures contracts outstanding at the end of the period.

Options

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

27

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or

28

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

29

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants received as a result of a corporate action. Rights and/or warrants held by the Fund at the end of the period are listed in the Fund’s Schedule of Investments.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Assets:
Investments, at value (rights and/or warrants)	$	—	$	—	$	—	$	4,103	$	—	$	4,103
Total	$	—	$	—	$	—	$	4,103	$	—	$	4,103

30

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Futures contracts	$	—	$	—	$	—	$	(29,819	)	$	—	$	(29,819	)
Total	$	—	$	—	$	—	$	(29,819	)	$	—	$	(29,819	)
Change in Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	—	$	—	$	(2,315	)	$	—	$	(2,315	)
Total	$	—	$	—	$	—	$	(2,315	)	$	—	$	(2,315	)

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The volume of derivative activity, based on absolute values (futures contracts and rights and/or warrants) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Futures		Rights and/or
	contracts		Warrants
Average amount outstanding	$	150,313	$	5,207

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.33% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.33% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940

31

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $118 and $13, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $4,046,409 and $3,100,491, respectively.

7. Guarantees

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

32

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

8. Principal shareholders and related parties

As of August 31, 2011, 90.80% of the outstanding shares of the Fund were held by four shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.26% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		87,649		$	1,056,817			25,629		$	259,479
Shares issued to shareholders in reinvestment of distributions		7,409			90,171			15,190			162,189
Shares repurchased		(11,040	)		(134,924	)		(181,447	)		(2,032,749	)
Net increase (decrease)		84,018		$	1,012,064			(140,628	)	$	(1,611,081	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasuy Fund	$	228,000	$	244,000	$	155,000	$	106	$	15	$	317,121
Totals	$	228,000	$	244,000	$	155,000	$	106	$	15	$	317,121

11. Subsequent event

The Board of Trustees of GMO Trust has approved the liquidation of the Fund. It is expected that the Fund will be liquidated on or about October 31, 2011.

33

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

34

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

35

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

36

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

37

GMO Tax-Managed U.S. Equities Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.48	%	$	1,000.00	$	994.10	$	2.41
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.72	$	2.44

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

38

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.8	%
Investment Funds		1.4
Mutual Funds		0.6
Short-Term Investments		0.1
Swap Agreements		0.0	^
Other		0.1
		100.0	%

Industry Group Summary	% of Equity Investments*
Software & Services		21.0	%
Pharmaceuticals, Biotechnology & Life Sciences		18.0
Health Care Equipment & Services		9.6
Energy		8.3
Technology Hardware & Equipment		6.8
Food, Beverage & Tobacco		6.7
Food & Staples Retailing		6.5
Household & Personal Products		5.1
Capital Goods		3.3
Telecommunication Services		3.0
Retailing		2.9
Consumer Services		2.2
Insurance		1.4
Consumer Durables & Apparel		1.4
Materials		0.8
Semiconductors & Semiconductor Equipment		0.6
Commercial & Professional Services		0.5
Media		0.5
Diversified Financials		0.5
Transportation		0.4
Automobiles & Components		0.2
Real Estate		0.2
Banks		0.1
		100.0	%

*	Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.
Ù	Rounds to 0.0%.

See accompanying notes to the financial statements. 1

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.8%
		Automobiles & Components — 0.1%
	1,500	General Motors Co. *		36,045
		Banks — 0.1%
	900	CIT Group, Inc. *		31,113
		Capital Goods — 3.3%
	2,700	3M Co.		224,046
	200	Alliant Techsystems, Inc.		12,694
	700	Caterpillar, Inc.		63,700
	2,100	Danaher Corp.		96,201
	1,000	Fastenal Co.		33,480
	1,400	General Dynamics Corp.		89,712
	500	ITT Industries, Inc.		23,670
	320	Joy Global, Inc.		26,704
	400	L-3 Communications Holdings, Inc.		27,128
	230	Precision Castparts Corp.		37,685
	100	Rockwell Collins, Inc.		5,046
	1,300	United Technologies Corp.		96,525
	200	WESCO International, Inc. *		8,618
	130	WW Grainger, Inc.		20,033
		Total Capital Goods		765,242
		Commercial & Professional Services — 0.5%
	300	Copart, Inc. *		12,912
	300	IHS, Inc.-Class A *		23,277
	1,000	Pitney Bowes, Inc.		20,310
	750	Rollins, Inc.		15,683
	700	RR Donnelley & Sons Co.		10,675
	400	Stericycle, Inc. *		35,084
		Total Commercial & Professional Services		117,941

2 See accompanying notes to the financial statements.

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Consumer Durables & Apparel — 1.4%
	1,400	Coach, Inc.		78,708
	300	Fossil, Inc. *		28,983
	3,100	KB Home		20,429
	1,800	Nike, Inc.-Class B		155,970
	300	VF Corp.		35,118
		Total Consumer Durables & Apparel		319,208
		Consumer Services — 2.1%
	1,400	Apollo Group, Inc.-Class A *		65,555
	300	Choice Hotels International, Inc.		9,324
	1,300	H&R Block, Inc.		19,656
	100	ITT Educational Services, Inc. *		7,216
	100	Las Vegas Sands Corp. *		4,657
	4,100	McDonald’s Corp.		370,886
	400	Weight Watchers International, Inc.		24,208
		Total Consumer Services		501,502
		Diversified Financials — 0.5%
	4,435	Bank of America Corp.		36,234
	1,300	Discover Financial Services		32,708
	500	Leucadia National Corp.		14,815
	2,200	SLM Corp.		30,206
		Total Diversified Financials		113,963
		Energy — 8.1%
	600	Anadarko Petroleum Corp.		44,250
	50	Apache Corp.		5,154
	800	Baker Hughes, Inc.		48,888
	3,328	Chevron Corp.		329,172
	5,651	ConocoPhillips		384,664
	7,900	Exxon Mobil Corp.		584,916
	1,400	Halliburton Co.		62,118
	670	Hess Corp.		39,758
	2,400	Marathon Oil Corp.		64,608

See accompanying notes to the financial statements. 3

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Energy — continued
	1,600	National Oilwell Varco, Inc.		105,792
	326	Occidental Petroleum Corp.		28,277
	1,750	Schlumberger Ltd.		136,710
	1,700	Valero Energy Corp.		38,624
	800	Williams Cos., Inc.		21,592
		Total Energy		1,894,523
		Food & Staples Retailing — 6.4%
	900	Costco Wholesale Corp.		70,686
	2,500	CVS Caremark Corp.		89,775
	2,200	Kroger Co. (The)		51,832
	1,200	Safeway, Inc.		21,996
	1,065	Supervalu, Inc.		8,488
	2,100	Sysco Corp.		58,653
	5,900	Walgreen Co.		207,739
	18,530	Wal-Mart Stores, Inc.		985,981
		Total Food & Staples Retailing		1,495,150
		Food, Beverage & Tobacco — 6.6%
	500	Brown-Forman Corp.-Class B		35,875
	1,100	Campbell Soup Co.		35,057
	1,100	Coca-Cola Enterprises, Inc.		30,382
	8,900	Coca-Cola Co. (The)		627,005
	100	Dean Foods Co. *		864
	600	Flowers Foods, Inc.		11,430
	2,400	General Mills, Inc.		90,984
	600	Hansen Natural Corp. *		51,192
	1,000	Hershey Co. (The)		58,650
	900	HJ Heinz Co.		47,376
	1,200	Hormel Foods Corp.		33,132
	1,400	Kellogg Co.		76,048
	500	McCormick & Co., Inc. (Non Voting)		23,895
	6,525	PepsiCo, Inc.		420,406
		Total Food, Beverage & Tobacco		1,542,296

4 See accompanying notes to the financial statements.

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — 9.4%
	1,700	Aetna, Inc.		68,051
	1,850	Alere, Inc. *		46,195
	300	AMERIGROUP Corp. *		14,841
	1,500	AmerisourceBergen Corp.		59,370
	2,600	Baxter International, Inc.		145,548
	1,000	Becton, Dickinson and Co.		81,380
	390	C.R. Bard, Inc.		37,151
	1,300	Cardinal Health, Inc.		55,250
	800	CareFusion Corp. *		20,488
	600	Cerner Corp. *		39,576
	900	Coventry Health Care, Inc. *		29,592
	700	Covidien PLC		36,526
	500	DENTSPLY International, Inc.		17,600
	400	Edwards Lifesciences Corp. *		30,180
	2,200	Express Scripts, Inc. *		103,268
	200	Gen-Probe, Inc. *		11,994
	300	Henry Schein, Inc. *		19,773
	1,000	Humana, Inc.		77,640
	300	Idexx Laboratories, Inc. *		23,934
	130	Intuitive Surgical, Inc. *		49,575
	400	Kinetic Concepts, Inc. *		27,016
	500	Laboratory Corp. of America Holdings *		41,765
	1,406	Lincare Holdings, Inc.		30,271
	700	McKesson Corp.		55,951
	200	Mednax, Inc. *		13,062
	6,000	Medtronic, Inc.		210,420
	500	Patterson Cos., Inc.		14,610
	800	Quest Diagnostics, Inc.		40,056
	600	ResMed, Inc. *		18,582
	300	STERIS Corp.		9,654
	1,400	Stryker Corp.		68,376
	1,500	St Jude Medical, Inc.		68,310
	1,546	Triple-S Management Corp.-Class B *		26,359
	7,776	UnitedHealth Group, Inc.		369,516

See accompanying notes to the financial statements. 5

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	500	Varian Medical Systems, Inc. *		28,480
	2,100	WellPoint, Inc.		132,930
	1,500	Zimmer Holdings, Inc. *		85,335
		Total Health Care Equipment & Services		2,208,625
		Household & Personal Products — 5.0%
	1,100	Avon Products, Inc.		24,816
	600	Church & Dwight Co., Inc.		26,124
	500	Clorox Co.		34,850
	1,900	Colgate-Palmolive Co.		170,943
	810	Estee Lauder Cos. (The), Inc.-Class A		79,104
	1,000	Herbalife Ltd.		55,800
	1,500	Kimberly-Clark Corp.		103,740
	10,648	Procter & Gamble Co. (The)		678,065
		Total Household & Personal Products		1,173,442
		Insurance — 1.4%
	300	Allied World Assurance Co Holdings Ltd.		15,570
	1,000	American International Group, Inc. *		25,330
	500	Aon Corp.		23,365
	570	Arch Capital Group Ltd. *		19,198
	900	Assurant, Inc.		31,653
	100	Endurance Specialty Holdings Ltd.		3,616
	900	Hartford Financial Services Group, Inc. (The)		17,226
	400	Protective Life Corp.		7,596
	600	Prudential Financial, Inc.		30,126
	200	RenaissanceRe Holdings Ltd.		13,114
	300	Transatlantic Holdings, Inc.		15,189
	2,000	Travelers Cos. (The), Inc.		100,920
	700	Validus Holdings Ltd.		18,074
		Total Insurance		320,977

6 See accompanying notes to the financial statements.

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Materials — 0.7%
	1,700	Alcoa, Inc.		21,777
	50	Eastman Chemical Co.		4,137
	900	Ecolab, Inc.		48,240
	1,700	Freeport-McMoRan Copper & Gold, Inc.		80,138
	300	Sigma-Aldrich Corp.		19,317
		Total Materials		173,609
		Media — 0.5%
	1,400	CBS Corp.-Class B (Non Voting)		35,070
	500	Charter Communications, Inc.-Class A *		24,940
	1,000	Gannett Co., Inc.		11,550
	1,100	McGraw-Hill Cos. (The), Inc.		46,321
		Total Media		117,881
		Pharmaceuticals, Biotechnology & Life Sciences — 17.6%
	7,300	Abbott Laboratories		383,323
	1,200	Allergan, Inc.		98,172
	4,600	Amgen, Inc.		254,863
	1,120	Biogen Idec, Inc. *		105,504
	6,200	Bristol-Myers Squibb Co.		184,450
	200	Cephalon, Inc. *		16,128
	8,900	Eli Lilly & Co.		333,839
	1,200	Endo Pharmaceuticals Holdings, Inc. *		38,292
	2,300	Forest Laboratories, Inc. *		78,752
	3,300	Gilead Sciences, Inc. *		131,621
	9,820	Johnson & Johnson		646,156
	19,076	Merck & Co., Inc.		631,797
	190	Mettler-Toledo International, Inc. *		30,261
	57,386	Pfizer, Inc.		1,089,186
	400	Pharmaceutical Product Development, Inc.		12,592
	200	Techne Corp.		14,494
	2,900	Warner Chilcott Plc.-Class A		49,474
	400	Waters Corp. *		31,948
		Total Pharmaceuticals, Biotechnology & Life Sciences		4,130,852

See accompanying notes to the financial statements. 7

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Real Estate — 0.1%
	1,800	Annaly Capital Management, Inc. REIT		32,634
		Retailing — 2.8%
	200	Abercrombie & Fitch Co.-Class A		12,722
	700	Advance Auto Parts, Inc.		42,504
	400	Aeropostale, Inc. *		4,472
	700	AutoNation, Inc. *		28,266
	150	AutoZone, Inc. *		46,050
	1,900	Best Buy Co., Inc.		48,621
	700	Dollar Tree, Inc. *		49,994
	400	Family Dollar Stores, Inc.		21,356
	1,000	GameStop Corp.-Class A *		23,930
	800	Genuine Parts Co.		44,016
	1,000	J.C. Penney Co., Inc.		26,630
	1,600	Liberty Media Corp.-Interactive-Class A *		25,312
	2,400	Lowe’s Cos., Inc.		47,832
	110	Priceline.com, Inc. *		59,099
	600	Ross Stores, Inc.		45,915
	1,200	Target Corp.		62,004
	1,400	TJX Cos. (The), Inc.		76,468
		Total Retailing		665,191
		Semiconductors & Semiconductor Equipment — 0.6%
	2,400	ON Semiconductor Corp. *		17,448
	4,500	Texas Instruments, Inc.		117,945
		Total Semiconductors & Semiconductor Equipment		135,393
		Software & Services — 20.6%
	3,800	Accenture Plc.-Class A		203,642
	800	Adobe Systems, Inc. *		20,192
	1,100	Amdocs Ltd. *		30,217
	400	Ansys, Inc. *		21,592
	100	AOL, Inc. *		1,558
	1,500	Automatic Data Processing, Inc.		75,045

8 See accompanying notes to the financial statements.

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Software & Services — continued
	800	BMC Software, Inc. *		32,488
	500	Broadridge Financial Solutions, Inc.		10,410
	500	Citrix Systems, Inc. *		30,215
	1,400	Cognizant Technology Solutions Corp.-Class A *		88,830
	500	Computer Sciences Corp.		15,330
	5,800	eBay, Inc. *		179,046
	300	Factset Research Systems, Inc.		26,370
	300	Fiserv, Inc. *		16,749
	500	Global Payments, Inc.		22,915
	1,510	Google, Inc.-Class A *		816,850
	600	Informatica Corp. *		25,068
	4,312	International Business Machines Corp.		741,276
	1,400	Intuit, Inc. *		69,062
	400	Jack Henry & Associates, Inc.		11,696
	310	MasterCard, Inc.-Class A		102,210
	500	Micros Systems, Inc. *		23,830
	45,836	Microsoft Corp.		1,219,238
	31,800	Oracle Corp.		892,626
	1,300	Paychex, Inc.		35,074
	800	Quest Software, Inc. *		13,784
	3,400	Symantec Corp. *		58,310
	500	TIBCO Software, Inc. *		11,190
	900	Total System Services, Inc.		16,335
	300	VeriFone Systems, Inc. *		10,566
		Total Software & Services		4,821,714
		Technology Hardware & Equipment — 6.7%
	400	ADTRAN, Inc.		12,424
	1,220	Apple, Inc. *		469,492
	600	Arrow Electronics, Inc. *		18,720
	10,150	Cisco Systems, Inc.		159,152
	4,980	Dell, Inc. *		74,028
	500	Dolby Laboratories, Inc.-Class A *		16,800
	8,600	Hewlett-Packard Co.		223,858

See accompanying notes to the financial statements. 9

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Technology Hardware & Equipment — continued
	1,200	Ingram Micro, Inc.-Class A *		21,408
	100	NCR Corp. *		1,723
	9,632	Qualcomm, Inc.		495,663
	2,700	Seagate Technology Plc		31,266
	300	Tech Data Corp. *		14,124
	1,000	Western Digital Corp. *		29,490
		Total Technology Hardware & Equipment		1,568,148
		Telecommunication Services — 2.9%
	8,300	AT&T, Inc.		236,384
	1,500	Centurylink, Inc.		54,225
	7,500	Sprint Nextel Corp. *		28,200
	10,184	Verizon Communications, Inc.		368,354
		Total Telecommunication Services		687,163
		Transportation — 0.4%
	800	CH Robinson Worldwide, Inc.		56,400
	600	Expeditors International of Washington, Inc.		27,300
		Total Transportation		83,700
		TOTAL COMMON STOCKS (COST $21,197,437)		22,936,312
		INVESTMENT FUNDS — 1.4%
	2,804	SPDR S&P 500 ETF Trust (a)		342,256
		TOTAL INVESTMENT FUNDS (COST $356,251)		342,256
		MUTUAL FUNDS — 0.6%
		Affiliated Issuers — 0.6%
	5,280	GMO U.S. Treasury Fund		132,053
		TOTAL MUTUAL FUNDS (COST $132,053)		132,053

10 See accompanying notes to the financial statements.

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	17,347	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%(b)		17,347
		TOTAL SHORT-TERM INVESTMENTS (COST $17,347)		17,347
		TOTAL INVESTMENTS — 99.9% (Cost $21,703,088)		23,427,968
		Other Assets and Liabilities (net) — 0.1%		26,425
		TOTAL NET ASSETS — 100.0%	$	23,454,393

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Swap Agreements

Total Return Swaps

							Net Unrealized
Notional			Expiration				Appreciation/
Amount			Date	Counterparty	Fund Receives	Fund (Pays)/Receives	(Depreciation)
	35,734	USD	1/19/2012	Deutsche Bank AG	18% of notional amount	Return on Sears Holding Corp.	$	5,116
							$	5,116
Premiums to (Pay) Receive							$	—

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

See accompanying notes to the financial statements. 11

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Notes to Schedule of Investments:

ETF - Exchange-Traded Fund

REIT - Real Estate Investment Trust

SPDR - Standard and Poor’s Depositary Receipt

*	Non-income producing security.
(a)	Represents an investment to equitize cash. The SPDR S&P 500 ETF Trust is a unit investment trust that issues securities called “Trust Units” or “Units” that represent an undivided ownership interest in a portfolio of all of the common stocks of the Standard & Poor’s 500 Composite Stock Price Index®. The SPDR S&P 500 ETF Trust prospectus states that the Trust intends to provide investment results that, before expenses, generally correspond to the price and yield performance of the S&P 500 Index.
(b)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

Currency Abbreviations:

USD - United States Dollar

12 See accompanying notes to the financial statements.

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $21,571,035) (Note 2)	$	23,295,915
Investments in affiliated issuers, at value (cost $132,053) (Notes 2 and 10)		132,053
Receivable for investments sold		11,463
Dividends receivable		67,566
Receivable for open swap contracts (Note 4)		5,116
Receivable for expenses reimbursed by Manager (Note 5)		9,999
Total assets		23,522,112
Liabilities:
Payable for investments purchased		2,342
Payable to affiliate for (Note 5):
Management fee		6,351
Shareholder service fee		2,886
Trustees and Trust Officers or agents unaffiliated with the Manager		20
Accrued expenses		56,120
Total liabilities		67,719
Net assets	$	23,454,393
Net assets consist of:
Paid-in capital	$	31,358,471
Accumulated undistributed net investment income		94,549
Accumulated net realized loss		(9,728,623	)
Net unrealized appreciation		1,729,996
	$	23,454,393
Net assets attributable to:
Class III shares	$	23,454,393
Shares outstanding:
Class III		2,294,407
Net asset value per share:
Class III	$	10.22

See accompanying notes to the financial statements. 13

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers	$	273,694
Dividends from affiliated issuers (Note 10)		62
Interest		17
Total investment income		273,773
Expenses:
Management fee (Note 5)		40,670
Shareholder service fee – Class III (Note 5)		18,487
Audit and tax fees		32,660
Custodian, fund accounting agent and transfer agent fees		15,824
Registration fees		1,299
Legal fees		368
Trustees fees and related expenses (Note 5)		132
Miscellaneous		5,258
Total expenses		114,698
Fees and expenses reimbursed by Manager (Note 5)		(55,395	)
Net expenses		59,303
Net investment income (loss)		214,470
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		911,821
Investments in affiliated issuers		80
Realized gains distributions from affiliated issuers (Note 10)		4
Swap contracts		(25,925	)
Net realized gain (loss)		885,980
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,593,835	)
Swap contracts		13,273
Net unrealized gain (loss)		(1,580,562	)
Net realized and unrealized gain (loss)		(694,582	)
Net increase (decrease) in net assets resulting from operations	$	(480,112	)

14 See accompanying notes to the financial statements.

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	214,470		$	365,272
Net realized gain (loss)		885,980			692,094
Change in net unrealized appreciation (depreciation)		(1,580,562	)		2,445,994
Net increase (decrease) in net assets from operations		(480,112	)		3,503,360
Distributions to shareholders from:
Net investment income
Class III		(231,712	)		(338,225	)
Net share transactions (Note 9):
Class III		(937,060	)		314,529
Total increase (decrease) in net assets		(1,648,884	)		3,479,664
Net assets:
Beginning of period		25,103,277			21,623,613
End of period (including accumulated undistributed net investment income of $94,549 and $111,791, respectively)	$	23,454,393		$	25,103,277

See accompanying notes to the financial statements. 15

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	10.55		$	9.22		$	6.54		$	10.03		$	12.88		$	12.45
Income (loss) from investment operations:
Net investment income (loss)†		0.09			0.15			0.13			0.15			0.19			0.18
Net realized and unrealized gain (loss)		(0.32	)		1.32			2.70			(3.50	)		(0.96	)(a)		0.54
Total from investment operations		(0.23	)		1.47			2.83			(3.35	)		(0.77	)		0.72
Less distributions to shareholders:
From net investment income		(0.10	)		(0.14	)		(0.15	)		(0.14	)		(0.22	)		(0.23	)
From net realized gains		—			—			—			—			(1.86	)		(0.06	)
Total distributions		(0.10	)		(0.14	)		(0.15	)		(0.14	)		(2.08	)		(0.29	)
Net asset value, end of period	$	10.22		$	10.55		$	9.22		$	6.54		$	10.03		$	12.88
Total Return(b)		(2.24	)%**		16.17	%		43.63	%		(33.76	)%		(7.30	)%		5.87	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	23,454		$	25,103		$	21,624		$	16,849		$	45,197		$	188,133
Net expenses to average daily net assets		0.48	%(c)*		0.48	%(c)		0.48	%(d)		0.48	%(d)		0.48	%(d)		0.48	%
Net investment income (loss) to average daily net assets		1.74	%*		1.62	%		1.63	%		1.67	%		1.52	%		1.46	%
Portfolio turnover rate		25	%**		87	%		60	%		65	%		74	%		73	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.45	%*		0.53	%		0.39	%		0.39	%		0.08	%		0.06	%

(a)	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.
(b)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(d)	The net expense ratio does not include the effect of expense reductions (Note 2).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

16 See accompanying notes to the financial statements.

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO Tobacco-Free Core Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks high total return. The Manager seeks to achieve the Fund’s investment objective by investing primarily in U.S. equities or groups of U.S. equities that the Manager believes will provide higher returns than the S&P 500 Index. The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, industry and sector exposure, and market capitalization.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options and swap contracts. In addition, the Fund may lend its portfolio securities.

The Fund typically invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equities. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets, and expects to invest substantially all of its assets, in investments in tobacco-free companies. For these purposes, the term “equities” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts, and the term “tobacco-free companies” refers to companies that are not listed in the Tobacco Producing Issuer industry classification maintained by Ford Investor Services.

17

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The

18

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks	$	22,936,312	$	—	$	—	$	22,936,312
Investment Funds		342,256		—		—		342,256
Mutual Funds		132,053		—		—		132,053
Short-Term Investments		17,347		—		—		17,347
Total Investments		23,427,968		—		—		23,427,968
Derivatives*
Swap Agreements Equity Risk		—		5,116		—		5,116
Total	$	23,427,968	$	5,116	$	—	$	23,433,084

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

19

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

All of the Fund’s common stocks held at period end are classified as Level 1. Please refer to the Schedule of Investments for a more detailed categorization of common stocks.

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

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

20

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(5,892,437	)
February 28, 2018		(3,874,200	)
Total	$	(9,766,637	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	22,470,751	$	1,687,397	$	(730,180	)	$	957,217

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the

21

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

22

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Focused Investment Risk — Focusing investments in sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

23

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

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

The Fund also may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero).

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

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposure in excess of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

24

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which

25

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Futures contracts

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

Options

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

26

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or

27

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

28

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used total return swap agreements to achieve returns comparable to holding and lending a direct equity position. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Assets:
Unrealized appreciation on swap agreements	$	—	$	—	$	—	$	5,116	$	—	$	5,116
Total	$	—	$	—	$	—	$	5,116	$	—	$	5,116

29

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Swap agreements	$	—	$	—	$	—	$	(25,925	)	$	—	$	(25,925	)
Total	$	—	$	—	$	—	$	(25,925	)	$	—	$	(25,925	)
Change in Unrealized Appreciation (Depreciation) on:
Swap agreements	$	—	$	—	$	—	$	13,273		$	—	$	13,273
Total	$	—	$	—	$	—	$	13,273		$	—	$	13,273

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The volume of derivative activity, based on notional amounts (swap agreements) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Swap
	agreements
Average amount outstanding	$	58,162

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.33% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.33% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any

30

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $132 and $14, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $6,251,448 and $7,149,529, respectively.

7. Guarantees

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

31

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

8. Principal shareholders and related parties

As of August 31, 2011, 89.16% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		215		$	2,363			896		$	9,135
Shares issued to shareholders in reinvestment of distributions		19,906			214,077			32,483			306,743
Shares repurchased		(105,161	)		(1,153,500	)		(135	)		(1,349	)
Net increase (decrease)		(85,040	)	$	(937,060	)		33,244		$	314,529

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions
	beginning of				Sales		Dividend		of Realized		Value, end
Affiliate	period		Purchases		Proceeds		Income		Gains		of period
GMO U.S. Treasury Fund	$	436,973	$	313,000	$	618,000	$	62	$	4	$	132,053
Totals	$	436,973	$	313,000	$	618,000	$	62	$	4	$	132,053

11. Subsequent event

The Board of Trustees of GMO Trust has approved the liquidation of the Fund. It is expected that the Fund will be liquidated on or about December 31, 2011.

32

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

33

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

34

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

35

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

36

GMO Tobacco-Free Core Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.48	%	$	1,000.00	$	977.60	$	2.39
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.72	$	2.44

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

37

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.3	%
Investment Funds		1.2
Mutual Funds		1.1
Short-Term Investments		0.1
Swap Agreements		0.0	Ù
Other		0.3
		100.0	%

Industry Group Summary	% of Equity Investments*
Software & Services		20.6	%
Pharmaceuticals, Biotechnology & Life Sciences		17.7
Food, Beverage & Tobacco		9.7
Health Care Equipment & Services		9.0
Energy		8.1
Technology Hardware & Equipment		6.7
Food & Staples Retailing		6.4
Household & Personal Products		5.0
Capital Goods		3.2
Telecommunication Services		3.0
Retailing		2.6
Consumer Services		2.0
Consumer Durables & Apparel		1.3
Insurance		1.2
Materials		0.9
Semiconductors & Semiconductor Equipment		0.6
Media		0.5
Diversified Financials		0.4
Commercial & Professional Services		0.4
Transportation		0.3
Automobiles & Components		0.2
Banks		0.1
Real Estate		0.1
		100.0	%

*	Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.
Ù	Rounds to 0.00%.

1

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.3%
		Automobiles & Components — 0.2%
	91,000	General Motors Co. *		2,186,730
		Banks — 0.1%
	43,600	CIT Group, Inc. *		1,507,252
	575	Valley National Bancorp		6,837
		Total Banks		1,514,089
		Capital Goods — 3.1%
	158,300	3M Co.		13,135,734
	4,500	Alliant Techsystems, Inc.		285,615
	41,900	Caterpillar, Inc.		3,812,900
	111,500	Danaher Corp.		5,107,815
	54,800	Fastenal Co.		1,834,704
	81,500	General Dynamics Corp.		5,222,520
	31,000	ITT Industries, Inc.		1,467,540
	19,020	Joy Global, Inc.		1,587,219
	23,100	L-3 Communications Holdings, Inc.		1,566,642
	14,320	Precision Castparts Corp.		2,346,332
	74,700	United Technologies Corp.		5,546,475
	2,800	WESCO International, Inc. *		120,652
	8,310	WW Grainger, Inc.		1,280,571
		Total Capital Goods		43,314,719
		Commercial & Professional Services — 0.4%
	15,100	Copart, Inc. *		649,904
	14,700	IHS, Inc.-Class A *		1,140,573
	49,400	Pitney Bowes, Inc.		1,003,314
	35,500	Rollins, Inc.		742,305
	45,700	RR Donnelley & Sons Co.		696,925
	19,600	Stericycle, Inc. *		1,719,116
		Total Commercial & Professional Services		5,952,137

2 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Consumer Durables & Apparel — 1.3%
	80,000	Coach, Inc.		4,497,600
	18,610	Fossil, Inc. *		1,797,912
	183,500	KB Home		1,209,265
	101,800	Nike, Inc.-Class B		8,820,970
	18,330	VF Corp.		2,145,710
		Total Consumer Durables & Apparel		18,471,457
		Consumer Services — 2.0%
	77,500	Apollo Group, Inc.-Class A *		3,628,937
	4,600	Choice Hotels International, Inc.		142,968
	81,200	H&R Block, Inc.		1,227,744
	242,400	McDonald’s Corp.		21,927,504
	18,600	Weight Watchers International, Inc.		1,125,672
		Total Consumer Services		28,052,825
		Diversified Financials — 0.4%
	212,554	Bank of America Corp.		1,736,566
	67,600	Discover Financial Services		1,700,816
	29,300	Leucadia National Corp.		868,159
	125,200	SLM Corp.		1,718,996
		Total Diversified Financials		6,024,537
		Energy — 7.8%
	32,000	Anadarko Petroleum Corp.		2,360,000
	2,490	Apache Corp.		256,644
	48,300	Baker Hughes, Inc.		2,951,613
	197,475	Chevron Corp.		19,532,252
	334,368	ConocoPhillips		22,760,430
	470,500	Exxon Mobil Corp.		34,835,820
	80,800	Halliburton Co.		3,585,096
	34,740	Hess Corp.		2,061,472
	128,400	Marathon Oil Corp.		3,456,528
	90,700	National Oilwell Varco, Inc.		5,997,084
	17,598	Occidental Petroleum Corp.		1,526,451

See accompanying notes to the financial statements. 3

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Energy — continued
	99,110	Schlumberger Ltd.		7,742,473
	99,800	Valero Energy Corp.		2,267,456
	48,900	Williams Cos., Inc.		1,319,811
		Total Energy		110,653,130
		Food & Staples Retailing — 6.2%
	53,900	Costco Wholesale Corp.		4,233,306
	149,900	CVS Caremark Corp.		5,382,909
	135,600	Kroger Co. (The)		3,194,736
	56,800	Safeway, Inc.		1,041,144
	16,225	Supervalu, Inc.		129,313
	128,900	Sysco Corp.		3,600,177
	347,000	Walgreen Co.		12,217,870
	1,093,745	Wal–Mart Stores, Inc.		58,198,172
		Total Food & Staples Retailing		87,997,627
		Food, Beverage & Tobacco — 9.5%
	138,700	Altria Group, Inc.		3,771,253
	31,600	Brown-Forman Corp.-Class B		2,267,300
	63,200	Campbell Soup Co.		2,014,184
	48,200	Coca-Cola Enterprises, Inc.		1,331,284
	531,800	Coca-Cola Co. (The)		37,465,310
	12,700	Dean Foods Co. *		109,728
	32,250	Flowers Foods, Inc.		614,362
	138,800	General Mills, Inc.		5,261,908
	34,200	Hansen Natural Corp. *		2,917,944
	49,800	Hershey Co. (The)		2,920,770
	50,100	HJ Heinz Co.		2,637,264
	64,100	Hormel Foods Corp.		1,769,801
	75,900	Kellogg Co.		4,122,888
	34,880	Lorillard, Inc.		3,886,330
	29,200	McCormick & Co., Inc. (Non Voting)		1,395,468
	384,575	PepsiCo, Inc.		24,778,167

4 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Food, Beverage & Tobacco — continued
	453,637	Philip Morris International, Inc.		31,446,117
	125,200	Reynolds American, Inc.		4,703,764
		Total Food, Beverage & Tobacco		133,413,842
		Health Care Equipment & Services — 8.8%
	102,000	Aetna, Inc.		4,083,060
	98,900	Alere, Inc. *		2,469,533
	9,800	AMERIGROUP Corp. *		484,806
	81,500	AmerisourceBergen Corp.		3,225,770
	148,300	Baxter International, Inc.		8,301,834
	53,200	Becton, Dickinson and Co.		4,329,416
	20,270	C.R. Bard, Inc.		1,930,920
	77,300	Cardinal Health, Inc.		3,285,250
	34,100	CareFusion Corp. *		873,301
	37,280	Cerner Corp. *		2,458,989
	53,000	Coventry Health Care, Inc. *		1,742,640
	39,000	Covidien PLC		2,035,020
	28,000	DENTSPLY International, Inc.		985,600
	22,460	Edwards Lifesciences Corp. *		1,694,607
	129,750	Express Scripts, Inc. *		6,090,465
	10,500	Gen-Probe, Inc. *		629,685
	17,600	Henry Schein, Inc. *		1,160,016
	51,000	Humana, Inc.		3,959,640
	15,300	Idexx Laboratories, Inc. *		1,220,634
	6,320	Intuitive Surgical, Inc. *		2,410,132
	26,200	Kinetic Concepts, Inc. *		1,769,548
	28,900	Laboratory Corp. of America Holdings *		2,414,017
	71,363	Lincare Holdings, Inc.		1,536,445
	39,400	McKesson Corp.		3,149,242
	11,800	Mednax, Inc. *		770,658
	351,400	Medtronic, Inc.		12,323,598
	23,300	Patterson Cos., Inc.		680,826
	37,900	Quest Diagnostics, Inc.		1,897,653
	29,100	ResMed, Inc. *		901,227

See accompanying notes to the financial statements. 5

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	5,200	STERIS Corp.		167,336
	81,800	Stryker Corp.		3,995,112
	75,500	St Jude Medical, Inc.		3,438,270
	81,532	Triple-S Management Corp.-Class B *		1,390,121
	467,474	UnitedHealth Group, Inc.		22,214,365
	23,100	Varian Medical Systems, Inc. *		1,315,776
	121,800	WellPoint, Inc.		7,709,940
	83,325	Zimmer Holdings, Inc. *		4,740,359
		Total Health Care Equipment & Services		123,785,811
		Household & Personal Products — 4.8%
	57,400	Avon Products, Inc.		1,294,944
	31,600	Church & Dwight Co., Inc.		1,375,864
	31,073	Clorox Co.		2,165,788
	109,600	Colgate–Palmolive Co.		9,860,712
	47,440	Estee Lauder Cos. (The), Inc.-Class A		4,632,990
	50,000	Herbalife Ltd.		2,790,000
	87,800	Kimberly–Clark Corp.		6,072,248
	629,200	Procter & Gamble Co. (The)		40,067,456
		Total Household & Personal Products		68,260,002
		Insurance — 1.2%
	8,300	Allied World Assurance Co Holdings Ltd.		430,770
	68,700	American International Group, Inc. *		1,740,171
	28,400	Aon Corp.		1,327,132
	28,140	Arch Capital Group Ltd. *		947,755
	49,700	Assurant, Inc.		1,747,948
	7,300	Endurance Specialty Holdings Ltd.		263,968
	57,100	Hartford Financial Services Group, Inc. (The)		1,092,894
	6,300	Protective Life Corp.		119,637
	34,000	Prudential Financial, Inc.		1,707,140
	10,600	RenaissanceRe Holdings Ltd.		695,042
	12,800	Transatlantic Holdings, Inc.		648,064

6 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Insurance — continued
	110,200	Travelers Cos. (The), Inc.		5,560,692
	29,000	Validus Holdings Ltd.		748,780
		Total Insurance		17,029,993
		Materials — 0.8%
	99,400	Alcoa, Inc.		1,273,314
	44,000	Ecolab, Inc.		2,358,400
	95,800	Freeport–McMoRan Copper & Gold, Inc.		4,516,012
	37,881	Schweitzer-Mauduit International, Inc.		2,272,102
	18,600	Sigma–Aldrich Corp.		1,197,654
		Total Materials		11,617,482
		Media — 0.5%
	86,100	CBS Corp.-Class B (Non Voting)		2,156,805
	30,400	Charter Communications, Inc.-Class A *		1,516,352
	61,800	Gannett Co., Inc.		713,790
	55,000	McGraw-Hill Cos. (The), Inc.		2,316,050
		Total Media		6,702,997
		Pharmaceuticals, Biotechnology & Life Sciences — 17.3%
	437,800	Abbott Laboratories		22,988,878
	69,200	Allergan, Inc.		5,661,252
	273,200	Amgen, Inc.		15,136,646
	61,550	Biogen Idec, Inc. *		5,798,010
	371,200	Bristol–Myers Squibb Co.		11,043,200
	13,000	Cephalon, Inc. *		1,048,320
	527,100	Eli Lilly & Co.		19,771,521
	60,700	Endo Pharmaceuticals Holdings, Inc. *		1,936,937
	138,200	Forest Laboratories, Inc. *		4,731,968
	195,500	Gilead Sciences, Inc. *		7,797,518
	585,700	Johnson & Johnson		38,539,060
	1,118,662	Merck & Co., Inc.		37,050,085
	9,240	Mettler-Toledo International, Inc. *		1,471,655
	3,432,936	Pfizer, Inc.		65,157,125

See accompanying notes to the financial statements. 7

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	21,800	Pharmaceutical Product Development, Inc.		686,264
	7,800	Techne Corp.		565,266
	158,800	Warner Chilcott Plc.-Class A		2,709,128
	18,100	Waters Corp. *		1,445,647
		Total Pharmaceuticals, Biotechnology & Life Sciences		243,538,480
		Real Estate — 0.1%
	83,100	Annaly Capital Management, Inc. REIT		1,506,603
		Retailing — 2.5%
	11,800	Abercrombie & Fitch Co.-Class A		750,598
	32,400	Advance Auto Parts, Inc.		1,967,328
	9,200	Aeropostale, Inc. *		102,856
	39,000	AutoNation, Inc. *		1,574,820
	7,854	AutoZone, Inc. *		2,411,178
	98,400	Best Buy Co., Inc.		2,518,056
	35,500	Dollar Tree, Inc. *		2,535,410
	24,300	Family Dollar Stores, Inc.		1,297,377
	36,400	GameStop Corp.-Class A *		871,052
	37,400	Genuine Parts Co.		2,057,748
	53,500	J.C. Penney Co., Inc.		1,424,705
	92,000	Liberty Media Corp.-Interactive-Class A *		1,455,440
	141,600	Lowe’s Cos., Inc.		2,822,088
	5,610	Priceline.com, Inc. *		3,014,029
	35,200	Ross Stores, Inc.		2,693,680
	70,500	Target Corp.		3,642,735
	85,000	TJX Cos. (The), Inc.		4,642,700
		Total Retailing		35,781,800
		Semiconductors & Semiconductor Equipment — 0.5%
	81,500	ON Semiconductor Corp. *		592,505
	266,900	Texas Instruments, Inc.		6,995,449
		Total Semiconductors & Semiconductor Equipment		7,587,954

8 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Software & Services — 20.1%
	222,400	Accenture Plc.-Class A		11,918,416
	51,900	Adobe Systems, Inc. *		1,309,956
	56,400	Amdocs Ltd. *		1,549,308
	15,400	Ansys, Inc. *		831,292
	8,100	AOL, Inc. *		126,198
	89,700	Automatic Data Processing, Inc.		4,487,691
	49,200	BMC Software, Inc. *		1,998,012
	34,700	Broadridge Financial Solutions, Inc.		722,454
	31,900	Citrix Systems, Inc. *		1,927,717
	76,300	Cognizant Technology Solutions Corp.-Class A *		4,841,235
	27,400	Computer Sciences Corp.		840,084
	346,000	eBay, Inc. *		10,681,020
	13,900	Factset Research Systems, Inc.		1,221,810
	18,100	Fiserv, Inc. *		1,010,523
	20,700	Global Payments, Inc.		948,681
	90,000	Google, Inc.-Class A *		48,686,400
	36,500	Informatica Corp. *		1,524,970
	257,944	International Business Machines Corp.		44,343,153
	78,100	Intuit, Inc. *		3,852,673
	23,300	Jack Henry & Associates, Inc.		681,292
	16,950	MasterCard, Inc.-Class A		5,588,585
	19,100	Micros Systems, Inc. *		910,306
	2,719,657	Microsoft Corp.		72,342,876
	1,900,630	Oracle Corp.		53,350,684
	80,000	Paychex, Inc.		2,158,400
	20,600	Quest Software, Inc. *		354,938
	178,100	Symantec Corp. *		3,054,415
	32,200	TIBCO Software, Inc. *		720,636
	38,500	Total System Services, Inc.		698,775
	17,100	VeriFone Systems, Inc. *		602,262
		Total Software & Services		283,284,762

See accompanying notes to the financial statements. 9

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Technology Hardware & Equipment — 6.5%
	4,200	ADTRAN, Inc.		130,452
	73,140	Apple, Inc. *		28,146,466
	30,200	Arrow Electronics, Inc. *		942,240
	603,734	Cisco Systems, Inc.		9,466,549
	275,306	Dell, Inc. *		4,092,424
	23,500	Dolby Laboratories, Inc.-Class A *		789,600
	518,700	Hewlett-Packard Co.		13,501,761
	65,300	Ingram Micro, Inc.-Class A *		1,164,952
	573,500	Qualcomm, Inc.		29,512,310
	137,200	Seagate Technology Plc		1,588,776
	7,200	Tech Data Corp. *		338,976
	61,600	Western Digital Corp. *		1,816,584
		Total Technology Hardware & Equipment		91,491,090
		Telecommunication Services — 2.9%
	491,400	AT&T, Inc.		13,995,072
	76,300	Centurylink, Inc.		2,758,245
	470,600	Sprint Nextel Corp. *		1,769,456
	607,922	Verizon Communications, Inc.		21,988,539
		Total Telecommunication Services		40,511,312
		Transportation — 0.3%
	41,000	CH Robinson Worldwide, Inc.		2,890,500
	28,300	Expeditors International of Washington, Inc.		1,287,651
		Total Transportation		4,178,151
		TOTAL COMMON STOCKS (COST $1,265,174,988)		1,372,857,530
		INVESTMENT FUNDS — 1.2%
	133,060	SPDR S&P 500 ETF Trust (a)		16,241,303
		TOTAL INVESTMENT FUNDS (COST $16,962,601)		16,241,303

10 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.1%
		Affiliated Issuers — 1.1%
	618,874	GMO U.S. Treasury Fund		15,478,032
		TOTAL MUTUAL FUNDS (COST $15,478,032)		15,478,032
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	2,097,161	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%(b)		2,097,161
		TOTAL SHORT-TERM INVESTMENTS (COST $2,097,161)		2,097,161
		TOTAL INVESTMENTS — 99.7% (Cost $1,299,712,782)		1,406,674,026
		Other Assets and Liabilities (net) — 0.3%		4,873,729
		TOTAL NET ASSETS — 100.0%	$	1,411,547,755

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Swap Agreements

Total Return Swaps

							Net Unrealized
Notional			Expiration			Fund	Appreciation/
Amount			Date	Counterparty	Fund Receives	(Pays)/Receives	(Depreciation)
	2,204,998	USD	1/19/2012	Deutsche Bank AG	18% of notional amount	Return on Sears Holding Corp.	$	315,704
Premiums to (Pay) Receive							$	—

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

See accompanying notes to the financial statements. 11

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited

Notes to Schedule of Investments:

ETF - Exchange-Traded Fund

REIT - Real Estate Investment Trust

SPDR - Standard and Poor’s Depositary Receipt

*	Non-income producing security.
(a)	Represents an investment to equitize cash. The SPDR S&P 500 ETF Trust is a unit investment trust that issues securities called “Trust Units” or “Units” that represent an undivided ownership interest in a portfolio of all of the common stocks of the Standard & Poor’s 500 Composite Stock Price Index®. The SPDR S&P 500 ETF Trust prospectus states that the Trust intends to provide investment results that, before expenses, generally correspond to the price and yield performance of the S&P 500 Index.
(b)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

Currency Abbreviations:

USD - United States Dollar

12 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $1,284,234,750) (Note 2)	$	1,391,195,994
Investments in affiliated issuers, at value (cost $15,478,032) (Notes 2 and 10)		15,478,032
Receivable for investments sold		700,576
Receivable for Fund shares sold		16,115,890
Dividends receivable		4,040,184
Receivable for open swap contracts (Note 4)		315,704
Receivable for expenses reimbursed by Manager (Note 5)		33,542
Total assets		1,427,879,922
Liabilities:
Payable for investments purchased		15,688,762
Payable for Fund shares repurchased		6,809
Payable to affiliate for (Note 5):
Management fee		361,311
Shareholder service fee		87,672
Administration fee – Class M		185
Trustees and Trust Officers or agents unaffiliated with the Manager		3,872
Payable for 12b-1 fee – Class M		483
Accrued expenses		183,073
Total liabilities		16,332,167
Net assets	$	1,411,547,755

See accompanying notes to the financial statements. 13

GMO U.S. Core Equity Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited) — (Continued)

Net assets consist of:
Paid-in capital	$	2,040,654,021
Accumulated undistributed net investment income		6,109,711
Accumulated net realized loss		(742,492,925	)
Net unrealized appreciation		107,276,948
	$	1,411,547,755
Net assets attributable to:
Class III shares	$	274,609,009
Class IV shares	$	58,868,973
Class VI shares	$	1,076,941,685
Class M shares	$	1,128,088
Shares outstanding:
Class III		23,493,290
Class IV		5,045,318
Class VI		92,386,872
Class M		96,573
Net asset value per share:
Class III	$	11.69
Class IV	$	11.67
Class VI	$	11.66
Class M	$	11.68

14 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers	$	18,105,613
Dividends from affiliated issuers (Note 10)		5,787
Interest		1,030
Total investment income		18,112,430
Expenses:
Management fee (Note 5)		2,439,437
Shareholder service fee – Class III (Note 5)		257,074
Shareholder service fee – Class IV (Note 5)		40,162
Shareholder service fee – Class VI (Note 5)		316,132
12b-1 fee – Class M (Note 5)		1,464
Administration fee – Class M (Note 5)		1,171
Custodian, fund accounting agent and transfer agent fees		127,236
Audit and tax fees		29,992
Legal fees		28,612
Registration fees		16,744
Trustees fees and related expenses (Note 5)		14,723
Miscellaneous		19,990
Total expenses		3,292,737
Fees and expenses reimbursed by Manager (Note 5)		(216,752	)
Expense reductions (Note 2)		(7	)
Net expenses		3,075,978
Net investment income (loss)		15,036,452
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		85,298,489
Futures contracts		(1,399,543	)
Swap contracts		(1,734,453	)
Net realized gain (loss)		82,164,493
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(120,295,288	)
Swap contracts		919,770
Net unrealized gain (loss)		(119,375,518	)
Net realized and unrealized gain (loss)		(37,211,025	)
Net increase (decrease) in net assets resulting from operations	$	(22,174,573	)

See accompanying notes to the financial statements. 15

GMO U.S. Core Equity Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	15,036,452		$	31,620,885
Net realized gain (loss)		82,164,493			38,243,288
Change in net unrealized appreciation (depreciation)		(119,375,518	)		159,934,405
Net increase (decrease) in net assets from operations		(22,174,573	)		229,798,578
Distributions to shareholders from:
Net investment income
Class III		(3,561,903	)		(7,688,037	)
Class IV		(688,552	)		(3,460,876	)
Class VI		(12,318,229	)		(18,917,318	)
Class M		(10,287	)		(15,852	)
Total distributions from net investment income		(16,578,971	)		(30,082,083	)
Net share transactions (Note 9):
Class III		(113,771,141	)		(177,852,017	)
Class IV		(104,098,612	)		(250,904,445	)
Class VI		(20,115,460	)		(87,292,204	)
Class M		(36,630	)		(235,395	)
Increase (decrease) in net assets resulting from net share transactions		(238,021,843	)		(516,284,061	)
Total increase (decrease) in net assets		(276,775,387	)		(316,567,566	)
Net assets:
Beginning of period		1,688,323,142			2,004,890,708
End of period (including accumulated undistributed net investment income of $6,109,711 and $7,652,230, respectively)	$	1,411,547,755		$	1,688,323,142

16 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	12.00		$	10.57		$	7.65		$	12.05		$	14.77		$	14.50
Income (loss) from investment operations:
Net investment income (loss)†		0.11			0.18			0.17			0.18			0.22			0.22
Net realized and unrealized gain (loss)		(0.30	)		1.43			2.93			(4.40	)		(1.10	)		0.64
Total from investment operations		(0.19	)		1.61			3.10			(4.22	)		(0.88	)		0.86
Less distributions to shareholders:
From net investment income		(0.12	)		(0.18	)		(0.18	)		(0.18	)		(0.25	)		(0.22	)
From net realized gains		—			—			—			—			(1.59	)		(0.37	)
Total distributions		(0.12	)		(0.18	)		(0.18	)		(0.18	)		(1.84	)		(0.59	)
Net asset value, end of period	$	11.69		$	12.00		$	10.57		$	7.65		$	12.05		$	14.77
Total Return(a)		(1.60	)%**		15.42	%		40.85	%		(35.39	)%		(7.33	)%		5.97	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	274,609		$	393,523		$	519,309		$	509,120		$	1,131,800		$	1,789,872
Net expenses to average daily net assets		0.46	%(b) (c)*		0.46	%(b) (c)		0.46	%(b)		0.46	%(b)		0.46	%(b)		0.46	%
Net investment income (loss) to average daily net assets		1.81	%*		1.68	%		1.73	%		1.70	%		1.55	%		1.51	%
Portfolio turnover rate		32	%**		96	%		52	%		62	%		71	%		78	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%*		0.03	%		0.03	%		0.02	%		0.02	%		0.02	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 17

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Financial Highlights — (Continued)
(For a Class IV share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	11.98		$	10.55		$	7.63		$	12.02		$	14.75		$	14.48
Income (loss) from investment operations:
Net investment income (loss)†		0.11			0.18			0.17			0.19			0.22			0.22
Net realized and unrealized gain (loss)		(0.30	)		1.43			2.93			(4.39	)		(1.10	)		0.65
Total from investment operations		(0.19	)		1.61			3.10			(4.20	)		(0.88	)		0.87
Less distributions to shareholders:
From net investment income		(0.12	)		(0.18	)		(0.18	)		(0.19	)		(0.26	)		(0.23	)
From net realized gains		—			—			—			—			(1.59	)		(0.37	)
Total distributions		(0.12	)		(0.18	)		(0.18	)		(0.19	)		(1.85	)		(0.60	)
Net asset value, end of period	$	11.67		$	11.98		$	10.55		$	7.63		$	12.02		$	14.75
Total Return(a)		(1.60	)%**		15.47	%		41.04	%		(35.36	)%		(7.36	)%		6.05	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	58,869		$	163,627		$	415,267		$	286,333		$	478,084		$	602,048
Net expenses to average daily net assets		0.41	%(b) (c)*		0.41	%(b) (c)		0.41	%(b)		0.41	%(b)		0.41	%(b)		0.41	%
Net investment income (loss) to average daily net assets		1.89	%*		1.68	%		1.76	%		1.78	%		1.57	%		1.55	%
Portfolio turnover rate		32	%**		96	%		52	%		62	%		71	%		78	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%*		0.03	%		0.03	%		0.02	%		0.02	%		0.02	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

18 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Financial Highlights — (Continued)
(For a Class VI share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	11.97		$	10.54		$	7.63		$	12.02		$	14.75		$	14.47
Income (loss) from investment operations:
Net investment income (loss)†		0.12			0.20			0.17			0.19			0.23			0.23
Net realized and unrealized gain (loss)		(0.30	)		1.42			2.93			(4.38	)		(1.11	)		0.65
Total from investment operations		(0.18	)		1.62			3.10			(4.19	)		(0.88	)		0.88
Less distributions to shareholders:
From net investment income		(0.13	)		(0.19	)		(0.19	)		(0.20	)		(0.26	)		(0.23	)
From net realized gains		—			—			—			—			(1.59	)		(0.37	)
Total distributions		(0.13	)		(0.19	)		(0.19	)		(0.20	)		(1.85	)		(0.60	)
Net asset value, end of period	$	11.66		$	11.97		$	10.54		$	7.63		$	12.02		$	14.75
Total Return(a)		(1.55	)%**		15.59	%		40.96	%		(35.33	)%		(7.32	)%		6.17	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,076,942		$	1,129,978		$	1,069,030		$	858,170		$	2,031,659		$	3,671,926
Net expenses to average daily net assets		0.37	%(b) (c)*		0.37	%(b) (c)		0.37	%(b)		0.37	%(b)		0.37	%(b)		0.37	%
Net investment income (loss) to average daily net assets		1.94	% *		1.80	%		1.80	%		1.78	%		1.63	%		1.61	%
Portfolio turnover rate		32	% **		96	%		52	%		62	%		71	%		78	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	% *		0.03	%		0.03	%		0.02	%		0.02	%		0.02	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 19

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Financial Highlights — (Continued)
(For a Class M share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	12.00		$	10.57		$	7.65		$	12.03		$	14.75		$	14.47
Income (loss) from investment operations:
Net investment income (loss)†		0.09			0.15			0.14			0.15			0.18			0.18
Net realized and unrealized gain (loss)		(0.30	)		1.43			2.94			(4.40	)		(1.11	)		0.64
Total from investment operations		(0.21	)		1.58			3.08			(4.25	)		(0.93	)		0.82
Less distributions to shareholders:
From net investment income		(0.11	)		(0.15	)		(0.16	)		(0.13	)		(0.20	)		(0.17	)
From net realized gains		—			—			—			—			(1.59	)		(0.37	)
Total distributions		(0.11	)		(0.15	)		(0.16	)		(0.13	)		(1.79	)		(0.54	)
Net asset value, end of period	$	11.68		$	12.00		$	10.57		$	7.65		$	12.03		$	14.75
Total Return(a)		(1.82	)%**		15.08	%		40.51	%		(35.61	)%		(7.64	)%		5.73	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,128		$	1,195		$	1,285		$	1,786		$	56,422		$	131,640
Net expenses to average daily net assets		0.76	%(b) (c)*		0.76	%(b) (c)		0.76	%(b)		0.76	%(b)		0.76	%(b)		0.76	%
Net investment income (loss) to average daily net assets		1.54	%*		1.40	%		1.51	%		1.29	%		1.23	%		1.22	%
Portfolio turnover rate		32	%**		96	%		52	%		62	%		71	%		78	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%*		0.03	%		0.03	%		0.02	%		0.02	%		0.02	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	The net expense ratio does not include the effect of expense reductions (Note 2).
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

20 See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO U.S. Core Equity Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks high total return. The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes will provide higher returns than the S&P 500 Index.

The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, industry and sector exposure, and market capitalization.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options and swap contracts. In addition, the Fund may lend its portfolio securities.

Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) at least 80% of its assets in equity investments tied economically to the U.S. The terms “equities” and “equity investments” refer to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

21

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the period ended August 31, 2011, the Fund had four classes of shares outstanding: Class III, Class IV, Class VI, and Class M. Class M shares bear an administration fee and a 12b-1 fee while Classes III, IV and VI bear a shareholder service fee (See Note 5). The principal economic difference among the classes of shares is the type and level of fees they bear.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. For the period ended August 31, 2011 the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

22

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks	$	1,372,857,530	$	—	$	—	$	1,372,857,530
Investment Funds		16,241,303		—		—		16,241,303
Mutual Funds		15,478,032		—		—		15,478,032
Short-Term Investments		2,097,161		—		—		2,097,161
Total Investments		1,406,674,026		—		—		1,406,674,026
Derivatives*
Swap Agreements Equity Risk		—		315,704		—		315,704
Total	$	1,406,674,026	$	315,704	$	—	$	1,406,989,730

23

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

* Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

All of the Fund’s common stocks held at period end are classified as Level 1. Please refer to the Schedule of Investments for a more detailed categorization of common stocks.

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

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

24

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2017	$	(240,726,835	)
February 28, 2018		(511,404,531	)
Total	$	(752,131,366	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	1,358,141,781	$	86,879,187	$	(38,346,942	)	$	48,532,245

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

25

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service, 12b-1, and administration fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons,

26

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

one of which may be the Manager’s overestimation of the value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Focused Investment Risk — Focusing investments in sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

27

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

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

The Fund also may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero).

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

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposure in excess of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its

28

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

29

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to maintain the diversity and liquidity of the portfolio. The Fund had no futures contracts outstanding at the end of the period.

Options

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

30

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

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

31

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Initial upfront payments received or made upon entering into a swap agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

32

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used total return swap agreements to achieve returns comparable to holding and lending a direct equity position. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

33

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Assets:
Unrealized appreciation on swap agreements	$	—	$	—	$	—	$	315,704	$	—	$	315,704
Total	$	—	$	—	$	—	$	315,704	$	—	$	315,704

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Futures contracts	$	—	$	—	$	—	$	(1,399,543	)	$	—	$	(1,399,543	)
Swap agreements		—		—		—		(1,734,453	)		—		(1,734,453	)
Total	$	—	$	—	$	—	$	(3,133,996	)	$	—	$	(3,133,996	)
Change in Unrealized Appreciation (Depreciation) on:
Swap agreements	$	—	$	—	$	—	$	919,770		$	—	$	919,770
Total	$	—	$	—	$	—	$	919,770		$	—	$	919,770

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The volume of derivative activity, based on absolute values (futures contracts) or notional amounts (swap agreements) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Futures contracts		Swap agreements
Average amount outstanding	$	814,530*	$	4,127,559

            * During the period ended August 31, 2011, the Fund did not hold futures contracts at any month-end, therefore, the average amount outstanding was calculated using daily outstanding absolute values.

34

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.31% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.10% for Class IV shares and 0.055% for Class VI shares.

Holders of Class M shares of the Fund pay GMO an administration fee for support services provided to Class M shareholders. That fee is paid monthly at the annual rate of 0.20% of the average daily net assets of Class M shares. Pursuant to a Rule 12b-1 distribution and service plan adopted by the Fund, holders of Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily net assets of Class M shares, for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or the provision of services to Class M shareholders. The Trustees currently limit payments on Class M shares to 0.25% of the Fund’s average daily net assets of Class M shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.31% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means the administration fee and distribution (12b-1) fee (Class M Shares only), shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $14,723 and $5,638, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

35

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $498,312,808 and $740,862,453, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 50.46% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. One of the shareholders is another fund of the Trust. On that date, no other shareholder owned more than 10% of the Fund’s outstanding shares of the Fund.

As of August 31, 2011, 0.02% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and 63.37% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

36

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		311,906		$	3,716,802			1,742,656		$	18,918,171
Shares issued to shareholders in reinvestment of distributions		256,102			3,125,514			607,138			6,494,451
Shares repurchased		(9,859,910	)		(120,613,457	)		(18,693,019	)		(203,264,639	)
Net increase (decrease)		(9,291,902	)	$	(113,771,141	)		(16,343,225	)	$	(177,852,017	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class IV:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		56,423			688,552			294,993			3,208,274
Shares repurchased		(8,667,259	)		(104,787,164	)		(26,016,665	)		(254,112,719	)
Net increase (decrease)		(8,610,836	)	$	(104,098,612	)		(25,721,672	)	$	(250,904,445	)
	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class VI:	Shares			Amount			Shares			Amount
Shares sold		16,244,625		$	194,011,654			19,230,775		$	200,810,712
Shares issued to shareholders in reinvestment of distributions		1,008,862			12,318,229			1,768,755			18,917,318
Shares repurchased		(19,251,356	)		(226,445,343	)		(28,000,574	)		(307,020,234	)
Net increase (decrease)		(1,997,869	)	$	(20,115,460	)		(7,001,044	)	$	(87,292,204	)

37

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class M:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		842			10,287			1,484			15,851
Shares repurchased		(3,846	)		(46,917	)		(23,519	)		(251,246	)
Net increase (decrease)		(3,004	)	$	(36,630	)		(22,035	)	$	(235,395	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	23,221,000	$	133,797,000	$	141,539,968	$	5,787	$	—	$	15,478,032
Totals	$	23,221,000	$	133,797,000	$	141,539,968	$	5,787	$	—	$	15,478,032

38

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

39

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

40

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

41

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, distribution (12b-1) and/or administration fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

42

GMO U.S. Core Equity Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.46	%	$	1,000.00	$	984.00	$	2.29
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.82	$	2.34
Class IV
1) Actual		0.41	%	$	1,000.00	$	984.00	$	2.04
2) Hypothetical		0.41	%	$	1,000.00	$	1,023.08	$	2.08
Class VI
1) Actual		0.37	%	$	1,000.00	$	984.50	$	1.85
2) Hypothetical		0.37	%	$	1,000.00	$	1,023.28	$	1.88
Class M
1) Actual		0.76	%	$	1,000.00	$	981.80	$	3.79
2) Hypothetical		0.76	%	$	1,000.00	$	1,021.32	$	3.86

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

43

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		96.1	%
Short-Term Investments		2.7
Investment Funds		0.6
Swap Agreements		0.0	Ù
Futures Contracts		0.0	Ù
Rights/Warrants		0.0	Ù
Other		0.6
		100.0	%

*	The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).
Ù	Rounds to 0.0%.

1

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,543,028	GMO Quality Fund, Class VI		32,357,289
	2,674,449	GMO U.S. Core Equity Fund, Class VI		31,184,075
	64,777	GMO U.S. Small/Mid Cap Growth Fund, Class III		779,261
	87,739	GMO U.S. Small/Mid Cap Value Fund, Class III		682,613
		TOTAL MUTUAL FUNDS (COST $52,556,993)		65,003,238
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	28,613	State Street Eurodollar Time Deposit, 0.01%, due 09/01/11		28,613
		TOTAL SHORT-TERM INVESTMENTS (COST $28,613)		28,613
		TOTAL INVESTMENTS — 100.0% (Cost $52,585,606)		65,031,851
		Other Assets and Liabilities (net) — (0.0%)		(30,376	)
		TOTAL NET ASSETS — 100.0%	$	65,001,475

2 See accompanying notes to the financial statements.

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $28,613) (Note 2)	$	28,613
Investments in affiliated issuers, at value (cost $52,556,993) (Notes 2 and 10)		65,003,238
Receivable for expenses reimbursed by Manager (Note 5)		6,776
Total assets		65,038,627
Liabilities:
Payable to affiliate for (Note 5):
Trustees and Trust Officers or agents unaffiliated with the Manager		55
Accrued expenses		37,097
Total liabilities		37,152
Net assets	$	65,001,475
Net assets consist of:
Paid-in capital	$	67,836,064
Accumulated undistributed net investment income		249,074
Accumulated net realized loss		(15,529,908	)
Net unrealized appreciation		12,446,245
	$	65,001,475
Net assets attributable to:
Class III shares	$	65,001,475
Shares outstanding:
Class III		2,585,227
Net asset value per share:
Class III	$	25.14

See accompanying notes to the financial statements. 3

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	891,158
Interest		2
Total investment income		891,160
Expenses:
Audit and tax fees		16,192
Custodian, fund accounting agent and transfer agent fees		7,360
Registration fees		2,944
Legal fees		1,656
Trustees fees and related expenses (Note 5)		678
Miscellaneous		5,733
Total expenses		34,563
Fees and expenses reimbursed by Manager (Note 5)		(33,488	)
Expense reductions (Note 2)		(1	)
Net expenses		1,074
Net investment income (loss)		890,086
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		1,810,534
Realized gains distributions from affiliated issuers (Note 10)		253,457
Net realized gain (loss)		2,063,991
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(2,095,124	)
Net realized and unrealized gain (loss)		(31,133	)
Net increase (decrease) in net assets resulting from operations	$	858,953

4 See accompanying notes to the financial statements.

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	890,086		$	2,161,519
Net realized gain (loss)		2,063,991			(8,686,789	)
Change in net unrealized appreciation (depreciation)		(2,095,124	)		22,834,512
Net increase (decrease) in net assets from operations		858,953			16,309,242
Distributions to shareholders from:
Net investment income
Class III		(1,400,089	)		(2,513,176	)
Net share transactions (Note 9):
Class III		(30,380,535	)		(46,437,467	)
Total increase (decrease) in net assets		(30,921,671	)		(32,641,401	)
Net assets:
Beginning of period		95,923,146			128,564,547
End of period (including accumulated undistributed net investment income of $249,074 and $759,077, respectively)	$	65,001,475		$	95,923,146

See accompanying notes to the financial statements. 5

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011(a)			2010(a)			2009(a)			2008(a)			2007(a)
Net asset value, beginning of period	$	25.51		$	22.80		$	16.55		$	25.55		$	31.90		$	32.80
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.27			0.43			0.40			0.45			0.55			0.50
Net realized and unrealized gain (loss)		(0.26	)		2.73			6.05			(8.50	)		(2.10	)		1.40
Total from investment operations		0.01			3.16			6.45			(8.05	)		(1.55	)		1.90
Less distributions to shareholders:
From net investment income		(0.38	)		(0.45	)		(0.20	)		(0.40	)		(1.60	)		(0.75	)
From net realized gains		—			—			—			(0.55	)		(3.20	)		(2.05	)
Total distributions		(0.38	)		(0.45	)		(0.20	)		(0.95	)		(4.80	)		(2.80	)
Net asset value, end of period	$	25.14		$	25.51		$	22.80		$	16.55		$	25.55		$	31.90
Total Return(c)		(0.01	)%**		14.13	%		38.94	%		(32.42	)%		(6.43	)%		6.48	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	65,001		$	95,923		$	128,565		$	69,415		$	95,067		$	149,312
Net expenses to average daily net assets(d)		0.00	%(f)*		0.00	%(e)(f)		0.00	%(e)(f)		0.00	%(e)(f)		0.00	%(e)(f)		0.04	%
Net investment income (loss) to average daily net assets(b)		2.05	%*		1.86	%		1.99	%		1.94	%		1.78	%		1.63	%
Portfolio turnover rate		4	%**		7	%		2	%		39	%		26	%		35	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.08	%*		0.06	%		0.05	%		0.06	%		0.04	%		0.18	%
Purchase premiums and redemption fees consisted of the following per share amounts: (Note 2)†		—			—		$	0.00	(g)	$	0.00	(g)	$	0.00	(g)	$	0.00	(g)

(a)	Per share amounts were adjusted to reflect a 1:5 reverse stock split effective November 15, 2010.
(b)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(c)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Net expenses to average daily net assets were less than 0.01%.
(g)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

6 See accompanying notes to the financial statements.

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO U.S. Equity Allocation Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return greater than that of its benchmark, the Russell 3000 Index. The Fund is a fund of funds and invests primarily in shares of the GMO U.S. Equity Funds. The Fund also may invest in shares of GMO Flexible Equities Fund (together with the GMO U.S. Equity Funds, the “underlying funds”). In addition, the Fund may hold securities directly. The Fund primarily seeks exposure to U.S. equity investments (which may include both growth and value style equities and equities of any market capitalization). The Fund also may have exposure to foreign equity investments. Under normal circumstances, the Fund invests (including through investment in the underlying funds) at least 80% of its assets in equity investments tied economically to the U.S. The term “equity investments” refers to direct and indirect (e.g., through the underlying funds) investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

The Manager uses multi-year forecasts of relative value and risk among major sectors in the U.S. equity market (large-cap value, large-cap growth, large-cap core, small- and mid-cap value, small- and mid-cap growth and real estate/REIT) to select the underlying funds in which the Fund invests and to decide how much to invest in each. The Manager changes the Fund’s holdings of underlying funds in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect) or by visiting GMO’s website at www.gmo.com.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in

7

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other investment funds are generally valued at their net asset value. Investments held by the underlying funds are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund, either directly or through investments in the underlying funds, that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) are classified as being valued using Level 2 inputs in the table below or in the disclosures in the underlying funds.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		7.0	%

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation”

8

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds	$	65,003,238	$	—	$	—	$	65,003,238
Short-Term Investments		28,613		—		—		28,613
Total Investments		65,031,851		—		—		65,031,851
Total	$	65,031,851	$	—	$	—	$	65,031,851

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

9

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital losses of $6,771,334.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards, post-October capital losses and losses realized in the future, if any, subsequent to February 28, 2011 could be subject to

10

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

further limitations imposed by the Code related to share ownership activity. The Fund’s capital loss carryforwards expire as follows:

February 29, 2012	$	(136,192	)
February 28, 2017		(4,328,424	)
February 28, 2018		(176,824	)
February 28, 2019		(1,290,769	)
Total	$	(5,932,209	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	54,336,347	$	10,696,910	$	(1,406	)	$	10,695,504

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

11

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund’s investments in the underlying funds. The Fund and some of the underlying funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund or an underlying fund may affect the Fund’s or the underlying fund’s performance more than if the Fund or the underlying fund were diversified. The principal risks of investing in the Fund are summarized below, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an

12

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

underlying fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. An underlying fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund and the underlying funds normally do not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

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

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments.

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

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund or an underlying fund from selling particular securities or unwinding

13

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Real Estate Risk — To the extent an underlying fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.

• Short Sales Risk — The Fund runs the risk that an underlying fund’s loss on a short sale of securities that the underlying fund does not own is unlimited.

• Leveraging Risk — The use of derivatives and securities lending may cause the Fund’s portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

14

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments.

5. Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not charge the Fund a management fee or shareholder service fee, but it receives management and 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 the Manager’s asset allocation decisions.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This contractual expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $677 and $397, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

15

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder	Indirect Shareholder
service fees)	Service Fees	Total Indirect Expenses
0.323%	0.057%	0.380%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and class exchanges, for the period ended August 31, 2011 aggregated $3,019,615 and $33,654,446, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 83.91% of the outstanding shares of the Fund were held by four shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, less than 0.01% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

16

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares*			Amount
Shares sold		77,734		$	2,003,967			254,234		$	5,528,576
Shares issued to shareholders in reinvestment of distributions		36,972			954,607			83,316			1,906,115
Shares repurchased		(1,289,985	)		(33,339,109	)		(2,211,666	)		(53,872,158	)
Net increase (decrease)		(1,175,279	)	$	(30,380,535	)		(1,874,116	)	$	(46,437,467	)

            * Shares were adjusted to reflect a 1:5 reverse stock split effective November 15, 2010.

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO Quality Fund, Class VI	$	46,703,245	$	1,392,846	$	16,277,376	$	442,845	$	—	$	32,357,289
GMO U.S. Core Equity Fund, Class VI		46,968,900		1,367,500		16,613,249		442,500		—		31,184,075
GMO U.S. Small/Mid Cap Growth Fund, Class III		1,194,609		254,097		411,569		640		253,457		779,261
GMO U.S. Small/Mid Cap Value Fund, Class III		1,055,906		5,172		352,252		5,173		—		682,613
Totals	$	95,922,660	$	3,019,615	$	33,654,446	$	891,158	$	253,457	$	65,003,238

17

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

18

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other funds of the Trust in which the Fund invests. The Trustees also considered other so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees noted that they had approved renewal of the Manager’s management agreements with the other funds of the Trust in which the Fund may invest and had concluded that the advisory fees charged to those funds were reasonable, after considering, among other things: possible economies of scale to the Manager in connection with its management of other funds; the Manager’s profitability with respect to those other funds and the Trust as a whole; and information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives to those funds in which the Fund invests.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the

19

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

20

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including indirect management fees, indirect shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

21

GMO U.S. Equity Allocation Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.38	%	$	1,000.00	$	999.90	$	1.91
2) Hypothetical		0.38	%	$	1,000.00	$	1,023.23	$	1.93

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

22

GMO U.S. Growth Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Growth Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.4	%
Mutual Funds		2.6
Short-Term Investments		0.6
Other		(1.6	)
		100.0	%

Industry Group Summary	% of Equity Investments*
Software & Services		17.7	%
Technology Hardware & Equipment		16.8
Food, Beverage & Tobacco		13.9
Household & Personal Products		7.5
Energy		6.6
Retailing		6.2
Pharmaceuticals, Biotechnology & Life Sciences		5.7
Food & Staples Retailing		5.1
Capital Goods		4.3
Consumer Services		4.2
Health Care Equipment & Services		3.2
Semiconductors & Semiconductor Equipment		2.1
Media		1.7
Consumer Durables & Apparel		1.4
Telecommunication Services		1.2
Materials		0.9
Transportation		0.7
Automobiles & Components		0.4
Insurance		0.2
Diversified Financials		0.2
		100.0	%

* Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

1

GMO U.S. Growth Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.4%
		Automobiles & Components — 0.4%
	300	Johnson Controls, Inc.		9,564
		Capital Goods — 4.2%
	486	3M Co.		40,328
	200	Emerson Electric Co.		9,310
	62	Goodrich Corp.		5,529
	100	Owens Corning, Inc. *		2,906
	136	TransDigm Group, Inc. *		12,493
	450	United Technologies Corp.		33,413
		Total Capital Goods		103,979
		Consumer Durables & Apparel — 1.4%
	236	Nike, Inc.-Class B		20,449
	100	Ralph Lauren Corp.		13,711
		Total Consumer Durables & Apparel		34,160
		Consumer Services — 4.1%
	260	Apollo Group, Inc.-Class A *		12,175
	200	H&R Block, Inc.		3,024
	72	Las Vegas Sands Corp. *		3,353
	666	McDonald’s Corp.		60,246
	419	Yum! Brands, Inc.		22,781
		Total Consumer Services		101,579
		Diversified Financials — 0.2%
	5	BlackRock, Inc.		824
	299	TD Ameritrade Holding Corp.		4,598
		Total Diversified Financials		5,422
		Energy — 6.5%
	200	Chevron Corp.		19,782
	1,544	Exxon Mobil Corp.		114,318

2 See accompanying notes to the financial statements.

GMO U.S. Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Energy — continued
	305	Range Resources Corp.		19,752
	100	Schlumberger Ltd.		7,812
		Total Energy		161,664
		Food & Staples Retailing — 5.1%
	219	Costco Wholesale Corp.		17,200
	165	CVS Caremark Corp.		5,925
	362	Kroger Co. (The)		8,529
	648	Sysco Corp.		18,099
	578	Walgreen Co.		20,351
	1,037	Wal-Mart Stores, Inc.		55,179
		Total Food & Staples Retailing		125,283
		Food, Beverage & Tobacco — 13.7%
	579	Altria Group, Inc.		15,743
	157	Brown-Forman Corp.-Class B		11,265
	330	Campbell Soup Co.		10,517
	1,065	Coca-Cola Co. (The)		75,029
	200	ConAgra Foods, Inc.		4,884
	549	Flowers Foods, Inc.		10,459
	576	General Mills, Inc.		21,836
	219	Hansen Natural Corp. *		18,685
	304	Hershey Co. (The)		17,830
	272	HJ Heinz Co.		14,318
	345	Kellogg Co.		18,740
	361	McCormick & Co., Inc. (Non Voting)		17,252
	19	Mead Johnson Nutrition Co.		1,354
	698	PepsiCo, Inc.		44,972
	813	Philip Morris International, Inc.		56,357
		Total Food, Beverage & Tobacco		339,241
		Health Care Equipment & Services — 3.2%
	38	Baxter International, Inc.		2,127
	189	DaVita, Inc. *		13,907

See accompanying notes to the financial statements. 3

GMO U.S. Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	354	Express Scripts, Inc. *		16,617
	236	Health Management Associates, Inc.-Class A *		1,940
	155	Lincare Holdings, Inc.		3,337
	100	McKesson Corp.		7,993
	100	Medco Health Solutions, Inc. *		5,414
	563	Medtronic, Inc.		19,744
	100	St Jude Medical, Inc.		4,554
	100	Thoratec Corp. *		3,426
		Total Health Care Equipment & Services		79,059
		Household & Personal Products — 7.3%
	540	Avon Products, Inc.		12,182
	324	Church & Dwight Co., Inc.		14,107
	314	Clorox Co.		21,886
	344	Colgate-Palmolive Co.		30,950
	383	Estee Lauder Cos. (The), Inc.-Class A		37,404
	232	Herbalife Ltd.		12,945
	319	Kimberly-Clark Corp.		22,062
	475	Procter & Gamble Co. (The)		30,248
		Total Household & Personal Products		181,784
		Insurance — 0.2%
	200	Marsh & McLennan Cos., Inc.		5,944
		Materials — 0.9%
	100	International Flavors & Fragrances, Inc.		5,802
	100	Monsanto Co.		6,893
	116	Sherwin-Williams Co. (The)		8,786
		Total Materials		21,481
		Media — 1.6%
	439	DirectTV-Class A *		19,303
	200	Discovery Communications, Inc. *		8,456
	200	News Corp.-Class A		3,454

4 See accompanying notes to the financial statements.

GMO U.S. Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Media — continued
	100	Scripps Networks Interactive Inc-Class A		4,285
	100	Viacom, Inc.-Class B		4,824
		Total Media		40,322
		Pharmaceuticals, Biotechnology & Life Sciences — 5.6%
	1,008	Abbott Laboratories		52,930
	443	Eli Lilly & Co.		16,617
	295	Gilead Sciences, Inc. *		11,766
	99	Illumina, Inc. *		5,158
	751	Johnson & Johnson		49,416
	100	Life Technologies Corp. *		4,200
		Total Pharmaceuticals, Biotechnology & Life Sciences		140,087
		Retailing — 6.1%
	189	Amazon.com, Inc. *		40,690
	42	Dick’s Sporting Goods, Inc. *		1,475
	520	Dollar General Corp. *		19,032
	217	Dollar Tree, Inc. *		15,498
	89	Family Dollar Stores, Inc.		4,752
	331	Home Depot, Inc.		11,049
	100	Lowe’s Cos., Inc.		1,993
	116	Netflix, Inc. *		27,261
	100	O’Reilly Automotive, Inc. *		6,488
	26	Priceline.com, Inc. *		13,969
	94	Target Corp.		4,857
	200	Urban Outfitters, Inc. *		5,235
		Total Retailing		152,299
		Semiconductors & Semiconductor Equipment — 2.1%
	100	Broadcom Corp.-Class A *		3,565
	1,428	Intel Corp.		28,745
	772	Marvell Technology Group Ltd *		10,152

See accompanying notes to the financial statements. 5

GMO U.S. Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — continued
	100	Skyworks Solutions, Inc. *		2,063
	247	Texas Instruments, Inc.		6,474
		Total Semiconductors & Semiconductor Equipment		50,999
		Software & Services — 17.4%
	200	Accenture Plc.-Class A		10,718
	100	Amdocs Ltd. *		2,747
	119	Autodesk, Inc. *		3,356
	220	Citrix Systems, Inc. *		13,295
	200	Cognizant Technology Solutions Corp.-Class A *		12,690
	326	eBay, Inc. *		10,064
	120	Equinix, Inc. *		11,285
	300	Genpact Ltd. *		4,971
	136	Google, Inc.-Class A *		73,570
	100	Informatica Corp. *		4,178
	519	International Business Machines Corp.		89,221
	41	MasterCard, Inc.-Class A		13,518
	3,511	Microsoft Corp.		93,393
	2,185	Oracle Corp.		61,333
	305	Visa, Inc.-Class A		26,803
		Total Software & Services		431,142
		Technology Hardware & Equipment — 16.5%
	585	Apple, Inc. *		225,126
	2,661	Cisco Systems, Inc.		41,724
	77	Corning, Inc.		1,157
	1,316	EMC Corp. *		29,729
	1,160	Hewlett-Packard Co.		30,195
	31	Itron, Inc. *		1,234
	300	NetApp, Inc. *		11,286
	1,350	Qualcomm, Inc.		69,471
		Total Technology Hardware & Equipment		409,922

6 See accompanying notes to the financial statements.

GMO U.S. Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Telecommunication Services — 1.2%
	226	American Tower Corp.-Class A *		12,172
	383	Crown Castle International Corp. *		16,634
	300	Level 3 Communications, Inc. *		540
		Total Telecommunication Services		29,346
		Transportation — 0.7%
	241	United Parcel Service, Inc.-Class B		16,241
		TOTAL COMMON STOCKS (COST $2,200,636)		2,439,518
		MUTUAL FUNDS — 2.6%
		Affiliated Issuers — 2.6%
	2,600	GMO U.S. Treasury Fund		65,023
		TOTAL MUTUAL FUNDS (COST $65,023)		65,023
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	14,526	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%(a)		14,526
		TOTAL SHORT-TERM INVESTMENTS (COST $14,526)		14,526
		TOTAL INVESTMENTS — 101.6% (Cost $2,280,185)		2,519,067
		Other Assets and Liabilities (net) — (1.6%)		(38,878	)
		TOTAL NET ASSETS — 100.0%	$	2,480,189

Notes to Schedule of Investments:

*	Non-income producing security.
(a)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

See accompanying notes to the financial statements. 7

GMO U.S. Growth Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $2,215,162) (Note 2)	$	2,454,044
Investments in affiliated issuers, at value (cost $65,023) (Notes 2 and 10)		65,023
Dividends receivable		5,913
Receivable for expenses reimbursed by Manager (Note 5)		10,173
Total assets		2,535,153
Liabilities:
Payable to affiliate for (Note 5):
Management fee		634
Shareholder service fee		241
Administration fee – Class M		87
Trustees and Trust Officers or agents unaffiliated with the Manager		20
Payable for 12b-1 fee – Class M		229
Accrued expenses		53,753
Total liabilities		54,964
Net assets	$	2,480,189
Net assets consist of:
Paid-in capital	$	2,791,791
Accumulated undistributed net investment income		5,953
Accumulated net realized loss		(556,437	)
Net unrealized appreciation		238,882
	$	2,480,189
Net assets attributable to:
Class III shares	$	1,949,770
Class M shares	$	530,419
Shares outstanding:
Class III		108,381
Class M		29,550
Net asset value per share:
Class III	$	17.99
Class M	$	17.95

8 See accompanying notes to the financial statements.

GMO U.S. Growth Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers	$	21,583
Dividends from affiliated issuers (Note 10)		28
Total investment income		21,611
Expenses:
Management fee (Note 5)		3,915
Shareholder service fee – Class III (Note 5)		1,475
12b-1 fee – Class M (Note 5)		698
Administration fee – Class M (Note 5)		558
Audit and tax fees		28,888
Registration fees		12,696
Custodian, fund accounting agent and transfer agent fees		8,832
Trustees fees and related expenses (Note 5)		21
Miscellaneous		5,438
Total expenses		62,521
Fees and expenses reimbursed by Manager (Note 5)		(55,844	)
Net expenses		6,677
Net investment income (loss)		14,934
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		128,299
Investments in affiliated issuers		24
Realized gains distributions from affiliated issuers (Note 10)		4
Futures contracts		(2,267	)
Net realized gain (loss)		126,060
Change in net unrealized appreciation (depreciation) on investments		(71,804	)
Net realized and unrealized gain (loss)		54,256
Net increase (decrease) in net assets resulting from operations	$	69,190

See accompanying notes to the financial statements. 9

GMO U.S. Growth Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	14,934		$	87,133
Net realized gain (loss)		126,060			6,249,056
Change in net unrealized appreciation (depreciation)		(71,804	)		(3,041,663	)
Net increase (decrease) in net assets from operations		69,190			3,294,526
Distributions to shareholders from:
Net investment income
Class III		(10,715	)		(163,264	)
Class M		(2,204	)		(4,666	)
Total distributions from net investment income		(12,919	)		(167,930	)
Net share transactions (Note 9):
Class III		(1,852	)		(41,634,045	)
Class M		(69,635	)		(119,482	)
Increase (decrease) in net assets resulting from net share transactions		(71,487	)		(41,753,527	)
Total increase (decrease) in net assets		(15,216	)		(38,626,931	)
Net assets:
Beginning of period		2,495,405			41,122,336
End of period (including accumulated undistributed net investment income of $5,953 and $3,938, respectively)	$	2,480,189		$	2,495,405

10 See accompanying notes to the financial statements.

GMO U.S. Growth Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	17.59		$	14.61		$	10.47		$	15.82		$	17.24		$	18.17
Income (loss) from investment operations:
Net investment income (loss)†		0.11			0.16			0.21			0.18			0.17			0.15
Net realized and unrealized gain (loss)		0.39			3.00			4.15			(5.32	)		(1.06	)		0.07
Total from investment operations		0.50			3.16			4.36			(5.14	)		(0.89	)		0.22
Less distributions to shareholders:
From net investment income		(0.10	)		(0.18	)		(0.22	)		(0.21	)		(0.17	)		(0.15	)
From net realized gains		—			—			—			—			(0.36	)		(1.00	)
Total distributions		(0.10	)		(0.18	)		(0.22	)		(0.21	)		(0.53	)		(1.15	)
Net asset value, end of period	$	17.99		$	17.59		$	14.61		$	10.47		$	15.82		$	17.24
Total Return(a)		2.83	%**(b)		21.76	%(c)		41.94	%		(32.84	)%		(5.49	)%		1.24	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,950		$	1,908		$	40,521		$	34,758		$	129,666		$	224,554
Net expenses to average daily net assets		0.46	%(d)*		0.46	%(d) (e)		0.46	%		0.46	%(e)		0.46	%(e)		0.46	%
Net investment income (loss) to average daily net assets		1.25	%*		1.09	%		1.60	%		1.19	%		0.94	%		0.85	%
Portfolio turnover rate		20	%**		61	%		118	%		70	%		97	%		111	%
Fees and expenses reimbursed by the Manager to average daily net assets:		4.42	%*		1.40	%		0.33	%		0.19	%		0.07	%		0.05	%

(a)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.
(b)	Litigation proceeds received during the period ended had a positive impact on total return adding 3.39%.
(c)	Litigation proceeds received during the fiscal year had a positive impact on total return 3.84%.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 11

GMO U.S. Growth Fund
(A Series of GMO Trust)

Financial Highlights — (Continued)
(For a Class M share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	17.55		$	14.58		$	10.45		$	15.76		$	17.16		$	18.10
Income (loss) from investment operations:
Net investment income (loss)†		0.09			0.15			0.17			0.13			0.11			0.10
Net realized and unrealized gain (loss)		0.38			2.95			4.14			(5.30	)		(1.05	)		0.06
Total from investment operations		0.47			3.10			4.31			(5.17	)		(0.94	)		0.16
Less distributions to shareholders:
From net investment income		(0.07	)		(0.13	)		(0.18	)		(0.14	)		(0.10	)		(0.10	)
From net realized gains		—			—			—			—			(0.36	)		(1.00	)
Total distributions		(0.07	)		(0.13	)		(0.18	)		(0.14	)		(0.46	)		(1.10	)
Net asset value, end of period	$	17.95		$	17.55		$	14.58		$	10.45		$	15.76		$	17.16
Total Return(a)		2.68	%(b)**		21.36	%(c)		41.50	%		(33.01	)%		(5.79	)%		0.91	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	530		$	587		$	601		$	525		$	68,732		$	85,714
Net expenses to average daily net assets		0.76	%(d)*		0.76	%(d)(e)		0.76	%		0.76	%(e)		0.76	%(e)		0.76	%
Net investment income (loss) to average daily net assets		0.95	%*		1.00	%		1.31	%		0.80	%		0.64	%		0.56	%
Portfolio turnover rate		20	%**		61	%		118	%		70	%		97	%		111	%
Fees and expenses reimbursed by the Manager to average daily net assets:		4.43	%*		5.15	%		0.34	%		0.10	%		0.07	%		0.05	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	Litigation proceeds received during the period ended had a positive impact on total return adding 3.39%.
(c)	Litigation proceeds received during the fiscal year had a positive impact on total return 3.84%.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

12 See accompanying notes to the financial statements.

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO U.S. Growth Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks long-term capital growth. The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes will provide higher returns than the Russell 1000 Growth Index.

The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, industry and sector exposure, and market capitalization.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options and swap contracts. In addition, the Fund may lend its portfolio securities.

The Fund typically invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equities. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to the U.S. The term “equities” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

13

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

Throughout the year ended August 31, 2011, the Fund had two classes of shares outstanding: Class III and Class M. Class M shares bear an administration fee and a 12b-1 fee, while Class III shares bear a shareholder service fee (See Note 5). The principal economic difference between the classes of shares is the type and level of fees they bear.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See Note 4 for a further discussion on valuation of derivative financial instruments.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

14

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks	$	2,439,518	$	—	$	—	$	2,439,518
Mutual Funds		65,023		—		—		65,023
Short-Term Investments		14,526		—		—		14,526
Total Investments		2,519,067		—		—		2,519,067
Total	$	2,519,067	$	—	$	—	$	2,519,067

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

15

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

All of the Fund’s common stocks held at period end are classified as Level 1. Please refer to the Schedule of Investments for a more detailed categorization of common stocks.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital losses of $1,416.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. As of February 28, 2011, the capital loss carryforwards disclosed below were permanently reduced by $18,702,667 due to share ownership activity. Utilization of the capital loss carryforwards, post-October capital losses and losses realized in the future, if any,

16

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

subsequent to February 28, 2011 could be subject to further limitations imposed by the Code related to share ownership activity. The Fund’s capital loss carryforwards expire as follows:

February 28, 2017	$	(557,487	)
February 28, 2018		(91,367	)
Total	$	(648,854	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	2,306,137	$	304,191	$	(91,261	)	$	212,930

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security

17

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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 and realized and unrealized gains and losses are allocated among the classes of shares of the Fund based on the relative net assets of each class. Shareholder service, 12b-1, and administration fees, which are directly attributable to a class of shares, are charged to that class’s operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. The Fund may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

18

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Focused Investment Risk — Focusing investments in sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

19

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

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

The Fund also may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero).

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

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposure in excess of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

20

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which

21

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to maintain the diversity and liquidity of the portfolio. The Fund had no futures contracts outstanding at the end of the period.

Options

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

22

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or

23

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

24

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

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

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^:

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Futures contracts	$	—	$	—	$	—	$	(2,267	)	$	—	$	(2,267	)
Total	$	—	$	—	$	—	$	(2,267	)	$	—	$	(2,267	)

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

25

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The volume of derivative activity, based on absolute values (futures contracts), outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Futures contracts
Average amount outstanding	$	22,530

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.31% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

Holders of Class M shares of the Fund pay GMO an administration fee for support services provided to Class M shareholders. That fee is paid monthly at the annual rate of 0.20% of the average daily net assets of Class M shares. Pursuant to a Rule 12b-1 distribution and service plan adopted by the Fund, holders of Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily net assets of Class M shares, for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or the provision of services to Class M shareholders. The Trustees currently limit payments on Class M shares to 0.25% of the Fund’s average daily net assets of Class M shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.31% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means the administration fee and distribution (12b-1) fee (Class M Shares only) shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

26

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $21 and $10, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $534,844 and $508,509, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 90.89% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.39% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and none of the Fund’s shares were held by accounts for which the Manager had investment discretion.

27

GMO U.S. Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		297		$	5,421			3,949		$	66,528
Shares issued to shareholders in reinvestment of distributions		575			10,473			10,490			162,806
Shares repurchased		(978	)		(17,746	)		(2,679,550	)		(41,863,379	)
Net increase (decrease)		(106	)	$	(1,852	)		(2,665,111	)	$	(41,634,045	)
	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
Class M:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		121			2,203			294			4,665
Shares repurchased		(4,016	)		(71,838	)		(8,092	)		(124,147	)
Net increase (decrease)		(3,895	)	$	(69,635	)		(7,798	)	$	(119,482	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions
	beginning of				Sales		Dividend		of Realized		Value, end
Affiliate	period		Purchases		Proceeds		Income		Gains		of period
GMO U.S. Treasury Fund	$	100,999	$	97,000	$	133,000	$	28	$	4	$	65,023
Totals	$	100,999	$	97,000	$	133,000	$	28	$	4	$	65,023

28

GMO U.S. Growth Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

29

GMO U.S. Growth Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

30

GMO U.S. Growth Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

31

GMO U.S. Growth Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, distribution (12b-1) and/or administration fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

32

GMO U.S. Growth Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending
	Net Expense			Account		Account		Net Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.46	%	$	1,000.00	$	1,028.30	$	2.35
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.82	$	2.34
Class M
1) Actual		0.76	%	$	1,000.00	$	1,026.80	$	3.87
2) Hypothetical		0.76	%	$	1,000.00	$	1,021.32	$	3.86

            * Expenses are calculated using each Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

33

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.6	%
Mutual Funds		2.0
Short-Term Investments		0.6
Rights and Warrants		0.0	^
Other		(0.2	)
		100.0	%

Industry Group Summary	% of Equity Investments*
Energy		16.7	%
Pharmaceuticals, Biotechnology & Life Sciences		15.1
Health Care Equipment & Services		12.1
Software & Services		11.0
Insurance		7.4
Technology Hardware & Equipment		7.1
Food, Beverage & Tobacco		5.9
Telecommunication Services		5.2
Food & Staples Retailing		4.9
Capital Goods		3.8
Diversified Financials		3.3
Household & Personal Products		1.4
Retailing		1.4
Utilities		0.9
Materials		0.7
Transportation		0.6
Consumer Services		0.6
Consumer Durables & Apparel		0.4
Media		0.4
Semiconductors & Semiconductor Equipment		0.3
Real Estate		0.3
Banks		0.2
Commercial & Professional Services		0.2
Automobiles & Components		0.1
		100.0	%

*	Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.
Ù	Rounds to 0.0%.

1

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.6%
		Automobiles & Components — 0.1%
	100	Autoliv, Inc.		5,582
		Banks — 0.2%
	1,100	CapitalSource, Inc.		6,985
	200	Prosperity Bancshares, Inc.		7,570
	100	SVB Financial Group *		4,608
		Total Banks		19,163
		Capital Goods — 3.7%
	300	3M Co.		24,894
	200	AGCO Corp. *		8,568
	40	Cummins, Inc.		3,717
	180	Eaton Corp.		7,731
	200	Fluor Corp.		12,144
	200	General Cable Corp. *		6,030
	2,200	General Electric Co.		35,882
	1,300	General Dynamics Corp.		83,304
	100	ITT Industries, Inc.		4,734
	200	KBR, Inc.		6,010
	300	L-3 Communications Holdings, Inc.		20,346
	170	Lockheed Martin Corp.		12,612
	400	Northrop Grumman Corp.		21,848
	100	Parker Hannifin Corp.		7,343
	40	Precision Castparts Corp.		6,554
	300	Raytheon Co.		12,969
	100	Roper Industries, Inc.		7,695
	100	Timken Co. (The)		3,935
	100	United Technologies Corp.		7,425
	200	WESCO International, Inc. *		8,618
		Total Capital Goods		302,359

2 See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Commercial & Professional Services — 0.2%
	200	Pitney Bowes, Inc.		4,062
	800	RR Donnelley & Sons Co.		12,200
		Total Commercial & Professional Services		16,262
		Consumer Durables & Apparel — 0.4%
	100	Coach, Inc.		5,622
	70	Fossil, Inc. *		6,763
	200	Garmin Ltd		6,706
	400	Newell Rubbermaid, Inc.		5,536
	100	Nike, Inc.-Class B		8,665
		Total Consumer Durables & Apparel		33,292
		Consumer Services — 0.5%
	500	McDonald’s Corp.		45,230
		Diversified Financials — 3.2%
	70	Affiliated Managers Group, Inc. *		6,101
	4,100	Bank of America Corp.		33,497
	120	BlackRock, Inc.		19,770
	400	Capital One Financial Corp.		18,420
	1,800	Citigroup, Inc.		55,890
	1,300	Discover Financial Services		32,708
	170	Goldman Sachs Group (The), Inc.		19,758
	300	Invesco Ltd.		5,490
	400	Leucadia National Corp.		11,852
	200	Moody’s Corp.		6,166
	900	Morgan Stanley		15,750
	700	NASDAQ OMX Group, Inc. (The) *		16,583
	800	SLM Corp.		10,984
	200	Stifel Financial Corp. *		6,016
	400	TD Ameritrade Holding Corp.		6,152
		Total Diversified Financials		265,137

See accompanying notes to the financial statements. 3

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Energy — 16.3%
	400	Anadarko Petroleum Corp.		29,500
	100	Atwood Oceanics, Inc. *		4,209
	500	Baker Hughes, Inc.		30,555
	200	Bill Barrett Corp. *		9,590
	400	Chesapeake Energy Corp.		12,956
	3,420	Chevron Corp.		338,272
	4,629	ConocoPhillips		315,096
	100	Devon Energy Corp.		6,783
	400	El Paso Corp.		7,656
	3,600	Exxon Mobil Corp.		266,544
	100	Helmerich & Payne, Inc.		5,702
	170	Hess Corp.		10,088
	750	Marathon Petroleum Corp.		27,795
	1,800	Marathon Oil Corp.		48,456
	200	Murphy Oil Corp.		10,716
	200	Nabors Industries Ltd. *		3,688
	1,200	National Oilwell Varco, Inc.		79,344
	200	Oceaneering International, Inc.		8,538
	100	Oil States International, Inc. *		6,608
	400	Patterson-UTI Energy, Inc.		9,776
	100	Peabody Energy Corp.		4,880
	200	Plains Exploration & Production Co. *		5,882
	200	Rowan Cos, Inc. *		7,214
	80	Schlumberger Ltd.		6,250
	500	Sunoco, Inc.		19,070
	100	Tidewater, Inc.		5,360
	1,500	Valero Energy Corp.		34,080
	300	Weatherford International Ltd. *		5,139
	600	Williams Cos., Inc.		16,194
	200	World Fuel Services Corp.		7,428
		Total Energy		1,343,369

4 See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Food & Staples Retailing — 4.8%
	100	BJ’s Wholesale Club, Inc. *		5,082
	1,200	CVS Caremark Corp.		43,092
	1,500	Kroger Co. (The)		35,340
	500	Safeway, Inc.		9,165
	2,700	Walgreen Co.		95,067
	3,900	Wal–Mart Stores, Inc.		207,519
		Total Food & Staples Retailing		395,265
		Food, Beverage & Tobacco — 5.8%
	1,600	Altria Group, Inc.		43,504
	200	Archer-Daniels-Midland Co.		5,696
	100	Bunge Ltd.		6,471
	2,700	Coca-Cola Co. (The)		190,215
	600	Dean Foods Co. *		5,184
	200	General Mills, Inc.		7,582
	200	Hansen Natural Corp. *		17,064
	407	Kraft Foods, Inc.-Class A		14,253
	80	Lorillard, Inc.		8,914
	1,097	PepsiCo, Inc.		70,680
	1,500	Philip Morris International, Inc.		103,980
	224	Tyson Foods, Inc.-Class A		3,913
		Total Food, Beverage & Tobacco		477,456
		Health Care Equipment & Services — 11.8%
	1,500	Aetna, Inc.		60,045
	100	AMERIGROUP Corp. *		4,947
	600	AmerisourceBergen Corp.		23,748
	100	Baxter International, Inc.		5,598
	2,000	Boston Scientific Corp. *		13,560
	1,400	Cardinal Health, Inc.		59,500
	600	Cigna Corp.		28,044
	600	Coventry Health Care, Inc. *		19,728
	280	Express Scripts, Inc. *		13,143
	400	Health Net, Inc. *		9,876

See accompanying notes to the financial statements. 5

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	900	Humana, Inc.		69,876
	300	Kinetic Concepts, Inc. *		20,262
	800	McKesson Corp.		63,944
	2,200	Medtronic, Inc.		77,154
	100	Omnicare, Inc.		2,971
	200	Quest Diagnostics, Inc.		10,014
	200	Stryker Corp.		9,768
	6,667	UnitedHealth Group, Inc.		316,816
	1,800	WellPoint, Inc.		113,940
	800	Zimmer Holdings, Inc. *		45,512
		Total Health Care Equipment & Services		968,446
		Household & Personal Products — 1.4%
	300	Colgate–Palmolive Co.		26,991
	100	Energizer Holdings, Inc. *		7,548
	100	Herbalife Ltd.		5,580
	1,200	Procter & Gamble Co. (The)		76,416
		Total Household & Personal Products		116,535
		Insurance — 7.2%
	900	ACE, Ltd.		58,122
	1,000	AFLAC, Inc.		37,720
	100	Allied World Assurance Co Holdings Ltd.		5,190
	1,400	Allstate Corp. (The)		36,722
	400	American Financial Group, Inc.		13,312
	1,500	American International Group, Inc. *		37,995
	600	Arch Capital Group Ltd. *		20,208
	200	Aspen Insurance Holdings Ltd.		4,802
	400	Assurant, Inc.		14,068
	400	Axis Capital Holdings Ltd.		11,464
	300	Brown & Brown, Inc.		6,303
	700	Chubb Corp.		43,323
	900	CNO Financial Group, Inc. *		5,787
	200	Endurance Specialty Holdings Ltd.		7,232

6 See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Insurance — continued
	100	Everest Re Group Ltd.		8,070
	800	Hartford Financial Services Group, Inc. (The)		15,312
	400	HCC Insurance Holdings, Inc.		11,696
	500	Lincoln National Corp.		10,375
	100	PartnerRe Ltd.		5,699
	400	Principal Financial Group, Inc.		10,144
	1,400	Progressive Corp. (The)		26,852
	300	Protective Life Corp.		5,697
	100	Prudential Financial, Inc.		5,021
	200	Reinsurance Group of America, Inc.		10,674
	200	RenaissanceRe Holdings Ltd.		13,114
	200	StanCorp Financial Group, Inc.		6,110
	450	Torchmark Corp.		17,194
	100	Transatlantic Holdings, Inc.		5,063
	1,900	Travelers Cos. (The), Inc.		95,874
	600	Unum Group		14,124
	300	W.R. Berkley Corp.		9,267
	900	XL Group Plc		18,729
		Total Insurance		591,263
		Materials — 0.7%
	1,200	Alcoa, Inc.		15,372
	300	Dow Chemical Co. (The)		8,535
	700	Du Pont (E.I.) de Nemours & Co.		33,789
		Total Materials		57,696
		Media — 0.4%
	700	CBS Corp.-Class B (Non Voting)		17,535
	100	Liberty Media Corp. Capital-Class A *		7,131
	400	News Corp.-Class A		6,908
		Total Media		31,574

See accompanying notes to the financial statements. 7

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 14.7%
	1,900	Abbott Laboratories		99,769
	2,300	Amgen, Inc.		127,431
	1,100	Biogen Idec, Inc. *		103,620
	400	Bristol–Myers Squibb Co.		11,900
	4,900	Eli Lilly & Co.		183,799
	500	Endo Pharmaceuticals Holdings, Inc. *		15,955
	1,500	Forest Laboratories, Inc. *		51,360
	900	Gilead Sciences, Inc. *		35,897
	2,500	Johnson & Johnson		164,500
	1,600	Merck & Co., Inc.		52,992
	100	Mylan, Inc. *		2,076
	18,976	Pfizer, Inc.		360,164
		Total Pharmaceuticals, Biotechnology & Life Sciences		1,209,463
		Real Estate — 0.3%
	800	Annaly Capital Management, Inc. REIT		14,504
	300	ProLogis, Inc. REIT		8,169
		Total Real Estate		22,673
		Retailing — 1.3%
	100	Abercrombie & Fitch Co.-Class A		6,361
	100	Advance Auto Parts, Inc.		6,072
	450	Aeropostale, Inc. *		5,031
	200	AutoNation, Inc. *		8,076
	30	AutoZone, Inc. *		9,210
	200	Best Buy Co., Inc.		5,118
	200	Dollar Tree, Inc. *		14,284
	100	Family Dollar Stores, Inc.		5,339
	400	Foot Locker, Inc.		8,348
	100	Genuine Parts Co.		5,502
	100	Guess?, Inc.		3,411
	200	J.C. Penney Co., Inc.		5,326
	500	Lowe’s Cos., Inc.		9,965
	100	O’Reilly Automotive, Inc. *		6,488

8 See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	200	Rent-A-Center, Inc.		5,636
	100	Target Corp.		5,167
		Total Retailing		109,334
		Semiconductors & Semiconductor Equipment — 0.3%
	200	KLA-Tencor Corp.		7,336
	600	Texas Instruments, Inc.		15,726
		Total Semiconductors & Semiconductor Equipment		23,062
		Software & Services — 10.8%
	200	Cognizant Technology Solutions Corp.-Class A *		12,690
	3,000	eBay, Inc. *		92,610
	100	Fiserv, Inc. *		5,583
	380	Google, Inc.-Class A *		205,565
	330	International Business Machines Corp.		56,730
	9,300	Microsoft Corp.		247,380
	8,400	Oracle Corp.		235,788
	1,700	Symantec Corp. *		29,155
		Total Software & Services		885,501
		Technology Hardware & Equipment — 7.0%
	640	Apple, Inc. *		246,291
	200	Arrow Electronics, Inc. *		6,240
	2,800	Cisco Systems, Inc.		43,904
	700	Dell, Inc. *		10,406
	3,900	Hewlett-Packard Co.		101,517
	700	Ingram Micro, Inc.-Class A *		12,488
	200	Juniper Networks, Inc. *		4,186
	400	Lexmark International, Inc. *		12,784
	200	Motorola Solutions, Inc. *		8,418
	1,700	Qualcomm, Inc.		87,482
	200	Tech Data Corp. *		9,416
	1,000	Western Digital Corp. *		29,490
		Total Technology Hardware & Equipment		572,622

See accompanying notes to the financial statements. 9

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Telecommunication Services — 5.1%
	8,558	AT&T, Inc.		243,732
	200	Centurylink, Inc.		7,230
	200	MetroPCS Communications, Inc. *		2,232
	4,652	Verizon Communications, Inc.		168,263
		Total Telecommunication Services		421,457
		Transportation — 0.6%
	200	Con-way, Inc.		5,118
	450	Union Pacific Corp.		41,476
		Total Transportation		46,594
		Utilities — 0.8%
	300	Aqua America, Inc.		6,624
	500	Exelon Corp.		21,560
	300	NextEra Energy, Inc.		17,016
	600	Southern Co.		24,816
		Total Utilities		70,016
		TOTAL COMMON STOCKS (COST $7,404,833)		8,029,351
		MUTUAL FUNDS — 2.0%
		Affiliated Issuers — 2.0%
	6,720	GMO U.S. Treasury Fund		168,068
		TOTAL MUTUAL FUNDS (COST $168,001)		168,068
		RIGHTS AND WARRANTS — 0.0%
		Insurance — 0.0%
	160	American International Group, Inc., Warrants, Strike 45.00 *		1,200

10 See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
	400	Sanofi Aventis, Rights, Expires 12/31/20 *		420
		TOTAL RIGHTS AND WARRANTS (COST $3,659)		1,620
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	49,123	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%(a)		49,123
		TOTAL SHORT-TERM INVESTMENTS (COST $49,123)		49,123
		TOTAL INVESTMENTS — 100.2% (Cost $7,625,616)		8,248,162
		Other Assets and Liabilities (net) — (0.2%)		(19,039	)
		TOTAL NET ASSETS — 100.0%	$	8,229,123

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*	Non-income producing security.
(a)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

See accompanying notes to the financial statements. 11

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $7,457,615) (Note 2)	$	8,080,094
Investments in affiliated issuers, at value (cost $168,001) (Notes 2 and 10)		168,068
Dividends receivable		25,636
Receivable for expenses reimbursed by Manager (Note 5)		8,494
Total assets		8,282,292
Liabilities:
Payable to affiliate for (Note 5):
Management fee		2,101
Shareholder service fee		1,017
Trustees and Trust Officers or agents unaffiliated with the Manager		21
Accrued expenses		50,030
Total liabilities		53,169
Net assets	$	8,229,123
Net assets consist of:
Paid-in capital	$	10,397,112
Accumulated undistributed net investment income		31,458
Accumulated net realized loss		(2,821,993	)
Net unrealized appreciation		622,546
	$	8,229,123
Net assets attributable to:
Class III shares	$	8,229,123
Shares outstanding:
Class III		1,103,021
Net asset value per share:
Class III	$	7.46

12 See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers	$	95,306
Dividends from affiliated issuers (Note 10)		60
Interest		1
Total investment income		95,367
Expenses:
Management fee (Note 5)		13,386
Shareholder service fee – Class III (Note 5)		6,477
Audit and tax fees		28,888
Custodian, fund accounting agent and transfer agent fees		8,648
Registration fees		372
Legal fees		184
Trustees fees and related expenses (Note 5)		16
Miscellaneous		5,164
Total expenses		63,135
Fees and expenses reimbursed by Manager (Note 5)		(43,244	)
Net expenses		19,891
Net investment income (loss)		75,476
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		371,753
Investments in affiliated issuers		(30	)
Realized gains distributions from affiliated issuers (Note 10)		8
Swap contracts		(1,283	)
Net realized gain (loss)		370,448
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(793,477	)
Investments in affiliated issuers		106
Swap contracts		960
Net unrealized gain (loss)		(792,411	)
Net realized and unrealized gain (loss)		(421,963	)
Net increase (decrease) in net assets resulting from operations	$	(346,487	)

See accompanying notes to the financial statements. 13

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	75,476		$	117,163
Net realized gain (loss)		370,448			280,327
Change in net unrealized appreciation (depreciation)		(792,411	)		1,142,182
Net increase (decrease) in net assets from operations		(346,487	)		1,539,672
Distributions to shareholders from:
Net investment income
Class III		(67,906	)		(114,113	)
Net share transactions (Note 9):
Class III		69,793			127,830
Total increase (decrease) in net assets		(344,600	)		1,553,389
Net assets:
Beginning of period		8,573,723			7,020,334
End of period (including accumulated undistributed net investment income of $31,458 and $23,888, respectively)	$	8,229,123		$	8,573,723

14 See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	7.83		$	6.53		$	4.55		$	7.86		$	9.68		$	10.78
Income (loss) from investment operations:
Net investment income (loss)†		0.07			0.11			0.10			0.14			0.18			0.21
Net realized and unrealized gain (loss)		(0.38	)		1.30			1.98			(3.31	)		(1.23	)		0.80
Total from investment operations		(0.31	)		1.41			2.08			(3.17	)		(1.05	)		1.01
Less distributions to shareholders:
From net investment income		(0.06	)		(0.11	)		(0.10	)		(0.14	)		(0.18	)		(0.23	)
From net realized gains		—			—			—			—			(0.59	)		(1.88	)
Total distributions		(0.06	)		(0.11	)		(0.10	)		(0.14	)		(0.77	)		(2.11	)
Net asset value, end of period	$	7.46		$	7.83		$	6.53		$	4.55		$	7.86		$	9.68
Total Return(a)		(3.99	)%**		21.81	%(b)		45.95	%		(40.83	)%		(11.88	)%		9.80	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	8,229		$	8,574		$	7,020		$	4,838		$	29,358		$	35,726
Net expenses to average daily net assets		0.46	%(d)*		0.46	%(d)		0.46	%		0.46	%(c)		0.46	%		0.46	%
Net investment income (loss) to average daily net assets		1.75	%*		1.59	%		1.70	%		1.94	%		1.93	%		1.91	%
Portfolio turnover rate		23	%**		53	%		54	%		57	%		75	%		72	%
Fees and expenses reimbursed by the Manager to average daily net assets:		1.00	%*		1.30	%		1.22	%		0.43	%		0.23	%		0.13	%

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.
(b)	Litigation proceeds received during the fiscal year had a positive impact on total return adding 1.35%.
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 15

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO U.S. Intrinsic Value Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks long-term capital growth.  The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes will provide higher returns than the Russell 1000 Value Index.

The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, industry and sector exposure, and market capitalization.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options and swap contracts. In addition, the Fund may lend its portfolio securities.

The Fund typically invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equities. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to the U.S. The term “equities” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

16

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See Note 4 for a further discussion on valuation of derivative financial instruments.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

17

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks	$	8,029,351	$	—	$	—	$	8,029,351
Mutual Funds		168,068		—		—		168,068
Rights and Warrants		—		1,620		—		1,620
Short-Term Investments		49,123		—		—		49,123
Total Investments		8,246,542		1,620		—		8,248,162
Total	$	8,246,542	$	1,620	$	—	$	8,248,162

All of the Fund’s common stocks held at period end are classified as Level 1. Please refer to the Schedule of Investments for a more detailed categorization of common stocks.

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

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

18

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. As of February 28, 2011, the capital loss carryforwards disclosed below were permanently reduced by $290,942 due to share ownership activity. Utilization of the capital loss carryforwards, post-October capital losses and losses realized in the future, if any, subsequent to February 28, 2011 could be subject to further limitations imposed by the Code related to share ownership activity. The Fund’s capital loss carryforwards expire as follows:

February 28, 2017	$	(2,533,619	)
February 28, 2018		(290,942	)
February 28, 2019		(44,588	)
Total	$	(2,869,149	)

19

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	7,898,725	$	697,543	$	(348,106	)	$	349,437

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

20

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be

21

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small and midcap companies 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.

• Focused Investment Risk — Focusing investments in sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

22

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

The Fund also may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero).

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

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposure in excess of its’ net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives).  Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives

23

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

24

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Futures contracts

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

Options

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

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

25

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon

26

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used total return swap agreements to achieve returns comparable to holding and lending a direct equity position. The Fund had no swap agreements outstanding at the end of the period.

27

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants received as a result of corporate actions. Rights and/or warrants held by the Fund at the end of the period are listed in the Fund’s Schedule of Investments.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Assets:
Investments, at value (rights and/or warrants)	$	—	$	—	$	—	$	1,620	$	—	$	1,620
Total	$	—	$	—	$	—	$	1,620	$	—	$	1,620

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Swap agreements	$	—	$	—	$	—	$	(1,283	)	$	—	$	(1,283	)
Total	$	—	$	—	$	—	$	(1,283	)	$	—	$	(1,283	)
Change in Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	—	$	—	$	(1,328	)	$	—	$	(1,328	)
Swap agreements		—		—		—		960			—		960
Total	$	—	$	—	$	—	$	(368	)	$	—	$	(368	)

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for

28

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

The volume of derivative activity, based on absolute values (rights and/or warrants) or notional amounts (swap agreements) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Swap		Rights and/or
	Agreements		Warrants
Average amount outstanding	$	5,130	$	2,149

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.31% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.31% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $16 and $12, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

29

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $2,107,560 and $2,013,869, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 97.67% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.36% of the Fund’s shares were held by senior management of the Manager and GMO Trust officers and 0.20% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

30

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		923		$	7,224			5,305		$	39,149
Shares issued to shareholders in reinvestment of distributions		8,430			67,569			16,949			113,504
Shares repurchased		(638	)		(5,000	)		(3,472	)		(24,823	)
Net increase (decrease)		8,715		$	69,793			18,782		$	127,830

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions
	beginning of				Sales		Dividend		of Realized		Value, end
Affiliate	period		Purchases		Proceeds		Income		Gains		of period
GMO U.S. Treasury Fund	$	205,992	$	75,000	$	113,000	$	60	$	8	$	168,068
Totals	$	205,992	$	75,000	$	113,000	$	60	$	8	$	168,068

31

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

32

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

33

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

34

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

35

GMO U.S. Intrinsic Value Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.46	%	$	1,000.00	$	960.10	$	2.27
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.82	$	2.34

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

36

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		99.5	%
Mutual Funds		1.3
Short-Term Investments		0.2
Other		(1.0	)
		100.0	%

Industry Group Summary	% of Equity Investments*
Capital Goods		14.0	%
Software & Services		11.3
Energy		9.4
Health Care Equipment & Services		8.9
Consumer Durables & Apparel		7.6
Materials		6.6
Technology Hardware & Equipment		6.6
Retailing		5.8
Pharmaceuticals, Biotechnology & Life Sciences		5.1
Semiconductors & Semiconductor Equipment		4.5
Diversified Financials		4.0
Consumer Services		3.3
Commercial & Professional Services		2.6
Household & Personal Products		2.3
Insurance		1.8
Automobiles & Components		1.6
Food, Beverage & Tobacco		1.5
Transportation		1.2
Food & Staples Retailing		0.9
Telecommunication Services		0.7
Banks		0.1
Media		0.1
Real Estate		0.1
		100.0	%

* Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

1

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.5%
		Automobiles & Components — 1.6%
	800	Dana Holding Corp. *		10,200
	500	Dorman Products, Inc. *		16,175
	400	Exide Technologies *		2,256
	1,300	Goodyear Tire & Rubber Co. (The) *		16,198
	100	Standard Motor Products, Inc.		1,317
	800	Tenneco, Inc. *		26,248
		Total Automobiles & Components		72,394
		Banks — 0.1%
	100	Signature Bank/New York NY *		5,561
	100	ViewPoint Financial Group		1,201
		Total Banks		6,762
		Capital Goods — 13.9%
	1,100	Ametek, Inc.		42,988
	200	Applied Industrial Technologies, Inc.		6,124
	100	Armstrong World Industries, Inc.		4,027
	400	Astronics Corp. *		11,932
	40	Astronics Corp.-Class B *		1,000
	300	Blount International, Inc. *		4,716
	200	CAI International, Inc. *		3,026
	800	Chicago Bridge & Iron Co NV (NY Shares)		28,600
	600	Colfax Corp. *		15,048
	400	DXP Enterprises, Inc. *		9,636
	100	EnPro Industries, Inc. *		3,882
	800	Gardner Denver, Inc.		63,032
	100	General Cable Corp. *		3,015
	600	Graco, Inc.		23,688
	100	Hubbell, Inc.-Class B		5,913
	100	KBR, Inc.		3,005
	300	Kennametal, Inc.		11,058
	400	Lincoln Electric Holdings, Inc.		13,612
	800	Manitowoc Co. (The), Inc.		8,888

2 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Capital Goods — continued
	300	Middleby Corp. *		24,169
	100	MSC Industrial Direct Co., Inc.-Class A		6,167
	100	Nordson Corp.		4,390
	1,100	Pall Corp.		56,243
	1,400	Polypore International, Inc. *		86,338
	100	Raven Industries, Inc.		5,433
	900	Sauer-Danfoss, Inc. *		38,907
	100	Textainer Group Holdings Ltd.		2,371
	100	Thomas & Betts Corp. *		4,368
	900	Timken Co. (The)		35,415
	200	Titan International, Inc.		4,300
	100	Titan Machinery, Inc. *		2,651
	100	Toro Co. (The)		5,457
	1,000	Trimas Corp. *		19,330
	1,400	WABCO Holdings, Inc. *		65,310
	400	WESCO International, Inc. *		17,236
		Total Capital Goods		641,275
		Commercial & Professional Services — 2.6%
	200	Acacia Research – Acacia Technologies *		8,740
	300	Brink’s Co. (The)		7,710
	400	Clean Harbors, Inc. *		21,548
	200	CompX International, Inc.		2,886
	100	Copart, Inc. *		4,304
	500	Deluxe Corp.		11,065
	400	IHS, Inc.-Class A *		31,036
	300	Insperity, Inc.		7,470
	400	Knoll, Inc.		6,328
	800	Rollins, Inc.		16,728
	100	SFN Group, Inc. *		1,401
	100	Steelcase, Inc.-Class A		828
		Total Commercial & Professional Services		120,044

See accompanying notes to the financial statements. 3

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Consumer Durables & Apparel — 7.5%
	1,600	Fossil, Inc. *		154,576
	300	Oxford Industries, Inc.		10,746
	400	Polaris Industries, Inc.		43,948
	300	Steven Madden Ltd. *		10,836
	1,100	Tempur-Pedic International, Inc. *		64,064
	500	Timberland Co.-Class A *		21,470
	600	Under Armour, Inc.-Class A *		42,516
		Total Consumer Durables & Apparel		348,156
		Consumer Services — 3.3%
	100	AFC Enterprises, Inc. *		1,299
	100	BJ’s Restaurants, Inc. *		4,617
	400	Brinker International, Inc.		9,032
	100	DineEquity, Inc. *		4,190
	200	Domino’s Pizza, Inc. *		5,546
	500	Krispy Kreme Doughnuts, Inc. *		4,545
	200	Papa John’s International, Inc. *		5,950
	1,900	Weight Watchers International, Inc.		114,988
		Total Consumer Services		150,167
		Diversified Financials — 4.0%
	200	Affiliated Managers Group, Inc. *		17,432
	1,200	BGC Partners, Inc.-Class A		7,884
	200	Credit Acceptance Corp. *		13,828
	1,000	DFC Global Corp. *		22,070
	500	EZCORP, Inc.-Class A *		16,775
	400	Financial Engines, Inc. *		8,912
	900	First Cash Financial Services, Inc. *		42,039
	102	Kohlberg Capital Corp.		664
	100	Stifel Financial Corp. *		3,008
	200	Virtus Investment Partners, Inc. *		12,262
	800	Waddell and Reed Financial, Inc.		24,976
	200	World Acceptance Corp. *		13,030
		Total Diversified Financials		182,880

4 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Energy — 9.4%
	200	Apco Oil and Gas International, Inc.		15,828
	100	Atwood Oceanics, Inc. *		4,209
	500	Callon Petroleum Co. *		2,875
	100	CARBO Ceramics, Inc.		16,015
	400	Clayton Williams Energy, Inc. *		22,696
	400	CVR Energy, Inc. *		11,388
	1,000	Golar LNG Ltd.		32,990
	300	Gulfport Energy Corp. *		8,670
	2,100	HollyFrontier Corp.		150,696
	900	ION Geophysical Corp. *		6,363
	300	Lufkin Industries, Inc.		18,669
	100	Oil States International, Inc. *		6,608
	100	Rowan Cos, Inc. *		3,607
	1,350	RPC, Inc.		34,965
	300	SandRidge Energy, Inc. *		2,202
	300	St Mary Land & Exploration Co.		22,950
	1,100	Stone Energy Corp. *		29,051
	300	Superior Energy Services, Inc. *		10,596
	700	W&T Offshore, Inc.		14,784
	600	Western Refining, Inc. *		10,464
	200	World Fuel Services Corp.		7,428
		Total Energy		433,054
		Food & Staples Retailing — 0.9%
	600	PriceSmart, Inc.		39,276
		Food, Beverage & Tobacco — 1.5%
	200	B&G Foods, Inc.		3,642
	200	Boston Beer Co., Inc.-Class A *		16,214
	1,900	Darling International, Inc. *		32,015
	200	Hansen Natural Corp. *		17,064
		Total Food, Beverage & Tobacco		68,935

See accompanying notes to the financial statements. 5

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — 8.8%
	200	Accretive Health, Inc. *		5,368
	100	Air Methods Corp. *		6,655
	400	AMERIGROUP Corp. *		19,788
	100	athenahealth, Inc. *		5,800
	200	Chemed Corp.		11,610
	500	Cooper Cos, Inc. (The)		37,635
	400	CorVel Corp. *		18,248
	400	Delcath Systems, Inc. *		1,656
	300	Ensign Group, Inc. (The)		6,999
	900	Gen-Probe, Inc. *		53,973
	100	Haemonetics Corp. *		6,251
	1,500	Health Management Associates, Inc.-Class A *		12,330
	200	Healthspring, Inc. *		7,808
	500	Hill-Rom Holdings, Inc.		15,150
	300	HMS Holdings Corp. *		7,869
	200	IPC The Hospitalist Co., Inc. *		8,020
	200	Kinetic Concepts, Inc. *		13,508
	400	Masimo Corp.		9,868
	200	Medidata Solutions, Inc. *		3,300
	700	Mednax, Inc. *		45,717
	200	National Research Corp.		6,754
	500	Neogen Corp. *		17,360
	300	Providence Service Corp. (The) *		3,192
	900	PSS World Medical, Inc. *		21,222
	300	Quality Systems, Inc.		27,606
	200	Sirona Dental Systems, Inc. *		9,332
	1,300	Sunrise Senior Living, Inc. *		9,646
	100	Team Health Holdings, Inc. *		1,869
	100	WellCare Health Plans, Inc. *		4,583
	100	West Pharmaceutical Services, Inc.		4,012
	100	Zoll Medical Corp. *		4,468
		Total Health Care Equipment & Services		407,597

6 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Household & Personal Products — 2.3%
	1,900	Herbalife Ltd.		106,020
	64	USANA Health Sciences, Inc. *		1,647
		Total Household & Personal Products		107,667
		Insurance — 1.7%
	400	Brown & Brown, Inc.		8,404
	913	Erie Indemnity Co.-Class A		67,133
	200	Validus Holdings Ltd.		5,164
		Total Insurance		80,701
		Materials — 6.6%
	400	Albemarle Corp.		20,284
	100	Balchem Corp.-Class B		4,130
	100	Clearwater Paper Corp. *		3,682
	1,300	Crown Holdings, Inc. *		46,111
	100	Eastman Chemical Co.		8,273
	300	Flotek Industries, Inc. *		2,079
	1,200	Globe Specialty Metals, Inc.		20,100
	300	Hawkins, Inc.		10,875
	300	International Flavors & Fragrances, Inc.		17,406
	300	Koppers Holdings, Inc.		9,969
	400	Kraton Performance Polymers, Inc. *		9,588
	500	LSB Industries, Inc. *		19,975
	100	NewMarket Corp.		16,768
	300	Noranda Aluminum Holding Corp. *		3,411
	900	Omnova Solutions, Inc. *		3,969
	600	PolyOne Corp.		7,578
	700	Rockwood Holdings, Inc. *		35,700
	400	RPM International, Inc.		8,336
	100	Schnitzer Steel Industries, Inc.-Class A		4,554
	100	Silgan Holdings, Inc.		3,793
	1,000	Solutia, Inc. *		17,380
	3,300	US Gold Corp. *		20,427

See accompanying notes to the financial statements. 7

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Materials — continued
	200	W.R. Grace & Co. *		7,884
	100	Worthington Industries, Inc.		1,625
		Total Materials		303,897
		Media — 0.1%
	100	Arbitron, Inc.		3,755
	100	Madison Square Garden Co. (The)-Class A *		2,416
		Total Media		6,171
		Pharmaceuticals, Biotechnology & Life Sciences — 5.0%
	3,300	Akorn, Inc. *		26,532
	400	ARIAD Pharmaceuticals, Inc. *		3,936
	600	Bruker Corp. *		8,538
	600	Charles River Laboratories International, Inc. *		19,872
	1,000	Depomed, Inc. *		6,220
	400	Exelixis, Inc. *		2,992
	300	Impax Laboratories, Inc. *		5,901
	1,400	Jazz Pharmaceuticals, Inc. *		60,046
	400	Medicines Co. *		5,832
	460	Mettler-Toledo International, Inc. *		73,264
	300	PerkinElmer, Inc.		6,861
	400	Questcor Pharmaceuticals, Inc. *		12,020
	100	ZIOPHARM Oncology, Inc. *		573
		Total Pharmaceuticals, Biotechnology & Life Sciences		232,587
		Real Estate — 0.1%
	100	Getty Realty Corp. REIT		1,901
	100	Rayonier, Inc. REIT		4,194
		Total Real Estate		6,095
		Retailing — 5.8%
	100	Aaron’s, Inc.		2,664
	600	Abercrombie & Fitch Co.-Class A		38,166
	800	ANN, Inc. *		18,856
	100	Cato Corp. (The)-Class A		2,538

8 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	300	Chico’s FAS, Inc.		4,176
	100	Destination Maternity Corp.		1,405
	100	Group 1 Automotive, Inc.		4,175
	200	Hibbett Sports, Inc. *		7,492
	150	Jos. A. Bank Clothiers, Inc. *		7,688
	100	Lithia Motors, Inc.-Class A		1,887
	300	Penske Auto Group, Inc.		5,472
	2,200	Sally Beauty Holdings, Inc. *		37,180
	400	Select Comfort Corp. *		6,352
	1,600	Tractor Supply Co.		98,192
	500	Ulta Salon Cosmetics & Fragrance, Inc. *		29,540
		Total Retailing		265,783
		Semiconductors & Semiconductor Equipment — 4.5%
	9,200	Atmel Corp. *		83,812
	500	AXT, Inc. *		3,885
	1,500	Cypress Semiconductor Corp. *		23,760
	300	Entegris, Inc. *		2,256
	400	GSI Technology, Inc. *		2,012
	700	GT Advanced Technologies, Inc. *		8,547
	400	IXYS Corp. *		4,800
	300	Micrel, Inc.		3,033
	200	MIPS Technologies, Inc. *		1,120
	200	National Semiconductor Corp.		4,980
	100	NVE Corp. *		6,606
	1,200	ON Semiconductor Corp. *		8,724
	2,600	Silicon Image, Inc. *		13,858
	1,400	Skyworks Solutions, Inc. *		28,882
	1,300	TriQuint Semiconductor, Inc. *		9,854
		Total Semiconductors & Semiconductor Equipment		206,129
		Software & Services — 11.3%
	300	ACI Worldwide, Inc. *		8,973
	600	Alliance Data Systems Corp. *		56,046
	500	Ancestry.com, Inc. *		17,855

See accompanying notes to the financial statements. 9

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Software & Services — continued
	100	Ariba, Inc. *		2,713
	2,400	Compuware Corp. *		20,304
	300	DemandTec, Inc. *		1,974
	400	DST Systems, Inc.		18,768
	100	Factset Research Systems, Inc.		8,790
	1,900	Fortinet, Inc. *		36,347
	700	Global Cash Access Holdings, Inc. *		2,100
	200	Global Payments, Inc.		9,166
	1,100	Informatica Corp. *		45,958
	300	Liquidity Services, Inc. *		7,200
	300	LivePerson, Inc. *		3,525
	1,000	Magma Design Automation, Inc. *		5,090
	200	MAXIMUS, Inc.		7,398
	200	Mentor Graphics Corp. *		2,238
	300	Micros Systems, Inc. *		14,298
	400	Netscout Systems, Inc. *		5,520
	700	NIC, Inc.		8,134
	400	Opnet Technologies, Inc.		13,800
	50	Progress Software Corp. *		1,041
	200	Quest Software, Inc. *		3,446
	700	Rackspace Hosting, Inc. *		25,592
	1,000	Smith Micro Software, Inc. *		1,890
	100	Solera Holdings, Inc.		5,865
	300	Support.com, Inc. *		747
	500	Syntel, Inc.		22,880
	600	TeleTech Holdings, Inc. *		10,644
	4,100	TIBCO Software, Inc. *		91,758
	400	Travelzoo, Inc. *		14,612
	200	Valueclick, Inc. *		3,060
	1,000	VeriFone Systems, Inc. *		35,220
	200	Virtusa Corp. *		3,154
	100	VistaPrint NV *		2,943
		Total Software & Services		519,049

10 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Technology Hardware & Equipment — 6.6%
	400	Acme Packet, Inc. *		18,836
	400	ADTRAN, Inc.		12,424
	400	Anixter International, Inc.		23,604
	300	Arrow Electronics, Inc. *		9,360
	100	Cognex Corp.		3,200
	500	DDi Corp.		3,790
	100	Faro Technologies, Inc. *		3,797
	200	FEI Co. *		6,398
	1,000	Finisar Corp. *		18,460
	400	InterDigital, Inc.		28,160
	600	IPG Photonics Corp. *		34,788
	600	Ixia *		5,154
	500	National Instruments Corp.		12,715
	1,900	NCR Corp. *		32,737
	100	Newport Corp. *		1,294
	100	Oplink Communications, Inc. *		1,653
	600	Polycom, Inc. *		14,280
	400	Riverbed Technology, Inc. *		9,912
	100	Rofin-Sinar Technologies, Inc. *		2,309
	400	Trimble Navigation Ltd. *		14,856
	400	Universal Display Corp. *		19,628
	64	Vishay Precision Group, Inc. *		960
	700	Zebra Technologies Corp. *		25,151
		Total Technology Hardware & Equipment		303,466
		Telecommunication Services — 0.7%
	600	Cogent Communications Group, Inc. *		8,508
	1,700	MetroPCS Communications, Inc. *		18,972
	100	Neutral Tandem, Inc. *		1,189
	200	USA Mobility, Inc.		3,034
		Total Telecommunication Services		31,703
		Transportation — 1.2%
	700	Avis Budget Group, Inc. *		9,205
	800	Old Dominion Freight Line, Inc. *		25,696

See accompanying notes to the financial statements. 11

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Transportation — continued
	100	Park-Ohio Holdings Corp. *		1,587
	100	Ryder System, Inc.		4,708
	1,100	UTi Worldwide, Inc.		14,900
		Total Transportation		56,096
		TOTAL COMMON STOCKS (COST $4,469,199)		4,589,884
		MUTUAL FUNDS — 1.3%
		Affiliated Issuers — 1.3%
	2,320	GMO U.S. Treasury Fund		58,034
		TOTAL MUTUAL FUNDS (COST $58,034)		58,034
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	11,625	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		11,625
		TOTAL SHORT-TERM INVESTMENTS (COST $11,625)		11,625
		TOTAL INVESTMENTS — 101.0% (Cost $4,538,858)		4,659,543
		Other Assets and Liabilities (net) — (1.0%)		(46,496	)
		TOTAL NET ASSETS — 100.0%	$	4,613,047

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*	Non-income producing security.
(a)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

12 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $4,480,824) (Note 2)	$	4,601,509
Investments in affiliated issuers, at value (cost $58,034) (Notes 2 and 10)		58,034
Receivable for investments sold		79,016
Dividends receivable		1,054
Receivable for expenses reimbursed by Manager (Note 5)		12,681
Total assets		4,752,294
Liabilities:
Payable for investments purchased		75,973
Payable to affiliate for (Note 5):
Management fee		1,177
Shareholder service fee		570
Trustees and Trust Officers or agents unaffiliated with the Manager		20
Accrued expenses		61,507
Total liabilities		139,247
Net assets	$	4,613,047
Net assets consist of:
Paid-in capital	$	4,708,633
Accumulated undistributed net investment income		1,123
Accumulated net realized loss		(217,394	)
Net unrealized appreciation		120,685
	$	4,613,047
Net assets attributable to:
Class III shares	$	4,613,047
Shares outstanding:
Class III		383,500
Net asset value per share:
Class III	$	12.03

See accompanying notes to the financial statements. 13

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers (net of withholding taxes of $17)	$	20,525
Dividends from affiliated issuers (Note 10)		20
Total investment income		20,545
Expenses:
Management fee (Note 5)		10,471
Shareholder service fee – Class III (Note 5)		5,067
Custodian, fund accounting agent and transfer agent fees		37,352
Audit and tax fees		28,888
Registration fees		1,104
Legal fees		92
Trustees fees and related expenses (Note 5)		43
Miscellaneous		5,164
Total expenses		88,181
Fees and expenses reimbursed by Manager (Note 5)		(72,589	)
Net expenses		15,592
Net investment income (loss)		4,953
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		2,895,878
Net realized gain (loss)		2,895,878
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,709,760	)
Net unrealized gain (loss)		(2,709,760	)
Net realized and unrealized gain (loss)		186,118
Net increase (decrease) in net assets resulting from operations	$	191,071

14 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,953		$	28,459
Net realized gain (loss)		2,895,878			1,455,161
Change in net unrealized appreciation (depreciation)		(2,709,760	)		2,511,716
Net increase (decrease) in net assets from operations		191,071			3,995,336
Distributions to shareholders from:
Net investment income
Class III		(7,086	)		(37,472	)
Net realized gains
Class III		(2,806,995	)		—
		(2,814,081	)		(37,472	)
Net share transactions (Note 9):
Class III		(6,042,431	)		(583,571	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		44,736			4,754
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(5,997,695	)		(578,817	)
Total increase (decrease) in net assets		(8,620,705	)		3,379,047
Net assets:
Beginning of period		13,233,752			9,854,705
End of period (including accumulated undistributed net investment income of $1,123 and $3,256, respectively)	$	4,613,047		$	13,233,752

See accompanying notes to the financial statements. 15

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	15.87		$	11.17		$	7.54		$	13.59		$	18.93		$	19.67
Income (loss) from investment operations:
Net investment income (loss)†		0.01			0.03			0.03			0.04			0.06			0.07
Net realized and unrealized gain (loss)		(0.47	)(a)		4.71			3.63			(6.05	)		(1.79	)		0.79
Total from investment operations		(0.46	)		4.74			3.66			(6.01	)		(1.73	)		0.86
Less distributions to shareholders:
From net investment income		(0.01	)		(0.04	)		(0.03	)		(0.04	)		(0.06	)		(0.09	)
From net realized gains		(3.37	)		—			—			—			(3.49	)		(1.51	)
Return of capital		—			—			—			—			(0.06	)		—
Total distributions		(3.38	)		(0.04	)		(0.03	)		(0.04	)		(3.61	)		(1.60	)
Net asset value, end of period	$	12.03		$	15.87		$	11.17		$	7.54		$	13.59		$	18.93
Total Return(b)		(4.25	)%**		42.57	%		48.53	%		(44.27	)%		(11.74	)%		4.86	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	4,613		$	13,234		$	9,855		$	3,882		$	8,198		$	25,314
Net expenses to average daily net assets		0.46	%*		0.46	%(c)		0.46	%		0.46	%		0.46	%		0.46	%
Net investment income (loss) to average daily net assets		0.15	%*		0.26	%		0.28	%		0.35	%		0.30	%		0.38	%
Portfolio turnover rate		61	%**		136	%		140	%		127	%		118	%		109	%
Fees and expenses reimbursed by the Manager to average daily net assets:		2.15	%*		1.39	%		1.94	%		1.74	%		0.48	%		0.60	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.09		$	0.01		$	0.06		$	0.01		$	0.07		$	0.03

(a)	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.
(b)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(c)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

16 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO U.S. Small/Mid Cap Growth Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks long-term capital growth. The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes will provide higher returns than the Russell 2500 Growth Index. The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, industry and sector exposure, and market capitalization.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options and swap contracts. In addition, the Fund may lend its portfolio securities.

The Fund typically invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equities of U.S. companies that issue stocks included in the Russell 2500 Index, a U.S. stock index, and in companies with similar market capitalizations (“small- and mid-cap companies”). Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments in small- and mid-cap companies tied economically to the U.S. The term “equities” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

17

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See Note 4 for a further discussion on valuation of derivative financial instruments.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The

18

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks	$	4,589,884	$	—	$	—	$	4,589,884
Mutual Funds		58,034		—		—		58,034
Short-Term Investments		11,625		—		—		11,625
Total Investments		4,659,543		—		—		4,659,543
Total	$	4,659,543	$	—	$	—	$	4,659,543

All of the Fund’s common stocks held at period end are classified as Level 1. Please refer to the Schedule of Investments for a more detailed categorization of common stocks.

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

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

19

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. As of February 28, 2011, the capital loss carryforwards disclosed below were permanently reduced by $244,044 due to share ownership activity. Utilization of the capital loss carryforwards, post-October capital losses and losses realized in the future, if any, subsequent to February 28, 2011 could be subject to further limitations imposed by the Code related to share ownership activity. The Fund’s capital loss carryforwards expire as follows:

February 28, 2017	$	(1,278,606	)
February 28, 2018		(213,101	)
Total	$	(1,491,707	)

20

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	4,544,982	$	546,859	$	(432,298	)	$	114,561

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

21

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.50% of the amount invested or redeemed. Purchase premiums and redemption fees are paid to and retained by the Fund to help offset non-de minimis 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) as a result of the purchase or redemption, by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing fee, at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

22

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. The Fund may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Liquidity Risk — Shares of small- and mid-cap companies often have lower trading volumes and a limited number or no market makers. Thus, a large position may limit or prevent the Fund from selling those shares or unwinding derivative positions on them at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

23

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies 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.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Focused Investment Risk — Focusing investments in sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

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

24

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund also may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero).

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

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposure in excess of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater

25

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

26

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Futures contracts

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

Options

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

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

27

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no written option contracts outstanding at the end of the period.

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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.

28

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type

29

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.31% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.31% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

30

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $43 and $12, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
< 0.001%	0.000%	< 0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $4,024,327 and $12,758,991, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 86.79% of the outstanding shares of the Fund were held by four shareholders, each holding more than 10% of the Fund’s outstanding shares. One of the shareholders is another fund of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.71% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and 91.90% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

31

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		12,271		$	152,325			11,204		$	166,147
Shares issued to shareholders in reinvestment of distributions		219,285			2,813,431			2,617			34,039
Shares repurchased		(681,861	)		(9,008,187	)		(62,535	)		(783,757	)
Purchase premiums		—			229			—			835
Redemption fees		—			44,507			—			3,919
Net increase (decrease)		(450,305	)	$	(5,997,695	)		(48,714	)	$	(578,817	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S. Treasury Fund	$	101,000	$	305,000	$	347,962	$	20	$	—	$	58,034
Totals	$	101,000	$	305,000	$	347,962	$	20	$	—	$	58,034

32

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

33

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

34

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

35

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including management fees, shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

36

GMO U.S. Small/Mid Cap Growth Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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 premiums and redemption fees. Therefore, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.46	%	$	1,000.00	$	957.50	$	2.26
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.82	$	2.34

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

37

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.7	%
Mutual Funds		1.9
Short-Term Investments		0.5
Rights and Warrants		0.2
Other		(1.3	)
		100.0	%

Industry Group Summary	% of Equity Investments*
Health Care Equipment & Services		14.2	%
Retailing		12.6
Capital Goods		7.3
Software & Services		7.0
Technology Hardware & Equipment		6.0
Insurance		5.7
Energy		5.6
Materials		5.3
Commercial & Professional Services		5.2
Consumer Durables & Apparel		4.7
Food, Beverage & Tobacco		4.6
Pharmaceuticals, Biotechnology & Life Sciences		4.4
Consumer Services		4.1
Household & Personal Products		3.7
Diversified Financials		3.5
Media		1.4
Semiconductors & Semiconductor Equipment		1.3
Food & Staples Retailing		1.0
Automobiles & Components		1.0
Utilities		0.5
Banks		0.4
Telecommunication Services		0.3
Real Estate		0.2
		100.0	%

* Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks. This table excludes exposure to derivative contracts, if any. For a summary of derivative contract exposure, if any, see the summary of outstanding financial instruments section of the Schedule of Investments.

1

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Automobiles & Components — 1.0%
	300	Dorman Products, Inc. *		9,706
	700	Lear Corp.		33,446
	400	Standard Motor Products, Inc.		5,268
		Total Automobiles & Components		48,420
		Banks — 0.4%
	200	Federal Agricultural Mortgage Corp.-Class C		4,016
	500	MainSource Financial Group, Inc.		4,445
	300	Prosperity Bancshares, Inc.		11,355
		Total Banks		19,816
		Capital Goods — 7.2%
	900	Aircastle Ltd.		10,593
	400	Applied Industrial Technologies, Inc.		12,248
	400	Brady Corp.-Class A		11,000
	600	Carlisle Cos., Inc.		23,526
	300	Ceradyne, Inc. *		9,408
	500	Crane Co.		21,125
	200	Curtiss-Wright Corp.		6,158
	200	DXP Enterprises, Inc. *		4,818
	300	EnerSys *		6,741
	200	Esterline Technologies Corp. *		15,058
	700	Hubbell, Inc.-Class B		41,391
	800	Idex Corp.		29,744
	1,100	KBR, Inc.		33,055
	200	Mueller Industries, Inc.		9,428
	300	NN, Inc. *		2,310
	100	Preformed Line Products Co.		5,522
	400	Primoris Services Corp.		4,600
	100	Raven Industries, Inc.		5,433
	100	Roper Industries, Inc.		7,695
	15	Seaboard Corp.		34,635
	100	Standex International Corp.		2,910

2 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Capital Goods — continued
	300	Teledyne Technologies, Inc. *		16,377
	300	Titan Machinery, Inc. *		7,953
	200	Trimas Corp. *		3,866
	500	WESCO International, Inc. *		21,545
		Total Capital Goods		347,139
		Commercial & Professional Services — 5.2%
	600	Avery Dennison Corp.		17,466
	200	Brink’s Co. (The)		5,140
	1,200	Cintas Corp.		38,376
	700	Deluxe Corp.		15,491
	300	G&K Services Inc.-Class A		8,466
	400	Kelly Services, Inc.-Class A		6,080
	800	Manpower, Inc.		32,224
	200	Mine Safety Appliances Co.		6,180
	300	Multi-Color Corp.		7,806
	1,800	RR Donnelley & Sons Co.		27,450
	800	SFN Group, Inc. *		11,208
	600	Sykes Enterprises, Inc. *		9,390
	100	Team, Inc. *		2,494
	700	Towers Watson & Co.-Class A		41,293
	100	UniFirst Corp.		5,178
	400	United Stationers, Inc.		12,616
		Total Commercial & Professional Services		246,858
		Consumer Durables & Apparel — 4.6%
	200	American Greetings Corp.-Class A		4,244
	300	Carter’s, Inc. *		9,279
	200	Columbia Sportswear Co.		10,538
	280	Deckers Outdoor Corp. *		24,909
	250	Fossil, Inc. *		24,153
	100	G-III Apparel Group Ltd. *		2,826
	200	Helen of Troy Ltd. *		6,004
	700	Iconix Brand Group, Inc. *		13,706

See accompanying notes to the financial statements. 3

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	400	Jakks Pacific, Inc. *		6,800
	200	Oxford Industries, Inc.		7,164
	200	Perry Ellis International, Inc. *		4,596
	160	Polaris Industries, Inc.		17,579
	150	Steven Madden Ltd. *		5,418
	400	Timberland Co.-Class A *		17,176
	700	Tupperware Brands Corp.		46,550
	600	Wolverine World Wide, Inc.		21,846
		Total Consumer Durables & Apparel		222,788
		Consumer Services — 4.1%
	300	Apollo Group, Inc.-Class A *		14,048
	200	Bob Evans Farms, Inc.		6,352
	300	Bridgepoint Education, Inc. *		6,624
	800	Brinker International, Inc.		18,064
	600	Career Education Corp. *		10,182
	400	DeVry, Inc.		17,672
	200	DineEquity, Inc. *		8,380
	600	Domino’s Pizza, Inc. *		16,638
	900	Education Management Corp. *		14,157
	1,400	H&R Block, Inc.		21,168
	200	ITT Educational Services, Inc. *		14,432
	200	Matthews International Corp.-Class A		6,682
	300	Papa John’s International, Inc. *		8,925
	100	Red Robin Gourmet Burgers, Inc. *		3,120
	400	Six Flags Entertainment Corp.		13,420
	100	Steiner Leisure Ltd. *		3,989
	200	Weight Watchers International, Inc.		12,104
		Total Consumer Services		195,957
		Diversified Financials — 3.5%
	800	Advance America Cash Advance Centers, Inc.		6,688
	3,700	American Capital Ltd. *		32,227
	400	Cash America International, Inc.		22,352

4 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Diversified Financials — continued
	100	Credit Acceptance Corp. *		6,914
	200	Encore Capital Group, Inc. *		4,734
	700	EZCORP, Inc.-Class A *		23,485
	400	First Cash Financial Services, Inc. *		18,684
	200	INTL FCStone, Inc. *		4,656
	1,300	NASDAQ OMX Group, Inc. (The) *		30,797
	400	Primus Guaranty Ltd. *		2,236
	200	World Acceptance Corp. *		13,030
		Total Diversified Financials		165,803
		Energy — 5.5%
	400	CVR Energy, Inc. *		11,388
	800	Energen Corp.		39,280
	800	HollyFrontier Corp.		57,408
	500	Oil States International, Inc. *		33,040
	200	SEACOR Holdings, Inc.		17,748
	300	Stone Energy Corp. *		7,923
	1,200	Tesoro Corp. *		28,872
	900	W&T Offshore, Inc.		19,008
	1,100	Western Refining, Inc. *		19,184
	800	World Fuel Services Corp.		29,712
		Total Energy		263,563
		Food & Staples Retailing — 1.0%
	100	Andersons (The), Inc.		4,021
	400	Ingles Markets, Inc.-Class A		6,132
	400	Ruddick Corp.		16,356
	400	Spartan Stores, Inc.		6,456
	400	Susser Holdings Corp. *		8,440
	200	Weis Markets, Inc.		7,820
		Total Food & Staples Retailing		49,225

See accompanying notes to the financial statements. 5

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Food, Beverage & Tobacco — 4.5%
	100	Coca-Cola Bottling Co.		5,600
	1,300	Constellation Brands, Inc.-Class A *		25,701
	700	Corn Products International, Inc.		32,732
	500	Darling International, Inc. *		8,425
	1,100	Dean Foods Co. *		9,504
	900	Dole Food Co., Inc. *		10,143
	900	Flowers Foods, Inc.		17,145
	700	Fresh Del Monte Produce, Inc.		16,898
	400	Hain Celestial Group (The), Inc. *		12,652
	400	National Beverage Corp.		6,596
	600	Ralcorp Holdings, Inc. *		51,942
	900	Smithfield Foods, Inc. *		19,728
		Total Food, Beverage & Tobacco		217,066
		Health Care Equipment & Services — 14.0%
	200	Amedisys, Inc. *		3,394
	700	AMERIGROUP Corp. *		34,629
	200	AmSurg Corp. *		4,526
	200	Cantel Medical Corp.		4,986
	600	Centene Corp. *		19,134
	200	Chemed Corp.		11,610
	400	Conmed Corp. *		9,380
	1,000	Continucare Corp. *		6,360
	600	Cooper Cos, Inc. (The)		45,162
	1,900	Coventry Health Care, Inc. *		62,472
	500	DENTSPLY International, Inc.		17,600
	100	Ensign Group, Inc. (The)		2,333
	700	Five Star Quality Care, Inc. *		2,275
	300	Greatbatch, Inc. *		6,705
	1,100	Health Net, Inc. *		27,159
	1,000	Healthspring, Inc. *		39,040
	400	Hill-Rom Holdings, Inc.		12,120
	2,000	Hologic, Inc. *		33,280
	200	ICU Medical, Inc. *		8,240

6 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	300	Integra LifeSciences Holdings Corp. *		11,964
	300	Invacare Corp.		7,536
	400	Kindred Healthcare, Inc. *		5,176
	900	Kinetic Concepts, Inc. *		60,787
	300	LifePoint Hospitals, Inc. *		11,010
	300	Magellan Health Services, Inc. *		14,961
	500	Mednax, Inc. *		32,655
	700	MedQuist, Inc.		7,035
	1,200	Metropolitan Health Networks, Inc. *		6,156
	450	Molina Healthcare, Inc. *		8,653
	1,200	Omnicare, Inc.		35,652
	600	Owens & Minor, Inc.		17,664
	800	Patterson Cos., Inc.		23,376
	700	PSS World Medical, Inc. *		16,506
	200	Skilled Healthcare Group Inc-Class A *		1,086
	1,000	Universal American Corp.		10,990
	500	Universal Health Services, Inc.-Class B		20,800
	300	US Physical Therapy, Inc.		5,958
	500	WellCare Health Plans, Inc. *		22,915
		Total Health Care Equipment & Services		671,285
		Household & Personal Products — 3.6%
	700	Church & Dwight Co., Inc.		30,478
	400	Elizabeth Arden, Inc. *		12,888
	500	Energizer Holdings, Inc. *		37,740
	1,100	Herbalife Ltd.		61,380
	200	Nu Skin Enterprises, Inc.-Class A		8,458
	600	Prestige Brands Holdings, Inc. *		6,462
	500	Revlon, Inc.-Class A *		6,665
	400	Spectrum Brands Holdings, Inc. *		10,712
		Total Household & Personal Products		174,783

See accompanying notes to the financial statements. 7

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Insurance — 5.5%
	300	Allied World Assurance Co Holdings Ltd.		15,570
	500	American Equity Investment Life Holding Co.		5,050
	600	American Financial Group, Inc.		19,968
	700	AmTrust Financial Services, Inc.		16,933
	3,000	CNO Financial Group, Inc. *		19,290
	200	Endurance Specialty Holdings Ltd.		7,232
	120	Enstar Group Ltd. *		12,355
	400	FBL Financial Group, Inc.-Class A		11,668
	900	HCC Insurance Holdings, Inc.		26,316
	400	Protective Life Corp.		7,596
	900	Reinsurance Group of America, Inc.		48,033
	1,200	Torchmark Corp.		45,852
	1,000	Validus Holdings Ltd.		25,820
		Total Insurance		261,683
		Materials — 5.3%
	1,400	Ball Corp.		50,288
	700	Eastman Chemical Co.		57,911
	200	Innophos Holdings, Inc.		8,322
	200	Innospec, Inc. *		5,410
	600	International Flavors & Fragrances, Inc.		34,812
	400	Reliance Steel & Aluminum Co.		16,576
	1,300	RPM International, Inc.		27,092
	400	Sensient Technologies Corp.		14,540
	700	Silgan Holdings, Inc.		26,551
	200	TPC Group, Inc. *		6,380
	300	Worthington Industries, Inc.		4,875
		Total Materials		252,757
		Media — 1.4%
	500	Charter Communications, Inc.-Class A *		24,940
	1,100	Gannett Co., Inc.		12,705
	400	Global Sources Ltd *		3,272

8 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Media — continued
	400	John Wiley and Sons, Inc.-Class A		19,516
	1,000	Sinclair Broadcast Group, Inc.		7,810
		Total Media		68,243
		Pharmaceuticals, Biotechnology & Life Sciences — 4.3%
	240	Bio-Rad Laboratories, Inc. *		24,082
	400	Cephalon, Inc. *		32,256
	300	Charles River Laboratories International, Inc. *		9,936
	400	Covance, Inc. *		19,824
	1,500	Endo Pharmaceuticals Holdings, Inc. *		47,865
	500	K-V Pharmaceutical Co.-Class A *		885
	300	Medicis Pharmaceutical Corp.-Class A		11,670
	500	PerkinElmer, Inc.		11,435
	1,100	Viropharma, Inc. *		21,791
	400	Watson Pharmaceuticals, Inc. *		26,848
		Total Pharmaceuticals, Biotechnology & Life Sciences		206,592
		Real Estate — 0.2%
	400	Capstead Mortgage Corp. REIT		5,324
	700	Newcastle Investment Corp. REIT		3,871
		Total Real Estate		9,195
		Retailing — 12.4%
	400	Aaron’s, Inc.		10,656
	900	Abercrombie & Fitch Co.-Class A		57,249
	200	Advance Auto Parts, Inc.		12,144
	300	ANN, Inc. *		7,071
	400	Asbury Automotive Group, Inc. *		7,524
	800	Ascena Retail Group, Inc. *		22,736
	1,100	AutoNation, Inc. *		44,418
	600	Buckle (The), Inc.		23,640
	600	Cabela’s, Inc. *		14,070
	200	Cato Corp. (The)-Class A		5,076
	900	Chico’s FAS, Inc.		12,528

See accompanying notes to the financial statements. 9

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Retailing — continued
	100	Core-Mark Holding Co., Inc. *		3,552
	200	Destination Maternity Corp.		2,810
	700	Dillard’s, Inc.-Class A		32,396
	130	DSW, Inc.-Class A *		6,031
	300	Express, Inc.		5,727
	100	Family Dollar Stores, Inc.		5,339
	300	Finish Line (The), Inc.-Class A		6,030
	1,200	Foot Locker, Inc.		25,044
	400	Fred’s, Inc.-Class A		4,580
	1,400	GameStop Corp.-Class A *		33,502
	300	Genesco, Inc. *		15,906
	300	Group 1 Automotive, Inc.		12,525
	100	Hibbett Sports, Inc. *		3,746
	300	Jos. A. Bank Clothiers, Inc. *		15,375
	400	Lithia Motors, Inc.-Class A		7,548
	500	Men’s Wearhouse (The), Inc.		14,455
	1,100	Penske Auto Group, Inc.		20,064
	1,200	PetSmart, Inc.		50,616
	900	Rent-A-Center, Inc.		25,362
	300	Select Comfort Corp. *		4,764
	100	Shoe Carnival, Inc. *		2,531
	500	Sonic Automotive, Inc.		6,940
	300	Stage Stores, Inc.		4,899
	300	Tiffany & Co.		21,588
	300	Tractor Supply Co.		18,411
	900	Williams-Sonoma, Inc.		29,799
		Total Retailing		596,652
		Semiconductors & Semiconductor Equipment — 1.3%
	1,300	Entegris, Inc. *		9,776
	1,600	Fairchild Semiconductor International, Inc. *		21,216
	1,100	GT Advanced Technologies, Inc. *		13,431
	300	MKS Instruments, Inc.		6,966

10 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — continued
	800	Photronics, Inc. *		5,184
	300	Spansion, Inc. *		4,503
		Total Semiconductors & Semiconductor Equipment		61,076
		Software & Services — 6.9%
	300	Alliance Data Systems Corp. *		28,023
	400	Amdocs Ltd. *		10,988
	400	CACI International, Inc.-Class A *		22,024
	1,100	CIBER, Inc. *		3,608
	1,100	Convergys Corp. *		11,715
	400	DST Systems, Inc.		18,768
	100	ePlus, Inc. *		2,516
	400	Fair Isaac Corp.		10,220
	700	Global Payments, Inc.		32,081
	400	IAC/InterActiveCorp *		15,812
	500	j2 Global Communications, Inc.		15,975
	700	Jack Henry & Associates, Inc.		20,468
	200	Mantech International Corp.-Class A		7,498
	200	MAXIMUS, Inc.		7,398
	50	MicroStrategy, Inc.-Class A *		6,144
	2,300	MoneyGram International, Inc. *		5,911
	500	Progress Software Corp. *		10,415
	700	Synopsys, Inc. *		18,116
	300	TeleNav, Inc. *		2,775
	700	TeleTech Holdings, Inc. *		12,418
	500	TIBCO Software, Inc. *		11,190
	2,000	Total System Services, Inc.		36,300
	1,200	United Online, Inc.		6,504
	600	Valueclick, Inc. *		9,180
	400	Web.com Group, Inc. *		3,776
		Total Software & Services		329,823

See accompanying notes to the financial statements. 11

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		Technology Hardware & Equipment — 6.0%
	300	Anixter International, Inc.		17,703
	1,500	Arrow Electronics, Inc. *		46,800
	1,500	Avnet, Inc. *		39,360
	300	Black Box Corp.		7,416
	400	Brightpoint, Inc. *		3,812
	1,600	Ingram Micro, Inc.-Class A *		28,544
	400	Insight Enterprises, Inc. *		7,528
	200	Measurement Specialties, Inc. *		6,246
	200	MTS Systems Corp.		7,224
	700	NCR Corp. *		12,061
	400	PC Connection, Inc. *		3,564
	800	Polycom, Inc. *		19,040
	200	Scansource, Inc. *		6,190
	400	SYNNEX Corp. *		10,536
	600	Tech Data Corp. *		28,248
	1,800	Vishay Intertechnology, Inc. *		20,520
	600	Zebra Technologies Corp. *		21,558
		Total Technology Hardware & Equipment		286,350
		Telecommunication Services — 0.3%
	200	IDT Corp.-Class B		4,370
	300	USA Mobility, Inc.		4,551
	1,000	Vonage Holdings Corp. *		3,620
		Total Telecommunication Services		12,541
		Utilities — 0.5%
	800	UGI Corp.		23,808
		TOTAL COMMON STOCKS (COST $4,578,604)		4,731,423

12 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.9%
		Affiliated Issuers — 1.9%
	3,641	GMO U.S. Treasury Fund		91,048
		TOTAL MUTUAL FUNDS (COST $91,048)		91,048
		RIGHTS/WARRANTS — 0.2%
		Insurance — 0.2%
	1,295	American International Group, Inc., Warrants, Strike 45.00 *		9,713
		TOTAL RIGHTS/WARRANTS (COST $22,015)		9,713
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	23,750	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% (a)		23,750
		TOTAL SHORT-TERM INVESTMENTS (COST $23,750)		23,750
		TOTAL INVESTMENTS — 101.3% (Cost $4,715,417)		4,855,934
		Other Assets and Liabilities (net) — (1.3%)		(61,418	)
		TOTAL NET ASSETS — 100.0%	$	4,794,516

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*	Non-income producing security.
(a)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.

See accompanying notes to the financial statements. 13

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $4,624,369) (Note 2)	$	4,764,886
Investments in affiliated issuers, at value (cost $91,048) (Notes 2 and 10)		91,048
Dividends receivable		2,669
Receivable for expenses reimbursed by Manager (Note 5)		10,139
Total assets		4,868,742
Liabilities:
Payable to affiliate for (Note 5):
Management fee		1,214
Shareholder service fee		588
Trustees and Trust Officers or agents unaffiliated with the Manager		20
Accrued expenses		72,404
Total liabilities		74,226
Net assets	$	4,794,516
Net assets consist of:
Paid-in capital	$	13,037,813
Distributions in excess of net investment income		(294	)
Accumulated net realized loss		(8,383,520	)
Net unrealized appreciation		140,517
	$	4,794,516
Net assets attributable to:
Class III shares	$	4,794,516
Shares outstanding:
Class III		616,634
Net asset value per share:
Class III	$	7.78

14 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from unaffiliated issuers	$	36,707
Interest		84
Dividends from affiliated issuers (Note 10)		38
Total investment income		36,829
Expenses:
Management fee (Note 5)		10,550
Shareholder service fee – Class III (Note 5)		5,105
Audit and tax fees		28,888
Custodian, fund accounting agent and transfer agent fees		17,296
Registration fees		368
Legal fees		92
Trustees fees and related expenses (Note 5)		42
Miscellaneous		5,163
Total expenses		67,504
Fees and expenses reimbursed by Manager (Note 5)		(51,796	)
Net expenses		15,708
Net investment income (loss)		21,121
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		2,682,049
Futures contracts		3,967
Net realized gain (loss)		2,686,016
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,744,322	)
Net realized and unrealized gain (loss)		(58,306	)
Net increase (decrease) in net assets resulting from operations	$	(37,185	)

See accompanying notes to the financial statements. 15

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	21,121		$	120,007
Net realized gain (loss)		2,686,016			1,894,568
Change in net unrealized appreciation (depreciation)		(2,744,322	)		907,536
Net increase (decrease) in net assets from operations		(37,185	)		2,922,111
Distributions to shareholders from:
Net investment income
Class III		(58,785	)		(114,599	)
Net share transactions (Note 9):
Class III		(8,211,412	)		(998,002	)
Purchase premiums and redemption fees (Notes 2 and 9):
Class III		42,230			6,265
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(8,169,182	)		(991,737	)
Total increase (decrease) in net assets		(8,265,152	)		1,815,775
Net assets:
Beginning of period		13,059,668			11,243,893
End of period (including distributions in excess of net investment income of $294 and accumulated undistributed net investment income of $37,370, respectively)	$	4,794,516		$	13,059,668

16 See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	8.24		$	6.53		$	4.44		$	7.36		$	10.01		$	10.52
Income (loss) from investment operations:
Net investment income (loss)†		0.03			0.07			0.07			0.10			0.13			0.15
Net realized and unrealized gain (loss)		(0.45	)		1.71			2.10			(2.92	)		(1.87	)		0.68
Total from investment operations		(0.42	)		1.78			2.17			(2.82	)		(1.74	)		0.83
Less distributions to shareholders:
From net investment income		(0.04	)		(0.07	)		(0.08	)		(0.10	)		(0.13	)		(0.20	)
From net realized gains		—			—			—			—			(0.78	)		(1.14	)
Total distributions		(0.04	)		(0.07	)		(0.08	)		(0.10	)		(0.91	)		(1.34	)
Net asset value, end of period	$	7.78		$	8.24		$	6.53		$	4.44		$	7.36		$	10.01
Total Return(a)		(5.09	)%**		27.43	%		49.15	%		(38.76	)%		(18.73	)%		8.71	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	4,795		$	13,060		$	11,244		$	13,119		$	35,230		$	58,452
Net expenses to average daily net assets		0.46	%(b)*		0.46	%(b)		0.46	%		0.46	%		0.46	%		0.46	%
Net investment income (loss) to average daily net assets		0.62	%*		1.02	%		1.27	%		1.46	%		1.44	%		1.46	%
Portfolio turnover rate		57	%**		106	%		175	%		73	%		63	%		79	%
Fees and expenses reimbursed by the Manager to average daily net assets:		1.52	%*		0.81	%		0.65	%		0.43	%		0.19	%		0.22	%
Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):†	$	0.05		$	0.00	(c)	$	0.02		$	0.02		$	0.01		$	0.02

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(b)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(c)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 17

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO U.S. Small/Mid Cap Value Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks long-term capital growth. The Manager seeks to achieve the Fund’s investment objective by investing in equities or groups of equities that the Manager believes will provide higher returns than the Russell 2500 Value Index.

The Manager uses active investment management methods, which means that equities are bought and sold according to the Manager’s evaluation of companies’ published financial information, securities’ prices, equity and bond markets, and the overall economy.

In selecting equities for the Fund, the Manager may use a combination of quantitative and qualitative investment methods to identify equities that the Manager believes present positive return potential relative to other equities. Some of these methods evaluate individual equities or a group of equities (e.g., equities of companies in a particular industry) based on the ratio of their price to historical financial information, including book value, cash flow and earnings, and forecasted financial information provided by industry analysts. The Manager may compare these ratios to industry or market averages in assessing the relative attractiveness of an equity or a group of equities. Other methods used by the Manager focus on evaluating patterns of price movement or volatility of an equity or group of equities relative to the Fund’s investment universe. The Manager also may adjust the Fund’s portfolio for factors such as position size, industry and sector exposure, and market capitalization.

As a substitute for direct investments in equities, the Manager may use exchange-traded and over-the-counter (“OTC”) derivatives. The Manager also may use derivatives: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund’s investment exposure; and (iii) to effect transactions intended as substitutes for securities lending. Derivatives used may include futures, options and swap contracts. In addition, the Fund may lend its portfolio securities.

The Fund typically invests directly and indirectly (e.g., through other GMO Funds (the “underlying funds”) or derivatives) in equities of U.S. companies that issue stocks included in the Russell 2500 Index, a U.S. stock index, and in companies with similar market capitalizations (“small- and mid-cap companies”). Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments in small- and mid-cap companies tied economically to the U.S. The term “equities” refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

18

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the OTC market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See Note 4 for a further discussion on valuation of derivative financial instruments.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The

19

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks	$	4,731,423	$	—	$	—	$	4,731,423
Mutual Funds		91,048		—		—		91,048
Rights and Warrants		—		9,713		—		9,713
Short-Term Investments		23,750		—		—		23,750
Total Investments		4,846,221		9,713		—		4,855,934
Total	$	4,846,221	$	9,713	$	—	$	4,855,934

All of the Fund’s common stocks held at period end are classified as Level 1. Please refer to the Schedule of Investments for a more detailed categorization of common stocks.

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

20

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards, post-October capital losses and losses realized in the future, if any, subsequent to February 28, 2011 could be subject to further limitations imposed by the Code related to share ownership activity. The Fund’s capital loss carry forwards expire as follows:

February 28, 2017	$	(4,305,159	)
February 28, 2018		(6,707,154	)
Total	$	(11,012,313	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

21

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	4,738,785	$	485,514	$	(368,365	)	$	117,149

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. Common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative

22

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

size of the Funds. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

For the period ended August 31, 2011, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.50% of the amount invested or redeemed. Purchase premiums and redemption fees are paid to and retained by the Fund to help offset non-de minimis 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) as a result of the purchase or redemption, by allocating estimated transaction costs to the purchasing or redeeming shareholder. Such fees are recorded as a component of the Fund’s net share transactions. The Fund may impose a new purchase premium and/or redemption fee or modify or eliminate an existing fee at any time.

Purchase premiums are not charged on reinvestments of distributions. Redemption fees apply to all shares of the Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

If the Manager 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.

The Manager may waive or reduce the purchase premium or redemption fee relating to a cash purchase or redemption of the Fund’s shares if the Fund will not incur transaction costs or will incur reduced transaction costs.

The Manager will waive or reduce the purchase premium when securities are used to purchase the Fund’s shares except to the extent that the Fund incurs transaction costs (e.g., stamp duties or transfer fees) in connection with the transfer of those securities. The Fund may waive or reduce redemption fees when it uses portfolio securities to redeem its shares. However, when a substantial portion of the Fund is being redeemed in-kind, the Fund may nonetheless charge a redemption fee equal to known or estimated costs.

Purchase premiums or redemption fees generally will not be waived for purchases and redemptions of Fund shares executed through brokers or agents, including, without limitation, intermediary platforms that are allowed pursuant to agreements with GMO Trust to transmit orders for purchases and redemptions to the Manager the day after those orders are received by the broker or agent.

23

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of value of those investments. The Fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund normally does not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Liquidity Risk — Shares of small- and mid-cap companies often have lower trading volumes and a limited number or no market makers. Thus, a large position may limit or prevent the Fund from selling those shares or unwinding derivative positions on them at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and midcap companies often are less widely

24

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk and counterparty risk.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Leveraging Risk — The Fund’s use of derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Focused Investment Risk — Focusing investments in sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

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

The Fund also may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero).

25

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund does not employ leverage as a principal investment strategy, but the Fund may have net long exposure in excess of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

26

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates, or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in

27

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to maintain the diversity and liquidity of the portfolio. The Fund had no futures contracts outstanding at the end of the period.

Options

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

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

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

28

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Statement of Operations.

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon

29

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use

30

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. During the period ended August 31, 2011, the Fund held rights and/or warrants received as a result of corporate actions. Rights and/or warrants held by the Fund at the end of the period are listed in the Fund’s Schedule of Investments.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity		Other
	contracts		contracts		contracts		contracts		contracts		Total
Assets:
Investments, at value (rights and/or warrants)	$	—	$	—	$	—	$	9,713	$	—	$	9,713
Total	$	—	$	—	$	—	$	9,713	$	—	$	9,713

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate		Foreign currency		Credit		Equity			Other
	contracts		contracts		contracts		contracts			contracts		Total
Net Realized Gain (Loss) on:
Investments (rights and/or warrants)	$	—	$	—	$	—	$	(1,421	)	$	—	$	(1,421	)
Futures contracts		—		—		—		3,967			—		3,967
Total	$	—	$	—	$	—	$	2,546		$	—	$	2,546
Change in Unrealized Appreciation (Depreciation) on:
Investments (rights and/or warrants)	$	—	$	—	$	—	$	(4,229	)	$	—	$	(4,229	)
Total	$	—	$	—	$	—	$	(4,229	)	$	—	$	(4,229	)

            ^Ù Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.

31

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The volume of derivative activity, based on absolute values (futures contracts and rights and/or warrants) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Futures		Rights and/or
	contracts		Warrants
Average amount outstanding	$	30,032	$	13,240

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.31% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.31% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). In addition to the contractual expense reimbursement described above, the Manager has contractually agreed to reimburse the Fund for the amount of fees and expenses incurred indirectly by the Fund through its direct or indirect investment in U.S. Treasury Fund (excluding U.S. Treasury Fund’s Excluded Fund Fees and Expenses), subject to a maximum total reimbursement to the Fund of such fees and expenses equal to the Fund’s Expense Reimbursement Amount. These expense limitations will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $42 and $12, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

32

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder
service fees and	Indirect Shareholder
interest expense)	Service Fees	Total Indirect Expenses
<0.001%	0.000%	<0.001%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $3,804,420 and $11,776,809, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 72.95% of the outstanding shares of the Fund were held by four shareholders, each holding more than 10% of the Fund’s outstanding shares. One of the shareholders is another fund of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 2.87% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and 78.06% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

33

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		48,112		$	354,135			9,533		$	74,379
Shares issued to shareholders in reinvestment of distributions		6,420			53,396			14,611			105,923
Shares repurchased		(1,023,344	)		(8,618,943	)		(161,695	)		(1,178,304	)
Purchase premiums		—			454			—			374
Redemption fees		—			41,776			—			5,891
Net increase (decrease)		(968,812	)	$	(8,169,182	)		(137,551	)	$	(991,737	)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions		Value,
	beginning of				Sales		Dividend		of Realized		end of
Affiliate	period		Purchases		Proceeds		Income		Gains		period
GMO U.S Treasury Fund	$	185,000	$	561,000	$	654,952	$	38	$	—	$	91,048
Totals	$	185,000	$	561,000	$	654,952	$	38	$	—	$	91,048

34

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three-, five-, seven- and ten-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

35

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management and shareholder servicing agreements. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management and shareholder servicing fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. In comparing the fees, the Trustees considered information provided by the Manager regarding the generally broader scope of services provided by the Manager to the Fund in comparison to the Manager’s separate account clients and the expenses and risks borne by the Manager as a result of the more extensive regulatory and tax regimes to which the Fund is subject. The Trustees also reviewed information provided by the Manager regarding its profits on the management and shareholder services (excluding distribution services) it provided to the Fund and the Trust. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees also considered that the fee charged under the Fund’s management agreement is based on services provided by the Manager that are in addition to, rather than duplicative of, services provided under the management agreements of exchange-traded funds (“ETFs”) and other funds, including other funds of the Trust, in which it may invest. The Trustees also considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the

36

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

37

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs, including management fees, shareholder service fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

38

GMO U.S. Small/Mid Cap Value Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.46	%	$	1,000.00	$	949.10	$	2.25
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.82	$	2.34

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

39

GMO U.S. Treasury Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Treasury Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		100.0	%
Other		(0.0	)^
		100.0	%

Ù Rounds to (0.0)%

1

GMO U.S. Treasury Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares/
Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.0%
		Money Market Funds — 0.0%
	58,617	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00%(a)		58,617
		U.S. Government — 100.0%
	41,675,000	U.S. Treasury Bill, 0.00%, due 09/08/11 (b)		41,675,073
	26,800,000	U.S. Treasury Bill, 0.00%, due 09/15/11 (b)		26,800,000
	59,400,000	U.S. Treasury Bill, 0.00%, due 09/22/11 (b)		59,399,972
	473,770,000	U.S. Treasury Bill, 0.02%, due 10/06/11 (b)		473,758,886
	43,325,000	U.S. Treasury Bill, 0.05%, due 10/13/11 (b)		43,322,473
	281,065,000	U.S. Treasury Bill, 0.09%, due 10/27/11 (b)		281,025,651
	300,000,000	U.S. Treasury Bill, 0.05%, due 11/10/11 (b)		299,993,100
	261,625,000	U.S. Treasury Bill, 0.02%, due 11/17/11 (b)		261,608,256
	200,000,000	U.S. Treasury Bill, 0.02%, due 11/25/11 (b)		199,993,800
	500,000,000	U.S. Treasury Bill, 0.02%, due 12/01/11 (b)		499,977,000
	50,000,000	U.S. Treasury Note, 1.00%, due 09/30/11		50,036,784
	21,000,000	U.S. Treasury Note, 1.00%, due 10/31/11		21,032,802
		Total U.S. Government		2,258,623,797
		TOTAL SHORT-TERM INVESTMENTS (COST $2,258,671,069)		2,258,682,414
		TOTAL INVESTMENTS — 100.0% (Cost $2,258,671,069)		2,258,682,414
		Other Assets and Liabilities (net) — (0.0%)		(47,306	)
		TOTAL NET ASSETS — 100.0%	$	2,258,635,108

Notes to Schedule of Investments:

(a)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.
(b)	Rate shown represents yield-to-maturity.

2 See accompanying notes to the financial statements.

GMO U.S. Treasury Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments, at value (cost $2,258,671,069) (Note 2)	$	2,258,682,414
Receivable for investments sold		523,047,472
Receivable for Fund shares sold		19,978,000
Interest receivable		281,172
Receivable for expenses reimbursed by Manager (Note 5)		181,708
Total assets		2,802,170,766
Liabilities:
Payable for investments purchased		499,981,040
Payable for Fund shares repurchased		43,225,665
Payable to affiliate for (Note 5):
Management fee		151,855
Trustees and Trust Officers or agents unaffiliated with the Manager		4,388
Dividend payable		43,224
Accrued expenses		129,486
Total liabilities		543,535,658
Net assets	$	2,258,635,108
Net assets consist of:
Paid-in capital	$	2,258,297,828
Accumulated net realized gain		325,935
Net unrealized appreciation		11,345
Net assets	$	2,258,635,108
Shares outstanding:		90,322,239
Net asset value per share:	$	25.01

See accompanying notes to the financial statements. 3

GMO U.S. Treasury Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Interest	$	664,454
Dividends		32
Total investment income		664,486
Expenses:
Management fee (Note 5)		808,719
Custodian, fund accounting agent and transfer agent fees		88,504
Legal fees		30,912
Audit and tax fees		29,900
Trustees fees and related expenses (Note 5)		16,300
Registration fees		8,592
Miscellaneous		15,577
Total expenses		998,504
Fees and expenses reimbursed by Manager (Note 5)		(975,827	)
Expense reductions (Note 2)		(109	)
Net expenses		22,568
Net investment income (loss)		641,918
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		337,905
Change in net unrealized appreciation (depreciation) on investments		14,491
Net realized and unrealized gain (loss)		352,396
Net increase (decrease) in net assets resulting from operations	$	994,314

4 See accompanying notes to the financial statements.

GMO U.S. Treasury Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	641,918		$	1,400,258
Net realized gain (loss)		337,905			127,935
Change in net unrealized appreciation (depreciation)		14,491			31,094
Net increase (decrease) in net assets from operations		994,314			1,559,287
Distributions to shareholders from:
Net investment income		(641,918	)		(1,400,258	)
Net realized gains		(99,399	)		(95,016	)
		(741,317	)		(1,495,274	)
Net share transactions (Note 9):		443,829,034			1,268,413,134
Total increase (decrease) in net assets		444,082,031			1,268,477,147
Net assets:
Beginning of period		1,814,553,077			546,075,930
End of period	$	2,258,635,108		$	1,814,553,077

See accompanying notes to the financial statements. 5

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Financial Highlights
(For a share outstanding throughout the period)

							Period from
							March 17, 2009
	Six Months Ended						(commencement of
	August 31, 2011			Year Ended			operations) through
	(Unaudited)			February 28, 2011			February 28, 2010
Net asset value, beginning of period	$	25.00		$	25.00		$	25.00
Income (loss) from investment operations:
Net investment income (loss)†		0.01			0.03			0.04
Net realized and unrealized gain (loss)		0.01			0.00	(a)		0.02
Total from investment operations		0.02			0.03			0.06
Less distributions to shareholders:
From net investment income		(0.01	)		(0.03	)		(0.05	)
From net realized gains		(0.00	)(b)		(0.00	)(b)		(0.01	)
Total distributions		(0.01	)		(0.03	)		(0.06	)
Net asset value, end of period	$	25.01		$	25.00		$	25.00
Total Return(c)		0.08	%**		0.15	%		0.25	%**
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	2,258,635		$	1,814,553		$	546,076
Net expenses to average daily net assets		0.00	*(d) (e)		0.00	%(d)		0.00	%(d)*
Net investment income (loss) to average daily net assets		0.06	%*		0.13	%		0.18	%*
Portfolio turnover rate(f)		0	%**		0	%		0	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets		0.10	%*		0.11	%		0.12	%*

(a)	Net realized and unrealized gain (loss) was less than $0.01 per share.
(b)	Distributions from net realized gains were less than $0.01 per share.
(c)	The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assume the effect of reinvested distribution. Without the waivers, total returns would have been 0.04%, 0.07% and 0.17%, respectively for the six months ended August 31, 2011 and for the fiscal year and/or period ended February 28, 2011 and February 28, 2010.
(d)	Total net expenses were less than 0.01% to average daily net assets.
(e)	The net expense ratio does not include the effect of expense reductions (Note 2).
(f)	Portfolio turnover rate calculation excludes short-term investments.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

6 See accompanying notes to the financial statements.

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO U.S. Treasury Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks liquidity and safety of principal with current income as a secondary objective. Under normal circumstances, the Fund invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in Direct U.S. Treasury Obligations and repurchase agreements collateralized by these Obligations. “Direct U.S. Treasury Obligations” include U.S. Treasury bills, bonds and notes and other securities issued by the U.S. Treasury, as well as Separately Traded Registered Interest and Principal Securities (“STRIPS”) and other zero-coupon securities. The Manager normally seeks to maintain an interest rate duration of one year or less for the Fund’s portfolio.

The Fund may also enter into repurchase agreements, under which the Fund purchases a security backed by the full faith and credit of the U.S. government from a seller who simultaneously commits to repurchase, on an agreed upon date in the future, the security from the Fund at the original purchase price plus an agreed upon amount representing the original purchase price plus interest. The counterparties in repurchase agreements are typically broker-dealers and banks, and the safety of the arrangement is dependent on, among other things, the Fund having an interest in the security that can be realized in the event of the insolvency of the counterparty.

In addition to Direct U.S. Treasury Obligations, the Fund may invest in other fixed-income securities that are backed by the full faith and credit of the U.S. government, such as guaranteed securities issued by the Government National Mortgage Association (“GNMA”) and the Federal Deposit Insurance Corporation (“FDIC”). For cash management purposes, the Fund may invest in unaffiliated money market funds.

Although the fixed-income securities purchased by the Fund normally will have a stated or remaining maturity of one year or less, Direct U.S. Treasury Obligations purchased pursuant to repurchase agreements may not, and, therefore, if the counterparty to the repurchase agreement defaults, the Fund may end up owning a security with a stated or remaining maturity of more than one year.

The Fund is not a money market fund and is not subject to the duration, quality, diversification and other requirements applicable to money market funds.

In selecting U.S. Treasury securities for the Fund’s portfolio, the Manager focuses primarily on the relative attractiveness of different obligations (such as bonds, notes or bills), which can vary depending on the

7

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

general level of interest rates as well as supply/demand imbalances and other market conditions. The Fund’s benchmark is the Citigroup 3-Month Treasury Bill Index.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

8

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. U.S. Treasury Bills having sixty days or less to final maturity were valued using amortized cost.

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

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Short-Term Investments	$	1,282,663,575	$	976,018,839	$	—	$	2,258,682,414
Total Investments		1,282,663,575		976,018,839		—		2,258,682,414
Total	$	1,282,663,575	$	976,018,839	$	—	$	2,258,682,414

At August 31, 2011, the Fund’s investments in U.S. Treasury Bills having sixty days or less to final maturity were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, as the value is not obtained from a quoted price in an active market. Securities valued at amortized cost are considered to be valued using Level 2.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011 whose fair value was categorized using Level 3 inputs.

9

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare distributions from net investment income daily, and will pay distributions on the first business day following the end of each month in which distributions were declared. The Fund’s policy is to declare and pay distributions from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

10

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	2,258,671,069	$	23,176	$	(11,831	)	$	11,345

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 28, 2010 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Coupon income is not recognized on securities for which collection is not expected. 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 Fund uses the identified cost basis.

11

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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.

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Fixed Income Securities — Typically, the market value of the Fund’s U.S. Treasury and other fixed income securities will decline during periods of rising interest rates, and yields on the Fund’s securities may equal or approach zero under some market conditions.

• Credit Risk — Securities issued by the U.S. Treasury or U.S. government agencies generally present minimal credit risk. However, a security backed by the full faith and credit of the U.S. government is guaranteed only as to the timely payment of interest and principal when held to maturity. The market prices for such securities are not guaranteed and will fluctuate.

• Focused Investment Risk — Focusing investments in a particular type of security (e.g., Direct U.S. Treasury Obligations) creates additional risk.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund is also subject to the risk that

12

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative contracts.

5. Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.08% of average daily net assets. The Manager has voluntarily agreed to waive the Fund’s management fee and to reimburse the Fund to the extent the Fund’s total annual operating expenses exceed 0.00% of the Fund’s average daily net assets (excluding the Fund’s Excluded Fund Fees and Expenses described below). The Manager may change or terminate these voluntary waivers and reimbursements at any time, and these voluntary waivers and reimbursements are in addition to the Manager’s contractual expense reimbursement agreement described below. During any period for which these voluntary waivers and reimbursements are in effect, the Fund will incur management fees at an annual rate lower than 0.08% of the Fund’s average daily net assets, and, as a result, total annual operating expenses after expense reimbursement for the Fund will be lower.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.08% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011

13

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

was $16,300 and $6,377, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

6. Purchases and sales of securities

There were no purchases or sales of securities, excluding short-term investments, for the period ended August 31, 2011.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 72.35% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund’s outstanding shares. Each of the shareholders are other funds of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, 0.33% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and 94.67% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
	Shares			Amount			Shares			Amount
Shares sold		118,876,123		$	2,972,843,014			167,092,973		$	4,177,381,162
Shares issued to shareholders in reinvestment of distributions		14,578			364,518			43,739			1,093,488
Shares repurchased		(101,144,151	)		(2,529,378,498	)		(116,400,442	)		(2,910,061,516	)
Net increase (decrease)		17,746,550		$	443,829,034			50,736,270		$	1,268,413,134

14

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including a one-year period and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

15

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fees payable to the Manager under the Fund’s management agreement. The Trustees considered information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives. In evaluating the Fund’s management fee arrangements, the Trustees took into account the sophistication of the investment techniques used to manage the Fund. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also reviewed information provided by the Manager regarding its profits on the management services (excluding distribution services) it provided to the Fund and the Trust, including the effect of recent changes in assets under management. In considering that information, the Trustees took into account so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. In addition, the Trustees considered possible economies of scale to the Manager, including the effective fee rate for the Fund on its first dollar of assets and at recent asset levels, and concluded that the fee payable under the agreement appropriately reflected any economies of scale associated with managing the Fund. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the management fee charged to the Fund was reasonable.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the

16

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

17

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below for each class provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

18

GMO U.S. Treasury Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio*			Value		Value		Incurred**
1) Actual		0.00	%	$	1,000.00	$	1,000.80	$	0.00
2) Hypothetical		0.00	%	$	1,000.00	$	1,025.14	$	0.00

*	Annualized net expense ratios are less than 0.01%.
**	Expenses are calculated using the annualized net expense ratio for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

19

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Fund has a policy with respect to disclosure of portfolio holdings under which it may also make available on GMO’s website at www.gmo.com a complete schedule of portfolio holdings.

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 this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		94.2	%
Short-Term Investments		3.8
Preferred Stocks		0.7
Investment Funds		0.1
Debt Obligations		0.0	Ù
Swap Agreements		0.0	Ù
Rights and Warrants		0.0	Ù
Forward Currency Contracts		(0.0	)Ù
Futures Contracts		(0.4	)
Other		1.6
		100.0	%

Country / Region Summary**	% of Investments
United States		43.6	%
Japan		14.2
United Kingdom		12.0
France		5.3
Germany		4.5
Switzerland		4.5
Emerging***		3.0
Italy		2.2
Netherlands		1.4
Canada		1.3
Spain		1.3
Hong Kong		1.2
Sweden		1.2
Singapore		1.1
Australia		0.9
Belgium		0.5
Denmark		0.5
Austria		0.3
Finland		0.3
Greece		0.2
Ireland		0.2
Israel		0.1
New Zealand		0.1
Norway		0.1
		100.0	%

1

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
August 31, 2011 (Unaudited)

*	The table above shows indirect asset class exposure associated with investments in other funds of GMO Trust (“underlying funds”).
**	The table above 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 certain derivative financial instruments, if any. The table excludes exposure through forward currency contracts.
***	The “Emerging” exposure is comprised of: Brazil, Chile, China, Czech Republic, Egypt, Hungary, India, Indonesia, Malaysia, Mexico, Morocco, Philippines, Poland, Russia, South Africa, South Korea, Sri Lanka, Taiwan, Thailand, and Turkey.
Ù	Rounds to 0.0%.

2

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Shares /
Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	2,614,238	GMO Emerging Markets Fund, Class VI		33,619,101
	2,623,976	GMO Flexible Equities Fund, Class VI		47,021,645
	10,911,912	GMO International Growth Equity Fund, Class IV		245,299,784
	12,005,683	GMO International Intrinsic Value Fund, Class IV		245,035,988
	22,879,781	GMO Quality Fund, Class VI		479,789,003
	8,380,886	GMO U.S. Core Equity Fund, Class VI		97,721,135
		TOTAL MUTUAL FUNDS (COST $1,096,639,961)		1,148,486,656
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	25,222	State Street Eurodollar Time Deposit, 0.01%, due 09/01/11		25,222
		TOTAL SHORT-TERM INVESTMENTS (COST $25,222)		25,222
		TOTAL INVESTMENTS — 100.0% (Cost $1,096,665,183)		1,148,511,878
		Other Assets and Liabilities (net) — (0.0%)		(74,206	)
		TOTAL NET ASSETS — 100.0%	$	1,148,437,672

See accompanying notes to the financial statements. 3

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments in unaffiliated issuers, at value (cost $25,222) (Note 2)	$	25,222
Investments in affiliated issuers, at value (cost $1,096,639,961) (Notes 2 and 10)		1,148,486,656
Receivable for expenses reimbursed by Manager (Note 5)		12,552
Total assets		1,148,524,430
Liabilities:
Payable to affiliate for (Note 5):
Trustees and Trust Officers or agents unaffiliated with the Manager		2,560
Accrued expenses		84,198
Total liabilities		86,758
Net assets	$	1,148,437,672
Net assets consist of:
Paid-in capital	$	1,321,707,571
Accumulated undistributed net investment income		13,456,872
Accumulated net realized loss		(238,573,466	)
Net unrealized appreciation		51,846,695
	$	1,148,437,672
Net assets attributable to:
Class III shares	$	1,148,437,672
Shares outstanding:
Class III		61,630,954
Net asset value per share:
Class III	$	18.63

4 See accompanying notes to the financial statements.

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Dividends from affiliated issuers (Note 10)	$	13,471,770
Interest		2
Total investment income		13,471,772
Expenses:
Custodian, fund accounting agent and transfer agent fees		25,116
Legal fees		21,804
Audit and tax fees		17,112
Trustees fees and related expenses (Note 5)		10,866
Registration fees		1,196
Miscellaneous		12,848
Total expenses		88,942
Fees and expenses reimbursed by Manager (Note 5)		(73,876	)
Expense reductions (Note 2)		(166	)
Net expenses		14,900
Net investment income (loss)		13,456,872
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(47,961,392	)
Realized gains distributions from affiliated issuers (Note 10)		2,744,893
Net realized gain (loss)		(45,216,499	)
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(12,527,313	)
Net realized and unrealized gain (loss)		(57,743,812	)
Net increase (decrease) in net assets resulting from operations	$	(44,286,940	)

See accompanying notes to the financial statements. 5

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	13,456,872		$	17,971,383
Net realized gain (loss)		(45,216,499	)		(57,573,804	)
Change in net unrealized appreciation (depreciation)		(12,527,313	)		224,406,335
Net increase (decrease) in net assets from operations		(44,286,940	)		184,803,914
Distributions to shareholders from:
Net investment income
Class III		—			(17,986,274	)
Net share transactions (Note 9):
Class III		(22,318,121	)		(11,614,518	)
Total increase (decrease) in net assets		(66,605,061	)		155,203,122
Net assets:
Beginning of period		1,215,042,733			1,059,839,611
End of period (including accumulated undistributed net investment income of $13,456,872 and $0, respectively)	$	1,148,437,672		$	1,215,042,733

6 See accompanying notes to the financial statements.

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Financial Highlights
(For a Class III share outstanding throughout each period)

	Six Months
	Ended
	August 31, 2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	19.32		$	16.74		$	12.29		$	21.71		$	24.25		$	22.49
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.21			0.28			0.42			0.53			0.43			0.40
Net realized and unrealized gain (loss)		(0.90	)		2.59			4.47			(8.50	)		0.01	(b)		2.93
Total from investment operations		(0.69	)		2.87			4.89			(7.97	)		0.44			3.33
Less distributions to shareholders:
From net investment income		—			(0.29	)		(0.44	)		(0.54	)		(1.10	)		(0.73	)
From net realized gains		—			—			—			(0.91	)		(1.88	)		(0.84	)
Total distributions		—			(0.29	)		(0.44	)		(1.45	)		(2.98	)		(1.57	)
Net asset value, end of period	$	18.63		$	19.32		$	16.74		$	12.29		$	21.71		$	24.25
Total Return(c)		(3.57	)%**		17.19	%		39.64	%		(38.63	)%		0.72	%		14.94	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	1,148,438		$	1,215,043		$	1,059,840		$	698,525		$	944,374		$	902,324
Net expenses to average daily net assets(d)(e)		0.00	%(f)*		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%(f)		0.00	%
Net investment income (loss) to average daily net assets(a)		2.19	%*		1.61	%		2.64	%		2.89	%		1.72	%		1.68	%
Portfolio turnover rate		10	%**		20	%		16	%		35	%		20	%		12	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%*		0.01	%		0.02	%		0.01	%		0.01	%		0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts:†		—			—			—		$	0.00	(g)	$	0.00	(g)	$	0.01

(a)	Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.
(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 and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.
(d)	Net expenses exclude expenses incurred indirectly through investment in the underlying funds (Note 5).
(e)	Net expenses to average daily net assets were less than 0.01%.
(f)	The net expense ratio does not include the effect of expense reductions (Note 2).
(g)	Purchase premiums and redemption fees were less than $0.01 per share.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

See accompanying notes to the financial statements. 7

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO World Opportunities Equity Allocation Fund (the “Fund”) 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 with multiple series. The Fund is diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return greater than that of its benchmark, the MSCI World Index. The Fund is a fund of funds and invests primarily in shares of the GMO International Equity Funds and the GMO U.S. Equity Funds. The Fund also may invest in shares of other GMO Funds, including the GMO Fixed Income Funds, GMO Alpha Only Fund and GMO Alternative Asset Opportunity Fund (GMO Funds in which the Fund invests are collectively referred to as “underlying funds”). In addition, the Fund may hold securities directly. Although the Fund’s primary exposure is to foreign and U.S. equity investments (which may include emerging country equities, both growth and value style equities and equities of any market capitalization), the Fund also may have exposure to foreign and U.S. fixed income securities (including fixed income securities of any credit quality and having any maturity or duration), the investment returns of commodities and, from time to time, other alternative asset classes. Under normal circumstances, the Fund invests (including through investment in the underlying funds) at least 80% of its assets in equity investments. The term “equity investments” refers to direct and indirect (e.g., through the underlying funds) investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities and depositary receipts.

The Manager uses multi-year forecasts of relative value and risk among asset classes (e.g., U.S. equity, foreign equity, emerging country equity, emerging country debt, foreign fixed income, U.S. fixed income and commodities) to select the underlying funds in which the Fund invests and to decide how much to invest in each. The Manager changes the Fund’s holdings of underlying funds in response to changes in its investment outlook and market valuations and may use redemption/purchase activity to rebalance the Fund’s investments.

For cash management purposes, the Fund may invest in GMO U.S. Treasury Fund and unaffiliated money market funds. The Fund normally does not take temporary defensive positions. To the extent the Fund takes temporary defensive positions, it may not achieve its investment objective.

The financial statements of the underlying funds should be read in conjunction with the Fund’s financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect) or by visiting GMO’s website at www.gmo.com.

8

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other investment funds are generally valued at their net asset value. Investments held by the underlying funds are valued as follows: Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. As of August 31, 2011, the total value of securities held indirectly that were fair valued using methods determined in good faith by or at the direction of the Trustees of the Trust represented 0.1% of net assets. The underlying funds classify such securities (as defined below) as Level 3.

Additionally, the fair value of equity securities listed on foreign exchanges and securities markets that are closed prior to the time of closing of the NYSE due to time zone differences (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees. The table below shows the percentage of the net assets of the Fund, either directly or though investments in the underlying funds, that were valued using fair value prices obtained from an independent pricing service as of August 31, 2011. These securities listed on foreign exchanges (including the value of equity securities that underlie futures (to the extent the market for such futures closes prior to the time of closing of the NYSE) and derivatives) are

9

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

classified as being valued using Level 2 inputs in the table below or in the disclosures in the underlying funds.

Security Type	Percentage of Net Assets of the Fund
Equity Securities		50.0	%
Futures Contracts		(0.4	)%
Swap Agreements		(0.0	)%Ù

            ^Ù Rounds to 0.0%.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

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

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

10

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Mutual Funds	$	1,148,486,656	$	—	$	—	$	1,148,486,656
Short-Term Investments		25,222		—		—		25,222
Total Investments		1,148,511,878		—		—		1,148,511,878
Total	$	1,148,511,878	$	—	$	—	$	1,148,511,878

The underlying funds held at period end are classified above as Level 1. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes in their financial statements. The aggregate net values of the Fund’s indirect investments in securities and derivative financial instruments using Level 3 inputs were 0.1% and 0.0% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

The Fund held no investments or derivative financial instruments directly at either August 31, 2011 or February 28, 2011, whose fair value was categorized using Level 3 inputs.

Taxes and distributions

The Fund 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”). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund’s policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

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

11

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Distributions in excess of tax basis earnings and profits, if significant, are reported in the financial statements as a return of capital for tax purposes.

As of February 28, 2011, the Fund elected to defer to March 1, 2011 post-October capital losses of $23,989,325.

As of February 28, 2011, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

February 28, 2018	$	(27,174,228	)
February 28, 2019	$	(33,655,279	)
Total	$	(60,829,507	)

Additionally, capital losses incurred by the Fund after February 28, 2011 will not be subject to expiration. In addition, these losses must be utilized before the losses incurred in years beginning prior to February 28, 2011.

All capital losses incurred by the Fund either prior to February 28, 2011 or after February 28, 2011 could be subject to limitations imposed by the Code related to share ownership activity.

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	1,211,743,454	$	—	$	(63,231,576	)	$	(63,231,576	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way

12

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 5).

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund’s investments in the underlying funds. Some of the underlying funds are non-diversified investment companies under the 1940 Act and therefore a decline in the market value of a particular security held by those Funds may affect their performance more than if

13

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

they were diversified. The principal risks of investing in the Fund are summarized below, including those risks to which the Fund is exposed as a result of its investments in the underlying funds. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Equity Securities — The market value of equity investments may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not increase to that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments. An underlying fund also may purchase equity investments that typically trade at higher multiples of current earnings than other securities, and the market values of these investments often are more sensitive to changes in future earnings expectations than those other securities. Because the Fund and the underlying funds normally do not take temporary defensive positions, declines in stock market prices generally are likely to reduce the net asset value of the Fund’s shares.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of foreign issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.

• Liquidity Risk — Low trading volume, lack of a market maker, large size of position or legal restrictions may limit or prevent the Fund or an underlying fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

14

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

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

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Smaller Company Risk — Smaller companies may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small-and midcap companies 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.

• Commodities Risk — To the extent an underlying fund has exposure to global commodity markets, the value of its shares is affected by factors particular to the commodity markets and may fluctuate more than the value of shares of a fund with a broader range of investments.

• Currency Risk — Fluctuations in exchange rates can adversely affect the market value of foreign currency holdings and investments denominated in foreign currencies, or that the U.S. dollar will decline in value relative to the foreign currency being hedged.

• Leveraging Risk — The use of reverse repurchase agreements and other derivatives and securities lending may cause the Fund’s portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

15

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations.

• Real Estate Risk — To the extent an underlying fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.

• Short Sales Risk — The Fund runs the risk that an underlying fund’s loss on a short sale of securities that the underlying fund does not own is unlimited.

• Market Risk — Fixed Income Securities — Typically, the market value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies or in industries with high positive correlations to one another creates additional risk.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

4. Derivative financial instruments

At August 31, 2011, the Fund held no derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments.

16

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

5. Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not charge the Fund a management fee or shareholder service fee, but it receives management and 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 the Manager’s asset allocation decisions.

The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”) exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means shareholder service fees, expenses incurred indirectly by investment in other GMO Funds, fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the Manager, brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). This contractual expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $10,866 and $4,200, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended August 31, 2011, these indirect fees and expenses expressed as an annualized percentage of the Fund’s average daily net assets were as follows:

Indirect Net Expenses
(excluding shareholder	Indirect Shareholder
service fees)	Service Fees	Total Indirect Expenses
0.432%	0.072%	0.504%

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and class exchanges, for the period ended August 31, 2011 aggregated $122,539,628 and $128,632,633, respectively.

17

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 35.04% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund’s outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, less than 0.01% of the shares of the Fund were held by senior management of the Manager and GMO Trust officers and 14.17% of the Fund’s shares were held by accounts for which the Manager had investment discretion.

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 Fund shares were as follows:

	Six Months Ended
	August 31, 2011						Year Ended
	(Unaudited)						February 28, 2011
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,313,922		$	25,250,043			4,301,923		$	76,033,694
Shares issued to shareholders in reinvestment of distributions		—			—			920,278			17,052,753
Shares repurchased		(2,570,872	)		(47,568,164	)		(5,636,673	)		(104,700,965	)
Net increase (decrease)		(1,256,950	)	$	(22,318,121	)		(414,472	)	$	(11,614,518	)

18

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

10. Investments in affiliated issuers

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended August 31, 2011 is set forth below:

	Value,								Distributions
	beginning of				Sales		Dividend		of Realized		Value, end
Affiliate	period		Purchases		Proceeds		Income		Gains		of period
GMO Emerging Markets Fund, Class VI	$	36,098,808	$	3,392,979	$	1,716,225	$	—	$	2,744,893	$	33,619,101
GMO Flexible Equities Fund, Class VI		13,135,642		36,831,894		1,011,573		—		—		47,021,645
GMO International Growth Equity Fund, Class IV		308,748,264		6,362,079		53,718,581		1,947,736		—		245,299,784
GMO International Intrinsic Value Fund, Class IV		308,871,163		12,138,222		39,665,571		5,358,282		—		245,035,988
GMO Quality Fund, Class VI		438,782,086		61,027,878		21,144,607		4,967,998		—		479,789,003
GMO U.S. Core Equity Fund, Class VI		109,432,403		2,786,576		11,376,076		1,197,754		—		97,721,135
Totals	$	1,215,068,366	$	122,539,628	$	128,632,633	$	13,471,770	$	2,744,893	$	1,148,486,656

19

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to the performance of a composite of accounts with similar objectives managed by the Manager and funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three- and five-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees considered information provided by the Manager addressing the Fund’s performance, including a performance attribution analysis. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

20

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

The Trustees also gave substantial consideration to the fact that the Fund does not pay a fee to the Manager under the Fund’s management or shareholder servicing agreement, but that the Fund indirectly bears management and shareholder servicing fees paid to the Manager by the other funds of the Trust in which the Fund invests. The Trustees also considered other so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees noted that they had approved renewal of the Manager’s management agreements with the other funds of the Trust in which the Fund may invest and had concluded that the advisory fees charged to those funds were reasonable, after considering, among other things: possible economies of scale to the Manager in connection with its management of other funds; the Manager’s profitability with respect to those other funds and the Trust as a whole; and information prepared by a third-party data service concerning fees paid to managers of funds deemed by that service to have similar objectives to those funds in which the Fund invests.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the

21

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

22

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including indirect management fees, indirect shareholder service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

23

GMO World Opportunities Equity Allocation Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
Class III
1) Actual		0.50	%	$	1,000.00	$	964.30	$	2.47
2) Hypothetical		0.50	%	$	1,000.00	$	1,022.62	$	2.54

            * Expenses are calculated using the Class’s annualized net expense ratio (including indirect expenses incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

24

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Semiannual Report
August 31, 2011

For a free copy of the Fund’s proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on GMO’s website at www.gmo.com, or on the Securities and Exchange Commission’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q, which is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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 private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Investment Concentration Summary
August 31, 2011 (Unaudited)

Asset Class Summary	% of Total Net Assets
Debt Obligations		81.8	%
Short-Term Investments		27.6
Options Purchased		1.7
Written Options		0.0	Ù
Futures Contracts		(0.3	)
Swap Agreements		(4.9	)
Reverse Repurchase Agreements		(5.0	)
Other		(0.9	)
		100.0	%

Industry Summary	% of Debt Obligations
U.S. Government & Agencies		58.0	%
Residential Asset-Backed Securities (United States)		11.1
Foreign Government Obligations		6.2
CMBS		4.5
Residential Mortgage-Backed Securities (European)		3.9
Credit Cards		2.8
Auto Financing		2.8
Insured Auto Financing		2.3
Business Loans		2.0
Residential Mortgage-Backed Securities (Australian)		1.5
Insured Other		1.0
CMBS Collateralized Debt Obligations		0.9
Insured Residential Asset-Backed Securities (United States)		0.9
Corporate Collateralized Debt Obligations		0.6
Student Loans		0.5
Insured Transportation		0.5
Insured Time Share		0.4
Insured Residential Mortgage-Backed Securities (United States)		0.1
		100.0	%

^Ù Rounds to 0.0%.

1

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 81.8%
		Asset-Backed Securities — 29.2%
		Auto Financing — 2.3%
	901,836	Capital Auto Receivable Asset Trust, Series 07-2, Class A4B, 1 mo. LIBOR + .40%, 0.61%, due 02/18/14		902,278
	9,000,000	Carmax Auto Owner Trust, Series 08-2, Class A4B, 1 mo. LIBOR + 1.65%, 1.86%, due 08/15/13		9,063,630
	3,637,827	Daimler Chrysler Auto Trust, Series 08-B, Class A4A, 5.32%, due 11/10/14		3,674,933
	386,733	Ford Credit Auto Owner Trust, Series 07-B, Class A4B, 1 mo. LIBOR + .38%, 0.59%, due 07/15/12		386,860
	4,462,683	Merrill Auto Trust Securitization, Series 08-1, Class A4B, 1 mo. LIBOR + 2.20%, 2.41%, due 04/15/15		4,492,137
	927,089	Merrill Auto Trust Securitization, Series 07-1, Class A4, 1 mo. LIBOR + .06%, 0.27%, due 12/15/13		926,626
		Total Auto Financing		19,446,464
		Business Loans — 1.7%
	8,743,311	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.52%, due 12/25/37		7,256,948
	1,267,361	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.59%, due 01/25/35		1,039,236
	1,872,957	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.61%, due 01/25/36		1,311,070
	1,278,737	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.45%, due 11/15/33		1,144,470
	1,576,383	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.07%, due 10/25/37		1,261,106
	1,561,434	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.47%, due 02/25/30		1,249,148
	1,037,305	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.47%, due 09/25/30		840,217
		Total Business Loans		14,102,195

2 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		CMBS — 3.7%
	3,288,324	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.33%, due 07/15/44		3,156,790
	11,500,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.34%, due 12/15/20		10,235,000
	1,745,405	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		1,745,405
	2,999,620	GE Capital Commercial Mortgage Corp., Series 06-C1, Class A2, 5.51%, due 03/10/44		2,999,620
	3,435,887	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		3,487,425
	3,721,843	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.81%, due 05/12/39		3,846,525
	2,047,163	Morgan Stanley Capital I, Series 06-IQ11, Class A3, 5.86%, due 10/15/42		2,088,106
	4,293,226	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.30%, due 09/15/21		4,078,565
		Total CMBS		31,637,436
		CMBS Collateralized Debt Obligations — 0.7%
	6,777,455	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.10%, due 11/23/52		67,774
	1,719,862	Guggenheim Structured Real Estate Funding, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .32%, 0.54%, due 08/26/30		1,556,475
	6,379,893	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.55%, due 05/25/46		4,689,222
		Total CMBS Collateralized Debt Obligations		6,313,471
		Corporate Collateralized Debt Obligations — 0.5%
	4,800,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.54%, due 06/20/13		4,318,080
		Credit Cards — 2.3%
	7,100,000	Cabela’s Master Credit Card Trust, Series 08-4A, Class A2, 144A, 1 mo. LIBOR + 3.00%, 3.21%, due 09/15/14		7,107,668
	7,700,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.46%, due 09/15/17		7,717,479

See accompanying notes to the financial statements. 3

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	3,900,000	Discover Card Master Trust I, Series 05-4, Class A2, 1 mo. LIBOR + .09%, 0.30%, due 06/16/15		3,898,781
	900,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.34%, due 02/15/17		891,702
		Total Credit Cards		19,615,630
		Insured Auto Financing — 1.8%
	943,386	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, 1 mo. LIBOR + .04%, 0.25%, due 10/06/13		940,839
	1,466,612	AmeriCredit Automobile Receivables Trust, Series 07-DF, Class A4B, FSA, 1 mo. LIBOR + .80%, 1.01%, due 06/06/14		1,465,443
	3,717,315	AmeriCredit Prime Automobile Receivable Trust, Series 07-2M, Class A4B, MBIA, 1 mo. LIBOR + .50%, 0.71%, due 03/08/16		3,700,960
	9,584,219	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.41%, due 07/14/14		9,649,296
		Total Insured Auto Financing		15,756,538
		Insured Other — 0.8%
	2,766,742	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 09/15/41		2,539,891
	2,138,667	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 12/15/41		1,969,746
	2,119,019	TIB Card Receivables Fund, Series 2005-B,144A, FGIC, 3 mo. LIBOR + .25%, 0.50%, due 01/05/14		1,822,356
	9,200,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		644,000
		Total Insured Other		6,975,993
		Insured Residential Asset-Backed Securities (United States) u — 0.7%
	7,241,525	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.64%, due 07/25/34		6,010,466
		Insured Residential Mortgage-Backed Securities (United States) — 0.1%
	886,827	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.41%, due 11/25/35		767,460

4 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Insured Time Share — 0.3%
	287,479	Sierra Receivables Funding Co., Series 06-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .15%, 0.36%, due 05/20/18		282,883
	2,432,487	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.21%, due 09/20/19		2,386,380
		Total Insured Time Share		2,669,263
		Insured Transportation — 0.4%
	3,766,524	CLI Funding LLC, Series 06-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .18%, 0.39%, due 08/18/21		3,446,369
		Residential Asset-Backed Securities (United States) u — 9.1%
	1,659,548	ACE Securities Corp., Series 06-CW1, Class A2B, 1 mo. LIBOR + .10%, 0.32%, due 07/25/36		1,537,156
	589,228	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.31%, due 06/25/36		533,620
	1,104,034	ACE Securities Corp., Series 06-SL4, Class A1, 1 mo. LIBOR + .12%, 0.34%, due 09/25/36		240,127
	751,932	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.54%, due 09/25/35		140,987
	11,385,633	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.38%, due 05/25/36		5,806,673
	9,400,000	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.40%, due 10/25/36		2,820,000
	1,191,556	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.29%, due 11/25/36		428,960
	4,278,168	ACE Securities Corp., Series 07-ASL1, Class A2, 1 mo. LIBOR + .17%, 0.39%, due 12/25/36		427,817
	1,840,530	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.32%, due 06/25/36		230,066
	2,001,120	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.39%, due 06/25/36		265,148
	1,852,033	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.41%, due 03/25/36		578,760
	9,764,593	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 07/25/36		2,892,761
	1,996,676	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 06/25/36		593,387

See accompanying notes to the financial statements. 5

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) u — continued
	5,576,695	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.33%, due 09/25/36		1,742,717
	2,683,209	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.37%, due 10/25/36		1,516,013
	4,431,148	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.44%, due 05/25/37		3,444,775
	3,576,631	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.22%, due 02/28/40		2,092,329
	2,486,733	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.33%, due 11/25/36		1,749,666
	5,400,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.42%, due 11/25/36		833,220
	879,891	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.54%, due 02/25/37		211,790
	1,868,278	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.38%, due 06/25/36		1,429,233
	6,600,000	Citigroup Mortgage Loan Trust, Inc., Series 06-WFH4, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 11/25/36		4,702,500
	2,600,000	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.38%, due 12/25/36		858,000
	8,112,000	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.36%, due 02/25/37		6,347,640
	381,171	Countrywide Asset-Backed Certificates, Series 06-BC5, Class 2A1, 1 mo. LIBOR + .08%, 0.30%, due 03/25/37		368,173
	4,236,763	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.38%, due 08/25/36		1,376,948
	1,008,082	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.52%, due 01/20/35		881,757
	382,240	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.50%, due 01/20/35		340,074
	6,277,275	J.P. Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.34%, due 12/25/36		2,235,965
	3,100,000	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.38%, due 10/25/36		1,023,000
	3,560,034	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.37%, due 03/25/36		1,637,616

6 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) u — continued
	252,040	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.47%, due 10/25/35		239,438
	2,700,000	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 06/25/36		837,000
	5,645,203	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 08/25/36		1,580,657
	1,212,035	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.54%, due 03/25/36		145,444
	2,388,805	Merrill Lynch Mortgage Trust, Series 06-SD1, Class A, 1 mo. LIBOR + .28%, 0.50%, due 01/25/47		1,552,723
	2,250,681	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.37%, due 11/25/36		669,578
	8,800,000	Nationstar Home Equity Loan Trust, Series 06-B, Class AV3, 1 mo. LIBOR + .17%, 0.39%, due 09/25/36		6,767,750
	9,100,000	Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, 1 mo. LIBOR + .15%, 0.37%, due 07/25/36		4,097,844
	1,542,953	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.48%, due 12/25/35		921,914
	3,422,994	Saxon Asset Securities Trust, Series 06-3, Class A2, 1 mo. LIBOR + .11%, 0.33%, due 10/25/46		3,234,729
	9,100,000	Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.38%, due 07/25/36		3,003,000
	321,832	Security National Mortgage Loan Trust, Series 06-2A, Class A1, 144A, 1 mo. LIBOR + .29%, 0.51%, due 10/25/36		308,154
	301,577	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.48%, due 10/25/35		282,427
	1,367,823	Soundview Home Equity Loan Trust, Series 07-NS1, Class A1, 1 mo. LIBOR + .12%, 0.34%, due 01/25/37		1,305,630
	3,600,000	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.37%, due 06/25/37		1,638,000
	1,471,687	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.42%, due 01/25/36		1,080,218
	494,971	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.51%, due 11/25/35		391,027
		Total Residential Asset-Backed Securities (United States)		77,342,411

See accompanying notes to the financial statements. 7

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — 1.2%
	1,646,010	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.31%, due 07/20/38		1,608,461
	1,762,375	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.65%, due 12/08/36		1,603,761
	4,083,584	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.65%, due 03/14/36		3,765,881
	1,021,812	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.35%, due 05/10/36		989,119
	2,536,290	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.37%, due 02/21/38		2,415,055
		Total Residential Mortgage-Backed Securities (Australian)		10,382,277
		Residential Mortgage-Backed Securities (European) — 3.2%
	6,740,227	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.36%, due 09/20/66		5,526,986
	4,202,924	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.35%, due 01/13/39		3,866,691
	2,654,780	Granite Master Issuer Plc, Series 06-3, Class A3, 1 mo. LIBOR + .04%, 0.25%, due 12/20/54		2,527,350
	4,272,573	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.31%, due 12/10/43		3,877,360
	2,778,954	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .11%, 0.51%, due 11/15/38		2,080,297
	2,526,556	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .10%, 0.35%, due 09/15/39		2,133,424
	2,700,000	Permanent Master Issuer Plc, Series 06-1, Class 5A, 3 mo. LIBOR + .11%, 0.36%, due 07/15/33		2,663,820
	4,500,000	Permanent Master Issuer Plc, Series 07-1, Class 4A, 3 mo. LIBOR + .08%, 0.33%, due 10/15/33		4,477,050
		Total Residential Mortgage-Backed Securities (European)		27,152,978

8 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		Student Loans — 0.4%
	3,100,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.50%, due 01/25/24		3,094,575
	435,261	National Collegiate Student Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .15%, 0.37%, due 02/25/26		433,955
	147,943	National Collegiate Student Loan Trust, Series 06-1, Class A2, 1 mo. LIBOR + .14%, 0.36%, due 08/25/23		145,872
		Total Student Loans		3,674,402
		Total Asset-Backed Securities		249,611,433
		Foreign Government Obligations — 5.1%
GBP	25,000,000	U.K. Treasury Bond, 4.25%, due 12/07/46 (a)		43,151,378
		U.S. Government — 47.4%
	123,198,300	U.S. Treasury Inflation Indexed Note, 2.00%, due 04/15/12 (b) (c)		125,017,446
	150,000,000	U.S. Treasury Note, 1.38%, due 01/15/13		152,455,050
	65,000,000	U.S. Treasury Strip Coupon, due 05/15/22		48,823,970
	105,000,000	U.S. Treasury Strip Coupon, due 08/15/22		77,913,570
		Total U.S. Government		404,210,036
		U.S. Government Agency — 0.1%
	800,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		868,560
		TOTAL DEBT OBLIGATIONS (COST $779,272,121)		697,841,407

See accompanying notes to the financial statements. 9

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Principal Amount / Shares		Description	Value ($)
		OPTIONS PURCHASED — 1.7%
		Currency Options — 0.1%
EUR	3,000,000	EUR Call/CHF Put Expires 6/16/15, Strike 1.56 (OTC) (CP - JPMorgan Chase Bank, N.A.)		851,989
		Total Currency Options		851,989
		Options on Interest Rate Swaps — 1.6%
USD	64,000,000	Swaption Straddle Expires 04/10/18, Strike TBD, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 64,000,000 USD in which it will pay 3 month USD LIBOR and will receive a rate to be determined, maturing on April 12, 2023, (OTC) (CP - Morgan Stanley Capital Services, Inc.)		4,635,264
USD	64,000,000	Swaption Straddle Expires 04/23/18, Strike TBD, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 64,000,000 USD in which it will pay 3 month USD LIBOR and will receive a rate to be determined, maturing on April 25, 2023, (OTC) (CP - Morgan Stanley Capital Services, Inc.)		4,620,608
USD	64,000,000	Swaption Straddle Expires 05/01/18, Strike TBD, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 64,000,000 USD in which it will pay 3 month USD LIBOR and will receive a rate to be determined, maturing on May 3, 2023, (OTC) (CP - Morgan Stanley Capital Services, Inc.)		4,607,040
		Total Options on Interest Rate Swaps		13,862,912
		TOTAL OPTIONS PURCHASED (COST $10,543,550)		14,714,901
		SHORT-TERM INVESTMENTS — 27.6%
		Money Market Funds — 6.4%
	41,955,874	State Street Institutional Liquid Reserves Fund-Institutional Class, 0.10% (d)		41,955,874
	12,546,756	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.00% (e)		12,546,756
		Total Money Market Funds		54,502,630

10 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
August 31, 2011 (Unaudited)

Par Value ($)		Description	Value ($)
		U.S. Government — 21.2%
	20,000,000	U.S. Treasury Bill, 0.03%, due 11/17/11 (f)		19,998,720
	151,000,000	U.S. Treasury Bill, 0.02%, due 10/06/11 (f)		150,997,651
	10,000,000	U.S. Treasury Bill, 0.01%, due 11/10/11 (f)		9,999,770
		Total U.S. Government		180,996,141
		TOTAL SHORT-TERM INVESTMENTS (COST $235,498,586)		235,498,771
		TOTAL INVESTMENTS — 111.1% (Cost $1,025,314,257)		948,055,079
		Other Assets and Liabilities (net) — (11.1%)		(94,741,000	)
		TOTAL NET ASSETS — 100.0%	$	853,314,079

A summary of outstanding financial instruments at August 31, 2011 is as follows:

Reverse Repurchase Agreements

Face Value		Description	Market Value
GBP	26,460,000	Barclays Bank PLC, 0.55% dated 08/12/11, to be repurchased on demand at face value plus accrued interest with a stated maturity date of 09/15/11	$	(42,963,678	)
Average balance outstanding			$	(40,818,206	)
Average interest rate				0.57	%
Maximum balance outstanding			$	(43,074,258	)

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

See accompanying notes to the financial statements. 11

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Futures Contracts

						Net Unrealized
Number of			Expiration			Appreciation
Contracts	Type		Date	Value		(Depreciation)
Buys
6,480		Euro Dollar 90 Day	December 2011	$	1,611,819,000	$	1,928,643
Sales
6,480		Euro Dollar 90 Day	March 2013	$	1,611,657,000	$	(4,726,550	)

Written Options

A summary of open written option contracts for the Fund at August 31, 2011 is as follows:

Principal		Expiration						Market
Amount		Date		Description	Premiums			Value
Call	3,000,000	6/14/2013	EUR	EUR Call/CHF Put, Strike 1.56%	$	(1,097,998	)	$	(369,389	)

Swap Agreements

Credit Default Swaps

Maximum

Potential

Amount of

Future

Payments

Net

Implied

by the Fund

Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

Under the

Appreciation/

Amount

Date

Counterparty

(Pay)Ù

Premium

Spread (1)

Entity

Contract (2)

(Depreciation)

50,000,000

USD

12/20/2012

Morgan Stanley

(Pay)

1.93%

0.470%

Reference security

N/A

$

(1,151,415

)

Capital Services Inc.

within CDX index

96,449,886

USD

12/20/2012

Morgan Stanley

Receive

0.71%

0.016%

Reference security

96,449,886

USD

1,020,132

Capital Services Inc.

within CDX index

250,769,703

USD

12/20/2012

Morgan Stanley

Receive

0.71%

0.016%

Reference security

250,769,703

USD

2,652,344

Capital Services Inc.

within CDX Index

12 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Credit Default Swaps — continued

Maximum

Potential

Amount of

Future

Payments

Net

Implied

by the Fund

Unrealized

Notional

Expiration

Receive

Annual

Credit

Reference

Under the

Appreciation/

Amount

Date

Counterparty

(Pay)Ù

Premium

Spread (1)

Entity

Contract (2)

(Depreciation)

100,000,000

USD

12/20/2012

Morgan Stanley

(Pay)

1.20%

0.174%

Reference security

N/A

$

(1,591,499

)

Capital Services Inc.

within CDX Index

7,000,000

USD

3/20/2013

Morgan Stanley Capital Services Inc.

Receive

0.25%

1.755%

MS Synthetic 2006-1

7,000,000

USD

(163,861

)

$

765,701

Premiums to (Pay) Receive

$

—

Ù	Receive - Fund receives premium and sells credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
	(Pay) - Fund pays premium and buys credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will 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.
(1)	Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of August 31, 2011, 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 agreement.
(2)	The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

See accompanying notes to the financial statements. 13

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Interest Rate Swaps

								Net Unrealized
Notional			Expiration		Receive	Fixed		Appreciation/
Amount			Date	Counterparty	(Pay)#	Rate	Variable Rate	(Depreciation)
	1,000,000,000	CHF	8/5/2012	Credit Suisse International	Pay	0.10%	3 Month CHF LIBOR	$	(1,768,834	)
	225,000,000	CHF	8/5/2012	Deutsche Bank AG	Pay	0.10%	3 Month CHF LIBOR		(386,504	)
	1,500,000,000	CHF	8/5/2012	Merrill Lynch Capital Services	Pay	0.10%	3 Month CHF LIBOR		(2,610,143	)
	250,000,000	CHF	8/5/2012	Morgan Stanley Capital Services Inc.	Pay	0.10%	3 Month CHF LIBOR		(452,986	)
	35,000,000	GBP	12/21/2013	Barclays Bank PLC	Receive	2.00%	6 Month GBP LIBOR		648,235
	1,224,000,000	SEK	12/21/2013	Barclays Bank PLC	Receive	3.25%	3 Month SEK STIBOR		3,872,459
	90,000,000	EUR	12/21/2013	Citibank N.A.	Pay	2.50%	6 Month EUR LIBOR		(2,250,030	)
	2,200,000,000	JPY	12/21/2013	Citibank N.A.	Pay	0.50%	6 Month JPY LIBOR		(88,008	)
	943,000,000	SEK	12/21/2013	Citibank N.A.	Receive	3.25%	3 Month SEK STIBOR		2,983,439
	129,000,000	CHF	12/21/2013	Credit Suisse International	Receive	1.00%	6 Month CHF LIBOR		1,860,244
	915,000,000	SEK	12/21/2013	Credit Suisse International	Receive	3.25%	3 Month SEK STIBOR		2,894,853
	177,000,000	AUD	12/21/2013	Deutsche Bank AG	Receive	5.00%	3 Month AUD BBSW		2,840,204
	107,000,000	CAD	12/21/2013	Deutsche Bank AG	Pay	2.00%	3 Month CAD BA’S		(1,681,463	)
	175,000,000	CHF	12/21/2013	Deutsche Bank AG	Receive	1.00%	6 Month CHF LIBOR		2,523,586
	182,000,000	EUR	12/21/2013	Deutsche Bank AG	Pay	2.50%	6 Month EUR LIBOR		(4,550,061	)
	76,000,000	GBP	12/21/2013	Deutsche Bank AG	Receive	2.00%	6 Month GBP LIBOR		1,407,596

14 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Interest Rate Swaps — continued

								Net Unrealized
Notional			Expiration		Receive	Fixed		Appreciation/
Amount			Date	Counterparty	(Pay)#	Rate	Variable Rate	(Depreciation)
	795,000,000	SEK	12/21/2013	Deutsche Bank AG	Pay	3.25%	3 Month SEK STIBOR	$	(2,515,200	)
	64,000,000	USD	12/21/2013	Deutsche Bank AG	Pay	0.75%	3 Month USD LIBOR		(261,518	)
	337,000,000	CAD	12/21/2013	Goldman Sachs International	Pay	2.00%	3 Month CAD BA’S		(5,295,823	)
	47,200,000,000	JPY	12/21/2013	Goldman Sachs International	Receive	0.50%	6 Month JPY LIBOR		1,888,166
	223,000,000	USD	12/21/2013	Goldman Sachs International	Pay	0.75%	3 Month USD LIBOR		(911,225	)
	64,000,000	USD	12/21/2013	Goldman Sachs International	Pay	0.75%	3 Month USD LIBOR		(261,518	)
	152,000,000	CAD	12/21/2013	JPMorgan Chase Bank N.A.	Pay	2.00%	3 Month CAD BA’S		(2,388,621	)
	50,500,000	AUD	12/21/2013	Merrill Lynch Capital Services	Pay	5.00%	3 Month AUD BBSW		(810,341	)
	9,000,000	CHF	12/21/2013	Merrill Lynch Capital Services	Receive	1.00%	6 Month CHF LIBOR		129,784
	92,000,000	EUR	12/21/2013	Merrill Lynch Capital Services	Pay	2.50%	6 Month EUR LIBOR		(2,300,031	)
	312,500,000	GBP	12/21/2013	Merrill Lynch Capital Services	Pay	2.00%	6 Month GBP LIBOR		(5,787,811	)
	14,500,000,000	JPY	12/21/2013	Merrill Lynch Capital Services	Receive	0.50%	6 Month JPY LIBOR		580,051
	1,042,000,000	SEK	12/21/2013	Merrill Lynch Capital Services	Receive	3.25%	3 Month SEK STIBOR		3,296,652
	907,000,000	USD	2/10/2014	Deutsche Bank AG	Pay	0.68%	3 Month USD LIBOR		(2,022,836	)
	378,000,000	USD	2/10/2017	Deutsche Bank AG	Receive	1.72%	3 Month USD LIBOR		4,259,287
	6,000,000	GBP	12/21/2021	Barclays Bank PLC	Pay	3.75%	6 Month GBP LIBOR		(606,289	)

See accompanying notes to the financial statements. 15

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Interest Rate Swaps — continued

								Net Unrealized
Notional			Expiration		Receive	Fixed		Appreciation/
Amount			Date	Counterparty	(Pay)#	Rate	Variable Rate	(Depreciation)
	304,000,000	SEK	12/21/2021	Barclays Bank PLC	Pay	3.75%	3 Month SEK STIBOR	$	(3,734,491	)
	21,000,000	EUR	12/21/2021	Citibank N.A.	Receive	3.50%	6 Month EUR LIBOR		1,490,325
	700,000,000	JPY	12/21/2021	Citibank N.A.	Receive	1.50%	6 Month JPY LIBOR		359,362
	220,000,000	SEK	12/21/2021	Citibank N.A.	Pay	3.75%	3 Month SEK STIBOR		(2,702,592	)
	29,000,000	CHF	12/21/2021	Credit Suisse International	Pay	2.25%	6 Month CHF LIBOR		(1,546,578	)
	213,000,000	SEK	12/21/2021	Credit Suisse International	Pay	3.75%	3 Month SEK STIBOR		(2,616,600	)
	45,000,000	AUD	12/21/2021	Deutsche Bank AG	Pay	5.75%	6 Month AUD BBSW		(2,107,168	)
	25,000,000	CAD	12/21/2021	Deutsche Bank AG	Receive	3.50%	3 Month CAD BA’S		1,599,048
	38,000,000	CHF	12/21/2021	Deutsche Bank AG	Pay	2.25%	6 Month CHF LIBOR		(2,026,551	)
	42,000,000	EUR	12/21/2021	Deutsche Bank AG	Receive	3.50%	6 Month EUR LIBOR		2,980,650
	17,000,000	GBP	12/21/2021	Deutsche Bank AG	Pay	3.75%	6 Month GBP LIBOR		(1,717,820	)
	173,000,000	SEK	12/21/2021	Deutsche Bank AG	Receive	3.75%	3 Month SEK STIBOR		2,125,220
	17,000,000	USD	12/21/2021	Deutsche Bank AG	Receive	3.25%	3 Month USD LIBOR		1,155,773
	74,000,000	CAD	12/21/2021	Goldman Sachs International	Receive	3.50%	3 Month CAD BA’S		4,733,182
	9,700,000,000	JPY	12/21/2021	Goldman Sachs International	Pay	1.50%	6 Month JPY LIBOR		(4,979,724	)
	53,000,000	USD	12/21/2021	Goldman Sachs International	Receive	3.25%	3 Month USD LIBOR		3,603,293

16 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Interest Rate Swaps — continued

								Net Unrealized
Notional			Expiration		Receive	Fixed		Appreciation/
Amount			Date	Counterparty	(Pay)#	Rate	Variable Rate	(Depreciation)
	15,000,000	USD	12/21/2021	Goldman Sachs International	Receive	3.25%	3 Month USD LIBOR	$	1,019,800
	33,500,000	CAD	12/21/2021	JPMorgan Chase Bank N.A.	Receive	3.50%	3 Month CAD BA’S		2,142,724
	10,000,000	AUD	12/21/2021	Merrill Lynch Capital Services	Receive	5.75%	6 Month AUD BBSW		468,260
	2,000,000	CHF	12/21/2021	Merrill Lynch Capital Services	Pay	2.25%	6 Month CHF LIBOR		(106,661	)
	22,000,000	EUR	12/21/2021	Merrill Lynch Capital Services	Receive	3.50%	6 Month EUR LIBOR		1,561,293
	74,000,000	GBP	12/21/2021	Merrill Lynch Capital Services	Receive	3.75%	6 Month GBP LIBOR		7,477,570
	3,000,000,000	JPY	12/21/2021	Merrill Lynch Capital Services	Pay	1.50%	6 Month JPY LIBOR		(1,540,121	)
	240,000,000	SEK	12/21/2021	Merrill Lynch Capital Services	Pay	3.75%	3 Month SEK STIBOR		(2,890,420	)
	65,000,000	USD	5/15/2022	JPMorgan Chase Bank N.A.	Pay	0.00%	3 Month USD LIBOR		(13,142,181	)
	105,000,000	USD	8/15/2022	JPMorgan Chase Bank N.A.	Pay	0.00%	3 Month USD LIBOR		(21,001,770	)
	25,000,000	GBP	12/7/2046	Merrill Lynch Capital Services	Pay	4.36%	6 month GBP LIBOR		(5,416,365	)
								$	(42,577,228	)
Premiums to (Pay) Receive								$	11,677,556

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

As of August 31, 2011, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

See accompanying notes to the financial statements. 17

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Schedule of Investments — (Continued)
August 31, 2011 (Unaudited)

Notes to Schedule of Investments:

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

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

BBSW - Bank Bill Swap Reference Rate

CAD BA - Canadian Bankers Acceptance Rate

CDO - Collateralized Debt Obligation

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

CMBS - Commercial Mortgage Backed Security

CP - Counterparty

EUR LIBOR - London Interbank Offered Rate denominated in Euros.

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.

GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen

LIBOR - London Interbank Offered Rate

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

OTC - Over-the-Counter

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.

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

The rates shown on variable rate notes are the current interest rates at August 31, 2011, which are subject to change based on the terms of the security.

u	These securities are primarily backed by subprime mortgages.
(a)	All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements (Note 2).
(b)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).
(c)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap contracts, forward currency contracts, and/or written options, if any.
(d)	Rate disclosed, the 7 day net yield, is as of August 31, 2011.
(e)	Rate disclosed, the 7 day net yield, is as of August 31, 2011. Note: Yield rounds to 0.00%.
(f)	Rate shown represents yield-to-maturity.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

SEK - Swedish Krona

USD - United States Dollar

18 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)


Statement of Assets and Liabilities — August 31, 2011 (Unaudited)

Assets:
Investments, at value (cost $1,025,314,257) (Note 2)	$	948,055,079
Receivable for investments sold		1,917
Interest receivable		1,794,245
Receivable for open swap contracts (Note 4)		63,573,532
Receivable for expenses reimbursed by Manager (Note 5)		27,734
Total assets		1,013,452,507
Liabilities:
Payable for investments purchased		9,187,200
Payable for Fund shares repurchased		233,339
Payable to affiliate for (Note 5):
Trustees and Trust Officers or agents unaffiliated with the Manager		1,316
Payable for variation margin on open futures contracts (Note 4)		1,618,474
Interest payable for open swap contracts		205,716
Payable for open swap contracts (Note 4)		105,385,059
Payable for reverse repurchase agreements (Note 2)		42,963,678
Written options outstanding, at value (premiums $1,097,998) (Note 4)		369,389
Accrued expenses		174,257
Total liabilities		160,138,428
Net assets	$	853,314,079
Shares outstanding		37,250,404
Net asset value per share	$	22.91

See accompanying notes to the financial statements. 19

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)


Statement of Operations — Six Months Ended August 31, 2011 (Unaudited)

Investment Income:
Interest	$	8,959,011
Dividends		27,754
Total investment income		8,986,765
Expenses:
Interest expense (Note 2)		116,057
Custodian, fund accounting agent and transfer agent fees		65,412
Audit and tax fees		61,916
Legal fees		17,940
Trustees fees and related expenses (Note 5)		6,897
Miscellaneous		12,992
Total expenses		281,214
Fees and expenses reimbursed by Manager (Note 5)		(151,800	)
Expense reductions (Note 2)		(73	)
Net expenses		129,341
Net investment income (loss)		8,857,424
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(1,841,070	)
Futures contracts		(56,345,034	)
Written options		700,000
Swap contracts		15,768,284
Foreign currency, forward contracts and foreign currency related transactions		327,415
Net realized gain (loss)		(41,390,405	)
Change in net unrealized appreciation (depreciation) on:
Investments		10,341,109
Futures contracts		26,156,103
Written options		(651,601	)
Swap contracts		4,653,972
Foreign currency, forward contracts and foreign currency related transactions		504,030
Net unrealized gain (loss)		41,003,613
Net realized and unrealized gain (loss)		(386,792	)
Net increase (decrease) in net assets resulting from operations	$	8,470,632

20 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)


Statement of Changes in Net Assets

	Six Months Ended
	August 31, 2011			Year Ended
	(Unaudited)			February 28, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	8,857,424		$	15,510,599
Net realized gain (loss)		(41,390,405	)		54,487,843
Change in net unrealized appreciation (depreciation)		41,003,613			(12,280,551	)
Net increase (decrease) in net assets from operations		8,470,632			57,717,891
Net share transactions (Note 9):		(5,348,716	)		(133,322,118	)
Total increase (decrease) in net assets		3,121,916			(75,604,227	)
Net assets:
Beginning of period		850,192,163			925,796,390
End of period	$	853,314,079		$	850,192,163

See accompanying notes to the financial statements. 21

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Financial Highlights
(For a share outstanding throughout each period)

	Six Months
	Ended
	August 31,
	2011			Year Ended February 28/29,
	(Unaudited)			2011			2010			2009			2008			2007
Net asset value, beginning of period	$	22.68		$	21.30		$	18.35		$	25.68		$	25.99		$	25.23
Income (loss) from investment operations:
Net investment income (loss)†		0.24			0.37			0.39			0.76			1.41			1.36
Net realized and unrealized gain (loss)		(0.01	)		1.01			4.24			(8.09	)		(1.72	)		(0.60	)
Total from investment operations		0.23			1.38			4.63			(7.33	)		(0.31	)		0.76
Less distributions to shareholders:
From cash distributions		—			—			(1.68	)		—			—			—
Total distributions		—			—			(1.68	)		—			—			—
Net asset value, end of period	$	22.91		$	22.68		$	21.30		$	18.35		$	25.68		$	25.99
Total Return(a)		1.01	%**		6.48	%		27.20	%		(28.54	)%		(1.19	)%		3.01	%
Ratios/Supplemental Data:
Net assets, end of period (000’s)	$	853,314		$	850,192		$	925,796		$	790,480		$	1,478,176		$	1,750,067
Net operating expenses to average daily net assets(b)		0.00	%*(c)		0.00	%(c)		0.00	%(c)		0.00	%		0.00	%		0.00	%
Interest expense to average daily net assets		0.03	%*(d)		0.03	%(e)		0.05	%(e)		—			0.07	%(d)		0.00	%(b)(d)
Total net expenses to average daily net assets		0.03	%*(c)		0.03	%(c)		0.05	%(c)		0.00	%(b)		0.07	%		0.00	%(b)
Net investment income (loss) to average daily net assets		2.07	%*		1.69	%		1.98	%		3.19	%		5.38	%		5.36	%
Portfolio turnover rate		0.00	%**		36	%		55	%		59	%		41	%		93	%
Fees and expenses reimbursed by the Manager to average daily net assets		0.04	%*		0.04	%		0.04	%		0.04	%		0.02	%		0.03	%
Redemption fees consisted of the following per share amounts:†	$	0.00	(f)	$	0.00	(f)	$	0.00	(f)	$	0.01			—			—

(a)	The total returns would have been lower had certain expenses not been reimbursed during the periods shown. Calculation excludes redemption fees which are borne by the shareholder.
(b)	Ratio is less than 0.01%.
(c)	The net expense ratio does not include the effect of expense reductions (Note 2).
(d)	Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(e)	Interest expense incurred as a result of entering into reverse repurchase agreements and/or payables owed to Lehman Brothers in connection with the termination of derivative contracts in 2008 is included in the Fund’s net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.
(f)	There were no redemption fees during the period.
†	Calculated using average shares outstanding throughout the period.
*	Annualized.
**	Not annualized.

22 See accompanying notes to the financial statements.

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements
August 31, 2011 (Unaudited)

1. Organization

GMO World Opportunity Overlay Fund (the “Fund”) 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 with multiple series. The Fund is non-diversified as the term is defined in the 1940 Act. The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”). 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 Fund seeks total return greater than that of its benchmark, the J.P. Morgan U.S. 3 Month Cash Index. The Fund seeks to achieve its investment objective by using derivatives and direct investments in fixed income securities to seek to exploit misvaluations in global interest rate, credit and currency markets. The Fund’s direct investments in fixed income securities include U.S. and foreign asset-backed securities and other fixed income securities (including Treasury Separately Traded Registered Interest and Principal Securities (“STRIPS”), Inflation-Protected Securities issued by the U.S. Treasury (“TIPs”), Treasury Securities and global bonds).

The Fund seeks to achieve its investment objective by attempting to identify and estimate the relative misvaluation of global interest rate, credit and currency markets. Based on such estimates, the Fund establishes its positions across global interest rate, credit and currency markets. Derivative positions taken by the Fund are implemented primarily through interest rate swaps and/or futures contracts, currency forwards and/or options, and credit default swaps on single-issuers or indices. As a result of its derivative positions, the Fund typically will have a net notional value in excess of its net assets and will have a higher tracking error, along with concomitant volatility, relative to its benchmark. The Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivatives positions, and, as a result, the Fund may be leveraged in relation to its assets.

The Fund has a substantial investment in asset-backed securities, including, but not limited to, securities backed by pools of residential and commercial mortgages, credit-card receivables, home equity loans, automobile loans, educational loans, corporate and sovereign bonds, and bank loans made to corporations. In addition, the Fund may invest in government securities, corporate debt securities, money market instruments and commercial paper, and enter into credit default swaps, reverse repurchase agreements, and repurchase agreements. The Fund’s fixed income securities may include all types of interest rate, payment and reset terms, including fixed rate, zero coupon, contingent, deferred, payment-in-kind and auction rate features.

Because of the deterioration in credit markets that became acute in 2008, the Fund has and is expected to continue to have material exposure to below investment grade securities. If deemed prudent by the Manager, the Fund will take temporary defensive measures until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund’s

23

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

normal investment strategies. The Fund may not achieve its investment objective while it is taking temporary defensive measures. Because of the above-referenced deterioration in credit markets, the Fund has previously taken temporary defensive positions and has availed itself of the right to honor redemption requests in-kind.

Currently, shares of the Fund are not publicly offered and are principally available for purchase by other GMO Funds and certain other accredited investors.

2. Significant accounting policies

The following is a summary of significant accounting policies followed by the 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 Fund in preparing its 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 Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange (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 as of the close of regular trading on the New York Stock Exchange (“NYSE”) or, (iii) if there is no such reported sale or official closing price (or in the event the Manager deems the over-the-counter (“OTC”) market to be a better indicator of market value), at the most recent quoted price. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost (unless circumstances dictate otherwise; for example, if the issuer’s creditworthiness has become impaired), which approximates market value. Shares of open-end investment companies are generally valued at their net asset value. Derivatives and other securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Although the goal of fair valuation is to determine the amount the owner of the securities might reasonably expect to receive upon their current sale, because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. For the period ended August 31, 2011, the Fund did not reduce the value of any of its OTC derivative contracts based on the creditworthiness of its counterparties. See Note 4 for a further discussion on valuation of derivative financial instruments.

Typically the Fund values debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although

24

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

alternative prices are available for securities held by the Fund, those alternative sources are not typically part of the valuation process and would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund. As of August 31, 2011, the total value of securities held for which no alternative pricing source was available represented 4.0% of the net assets of the Fund.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security.

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments in a three-level hierarchy. The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

During the current year, the Fund became subject to an amendment to authoritative accounting guidance that requires new disclosures and clarifies existing disclosure requirements about fair value measurements. Specifically, the amendment requires purchases, sales, issuances and settlements be disclosed separately (i.e. gross) within the Level 3 roll-forward. The effective date of the guidance was for interim and annual periods beginning after December 15, 2010.

The three levels are defined as follows:

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

Level 2 – Valuations determined using other significant direct or indirect observable inputs. These inputs may include most recent quoted prices, interest rates, prepayment speeds, credit risk, yield curves and similar data. The Fund also used third party valuation services (which use industry models and inputs from pricing vendors) to value certain credit default swaps.

Level 3 – Valuations based primarily on inputs that are unobservable and significant. The Fund utilized a number of fair value techniques on Level 3 investments, including the following: The Fund valued certain debt securities and OTC derivatives using quoted prices. The Fund also used third party valuation services to value certain credit default swaps using unobservable inputs.

25

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The following is a summary of the respective levels assigned to the Fund’s investments and derivatives, if any, as of August 31, 2011:

ASSET VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
Asset-Backed Securities	$	—	$	21,236,019	$	228,375,414	$	249,611,433
Foreign Government Obligations		—		43,151,378		—		43,151,378
U.S. Government		152,455,050		251,754,986		—		404,210,036
U.S. Government Agency		—		868,560		—		868,560
TOTAL DEBT OBLIGATIONS		152,455,050		317,010,943		228,375,414		697,841,407
Options Purchased		—		851,989		13,862,912		14,714,901
Short-Term Investments		84,501,120		150,997,651		—		235,498,771
Total Investments		236,956,170		468,860,583		242,238,326		948,055,079
Derivatives*
Swap Agreements
Credit Risk		—		3,672,476		—		3,672,476
Interest Rate Risk				59,901,056		—		59,901,056
Futures Contracts
Interest Rate Risk		1,928,643		—		—		1,928,643
Total	$	238,884,813	$	532,434,115	$	242,238,326	$	1,013,557,254

LIABILITY VALUATION INPUTS

	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Liabilities		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)			Total
Derivatives*
Written Options
Foreign Currency Risk	$	—	$	(369,389	)	$	—		$	(369,389	)
Swap Agreements
Credit Risk		—		(2,742,914	)		(163,861	)		(2,906,775	)
Interest Rate Risk		—		(102,478,284	)		—			(102,478,284	)

26

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

  LIABILITY VALUATION INPUTS — continued

	Quoted Prices			Significant
	in Active			Other			Significant
	Markets for			Observable			Unobservable
	Identical Liabilities			Inputs			Inputs
Description	(Level 1)			(Level 2)			(Level 3)			Total
Derivatives — (continued)*
Futures Contracts
Interest Rate Risk	$	(4,726,550	)	$	—		$	—		$	(4,726,550	)
Total	$	(4,726,550	)	$	(105,590,587	)	$	(163,861	)	$	(110,480,998	)

The risks referenced above are not intended to be inclusive of all risks. Please see the Investment Risks and Derivative Financial Instruments sections below for a further discussion of risks.

            * Because the tables above are based on market values or unrealized appreciation (depreciation) rather than the notional amounts of derivatives, the uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to the Fund’s net asset value than the uncertainties surrounding inputs for a non-derivative security with the same market value.

The aggregate net values of the Fund’s direct investments in securities and derivative financial instruments using Level 3 inputs were 28.4% and (0.1)% of total net assets, respectively.

For the period ended August 31, 2011, there were no significant transfers between Level 1 and Level 2.

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

																								Net Change in
																								Unrealized
																								Appreciation
																								(Depreciation)
																								from
	Balances													Change in							Balances			Investments
	as of								Accrued		Total			Unrealized			Transfers		Transfers		as of			Still Held as of
	February 28,								Discounts/		Realized			Appreciation			into		out of		August 31,			August 31,
	2011			Purchases		Sales			Premiums		Gain/(Loss)			(Depreciation)			level 3 *		level 3 *		2011			2011
Debt Obligations
Asset-Backed Securities	$	293,962,357		$	—	$	(54,928,220	)	$	11,702	$	(129,528	)	$	(10,540,897	)	$	—	$	—	$	228,375,414		$	(10,585,243	)
Purchased Options	$	12,123,200			—		—			—		—		$	1,739,712			—		—	$	13,862,912		$	1,739,712
Swaps	$	(57,502	)		—	$	(8,847	)		—	$	8,847		$	(106,359	)		—		—	$	(163,861	)	$	(106,359	)
Total	$	306,028,055		$	—	$	(54,937,067	)	$	11,702	$	(120,681	)	$	(8,907,544	)	$	—	$	—	$	242,074,465		$	(8,951,890	)

            * The Fund accounts for investments and derivatives transferred into Level 3 at the value at the beginning of the period and transferred out of Level 3 at the value at the end of the period.

27

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE on the business day the income and expenses are accrued or incurred. 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 on the Statement 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.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security 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 is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and/or 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 the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. As of August 31, 2011, the Fund had received $42,952,523 from reverse repurchase agreements relating to securities with a market value, plus accrued interest, of $44,701,075. Reverse repurchase agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

28

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Inflation-indexed bonds

The Fund 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. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. 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. There can be no assurance, however, that the value of inflation indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by the Fund from inflation indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Taxes

The Fund has elected to be treated as a partnership for U.S. federal income tax purposes. As a partnership, the Fund is not itself subject to federal income tax. Instead, each shareholder is required to take into account in determining its tax liability, its distributive share of items of Fund income, gain, loss, deduction, credit, and tax preference for each taxable year substantially as though such items have been realized directly by the shareholder and without regard to whether any distribution by the Fund has been or will be received. The Fund trades securities for its own account and, as such, is generally not subject to U.S. tax on such earnings (other than certain withholding taxes). The Manager intends to conduct the business of the Fund to the maximum extent practicable so that the Fund’s activities do not constitute a U.S. trade or business. Accordingly, no provision (benefit) for U.S. federal and state income tax is reflected in the accompanying financial statements. Dividends and other revenue may be subject to withholding or similar taxes imposed by the country in which such dividends or other revenue originate. The Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based taxes imposed by certain countries in which it invests. Taxes and associated penalty and interest amounts related to capital gains realized during the period ended August 31, 2011, if any, are reflected as part of Net realized gain (loss) in the Statement 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 Statement of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes.

29

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

As of August 31, 2011, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

							Net Unrealized
		Gross Unrealized		Gross Unrealized			Appreciation
Aggregate Cost		Appreciation		(Depreciation)			(Depreciation)
$	1,025,314,257	$	33,099,591	$	(110,358,769	)	$	(77,259,178	)

The Fund is subject to authoritative accounting guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. The tax laws of the United States and non-U.S. countries are subject to change. Recently enacted and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and retroactively. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns it has filed and the tax positions it has adopted. The Fund did not have any unrecognized tax benefits or liabilities at period-end, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period ended August 31, 2011 that would materially impact its financial position. For U.S. federal and state tax filings, the tax years which are generally subject to examination by the relevant U.S. federal and state tax authorities include the years ended February 29, 2008 through the current year.

Distributions

Because the Fund has elected to be treated as a partnership for U.S. federal income tax purposes, it is not required to make distributions to its shareholders. It is the policy of the Fund to declare and pay distributions as determined by the Trustees (or their delegates). Distributions made by the Fund, if any, other than distributions made in partial or complete redemption of shareholders’ interests in the Fund, are reported in the Fund’s Statement of Changes in Net Assets as cash distributions to shareholders.

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 Fund’s policy is that security transactions are generally accounted for on the following business day. The Manager may override that policy and the 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 the Fund is informed of 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 and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection

30

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

is not expected. 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 Fund uses the identified cost basis.

Expenses

Most of the expenses of the Trust are directly identifiable to an individual fund. 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.

State Street Bank and Trust Company (“State Street”) serves as the Fund’s custodian, fund accounting agent and transfer agent. State Street’s fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance.

Earnings allowances are reported as a reduction of expenses in the Statement of Operations.

3. Investment risks

The value of the Fund’s shares changes with the value of the Fund’s investments. Many factors can affect this value, and you may lose money by investing in the Fund. The Fund is a non-diversified investment company under the 1940 Act and therefore a decline in the market value of a particular security held by the Fund may affect the Fund’s performance more than if the Fund were diversified. The principal risks of investing in the Fund are summarized below. The risks of investing in the Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section describes the nature of these principal risks and some related risks, but does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

• Market Risk — Fixed Income Securities — Typically, the value of fixed income securities will decline during periods of rising interest rates and widening of credit spreads.

• Market Risk — Asset-Backed Securities — Asset-backed securities are subject to severe credit downgrades, illiquidity, defaults and declines in market value.

• Credit Risk — The Fund runs the risk that the issuer or guarantor of a fixed income security or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal or interest payments or to otherwise honor its obligations. The market value of a fixed income security normally will decline as a result of the issuer’s failure to meet its payment obligations or the market’s expectation of a default, which may result from the downgrading of the issuer’s credit rating. The Fund’s investments in below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.

31

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

• Liquidity Risk — Low trading volume, lack of a market maker, a large size position or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. The more less-liquid securities the Fund holds, the more likely it is to honor a redemption request in-kind.

• Derivatives Risk — The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates or indices. Derivatives also present other Fund risks, including market risk, liquidity risk, currency risk and counterparty risk.

• Leveraging Risk — The Fund’s use of reverse repurchase agreements and other derivatives and securities lending may cause its portfolio to be leveraged. Leverage increases the Fund’s portfolio losses when the value of its investments decline.

• Counterparty Risk — The Fund runs the risk that the counterparty to an OTC derivatives contract or a borrower of the Fund’s securities will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. The risk of counterparty default is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• Focused Investment Risk — Focusing investments in countries, regions, sectors or companies with high positive correlations to one another, such as the Fund’s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans and home equity loans), creates additional risk.

• Foreign Investment Risk — The market prices of many foreign securities fluctuate more than those of U.S. securities. Many foreign markets are less stable, smaller, less liquid and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Foreign portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to foreign taxes on capital gains or other income payable on foreign securities, on transactions in those securities and on the repatriation of proceeds generated from those securities. Also, many foreign markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some foreign markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund’s investments.

• Management and Operational Risk — The Fund relies on GMO’s ability to achieve its investment objective by effectively implementing its investment approach. The Fund runs the risk that GMO’s proprietary investment techniques will fail to produce the desired results. The Fund’s portfolio managers may use quantitative analyses and/or models and any imperfections or limitations in such analyses and/or

32

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

models could affect the ability of the portfolio managers to implement strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and/or it may not include the most recent information about a company or a security. The Fund is also subject to the risk that deficiencies in the Manager’s or another service provider’s internal systems or controls will cause losses for the Fund or impair Fund operations.

• Market Disruption and Geopolitical Risk — Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events as well as other changes in foreign and domestic economic and political conditions could adversely affect the value of the Fund’s investments.

• Large Shareholder Risk — To the extent that shares of the Fund are held by large shareholders (e.g., institutional investors, asset allocation funds, or other GMO Funds), the Fund is subject to the risk that these shareholders will disrupt the Fund’s operations by purchasing or redeeming Fund shares in large amounts and/or on a frequent basis.

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

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

The existence of insurance on an asset-based security does not guarantee that the principal and/or interest will be paid because the insurer could default on its obligations. In recent years, a significant number of asset-backed security insurers have defaulted on their obligations.

With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness

33

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

of those securities (and underlying assets) caused credit spreads (the difference between yields on the asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the value of asset-backed and other fixed income securities. There can be no assurance these conditions will not occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

The market value of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as is provided by the asset-backed security. The risk of investing in asset-backed securities has increased because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated since the deterioration in worldwide economic and liquidity conditions.

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, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. In particular, the Fund may use swaps or other derivatives on an index, a single security or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including 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 reduce its investment exposures (which may result in a reduction below zero). 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

34

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager 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 their investment exposures, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may use derivatives to effect transactions intended as a substitute for securities lending.

The Fund is not limited in the extent to which it uses derivatives or in the absolute face value of its derivative positions. As a result, the Fund may be leveraged in terms of aggregate exposure of its assets, and its net long exposure may exceed 100% of its net assets.

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. In particular, the use of OTC derivatives exposes the Fund to the risk that the counterparty to a derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives contracts typically can be closed only with the other party to the contract. If the counterparty defaults, the Fund will have contractual remedies, but may not be able to enforce them. Because the contract for each OTC derivative is individually negotiated, the counterparty may interpret contractual terms (e.g., the definition of default) differently than the Fund and if that occurs, the Fund may decide not to pursue its claims against the counterparty in order to avoid incurring the cost and unpredictability of legal proceedings. The Fund, therefore, may be unable to obtain payments the Manager believes are owed under OTC derivatives contracts or those payments may be delayed or made only after the Fund has incurred the costs of litigation.

The Fund may invest in derivatives that do not require the counterparty to post collateral (e.g., foreign currency forwards), that require collateral but that do not provide for the Fund’s security interest in it to be perfected, that require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or that do not require the collateral to be regularly marked-to-market (e.g., certain OTC derivatives). Even where obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. When a counterparty’s obligations are not fully secured by collateral, the Fund is exposed to the risk of having limited recourse if the counterparty defaults. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives

35

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

risk is particularly acute in environments (like those experienced recently) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. During these periods of market disruptions, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present risks described in Note 3, “Investment Risks” above. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used by the Fund or their pricing agents may not produce valuations that are consistent with the values realized when OTC derivatives are actually closed out or sold. This valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value.

The Fund’s use of derivatives may not be effective or have the desired results. Moreover, suitable derivatives will not be available in all circumstances. For example, the economic costs of taking some derivative positions may be prohibitive, and if a counterparty or its affiliate is deemed to be an affiliate of the Fund, the Fund will not be permitted to trade with that counterparty. In addition, the Manager may decide not to use derivatives to hedge or otherwise reduce the Fund’s risk exposures, potentially resulting in losses for the Fund.

Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates or indices they are designed to track. The use of derivatives also may increase or accelerate the taxes payable by shareholders.

When a Fund uses credit default swaps to obtain synthetic long exposure to a fixed income security such as a debt instrument or index of debt instruments, the Fund is exposed to the risk that it will be required to pay the full notional value of the swap contract in the event of a default.

Swap contracts and other OTC derivatives are highly susceptible to liquidity risk and counterparty risk, and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In addition, the Fund is not limited in the extent to which it may use derivatives or in the absolute face value of its derivative positions, and, as a result, it may be leveraged in relation to its assets (see “Leveraging Risk” above).

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things,

36

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

restrict the Fund’s ability to engage in derivatives transactions (for example, by making certain types of derivatives transactions no longer available to the Fund) and/or increase the costs of such derivatives transactions (for example, by increasing margin or capital requirements), and the Fund may be unable to execute its investment strategy as a result. It is unclear how the regulatory changes will affect counterparty risk.

Forward currency contracts

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the 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. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded on the Statement 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 Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. During the period ended August 31, 2011, the Fund used futures contracts to adjust interest-rate exposure and enhance the diversity and liquidity of the portfolio. Futures contracts outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

37

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Options

The Fund 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. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. During the period ended August 31, 2011, the Fund used purchased option contracts to adjust exposure to currencies and otherwise adjust currency exchange rate risk, as well as to enhance the diversity and liquidity of the portfolio and to adjust interest rate exposure. Option contracts purchased by the Fund and outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

The Fund may write (i.e., sell) call and put options on futures, swaps (“swaptions”), securities or currencies it owns or in which it may invest. Writing options alters the Fund’s exposure to the underlying asset by, in the case of a call option, obligating the Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the period ended August 31, 2011, the Fund used written option contracts to adjust exposure to currencies and otherwise adjust currency exchange rate risk, as well as to enhance the diversity and liquidity of the portfolio and to adjust interest rate exposure. Written options outstanding at the end of the period are listed in the 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 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 Statement of Operations.

38

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

For the period ended August 31, 2011, investment activity in options contracts written by the Fund was as follows:

	Puts						Calls
	Principal		Number				Principal			Number
	Amount		of Futures				Amount			of Futures
	of Contracts		Contracts		Premiums		of Contracts			Contracts		Premiums
Outstanding, beginning of period		—		—	$	—		(503,000,000	)		—	$	(1,797,998	)
Options written		—		—		—		—			—		—
Options bought back		—		—		—		—			—		—
Options expired		—		—		—		500,000,000			—		700,000
Outstanding, end of period		—		—	$	—		(3,000,000	)		—	$	(1,097,998	)

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 this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. The Fund generally values OTC options using inputs provided by primary pricing sources and industry models.

Swap agreements

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap agreement and during the term of the transaction, the 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 agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses on the Statement of Operations. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or losses in the Statement of Operations.

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

39

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or future 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 agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives 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 agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal 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 agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

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

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

40

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. During the period ended August 31, 2011, the Fund used swap agreements to hedge against default risk, to adjust interest rate exposure and to achieve exposure to a reference entity’s credit. Swap agreements outstanding at the end of the period are listed in the Fund’s Schedule of Investments.

Rights and warrants

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, 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 the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of
August 31, 2011^Ù:

	Interest rate			Foreign currency			Credit			Equity		Other
	contracts			contracts			contracts			contracts		contracts		Total
Assets:
Investments, at value (purchased options)	$	13,862,912		$	851,989		$	—		$	—	$	—	$	14,714,901
Unrealized appreciation on futures contracts*		1,928,643			—			—			—		—		1,928,643
Unrealized appreciation on swap agreements		59,901,056			—			3,672,476			—		—		63,573,532
Total	$	75,692,611		$	851,989		$	3,672,476		$	—	$	—	$	80,217,076
Liabilities:
Written options outstanding	$	—		$	(369,389	)	$	—		$	—	$	—	$	(369,389	)
Unrealized depreciation on futures contracts*		(4,726,550	)		—			—			—		—		(4,726,550	)
Unrealized depreciation on swap agreements		(102,478,284	)		—			(2,906,775	)		—		—		(105,385,059	)
Total	$	(107,204,834	)	$	(369,389	)	$	(2,906,775	)	$	—	$	—	$	(110,480,998	)

41

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

The Effect of Derivative Instruments on the Statement of Operations for the Period Ended August 31, 2011^Ù:

	Interest rate			Foreign currency		Credit			Equity		Other
	contracts			contracts		contracts			contracts		contracts		Total
Net Realized Gain (Loss) on:
Investments (purchased options)	$	(196,875	)	$	—	$	(1,475,000	)	$	—	$	—	$	(1,671,875	)
Written options		—			—		700,000			—		—		700,000
Futures contracts		(56,345,034	)		—		—			—		—		(56,345,034	)
Swap agreements		15,607,639			—		160,645			—		—		15,768,284
Total	$	(40,934,270	)	$	—	$	(614,355	)	$	—	$	—	$	(41,548,625	)
Change in Unrealized Appreciation (Depreciation) on:
Investments (purchased options)	$	2,360,487		$	110,215	$	1,397,500		$	—	$	—	$	3,868,202
Written options		—			42,899		(694,500	)		—		—		(651,601	)
Futures contracts		26,156,103			—		—			—		—		26,156,103
Swap agreements		4,339,985			—		313,987			—		—		4,653,972
Total	$	32,856,575		$	153,114	$	1,016,987		$	—	$	—	$	34,026,676

Ù	Because the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.
*	The Fair Values of Derivative Instruments table includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Period end variation margin on open futures contracts is reported within the Statement of Assets and Liabilities.

The volume of derivative activity, based on absolute values (forward currency contracts and futures contracts), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end, was as follows for the period ended August 31, 2011:

	Futures Contracts		Swap Agreements		Options
Average amount outstanding	$	6,183,102,979	$	7,931,202,042	$	350,660,999

5. Fees and other transactions with affiliates

GMO does not charge the Fund any management or service fees for its services. The Manager has contractually agreed to reimburse the Fund for the portion of the Fund’s total annual operating expenses that exceed 0.00% of the Fund’s average daily net assets (the “Expense Reimbursement Amount”)

42

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

exclusive of “Excluded Fund Fees and Expenses.” “Excluded Fund Fees and Expenses” means fees and expenses of the independent Trustees of the Trust and their independent counsel, fees and expenses for legal services the Manager for the Trust has not undertaken to pay, any compensation and expenses of Trust Officers and agents who are not affiliated with the manager, brokerage commissions, securities-lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company (including an exchange-traded fund) or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Sections 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). The Fund’s contractual expense limitation will continue through at least June 30, 2012, and may not be terminated prior to that date without consent by the Fund’s Board of Trustees.

The Fund’s portion of the fees paid by the Trust to the Trust’s independent Trustees and their legal counsel and any Trust Officers or agents unaffiliated with the Manager during the period ended August 31, 2011 was $6,897 and $3,056, respectively. The compensation and expenses of the Trust Officers or agents unaffiliated with the Manager are included in miscellaneous expenses in the Statement of Operations.

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 2011 aggregated $0 and $104,927,003, respectively.

7. Guarantees

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

8. Principal shareholders and related parties

As of August 31, 2011, 63.94% of the outstanding shares of the Fund were held by one shareholder. The shareholder is another fund of the Trust. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund.

As of August 31, 2011, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and all of the Fund’s shares were held by accounts for which the Manager had investment discretion.

43

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
August 31, 2011 (Unaudited)

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 Fund shares were as follows:

	Six Months Ended						Year Ended
	August 31, 2011 (Unaudited)						February 28, 2011
	Shares			Amount			Shares			Amount
Shares sold		1,996,674		$	45,341,249			467,420		$	10,391,687
Shares repurchased		(2,232,907	)		(50,689,965	)		(6,455,254	)		(143,713,805	)
Net increase (decrease)		(236,233	)	$	(5,348,716	)		(5,987,834	)	$	(133,322,118	)

44

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Board Review of Management Agreement
August 31, 2011 (Unaudited)

In determining to approve the renewal of the management agreement of the Fund for an additional twelve month period commencing June 30, 2011, the Trustees, all but one of whom is not an “interested person” of GMO Trust (the “Trust”), considered information that they believed, in light of the legal advice furnished to them, to be relevant. The Trustees considered separately the management agreement for each series of the Trust (collectively, the “funds”) but also noted that the interests of the funds overlapped to a considerable extent.

As discussed below, at meetings throughout the year, the Trustees considered information relevant to renewal of the Fund’s management agreement. In addition, at a meeting held on April 29, 2011, the full Board of Trustees met with representatives of Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) to discuss, among other things, the investment performance of the funds and various methods for evaluating fund performance. At a separate meeting also held on April 29, 2011 and attended only by the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), their independent legal counsel and their independent compliance consultant, the Independent Trustees discussed extensive materials provided by the Manager to the Trustees for purposes of considering the renewal of the Fund’s management agreement. At the conclusion of those meetings, the Independent Trustees instructed their independent legal counsel to request additional information from the Manager, and the Manager provided that information prior to and at a meeting of the Trustees on May 31, 2011. In addition, at the meeting of the Trustees on May 31, 2011, representatives of the Manager met with the Trustees to answer questions.

The Trustees met over the course of the year with the Manager’s investment advisory personnel and considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel providing services under the Fund’s management agreement. The Trustees also considered information concerning the investment philosophy of, and investment process applied by, the Manager in managing the Fund’s portfolio and the level of skill required. In evaluating that information, the Trustees focused particularly on the Manager’s internal resources and the time and attention devoted by the Manager’s senior management to the Fund. The Trustees also considered the business reputation of the Manager and its professional liability insurance coverage.

The Trustees also considered the Fund’s investment performance relative to its performance benchmark, and as compared to funds managed by other managers deemed by third-party data services to have similar objectives. The Trustees reviewed the Fund’s performance, including information as to performance in relation to risk, over various periods, including one-, three- and five-year periods and for the life of the Fund, information prepared by the third-party data services, various statistical measures of the Fund’s performance, as well as factors identified by the Manager as contributing to the Fund’s performance. The Trustees also considered the qualifications and experience of the personnel responsible for managing the Fund, the support those personnel received from the Manager, the investment techniques used by the Manager to manage the Fund’s investments, and the overall competence of the Manager.

The Trustees gave substantial consideration to the fact that the Fund does not pay a management fee to the Manager under the Fund’s management agreement. The Trustees reviewed information provided by the Manager regarding the Manager’s standard fee rates for separately managed accounts. The Trustees also

45

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Board Review of Management Agreement — (Continued)
August 31, 2011 (Unaudited)

considered so-called “fallout benefits” to the Manager and also possible reputational value derived from serving as investment manager to the Fund. The Trustees considered the ability of the funds of the Trust to establish a public record of their performance also to be a potential fallout benefit to the Manager because of the opportunity that record might create for the Manager to increase assets under management by, for example, attracting new clients, entering into sub-advisory relationships with other fund groups, and/or expanding existing client relationships.

In assessing the nature and quality of the services provided by the Manager, the Trustees considered a range of factors in addition to performance. The Trustees considered the rigor and discipline with which the Manager manages the Fund and the extent and quality of the resources, including human resources, brought to bear by the Manager. The Trustees also considered the extent and quality of the non-investment advisory services provided by the Manager, including financial reporting, legal, compliance and administrative services. The Trustees evaluated the Manager’s record with respect to regulatory compliance and compliance with the investment policies of the Fund and other funds of the Trust. The Trustees also evaluated the procedures of the Manager designed to fulfill the Manager’s fiduciary duty to the Fund with respect to possible conflicts of interest, including the Manager’s code of ethics (regulating the personal trading of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the systems in place to ensure compliance with the foregoing, and the record of the Manager in these matters. The Trustees also received information concerning the Manager’s practices with respect to the execution of portfolio transactions. Finally, the Trustees also considered the Manager’s practices and record with respect to the resolution of trading, net asset value determination, and other errors.

The Trustees considered the scope of the services provided by the Manager to the Fund under the management agreement. The Trustees noted that the Trust’s counsel had advised (and independent legal counsel had confirmed) that, in their experience, the standard of care set forth in the management agreement was typical for mutual fund management agreements. The Trustees noted that the scope of the Manager’s services to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to achieve the Fund’s investment objective, compliance with the Fund’s investment restrictions, tax and reporting requirements, and shareholder services. The Trustees considered the Manager’s oversight of non-advisory services provided by persons other than the Manager, considering, among other things, the Fund’s total expenses, the Manager’s reimbursement of certain expenses pursuant to its contractual expense reimbursement arrangement in place with the Fund, and the reputation of the Fund’s other service providers.

After reviewing these factors, among others, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the nature, extent, and quality of services provided supported the renewal of the Fund’s management agreement.

Following their review, on May 31, 2011, the Independent Trustees in their capacity as such, and then all Trustees voting together, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the renewal of the Fund’s management agreement for an additional twelve-month period commencing June 30, 2011.

46

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Fund Expenses
August 31, 2011 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended August 31, 2011.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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, 2011 through August 31, 2011.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 in the first line under the heading entitled “Net Expense Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

47

GMO World Opportunity Overlay Fund
(A Series of GMO Trust)

Fund Expenses — (Continued)
August 31, 2011 (Unaudited)

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, the second line 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.

	Annualized			Beginning		Ending		Net
	Net Expense			Account		Account		Expense
	Ratio			Value		Value		Incurred*
1) Actual		0.03	%	$	1,000.00	$	1,010.10	$	0.15
2) Hypothetical		0.03	%	$	1,000.00	$	1,024.99	$	0.15

            * Expenses are calculated using the annualized expense ratio (including interest expense and indirect expense incurred) for the six months ended August 31, 2011, multiplied by the average account value over the period, multiplied by 184 days in the period, divided by 366 days in the year.

48

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 semiannual 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)(1) On June 13, 2011, the GMO International Active Equity Division implemented a new order management/trading system.

(b)(2) On August 15, 2011, Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) began using a new proprietary shareholder services system for capital stock processing for the series of GMO Trust.

(b)(3) Except as described in the prior two paragraph regarding the GMO International Active Equity Division’s order management/trading system and GMO’s shareholder services system there were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

The certifying officers express no view as to whether the changes in paragraphs (b)(1) and (2) are material.

Item 12. 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/ J.B. Kittredge J.B. Kittredge, Chief Executive Officer
	Date: November 01, 2011

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/ J.B. Kittredge J.B. Kittredge, Principal Executive Officer
	Date: November 01, 2011
By (Signature and Title):	/s/ Sheppard N. Burnett Sheppard N. Burnett, Principal Financial Officer
	Date: November 01, 2011