N-CSR/A 1 a06-8937_19ncsra.htm CERTIFIED ANNUAL SHAREHOLDER REPORT

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, on behalf of the following series: (the “Covered Series”)-attached Schedule A
(Exact name of registrant as specified in charter)

40 Rowes Wharf, Boston, MA					02110
(Address of principal executive offices)					(Zip code)

Scott Eston, Chief Executive Officer, 40 Rowes Wharf, Boston, MA 02110
(Name and address of agent for service)

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

Date of fiscal year end:	02/28/06

Date of reporting period:		02/28/06

Except as otherwise noted, the information included in this filing (including related certifications) relates solely to the Covered Series. GMO Trust has submitted a Form 12b-25 notification with respect to the Covered Series.

Schedule A - (the "Covered Series")
	GMO U.S. Core Fund
	GMO U.S. Core Equity Fund
	GMO Small/Mid Cap Growth Fund
	GMO U.S. Small/Mid Cap Growth Fund
	GMO Small/Mid Cap Value Fund
	GMO U.S. Small/Mid Cap Value Fund
	GMO Value Fund
	GMO U.S. Value Fund
	GMO Growth Fund
	GMO U.S. Growth Fund
	GMO Intrinsic Value Fund
	GMO U.S. Intrinsic Value Fund
	GMO International Disciplined Equity Fund
	GMO International Core Equity Fund
	GMO International Growth Fund
	GMO International Growth Equity Fund

Item 1. Reports to Stockholders.

The annual reports for each Covered Series of the registrant for the periods ended February 28, 2006 are filed herewith.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Annual Report

February 28, 2006

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

The Fund will file 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 will be available on the Commission's website at www.sec.gov. The Fund's Form N-Q (when available) 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.

GMO Small/Mid Cap Growth Fund

(Formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Since September 16, 2005, the GMO Small/Mid Cap Growth Fund returned +9.3% for the fiscal period ended February 28, 2006, as compared to +10.2% for the Russell 2500 Growth Index for the same period. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in U.S. equity securities throughout the period.

The portfolio's underperformance for the period is primarily attributed to stock selection, which was hindered by picks among health care, food & beverage, and construction issues. Selections in oil & gas, retail stores, and transportation securities contributed to relative performance.

Sector selection was also negative relative to the benchmark for the period, due in part to the portfolio's underweight position in technology. This was slightly counteracted by the portfolio's overweight position in machinery and underweight position in health care.

For the period, both momentum and valuation stock selection strategies provided negative impacts on the portfolio's overall relative performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC Management as of the date of this report and are subject to change. They are not meant as investment advice.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Each performance figure assumes a purchase at the beginning and a redemption at the end of the stated period and reflects a transaction fee of .50% on the purchase and .50% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† See Note 1 to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.7	%
Short-Term Investment(s)		2.8
Other		(1.5	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Technology		22.7	%
Health Care		14.8
Services		11.1
Financial		9.4
Retail Stores		7.9
Construction		7.3
Machinery		6.2
Consumer Goods		4.9
Oil & Gas		4.9
Manufacturing		3.0
Transportation		1.7
Utility		1.5
Automotive		1.4
Food & Beverage		1.3
Primary Process Industry		1.2
Metals & Mining		0.7
		100.0	%

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Automotive — 1.4%
	400	Goodyear Tire & Rubber Co. (The) ^*		5,732
	200	LKQ Corp. ^*		4,404
	200	Oshkosh Truck Corp.		11,346
	200	TRW Automotive Holdings Corp. ^*		5,120
				26,602
		Construction — 7.2%
	100	American Woodmark Corp.		3,400
	100	Beazer Homes USA, Inc.		6,345
	100	Drew Industries, Inc. ^*		3,245
	100	Florida Rock Industries, Inc.		5,761
	200	Forest City Enterprises, Inc.-Class A		8,102
	100	Hovnanian Enterprises, Inc. ^*		4,611
	200	Jacobs Engineering Group, Inc. ^*		17,148
	100	Kilroy Realty Corp. REIT		7,482
	200	Lennox International, Inc.		6,430
	200	Martin Marietta Materials, Inc.		19,500
	100	MDC Holdings, Inc.		6,129
	100	Meritage Homes Corp. ^*		5,853
	100	Ryland Group, Inc.		6,975
	100	Simpson Manufacturing Co., Inc.		3,909
	100	Standard-Pacific Corp.		3,285
	100	Thor Industries, Inc.		4,720
	100	Toll Brothers, Inc. ^*		3,236
	100	USG Corp. ^*		8,448
	100	Washington Group International, Inc.		5,837
	100	Watsco, Inc.		6,962
				137,378

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Consumer Goods — 4.8%
	100	Bebe Stores, Inc.		1,717
	100	Blyth, Inc.		2,228
	100	Carter's, Inc. ^*		6,399
	100	Chattem, Inc. ^*		3,899
	100	Columbia Sportswear Co. ^*		5,036
	100	Ethan Allen Interiors, Inc.		4,071
	100	Fossil, Inc. ^*		1,702
	100	Genesco, Inc. ^*		4,060
	200	Guess ?, Inc. ^*		7,238
	300	Herman Miller, Inc.		9,057
	100	HNI Corp.		5,829
	100	Kenneth Cole Productions, Inc.-Class A		2,751
	100	K-Swiss, Inc.-Class A		2,918
	100	Matthews International Corp.-Class A		3,714
	200	Maytag Corp.		3,440
	100	Phillips-Van Heusen Corp.		3,550
	500	Playtex Products, Inc. ^*		5,250
	100	Skechers U.S.A., Inc.-Class A ^*		2,120
	100	Steven Madden, Ltd.		3,205
	100	Timberland Co.-Class A ^*		3,505
	200	Tupperware Corp.		4,238
	300	Vector Group, Ltd.		5,583
				91,510
		Financial — 9.2%
	200	21st Century Insurance Group		3,240
	100	Amerco, Inc. ^*		8,884
	100	American Financial Group, Inc.		4,140
	200	Arthur J. Gallagher & Co.		5,898
	100	Bank of Hawaii Corp.		5,340
	100	Calamos Asset Management, Inc.-Class A		3,837
	100	Capital Corp. of the West		3,364
	200	CB Richard Ellis Group, Inc.-Class A ^*		13,736
	100	Corus Bankshares, Inc.		6,005

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	100	Cullen/Frost Bankers, Inc.		5,512
	100	Equifax, Inc.		3,664
	100	Erie Indemnity Co.-Class A		5,307
	100	Euronet Worldwide, Inc. ^*		3,506
	100	First American Corp.		4,216
	100	First Midwest Bancorp, Inc.		3,363
	100	First State Bancorp		2,582
	100	Flagstar Bancorp, Inc.		1,545
	100	Fremont General Corp.		2,372
	100	GATX Corp.		3,970
	100	HCC Insurance Holdings, Inc.		3,219
	100	IndyMac Bancorp, Inc.		3,882
	100	Investors Financial Services Corp.		4,511
	100	Jefferies Group, Inc.		5,704
	100	Nara Bancorp, Inc.		1,747
	100	Nasdaq Stock Market, Inc. ^*		4,051
	100	Nelnet, Inc.-Class A ^*		4,145
	100	People's Bank		3,094
	100	Student Loan Corp.		21,949
	200	TCF Financial Corp.		5,072
	100	Universal American Financial Corp. ^*		1,515
	200	Valley National Bancorp		4,858
	100	Westamerica Bancorporation		5,424
	100	Wilmington Trust Corp.		4,281
	200	WR Berkley Corp.		11,578
				175,511
		Food & Beverage — 1.3%
	200	Flowers Foods, Inc.		5,500
	100	Gold Kist, Inc. ^*		1,327
	100	Hansen Natural Corp. ^*		9,334
	100	Lancaster Colony Corp.		4,014
	100	USANA Health Sciences, Inc. ^*		4,315
				24,490

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Health Care — 14.6%
	200	American Pharmaceutical Partners, Inc. ^*		6,048
	100	Apria Healthcare Group ^*		2,299
	100	Bausch & Lomb, Inc.		6,921
	100	Beverly Enterprises, Inc. ^*		1,236
	300	Cerner Corp. ^*		12,489
	200	Community Health Systems, Inc. ^*		7,584
	100	Dade Behring Holdings, Inc.		3,648
	100	Edwards Lifesciences Corp. ^*		4,135
	400	Health Net, Inc. ^*		19,180
	100	Henry Schein, Inc. ^*		4,665
	200	Hologic, Inc. ^*		9,566
	100	Idexx Laboratories, Inc. ^*		7,858
	100	Intuitive Surgical, Inc. ^*		9,020
	100	Invitrogen Corp. ^*		7,093
	100	Kindred Healthcare, Inc. ^*		2,162
	200	King Pharmaceuticals, Inc. ^*		3,250
	100	Kyphon, Inc. ^*		3,571
	100	Lifecell Corp. ^*		2,206
	200	Lincare Holdings, Inc. ^*		8,180
	100	Manor Care, Inc.		4,135
	100	Mentor Corp.		4,304
	300	Merit Medical Systems, Inc. ^*		4,275
	200	Odyssey HealthCare, Inc. ^*		3,764
	300	Omnicare, Inc.		18,255
	500	OraSure Technologies, Inc. ^*		4,760
	100	Owens & Minor, Inc.		3,189
	200	PDL BioPharma, Inc. ^*		6,262
	100	Per-Se Technologies, Inc. ^*		2,526
	200	Pharmaceutical Product Development, Inc.		13,918
	200	Psychiatric Solutions, Inc. ^*		6,606
	300	Regeneron Pharmaceuticals, Inc. ^*		4,911
	100	RehabCare Group, Inc. ^*		2,018
	200	ResMed, Inc. ^*		8,118
	300	Respironics, Inc. ^*		10,908

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Health Care — continued
	400	Spectranetics Corp. ^*		4,584
	200	Sunrise Senior Living, Inc. ^*		7,092
	200	Techne Corp. ^*		11,894
	100	United Surgical Partners International, Inc. ^*		3,515
	100	United Therapeutics Corp. ^*		6,164
	200	Universal Health Services, Inc.-Class B		10,046
	200	VCA Antech, Inc. ^*		5,590
	100	Ventiv Health, Inc. ^*		2,786
	300	Viropharma, Inc. ^*		5,805
				276,536
		Machinery — 6.1%
	200	CAL Dive International, Inc. ^*		7,042
	300	Cooper Cameron Corp. ^*		12,150
	100	Cummins, Inc.		10,828
	200	Flowserve Corp. ^*		10,280
	400	Grant Prideco, Inc. ^*		16,188
	100	Hydril ^*		6,734
	200	Joy Global, Inc.		10,312
	100	Lincoln Electric Holdings, Inc.		4,616
	100	Maverick Tube Corp. ^*		4,653
	100	MSC Industrial Direct Co.-Class A		4,737
	100	Oceaneering International, Inc. ^*		5,514
	200	Oil States International, Inc. ^*		6,906
	100	Superior Energy Services, Inc. ^*		2,600
	100	Terex Corp. ^*		7,915
	100	Tidewater, Inc.		5,225
				115,700
		Manufacturing — 3.0%
	100	Ball Corp.		4,260
	200	Barnes Group, Inc.		7,676
	100	Crown Holdings, Inc. ^*		1,830
	100	Harsco Corp.		7,978

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Manufacturing — continued
	100	Mobile Mini, Inc. ^*		5,448
	100	Mueller Industries, Inc.		3,301
	300	Myers Industries, Inc.		4,800
	100	Owens-IIlinois, Inc. ^*		1,874
	100	Reliance Steel & Aluminum Co.		8,239
	200	Timken Co.		5,736
	100	Trinity Industries, Inc.		5,300
				56,442
		Metals & Mining — 0.7%
	200	CONSOL Energy, Inc.		12,804
		Oil & Gas — 4.9%
	200	Frontier Oil Corp.		9,250
	300	Grey Wolf, Inc. ^*		2,082
	300	Helmerich & Payne, Inc.		19,731
	42	Occidental Petroleum Corp.		3,845
	500	Patterson-UTI Energy, Inc.		13,775
	200	Pioneer Drilling Co. ^*		2,878
	200	Pride International, Inc. ^*		6,194
	100	Remington Oil & Gas Corp. ^*		4,190
	300	Rowan Cos., Inc.		12,075
	100	Swift Energy Co. ^*		3,876
	100	Tesoro Corp.		6,041
	100	Todco-Class A		3,352
	100	Unit Corp. ^*		5,317
				92,606
		Primary Process Industry — 1.2%
	100	Airgas, Inc.		3,639
	300	Celanese Corp.-Class A		6,420
	100	Engelhard Corp.		3,975
	100	Millipore Corp. ^*		6,933
	100	Worthington Industries, Inc.		1,960
				22,927

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Retail Stores — 7.8%
	300	Advance Auto Parts ^*		12,405
	100	American Eagle Outfitters, Inc.		2,544
	100	Chico's FAS, Inc. ^*		4,705
	100	Children's Place Retail Stores ^*		4,667
	100	Christopher & Banks Corp.		2,193
	100	Claire's Stores, Inc.		3,204
	200	Conn's, Inc. ^*		7,450
	200	Dollar Tree Stores, Inc. ^*		5,484
	200	Dress Barn, Inc. ^*		8,636
	200	Fastenal Co.		8,782
	100	Great Atlantic & Pacific Tea Co. ^*		3,226
	200	Gymboree Corp. ^*		4,572
	150	Hibbett Sporting Goods, Inc. ^*		4,812
	100	HOT Topic, Inc. ^*		1,318
	100	Insight Enterprises, Inc. ^*		2,153
	125	JOS A. Bank Clothiers, Inc. ^*		5,576
	100	Longs Drug Stores Corp.		3,837
	200	Men's Wearhouse, Inc. ^*		6,264
	100	Movie Gallery, Inc.		319
	300	NetFlix, Inc. ^*		8,043
	400	O'Reilly Automotive, Inc. ^*		13,088
	100	Pacific Sunwear of California, Inc. ^*		2,381
	100	Pantry (The), Inc. ^*		5,917
	200	Payless Shoesource, Inc. ^*		4,740
	100	Pier 1 Imports, Inc.		1,053
	200	Rent-A-Center, Inc. ^*		4,668
	200	Ross Stores, Inc.		5,664
	100	Talbots, Inc.		2,666
	100	Too, Inc. ^*		3,043
	100	Williams-Sonoma, Inc. ^*		4,049
				147,459

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Services — 11.0%
	100	Administaff, Inc.		4,745
	200	American Reprographics Co. ^*		5,740
	100	Applebee's International, Inc.		2,314
	100	Applied Industrial Technologies, Inc.		4,278
	200	Aramark Corp.-Class B		5,692
	500	BearingPoint, Inc. ^*		4,455
	100	Bright Horizons Family Solutions, Inc. ^*		3,351
	100	Brinker International, Inc.		4,165
	200	Career Education Corp. ^*		6,568
	100	CBRL Group, Inc.		4,443
	100	CDI Corp.		2,449
	100	CEC Entertainment, Inc. ^*		3,256
	500	Cenveo, Inc. ^*		7,045
	100	Cheesecake Factory (The) ^*		3,616
	100	Choice Hotels International, Inc.		4,453
	100	Copart, Inc. ^*		2,584
	100	Darden Restaurants, Inc.		4,194
	200	Domino's Pizza, Inc.		5,100
	100	Factset Research Systems, Inc.		3,915
	200	Iron Mountain, Inc. ^*		8,740
	100	ITT Educational Services, Inc. ^*		6,200
	200	Labor Ready, Inc. ^*		4,914
	1,100	Mediacom Communications Corp. ^*		6,204
	200	Monster Worldwide, Inc. ^*		9,792
	200	Nutri/System, Inc. ^*		8,594
	100	Outback Steakhouse, Inc.		4,181
	100	Panera Bread Co.-Class A ^*		7,086
	200	Papa John's International, Inc. ^*		6,580
	100	Performance Food Group Co. ^*		2,937
	100	Rare Hospitality International, Inc. ^*		3,200
	100	Regis Corp.		3,828
	200	Resources Connection, Inc. ^*		5,504
	200	Robert Half International, Inc.		7,184
	100	Ruby Tuesday, Inc.		2,855

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Services — continued
	800	Service Corp. International		6,360
	700	Sinclair Broadcast Group-Class A		5,033
	200	Sonic Corp. ^*		6,322
	200	Sothebys Holdings, Inc.-Class A ^*		4,224
	100	Stericycle, Inc. ^*		6,045
	100	Valassis Communications, Inc. ^*		2,755
	100	West Corp. ^*		4,353
	100	World Fuel Services Corp.		3,030
				208,284
		Technology — 22.4%
	300	ADTRAN, Inc.		8,256
	300	Alliance Data Systems Corp. ^*		12,978
	100	Alliant Techsystems, Inc. ^*		7,642
	700	Amkor Technology, Inc. ^*		6,216
	200	Amphenol Corp.-Class A		10,046
	100	Anixter International, Inc.		4,575
	100	Ansys, Inc. ^*		4,742
	200	Anteon International Corp. ^*		11,058
	200	aQuantive, Inc. ^*		5,318
	100	Armor Holdings, Inc. ^*		5,873
	400	AVX Corp.		6,624
	100	Bankrate, Inc. ^*		3,615
	400	BEA Systems, Inc. ^*		4,588
	100	Blue Coat Systems, Inc. ^*		2,123
	300	BMC Software, Inc. ^*		6,561
	300	Brightpoint, Inc. ^*		8,487
	100	Cabot Microelectronics Corp. ^*		3,412
	100	Checkfree Corp. ^*		4,946
	500	CNET Networks, Inc. ^*		6,920
	200	Cogent, Inc. ^*		4,652
	300	CommScope, Inc. ^*		7,197
	100	Computer Programs & Systems, Inc.		4,596
	100	Comtech Telecommunications Corp. ^*		3,133

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	200	Concur Technologies, Inc. ^*		3,032
	400	Cypress Semiconductor Corp. ^*		7,104
	100	Diebold, Inc.		4,000
	200	Digital Insight Corp. ^*		6,610
	200	Electronics for Imaging ^*		5,364
	100	Emulex Corp. ^*		1,780
	100	F5 Networks, Inc. ^*		6,782
	100	Global Imaging Systems, Inc. ^*		3,610
	100	Global Payments, Inc.		5,206
	200	Greatbatch, Inc. ^*		4,422
	400	Harris Corp.		18,272
	200	Informatica Corp. ^*		3,204
	400	Ingram Micro, Inc.-Class A ^*		7,912
	100	International Rectifier Corp. ^*		3,710
	600	Intersil Corp.-Class A		17,004
	100	Itron, Inc. ^*		5,946
	400	JDA Software Group, Inc. ^*		5,492
	100	Komag, Inc. ^*		4,684
	400	Lightbridge, Inc. ^*		3,924
	200	LSI Logic Corp. ^*		1,950
	100	Mantech International Corp.-Class A ^*		2,810
	100	Maximus, Inc.		3,651
	100	Metrologic Instruments, Inc. ^*		2,241
	100	Micros Systems, Inc. ^*		4,329
	200	Microsemi Corp. ^*		6,150
	200	National Instruments Corp.		6,490
	100	Neoware Systems, Inc. ^*		2,453
	500	ON Semiconductor Corp. ^*		3,295
	100	Paxar Corp. ^*		1,918
	100	Perot Systems Corp.-Class A ^*		1,511
	300	Plexus Corp. ^*		10,068
	100	Portalplayer, Inc. ^*		2,526
	200	Power Integrations, Inc. ^*		4,966
	200	Powerwave Technologies, Inc. ^*		2,936

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	100	QLogic Corp. ^*		4,114
	100	Quality Systems, Inc.		6,922
	200	Red Hat, Inc. ^*		5,374
	100	Reynolds & Reynolds Co. (The)-Class A		2,770
	200	Silicon Laboratories, Inc. ^*		9,596
	200	Sirf Technology Holdings, Inc. ^*		7,486
	100	SRA International, Inc.-Class A ^*		3,452
	400	SYKES Enterprises, Inc. ^*		5,328
	200	Syntel, Inc.		3,400
	150	Talx Corp.		4,794
	100	Teledyne Technologies, Inc. ^*		3,313
	700	Tellabs, Inc. ^*		10,283
	100	Thomas & Betts Corp. ^*		4,920
	200	Transaction Systems Architects, Inc. ^*		6,672
	200	Trident Microsystems, Inc. ^*		5,588
	100	Websense, Inc. ^*		6,181
	100	WESCO International, Inc. ^*		5,732
	300	Western Digital Corp. ^*		6,675
	200	Wind River Systems, Inc. ^*		3,094
				424,604
		Transportation — 1.7%
	100	Alaska Air Group, Inc. ^*		3,205
	500	AMR Corp. ^*		12,550
	100	CNF, Inc.		5,018
	200	Continental Airlines, Inc.-Class B ^*		4,660
	100	Landstar System, Inc.		4,659
	100	Skywest, Inc.		2,897
				32,989
		Utility — 1.4%
	200	Centerpoint Energy, Inc.		2,594
	100	Duquesne Light Holdings, Inc.		1,735
	100	Energen Corp.		3,573

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		Utility — continued
	100	j2 Global Communications, Inc. ^*		4,360
	200	NII Holdings, Inc.-Class B ^*		10,244
	400	Time Warner Telecom, Inc.-Class A ^*		5,052
				27,558
		TOTAL COMMON STOCKS (COST $1,726,900)		1,873,400
		SHORT-TERM INVESTMENT(S) — 2.8%
	53,734	Citigroup Global Markets Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $53,738 and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity date of 02/15/36 and a market value, including accrued interest, of $54,809.		53,734
		TOTAL SHORT-TERM INVESTMENT(S) (COST $53,734)		53,734
		TOTAL INVESTMENTS — 101.5% (Cost $1,780,634)		1,927,134
		Other Assets and Liabilities (net) — (1.5%)		(29,076	)
		TOTAL NET ASSETS — 100.0%	$	1,898,058

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value (cost $1,780,634) (Note 2)	$	1,927,134
Dividends and interest receivable		883
Receivable for expenses reimbursed by Manager (Note 3)		20,843
Total assets		1,948,860
Liabilities:
Payable to affiliate for (Note 3):
Management fee		481
Shareholder service fee		219
Accrued expenses		50,102
Total liabilities		50,802
Net assets	$	1,898,058
Net assets consist of:
Net capital⁽¹⁾	$	1,751,558
Net unrealized appreciation		146,500
	$	1,898,058
Net assets attributable to:
Class III shares	$	1,898,058
Shares outstanding:
Class III		81,480
Net asset value per share:
Class III	$	23.29

⁽¹⁾ Net capital includes net investment income (loss) and net realized gain (loss) on investments.

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Statement of Operations — Period from September 16, 2005 through February 28, 2006

Investment Income:
Dividends	$	6,283
Interest		960
Total investment income		7,243
Expenses:
Management fee (Note 3)		2,673
Shareholder service fee – Class III (Note 3)		1,215
Custodian, fund accounting agent and transfer agent fees		19,502
Audit and tax fees		22,974
Legal fees		163
Trustees fees and related expenses (Note 3)		228
Registration fees		1,257
Miscellaneous		31
Total expenses		48,043
Fees and expenses reimbursed by Manager (Note 3)		(44,132	)
Net expenses		3,911
Net investment income (loss)		3,332
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		11,839
Change in net unrealized appreciation (depreciation) on investments		146,500
Net realized and unrealized gain (loss)		158,339
Net increase (decrease) in net assets resulting from operations	$	161,671

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Statement of Changes in Net Assets

	Period from September 16, 2005 through February 28, 2006
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	3,332
Net realized gain (loss)		11,839
Change in net unrealized appreciation (depreciation)		146,500
Net increase (decrease) in net assets from operations		161,671
Net share transactions (Note 7):
Class III		1,736,387
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		—
Total increase (decrease) in net assets resulting from net share transactions and net purchase premiums and redemption fees		1,736,387
Total increase (decrease) in net assets		1,898,058
Net assets:
Beginning of period		—
End of period	$	1,898,058

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

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

	Period from September 16, 2005 through February 28, 2006
Net asset value, beginning of period	$	21.31
Income (loss) from investment operations:
Net investment income (loss)		0.04	^†
Net realized and unrealized gain (loss)		1.94
Total from investment operations		1.98
Net asset value, end of period	$	23.29
Total Return^(a)		9.29	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,898
Net expenses to average daily net assets		0.48	%^*
Net investment income to average daily net assets		0.41	%^*
Portfolio turnover rate		43	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		5.45	%^*
Purchase premiums and redemption fees consisted of the following per share amounts:		—	^†

(a) The total returns would have been lower had certain expenses not been reimbursed during the periods shown.

Calculation excludes purchase premiums and redemption fees which are borne by the shareholders.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO Small/Mid Cap Growth Fund (the "Fund") (formerly GMO Small Cap Growth Fund) is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. 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 a series of shares into classes.

The Fund seeks long-term capital growth. The Fund's benchmark is the Russell 2500 Growth Index.

On September 16, 2005, shareholders of the Fund holding 95.3% of the Fund's then outstanding shares requested redemption of their shares. On the same day, the Fund transferred assets and liabilities (representing on a net basis 95.3% of the Fund's net assets) to GMO U.S. Small/Mid Cap Growth Fund, a newly organized fund, with investment objectives similar to the Fund's, in consideration for newly issued shares of GMO U.S. Small/Mid Cap Growth Fund. The Fund then honored the redemption requests by distributing to redeeming shareholders shares of equal value in the GMO U.S. Small/Mid Cap Growth Fund. The preceding events are hereafter referred to as (the "Redemption Transaction"). Because for tax and accounting purposes the GMO U.S. Small/Mid Cap Growth Fund is treated as a continuation of the Fund's prior operations, for accounting and tax purposes the Fund itself is deemed to have commenced operations on the date of the Redemption Transaction. On the date of the Redemption Transaction, the shareholders who opted not to redeem from the Fund were deemed to have contributed securities in-kind to the Fund with an accounting and tax basis equal to fair market value. Therefore, the Statement of Operations, Statement of Changes in Net Assets and Financial Highlights are shown for the period from September 16, 2005 through February 28, 2006.

2. Significant accounting policies

The following is a summary of significant accounting policies which are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and which are consistently followed by the Fund in the preparation of 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.

Portfolio valuation

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of mutual funds are valued at their net asset value. 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 other persons acting at their direction.

Futures contracts

The Fund may purchase and sell futures contracts. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon entering into a futures contract, the Fund is required to deposit, with the futures clearing broker, an amount of cash, U.S. government and agency obligations or other liquid assets in accordance with the initial margin requirements of the broker or exchange. In addition, the Fund maintains cash or securities in an amount that at least equals the net amount payable in the event the Fund must deliver the full amount of the contracts. Futures contracts are 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 liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Under certain 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. Losses may arise from changes in the value of the underlying instrument if the Fund is unable to liquidate a futures position due to an illiquid secondary market for the contracts or the imposition of price limits, or if counterparties do not perform under the contract terms. Futures contracts are generally valued at the settlement price established each day by the board of trade or exchange on which they are traded. As of February 28, 2006, the Fund did not enter into any futures contracts.

Swap agreements

The Fund may enter into swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund may enter into total return swap agreements, which involve a commitment by one party in the agreement to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. The Fund may also enter into contracts for differences in which the Fund agrees with the counterparty that its return will be based on the relative performance of two different groups or "baskets" of securities, adjusted by an interest rate payment. To the extent that the relative performance of the two baskets of securities exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. In connection with these agreements, cash or securities may be set aside as

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

collateral by the Fund's custodian in accordance with the terms of the swap agreement. The Fund earns interest on cash set aside as collateral.

Swaps are marked to market daily using standard models that incorporate quotations from market makers and the change in value, if any, is recorded as unrealized gain or loss in the Statement of Operations. Payments received or made on swap contracts are recorded as realized gain or loss in the Statement of Operations. Gains or losses are realized upon early termination of the swap agreement. These financial instruments are not actively traded on financial markets. The values assigned to these instruments are based upon the best available information and because of the uncertainty of the valuation, these values may differ significantly from the values that would have been realized had a ready market for these instruments existed, and the differences could be material. Entering into these agreements involves, to varying degrees, elements of credit, legal, market and documentation risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparties to the agreements may default on their obligations to perform or disagree as to the meaning of contractual terms in the agreements, or that there may be unfavorable changes in the price of the security or index underlying these transactions. As of February 28, 2006, the Fund did not enter into any swap agreements.

Repurchase agreements

The Fund may enter into repurchase agreements with banks and broker-dealers whereby 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 collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. Collateral for certain tri-party repurchase agreements is held at the counterparty's custodian in a segregated account for the benefit of the Fund and the counterparty. In connection with transactions in repurchase agreements, if the seller defaults or enters into insolvency proceedings and the value of the collateral declines, recovery of cash by the Fund may be delayed or limited. See the Schedule of Investments for open repurchase agreements entered into by the Fund as of February 28, 2006.

Securities lending

The Fund may lend its securities to certain qualified broker-dealers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment of the collateral, the risk of delay in and/or inability to exercise its rights with respect to the collateral, and the risk of delay in recovery or loss of rights in the loaned securities should the borrower of the securities fail financially. If a loan is collateralized by U.S. government securities, the Fund receives a fee from the borrower. If a loan is collateralized by cash, the Fund typically invests the cash collateral for its own account in interest-bearing,

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

short-term securities and pays a fee to the borrower that normally represents a portion of the Fund's earnings on the collateral. For the period ended February 28, 2006, the Fund did not participate in securities lending.

Taxes

Prior to the close of business on September 16, 2005, the Fund qualified as a regulated investment company. Subsequent to the Redemption Transaction, all Fund tax attributes relating to the time periods prior to September 16, 2005 transferred to GMO U.S. Small/Mid Cap Growth Fund. After the close of business on September 16, 2005, the Fund elected to be treated as a partnership for federal income tax purposes. As a partnership, the Fund will not be subject to federal and state income tax. Instead, each shareholder is responsible for the tax liability or benefit related to his/her allocable share of taxable income or loss. Accordingly, no provision (benefit) for federal or state income taxes is reflected in the accompanying financial statements.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	1,780,634			$	206,755			$	(60,255	)		$	146,500

Security transactions and related investment income

Security transactions are accounted for on trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date, or when the Fund is informed of the ex-dividend date, if later. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Non-cash dividends, if any, are recorded at the fair market value of the securities received. 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 cost of securities is determined on the identified cost basis.

Expenses

Purchases and redemptions of Fund shares

As of the date of this report, the premium on cash purchases and fee on redemptions of Fund shares are each 0.50% of the amount invested or redeemed. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase occurring on the same day, it will waive the purchase premium or redemption fee in an amount approximately equal to the fee with respect to

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

that portion. In addition, the purchase premium or redemption fee charged by the Fund may be waived in extraordinary circumstances if the Fund will not incur transaction costs. All purchase premiums and redemption fees are paid to and recorded by the Fund as paid-in capital. For the period September 16, 2005 through February 28, 2006, the Fund received $0 and $0 in purchase premiums and redemption fees, respectively. There is no premium for reinvested distributions or in-kind transactions.

3. Fees and other transactions with affiliates

GMO earns a management fee 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 the average daily net assets at the annual rate of 0.15% for Class III shares.

GMO has entered into a binding agreement effective until at least May 31, 2006 to reimburse the Fund to the extent that the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the Chief Compliance Officer ("CCO") and independent Trustees (including legal fees), brokerage commissions and other investment-related costs, hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes), securities lending fees and expenses, interest expense and transfer taxes) exceed 0.33% of the average daily net assets.

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the period ended February 28, 2006 was $33 and $0, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended February 28, 2006 aggregated $2,469,913 and $754,764, respectively.

5. 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 which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. Based on experience, management is of the view that the risk of loss in connection with these potential indemnification obligations is remote; however, there can be no assurance that material liabilities related to such obligations will not arise in the future that could adversely impact the Fund.

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

6. Principal shareholder and related party

As of February 28, 2006, 89.0% of the outstanding shares of the Fund were held by one shareholder. Investment activities of this shareholder may have a material effect on the Fund.

As of February 28, 2006, 1.1% of the Fund's shares were held by GMO.

7. Share transactions

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

	Period from September 16, 2005 through February 28, 2006
Class III:	Shares		Amount
Shares issued for in-kind transaction		81,480	$	1,736,387
Net increase (decrease)		81,480	$	1,736,387

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Small/Mid Cap Growth Fund (formerly GMO Small Cap Growth Fund)

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Small/Mid Cap Growth Fund (formerly GMO Small Cap Growth Fund) (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the period from September 16, 2005 to February 28, 2006, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

As described in Note 1 to the financial statements, GMO U.S. Small/Mid Cap Growth Fund was the successor to the Fund for accounting purposes for all periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO Small/Mid Cap Growth Fund

(formerly GMO Small Cap Growth Fund)
(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the period ended February 28, 2006.

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, September 16, 2005 through February 28, 2006.

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 $5,000,000 account value divided by $1,000 = 5,000), 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 costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.48	%	$	1,000.00	$	1,092.90	$	2.27
2) Hypothetical		0.48	%	$	1,000.00	$	1,020.43	$	2.19

* Expenses are calculated using the Class's annualized net expense ratio for the period ended February 28, 2006, multiplied by the average account value over the period, multiplied by 165 days in the period, divided by 365 days in the year.

Trustees and Officers (Unaudited)

The following tables list the Trust's Trustees and Officers as of the date of this report; their address and date of birth ("DOB"); their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called "public companies") or in registered investment companies. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trust's trustees, including changes subsequent to the date of the report. The SAI is available, without charge, upon request by writing GMO, c/o GMO Trust, 40 Rowes Wharf, Boston, MA 02110.

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

² As part of Mr. Glazer's work as a consultant, he provides part-time consulting services to Goodwin Procter LLP ("Goodwin"). Goodwin has provided legal services to Renewable Resources, LLC, an affiliate of GMO; GMO, in connection with its relationship with Renewable Resources; and funds managed by Renewable Resources. Mr. Glazer has represented that he has no financial interest in, and is not involved in the provision of, such legal services. In the calendar years ended December 31, 2004 and December 31, 2005 these entities paid $373,499 and $489,128 respectively, in legal fees and disbursements to Goodwin.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director or trustee of various corporations and charitable organizations, including Courier Corporation (a book publisher and manufacturer) (July 1989 – present); Putnam Funds (December 1992 – June 2004); and Providence Journal (a newspaper publisher) (December 1986 – December 2003).

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

³ Mr. Light is a director of Harvard Management Company, Inc. and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee. None of these companies has a class of securities registered pursuant to Section 12 of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), or subject to the requirements of Section 15(d) of the Exchange Act and none of these companies is a registered investment company.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Oterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004) and Senior Tax Manager (2000 – 2002), PricewaterhouseCoopers LLP.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Vice President of Compliance (June 2004 – February 2005) and Director of Domestic Compliance (March 2002 – June 2004), Fidelity Investments; Vice President and Senior Counsel, State Street Bank and Trust Company (May 1998 – March 2002).

⁴ Officers are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she resigns or is removed from office.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO U.S. Small/Mid Cap Growth Fund returned +14.6% for the fiscal year ended February 28, 2006, as compared to +17.9% for the Russell 2500 Growth Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in U.S. equity securities throughout the period.

The portfolio's underperformance for the fiscal year is primarily attributed to stock selection, which was hindered by picks among consumer goods, food & beverage, primary process industry, health care, and construction issues. Selections in retail stores and financial securities contributed to relative performance.

Sector selection was also negative relative to the benchmark for the period, due in part to the portfolio's overweight positions in primary process industry and retail stores. This was slightly counteracted by the portfolio's overweight position in construction.

For the fiscal year, both momentum and valuation stock selection strategies provided negative impacts on the portfolio's overall relative performance.

† The Fund is the successor to the GMO Small/Mid Cap Growth Fund, therefore, performance for the periods prior to September 16, 2005 is that of GMO Small/Mid Cap Growth Fund.

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Investments Concentration Summary

February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.0	%
Short-Term Investment(s)		25.8
Other		(22.8	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Technology		22.1	%
Health Care		16.3
Services		10.2
Financial		8.9
Retail Stores		8.7
Construction		6.9
Machinery		5.9
Oil & Gas		5.6
Consumer Goods		5.2
Manufacturing		2.2
Transportation		1.8
Primary Process Industry		1.4
Utility		1.4
Automotive		1.2
Food & Beverage		1.2
Metals & Mining		1.0
		100.0	%

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 97.0%
		Automotive — 1.1%
	6,400	Goodyear Tire & Rubber Co. (The) ^{* (a)}		91,712
	1,400	Navistar International Corp. ^*		41,090
	3,500	Oshkosh Truck Corp.		198,555
				331,357
		Construction — 6.7%
	1,200	American Woodmark Corp.		40,800
	1,100	Beazer Homes USA, Inc.		69,795
	1,700	CBL & Associates Properties, Inc. REIT		72,420
	400	EMCOR Group, Inc. ^*		17,436
	1,600	Florida Rock Industries, Inc.		92,176
	2,100	Hovnanian Enterprises, Inc. ^*		96,831
	2,500	Jacobs Engineering Group, Inc. ^*		214,350
	1,500	Kilroy Realty Corp. REIT		112,230
	2,500	Lennox International, Inc.		80,375
	3,500	Martin Marietta Materials, Inc.		341,250
	1,267	MDC Holdings, Inc.		77,654
	900	Meritage Homes Corp. ^{* (a)}		52,677
	100	NVR, Inc. ^*		75,300
	1,600	Ryland Group, Inc. ^(a)		111,600
	1,000	Simpson Manufacturing Co., Inc.		39,090
	2,100	Standard-Pacific Corp. ^(a)		68,985
	1,200	Thor Industries, Inc. ^(a)		56,640
	1,900	USG Corp. ^{* (a)}		160,512
	1,500	Washington Group International, Inc.		87,555
	1,500	Watsco, Inc. ^(a)		104,430
	1,100	Winnebago Industries, Inc.		35,332
				2,007,438
		Consumer Goods — 5.0%
	4,687	Bebe Stores, Inc.		80,476
	1,500	Blyth, Inc.		33,420

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)
February 28, 2006

Shares		Description	Value ($)
		Consumer Goods — continued
	1,700	Carter's, Inc. ^*		108,783
	1,999	Charles & Colvard, Ltd. ^(a)		28,026
	1,500	Chattem, Inc. ^*		58,485
	1,400	Columbia Sportswear Co. ^{* (a)}		70,504
	1,600	Ethan Allen Interiors, Inc.		65,136
	1,950	Fossil, Inc. ^*		33,189
	1,300	Genesco, Inc. ^*		52,780
	2,300	Guess ?, Inc. ^*		83,237
	2,500	Herman Miller, Inc.		75,475
	1,000	HNI Corp.		58,290
	1,100	Kenneth Cole Productions, Inc.-Class A		30,261
	2,100	K-Swiss, Inc.-Class A		61,278
	1,100	Matthews International Corp.-Class A		40,854
	2,700	Maytag Corp.		46,440
	600	Middleby Corp. ^{* (a)}		56,820
	700	Oxford Industries, Inc.		32,046
	2,400	Phillips-Van Heusen Corp.		85,200
	2,300	Playtex Products, Inc. ^*		24,150
	800	Polaris Industries, Inc. ^(a)		40,040
	1,800	Skechers U.S.A., Inc.-Class A ^*		38,160
	1,400	Steven Madden, Ltd.		44,870
	4,000	Tempur-Pedic International, Inc. ^{* (a)}		47,200
	2,000	Timberland Co.-Class A ^*		70,100
	2,000	True Religion Apparel, Inc. ^{* (a)}		46,760
	3,900	Tupperware Corp.		82,641
				1,494,621
		Financial — 8.6%
	900	AMERIGROUP Corp. ^{* (a)}		19,251
	600	AmerUs Group Co.		36,150
	2,500	Arthur J. Gallagher & Co. ^(a)		73,725
	500	Asta Funding, Inc. ^(a)		17,410
	1,000	Bank of Hawaii Corp.		53,400
	400	BlackRock, Inc.-Class A		56,840

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)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	3,200	CB Richard Ellis Group, Inc.-Class A ^*		219,776
	800	City National Corp.		60,768
	1,000	Commerce Bancorp, Inc., NJ		33,170
	1,200	Corus Bankshares, Inc. ^(a)		72,060
	1,400	Cullen/Frost Bankers, Inc.		77,168
	500	Dollar Thrifty Automotive Group, Inc. ^*		20,190
	700	Eaton Vance Corp.		19,726
	1,500	Equifax, Inc.		54,960
	2,000	Euronet Worldwide, Inc. ^*		70,120
	3,200	First American Corp.		134,912
	900	First Midwest Bancorp, Inc.		30,267
	2,800	Flagstar Bancorp, Inc.		43,260
	1,000	Fremont General Corp. ^(a)		23,720
	1,200	GATX Corp.		47,640
	900	GFI Group, Inc. ^*		54,054
	3,350	HCC Insurance Holdings, Inc. ^(a)		107,836
	2,000	IndyMac Bancorp, Inc.		77,640
	1,000	Investors Financial Services Corp.		45,110
	2,100	Jefferies Group, Inc.		119,784
	1,100	Landamerica Financial Group, Inc.		73,370
	2,100	MoneyGram International, Inc.		60,207
	1,700	Nara Bancorp, Inc.		29,699
	2,500	Nasdaq Stock Market, Inc. ^{* (a)}		101,275
	800	Nuveen Investments, Inc.-Class A		38,536
	2,600	People's Bank		80,444
	900	Pre-Paid Legal Services, Inc. ^(a)		32,499
	1,300	StanCorp Financial Group, Inc.		70,330
	200	Student Loan Corp.		43,898
	2,500	TCF Financial Corp.		63,400
	4,200	Universal American Financial Corp. ^*		63,630
	900	Westamerica Bancorporation		48,816
	700	Westcorp		50,295
	1,600	Wilmington Trust Corp.		68,496
	3,000	WR Berkley Corp.		173,670
				2,567,502

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)
February 28, 2006

Shares		Description	Value ($)
		Food & Beverage — 1.2%
	1,600	Chiquita Brands International, Inc. ^(a)		27,552
	2,900	Gold Kist, Inc. ^*		38,483
	1,100	Hansen Natural Corp. ^{* (a)}		102,674
	1,000	Lancaster Colony Corp.		40,140
	900	Mannatech, Inc. ^(a)		12,051
	1,800	Pilgrim's Pride Corp.		41,508
	900	Sanderson Farms, Inc.		20,988
	1,600	USANA Health Sciences, Inc. ^*		69,040
				352,436
		Health Care — 15.8%
	1,300	Amedisys, Inc. ^{* (a)}		41,834
	3,400	American Pharmaceutical Partners, Inc. ^{* (a)}		102,816
	2,100	Apria Healthcare Group ^*		48,279
	1,700	Bausch & Lomb, Inc. ^(a)		117,657
	800	Beckman Coulter, Inc.		43,160
	2,700	Beverly Enterprises, Inc. ^*		33,372
	600	Biosite, Inc. ^*		32,448
	5,000	Cerner Corp. ^{* (a)}		208,150
	600	Chemed Corp.		33,264
	2,400	Community Health Systems, Inc. ^*		91,008
	1,400	Cutera, Inc. ^*		37,926
	3,100	Dade Behring Holdings, Inc.		113,088
	1,000	Diagnostic Products Corp. ^(a)		46,150
	1,700	Edwards Lifesciences Corp. ^*		70,295
	200	Genesis HealthCare Corp. ^{* (a)}		7,950
	1,400	Haemonetics Corp. ^{* (a)}		72,520
	5,900	Health Net, Inc. ^*		282,905
	2,800	Henry Schein, Inc. ^*		130,620
	2,400	Hologic, Inc. ^*		114,792
	3,900	Human Genome Sciences, Inc. ^{* (a)}		48,828
	900	ICU Medical, Inc. ^*		31,590
	1,400	Idexx Laboratories, Inc. ^*		110,012
	500	Immucor, Inc. ^*		14,910

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)
February 28, 2006

Shares		Description	Value ($)
		Health Care — continued
	800	Intuitive Surgical, Inc. ^*		72,160
	2,000	Invitrogen Corp. ^*		141,860
	1,300	Kindred Healthcare, Inc. ^{* (a)}		28,106
	4,000	King Pharmaceuticals, Inc. ^*		65,000
	500	KOS Pharmaceuticals, Inc. ^*		21,935
	3,600	Kyphon, Inc. ^*		128,556
	600	LCA-Vision, Inc.		26,160
	2,000	Lifecell Corp. ^*		44,120
	2,700	Lincare Holdings, Inc. ^*		110,430
	1,700	Manor Care, Inc.		70,295
	2,300	Mentor Corp.		98,992
	4,000	Omnicare, Inc.		243,400
	5,800	OraSure Technologies, Inc. ^*		55,216
	1,200	Owens & Minor, Inc.		38,268
	4,500	PDL BioPharma, Inc. ^*		140,895
	3,400	Per-Se Technologies, Inc. ^*		85,884
	3,400	Pharmaceutical Product Development, Inc.		236,606
	1,000	PolyMedica Corp. ^(a)		40,440
	2,700	Psychiatric Solutions, Inc. ^*		89,181
	1,400	RehabCare Group, Inc. ^*		28,252
	3,200	ResMed, Inc. ^*		129,888
	3,500	Respironics, Inc. ^*		127,260
	600	Sierra Health Services, Inc. ^*		25,014
	700	Steris Corp.		17,339
	2,600	Sunrise Senior Living, Inc. ^{* (a)}		92,196
	2,600	Techne Corp. ^*		154,622
	3,500	United Surgical Partners International, Inc. ^*		123,025
	900	United Therapeutics Corp. ^*		55,476
	3,300	Universal Health Services, Inc.-Class B		165,759
	2,100	Ventana Medical Systems, Inc. ^*		76,167
	1,800	Ventiv Health, Inc. ^*		50,148
	4,300	Viropharma, Inc. ^*		83,205
				4,699,429

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)
February 28, 2006

Shares		Description	Value ($)
		Machinery — 5.7%
	3,000	CAL Dive International, Inc. ^{* (a)}		105,630
	5,400	Cooper Cameron Corp. ^*		218,700
	600	Cummins, Inc. ^(a)		64,968
	2,600	Flowserve Corp. ^*		133,640
	900	FMC Technologies, Inc. ^*		42,228
	200	Graco, Inc.		8,334
	5,600	Grant Prideco, Inc. ^*		226,632
	1,000	Hydril ^*		67,340
	3,175	Joy Global, Inc.		163,703
	1,100	Lincoln Electric Holdings, Inc.		50,776
	1,500	MSC Industrial Direct Co.-Class A		71,055
	1,000	Oceaneering International, Inc. ^*		55,140
	3,500	Oil States International, Inc. ^{* (a)}		120,855
	600	SEACOR Holdings, Inc. ^*		43,782
	600	Stanley Works (The)		30,084
	3,700	Superior Energy Services, Inc. ^*		96,200
	1,500	Terex Corp. ^*		118,725
	1,800	Tidewater, Inc.		94,050
				1,711,842
		Manufacturing — 2.2%
	1,000	Ball Corp.		42,600
	1,000	Clarcor, Inc.		33,850
	2,800	Crown Holdings, Inc. ^*		51,240
	200	Greif, Inc.-Class A		11,582
	1,300	Harsco Corp. ^(a)		103,714
	800	Mobile Mini, Inc. ^*		43,584
	1,600	Mueller Industries, Inc.		52,816
	1,600	Owens-IIlinois, Inc. ^*		29,984
	800	Reliance Steel & Aluminum Co.		65,912
	900	Sonoco Products Co.		29,448
	1,100	Temple-Inland, Inc.		46,937
	3,600	Timken Co.		103,248
	500	Trinity Industries, Inc.		26,500
				641,415

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)
February 28, 2006

Shares		Description	Value ($)
		Metals & Mining — 1.0%
	600	Arch Coal, Inc.		43,866
	3,000	CONSOL Energy, Inc.		192,060
	1,600	Royal Gold, Inc. ^(a)		50,288
				286,214
		Oil & Gas — 5.4%
	3,100	Abraxas Petroleum Corp. ^*		17,639
	3,900	Frontier Oil Corp.		180,375
	8,700	Grey Wolf, Inc. ^*		60,378
	4,300	Helmerich & Payne, Inc.		282,811
	1,300	Holly Corp.		77,610
	546	Occidental Petroleum Corp.		49,981
	9,600	Patterson-UTI Energy, Inc.		264,480
	4,300	Pride International, Inc. ^*		133,171
	1,300	Remington Oil & Gas Corp. ^*		54,470
	4,000	Rowan Cos., Inc.		161,000
	1,000	Swift Energy Co. ^*		38,760
	2,000	Tesoro Corp.		120,820
	1,100	Todco-Class A		36,872
	1,900	Unit Corp. ^*		101,023
	800	Western Gas Resources, Inc.		37,848
				1,617,238
		Primary Process Industry — 1.4%
	1,200	Airgas, Inc.		43,668
	1,800	Celanese Corp.-Class A		38,520
	1,300	Engelhard Corp.		51,675
	300	FMC Corp. ^*		18,243
	1,200	Headwaters, Inc. ^{* (a)}		44,544
	1,100	Lubrizol Corp.		47,586
	1,000	Millipore Corp. ^{* (a)}		69,330
	600	NS Group, Inc. ^*		24,474
	600	Ryerson Tull, Inc. ^(a)		15,144
	600	Steel Technologies, Inc.		16,554
	2,300	Worthington Industries, Inc.		45,080
				414,818

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)
February 28, 2006

Shares		Description	Value ($)
		Retail Stores — 8.4%
	6,300	Advance Auto Parts ^*		260,505
	900	Barnes & Noble, Inc.		38,763
	500	Building Materials Holding Corp. ^(a)		33,650
	1,400	Carmax, Inc. ^*		43,988
	1,700	Charlotte Russe Holding, Inc. ^*		30,940
	1,700	Chico's FAS, Inc. ^{* (a)}		79,985
	1,100	Children's Place Retail Stores ^*		51,337
	1,300	Christopher & Banks Corp.		28,509
	1,900	Claire's Stores, Inc.		60,876
	3,000	Dollar Tree Stores, Inc. ^*		82,260
	2,800	Dress Barn, Inc. ^{* (a)}		120,904
	4,300	Fastenal Co.		188,813
	2,500	Great Atlantic & Pacific Tea Co. ^{* (a)}		80,650
	1,600	Gymboree Corp. ^*		36,576
	3,600	Hibbett Sporting Goods, Inc. ^*		115,488
	3,100	HOT Topic, Inc. ^{* (a)}		40,858
	2,100	Insight Enterprises, Inc. ^*		45,213
	1,687	JOS A. Bank Clothiers, Inc. ^{* (a)}		75,257
	2,100	Longs Drug Stores Corp.		80,577
	2,900	Men's Wearhouse, Inc. ^*		90,828
	2,300	Movie Gallery, Inc.		7,337
	2,900	NetFlix, Inc. ^{* (a)}		77,749
	7,000	O'Reilly Automotive, Inc. ^*		229,040
	1,725	Pacific Sunwear of California, Inc. ^*		41,072
	1,100	Pantry (The), Inc. ^*		65,087
	3,300	Payless Shoesource, Inc. ^{* (a)}		78,210
	2,200	Pier 1 Imports, Inc. ^(a)		23,166
	1,700	RadioShack Corp. ^(a)		33,235
	2,450	Rent-A-Center, Inc. ^*		57,183
	2,800	Ross Stores, Inc.		79,296
	1,500	Sports Authority (The), Inc. ^*		54,885
	1,700	Talbots, Inc.		45,322
	1,300	Too, Inc. ^*		39,559
	2,100	Williams-Sonoma, Inc. ^{* (a)}		85,029
				2,502,147

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)
February 28, 2006

Shares		Description	Value ($)
		Services — 9.9%
	1,200	Administaff, Inc.		56,940
	2,875	Applebee's International, Inc. ^(a)		66,527
	2,000	Applied Industrial Technologies, Inc.		85,560
	2,800	Aramark Corp.-Class B		79,688
	4,800	BearingPoint, Inc. ^{* (a)}		42,768
	1,800	Bright Horizons Family Solutions, Inc. ^*		60,318
	2,500	Brinker International, Inc.		104,125
	2,800	Career Education Corp. ^*		91,952
	1,400	Catalina Marketing Corp.		31,052
	1,000	CBRL Group, Inc. ^(a)		44,430
	1,000	CEC Entertainment, Inc. ^*		32,560
	2,700	Cheesecake Factory (The) ^{* (a)}		97,632
	500	Choice Hotels International, Inc.		22,265
	1,500	Clean Harbors, Inc. ^{* (a)}		49,470
	2,100	Copart, Inc. ^*		54,264
	1,000	CRA International, Inc. ^*		46,750
	1,500	Darden Restaurants, Inc.		62,910
	1,900	Domino's Pizza, Inc.		48,450
	900	Education Management Corp. ^*		33,840
	1,750	Factset Research Systems, Inc.		68,513
	2,100	Iron Mountain, Inc. ^*		91,770
	1,400	Isle of Capri Casinos, Inc. ^{* (a)}		42,434
	1,700	ITT Educational Services, Inc. ^*		105,400
	4,000	Labor Ready, Inc. ^*		98,280
	1,800	Martha Stewart Living Omnimedia-Class A ^{* (a)}		31,140
	1,500	Monster Worldwide, Inc. ^*		73,440
	2,100	Nutri/System, Inc. ^{* (a)}		90,237
	2,500	Outback Steakhouse, Inc.		104,525
	1,900	Panera Bread Co.-Class A ^*		134,634
	3,200	Papa John's International, Inc. ^*		105,280
	3,200	Performance Food Group Co. ^{* (a)}		93,984
	1,000	PF Chang's China Bistro, Inc. ^*		48,340
	1,100	Portfolio Recovery Associates, Inc. ^{* (a)}		53,801
	1,300	Rare Hospitality International, Inc. ^*		41,600

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)
February 28, 2006

Shares		Description	Value ($)
		Services — continued
	1,200	Red Robin Gourmet Burgers, Inc. ^{* (a)}		47,988
	1,100	Regis Corp.		42,108
	1,700	Resources Connection, Inc. ^*		46,784
	4,100	Robert Half International, Inc.		147,272
	2,400	Ruby Tuesday, Inc. ^(a)		68,520
	2,800	Sonic Corp. ^*		88,508
	1,100	Stericycle, Inc. ^*		66,495
	2,400	Valassis Communications, Inc. ^{* (a)}		66,120
	1,300	West Corp. ^*		56,589
	1,200	World Fuel Services Corp.		36,360
				2,961,623
		Technology — 21.4%
	800	AAR Corp. ^*		20,248
	4,600	ADTRAN, Inc. ^(a)		126,592
	5,100	Alliance Data Systems Corp. ^*		220,626
	1,000	Alliant Techsystems, Inc. ^{* (a)}		76,420
	3,000	Amphenol Corp.-Class A		150,690
	1,700	Anixter International, Inc.		77,775
	2,000	Ansys, Inc. ^*		94,840
	2,600	Anteon International Corp. ^*		143,754
	400	AO Smith Corp.		18,520
	3,700	aQuantive, Inc. ^{* (a)}		98,383
	1,900	Armor Holdings, Inc. ^{* (a)}		111,587
	1,500	Avnet, Inc. ^*		37,695
	300	Bankrate, Inc. ^{* (a)}		10,845
	5,700	BEA Systems, Inc. ^*		65,379
	1,300	Blue Coat Systems, Inc. ^{* (a)}		27,599
	3,000	BMC Software, Inc. ^{* (a)}		65,610
	4,575	Brightpoint, Inc. ^*		129,427
	1,100	Cabot Microelectronics Corp. ^*		37,532
	1,100	Checkfree Corp. ^*		54,406
	2,300	Citrix Systems, Inc. ^*		74,428
	9,700	CNET Networks, Inc. ^{* (a)}		134,248

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)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	2,800	Cogent, Inc. ^{* (a)}		65,128
	2,100	CommScope, Inc. ^{* (a)}		50,379
	700	Computer Programs & Systems, Inc.		32,172
	1,900	CSG Systems International, Inc. ^*		41,762
	1,100	Cymer, Inc. ^*		49,478
	7,200	Cypress Semiconductor Corp. ^{* (a)}		127,872
	1,700	Diebold, Inc.		68,000
	2,100	Digital Insight Corp. ^*		69,405
	2,900	Distributed Energy Systems Corp. ^*		27,057
	1,000	EDO Corp.		29,130
	3,300	Electronics for Imaging ^*		88,506
	3,200	Emulex Corp. ^*		56,960
	1,100	F5 Networks, Inc. ^{* (a)}		74,602
	1,200	Global Imaging Systems, Inc. ^{* (a)}		43,320
	2,100	Global Payments, Inc.		109,326
	500	Greatbatch, Inc. ^*		11,055
	6,800	Harris Corp.		310,624
	1,400	Hutchinson Technology, Inc. ^{* (a)}		38,514
	500	Imation Corp.		21,925
	6,000	Informatica Corp. ^*		96,120
	6,300	Ingram Micro, Inc.-Class A ^*		124,614
	1,250	Innovative Solutions & Support, Inc. ^{* (a)}		17,638
	1,800	International Rectifier Corp. ^*		66,780
	6,600	Intersil Corp.-Class A		187,044
	1,700	Itron, Inc. ^{* (a)}		101,082
	1,300	Ixia ^*		15,678
	1,000	John H. Harland Co.		36,190
	2,300	Komag, Inc. ^{* (a)}		107,732
	3,100	LSI Logic Corp. ^*		30,225
	1,900	Mantech International Corp.-Class A ^*		53,390
	800	Maximus, Inc.		29,208
	1,000	Metrologic Instruments, Inc. ^*		22,410
	1,400	Micros Systems, Inc. ^*		60,606
	4,600	Microsemi Corp. ^*		141,450
	600	MicroStrategy, Inc.-Class A ^*		55,008
	400	Neoware Systems, Inc. ^{* (a)}		9,812

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)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	1,100	Netlogic Microsystems, Inc. ^{* (a)}		38,885
	1,800	Paxar Corp. ^*		34,524
	1,300	Perot Systems Corp.-Class A ^*		19,643
	3,000	Plexus Corp. ^*		100,680
	2,500	Portalplayer, Inc. ^{* (a)}		63,150
	400	Power Integrations, Inc. ^*		9,932
	6,600	Powerwave Technologies, Inc. ^{* (a)}		96,888
	2,100	QLogic Corp. ^*		86,394
	1,300	Quality Systems, Inc. ^(a)		89,986
	3,800	Red Hat, Inc. ^{* (a)}		102,106
	1,600	Reynolds & Reynolds Co. (The)-Class A		44,320
	7,600	RF Micro Devices, Inc. ^*		51,148
	600	ScanSource, Inc. ^*		34,866
	1,900	SERENA Software, Inc. ^*		45,410
	400	SI International, Inc. ^*		13,024
	2,500	Silicon Laboratories, Inc. ^{* (a)}		119,950
	2,400	Sirf Technology Holdings, Inc. ^*		89,832
	1,900	SRA International, Inc.-Class A ^*		65,588
	900	Sybron Dental Specialties, Inc. ^*		34,434
	2,700	Syntel, Inc.		45,900
	2,600	Talx Corp.		83,096
	7,500	Tellabs, Inc. ^*		110,175
	2,500	Teradyne, Inc. ^*		41,975
	800	Tessera Technologies, Inc. ^*		24,984
	1,300	Transaction Systems Architects, Inc. ^*		43,368
	2,900	Trident Microsystems, Inc. ^{* (a)}		81,026
	1,000	United Stationers, Inc. ^*		49,500
	2,400	Valueclick, Inc. ^{* (a)}		42,024
	1,400	Varian Semiconductor Equipment Associates, Inc. ^*		66,024
	1,100	Websense, Inc. ^*		67,991
	2,500	WESCO International, Inc. ^{* (a)}		143,300
	5,000	Western Digital Corp. ^*		111,250
	3,500	Wind River Systems, Inc. ^*		54,145
	1,100	Zoran Corp. ^*		21,758
				6,374,082

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)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		Transportation — 1.8%
	1,300	Alaska Air Group, Inc. ^*		41,665
	7,400	AMR Corp. ^{* (a)}		185,740
	1,200	Arkansas Best Corp.		49,872
	2,000	CNF, Inc.		100,360
	1,300	ExpressJet Holdings, Inc. ^*		9,776
	1,100	Hornbeck Offshore Services, Inc. ^*		35,376
	600	Landstar System, Inc.		27,954
	1,200	Old Dominion Freight Line, Inc. ^*		31,632
	1,700	Skywest, Inc.		49,249
				531,624
		Utility — 1.4%
	4,800	Centerpoint Energy, Inc.		62,256
	1,700	Duquesne Light Holdings, Inc.		29,495
	1,800	Energen Corp.		64,314
	1,900	Equitable Resources, Inc.		69,084
	1,000	j2 Global Communications, Inc. ^{* (a)}		43,600
	2,800	NII Holdings, Inc.-Class B ^*		143,416
				412,165
		TOTAL COMMON STOCKS (COST $24,881,414)		28,905,951
		SHORT-TERM INVESTMENT(S) — 25.8%
	230,072	American Beacon Money Market Select Fund ^(b)		230,072
	747,734	BGI Institutional Money Market Fund ^(b)		747,734
	824,369	Citigroup Global Markets Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $824,438 and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity date of 02/15/36 and market value, including accrued interest of $840,856.		824,369
	345,108	Fortis Bank Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.53%, due 03/23/06 ^(b)		345,108
	1,150,360	Goldman Sachs Group Inc. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $1,150,507 and an effective yield of 4.60%, collateralized by various corporate debt obligations with an aggregate market value of $1,173,367. ^(b)		1,150,360

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)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENT(S) — continued
	1,035,324	Merrill Lynch & Co. Triparty Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $1,035,455 and an effective yield of 4.55%, collateralized by various U.S. government obligations with an aggregate market value of $1,062,100. ^(b)		1,035,324
	230,072	Merrimac Cash Series - Premium Class ^(b)		230,072
	838,891	Morgan Stanley & Co. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $838,997 and an effective yield of 4.55%, collateralized by various U.S. government obligations with an aggregate market value of $855,674. ^(b)		838,891
	690,216	National Australia Bank Eurodollar Overnight Time Deposit, 4.56%, due 03/01/06 ^(b)		690,216
	460,144	Rabobank Nederland Eurodollar Overnight Time Deposit, 4.52%, due 03/01/06 ^(b)		460,144
	345,108	Royal Bank of Scotland Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.55%, due 03/31/06 ^(b)		345,108
	707,228	Svenska Handlesbanken Eurodollar Overnight Time Deposit, 4.57%, due 03/01/06 ^(b)		707,228
	100,000	U.S. Treasury Bill, 3.81%, due 03/23/06 ^(c)		99,774
		TOTAL SHORT-TERM INVESTMENT(S) (COST $7,704,400)		7,704,400
		TOTAL INVESTMENTS — 122.8% (Cost $32,585,814)		36,610,351
		Other Assets and Liabilities (net) — (22.8%)		(6,806,811	)
		TOTAL NET ASSETS — 100.0%	$	29,803,540

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

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

(b) All or a portion of this security represents investment of security lending collateral (Note 2).

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 — February 28, 2006

Assets:
Investments, at value, including securities on loan of $6,456,034 (cost $32,585,814) (Note 2)	$	36,610,351
Receivable for Fund shares sold		1,009
Dividends and interest receivable		16,209
Receivable for expenses reimbursed by Manager (Note 3)		14,980
Miscellaneous receivable		5
Total assets		36,642,554
Liabilities:
Collateral on securities loaned (Note 2)		6,780,257
Payable to affiliate for (Note 3):
Management fee		7,167
Shareholder service fee		3,468
Trustees and Chief Compliance Officer fees		99
Accrued expenses		48,023
Total liabilities		6,839,014
Net assets	$	29,803,540
Net assets consist of:
Paid-in capital	$	25,908,590
Accumulated undistributed net investment income		18,183
Distributions in excess of net realized gain		(147,770	)
Net unrealized appreciation		4,024,537
	$	29,803,540
Net assets attributable to:
Class III shares	$	29,803,540
Shares outstanding:
Class III		1,515,019
Net asset value per share:
Class III	$	19.67

See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Statement of Operations — Year Ended February 28, 2006

Investment Income:
Dividends	$	247,678
Interest (including securities lending income of $10,474)		36,398
Total investment income		284,076
Expenses:
Management fee (Note 3)		117,651
Shareholder service fee – Class III (Note 3)		54,871
Custodian, fund accounting agent and transfer agent fees		49,326
Audit and tax fees		65,812
Legal fees		761
Trustees fees and related expenses (Note 3)		2,269
Registration fees		8,172
Miscellaneous		3,267
Total expenses		302,129
Fees and expenses reimbursed by Manager (Note 3)		(127,759	)
Net expenses		174,370
Net investment income (loss)		109,706
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		7,233,862
Closed futures contracts		92,293
Net realized gain (loss)		7,326,155
Change in net unrealized appreciation (depreciation) on investments		(2,622,842	)
Net realized and unrealized gain (loss)		4,703,313
Net increase (decrease) in net assets resulting from operations	$	4,813,019

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

	Year Ended February 28, 2006			Year Ended February 28, 2005
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	109,706		$	63,956
Net realized gain (loss)		7,326,155			4,017,654
Change in net unrealized appreciation (depreciation)		(2,622,842	)		(513,101	)
Net increase (decrease) in net assets from operations		4,813,019			3,568,509
Distributions to shareholders from:
Net investment income
Class III		(124,141	)		(18,682	)
Net realized gains
Class III		(8,526,333	)		(3,738,543	)
		(8,650,474	)		(3,757,225	)
Net share transactions (Note 7):
Class III		(5,297,238	)		(2,758,263	)
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		137,656			85,948
Total increase (decrease) in net assets resulting from net share transactions and net purchase premiums and redemption fees		(5,159,582	)		(2,672,315	)
Total increase (decrease) in net assets		(8,997,037	)		(2,861,031	)
Net assets:
Beginning of period		38,800,577			41,661,608
End of period (including accumulated undistributed net investment income of $18,183 and $41,819, respectively)	$	29,803,540		$	38,800,577

See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2006			2005			2004			2003			2002
Net asset value, beginning of period	$	21.96		$	21.78		$	13.52		$	16.48		$	19.08
Income (loss) from investment operations:
Net investment income (loss)^†		0.06			0.03			0.00	^(a)		(0.01	)		0.01
Net realized and unrealized gain (loss)		2.93			1.96			8.28			(2.95	)		(1.12	)
Total from investment operations		2.99			1.99			8.28			(2.96	)		(1.11	)
Less distributions to shareholders:
From net investment income		(0.07	)		(0.01	)		(0.02	)		—			—
From net realized gains		(5.21	)		(1.80	)		—			—			(1.49	)
Total distributions		(5.28	)		(1.81	)		(0.02	)		—			(1.49	)
Net asset value, end of period	$	19.67		$	21.96		$	21.78		$	13.52		$	16.48
Total Return^(b)		14.63	%		10.50	%		61.22	%		(17.96	)%		(6.36	)%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	29,804		$	38,801		$	41,662		$	17,669		$	17,049
Net expenses to average daily net assets		0.48	%		0.48	%		0.48	%		0.49	%		0.48	%
Net investment income to average daily net assets		0.30	%		0.16	%		0.02	%		(0.06	)%		0.07	%
Portfolio turnover rate		87	%		110	%		97	%		116	%		118	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.35	%		0.26	%		0.24	%		0.37	%		0.33	%
Purchase premiums and redemption fees consisted of the following per share amounts:^†	$	0.08		$	0.04		$	0.06		$	0.03		$	0.02

(a) Net investment income 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. Calculation excludes purchase premiums and redemption fees which are borne by the shareholders.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO U.S. Small/Mid Cap Growth Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. 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 a series of shares into classes.

The Fund commenced operations following an in-kind purchase of shares by GMO Small/Mid Cap Growth Fund (formerly GMO Small Cap Growth Fund) ("Predecessor Fund") effected as of the close of business on September 16, 2005 ("Purchase Date"). For tax purposes, this transaction met all requirements for a tax-free reorganization under the Internal Revenue Code, and consequently the Fund retained the Predecessor Fund's basis and holding period in each asset contributed in-kind. For accounting purposes, the Fund also recorded a cost for each in-kind asset contributed by the Predecessor Fund equal to such asset's historical cost. For tax and accounting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations. Therefore, the Statement of Operations is shown for the entire fiscal year ending February 28, 2006, the Statements of Changes in Net Assets are shown for the entire fiscal years ending February 28, 2006 and 2005, and the Financial Highlights are shown for each of the fiscal years ending February 28/29, 2006, 2005, 2004, 2003 and 2002.

The Fund seeks long-term capital growth. The Fund's benchmark is the Russell 2500 Growth Index.

2. Significant accounting policies

Portfolio valuation

Portfolio securities listed on a securities exchange for which market quotations are readily available are valued at the last sale price or official closing price on each business day, or if there is no such reported sale or official closing price, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of mutual funds are valued at their net asset value. 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 other persons acting at their direction.

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Futures contracts

Swap agreements

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

upon the best available information and because of the uncertainty of the valuation, these values may differ significantly from the values that would have been realized had a ready market for these instruments existed, and the differences could be material. Entering into these agreements involves, to varying degrees, elements of credit, legal, market and documentation risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparties to the agreements may default on their obligations to perform or disagree as to the meaning of contractual terms in the agreements, or that there may be unfavorable changes in the price of the security or index underlying these transactions. As of February 28, 2006, the Fund did not enter into any swap agreements.

Repurchase agreements

Securities lending

Taxes and distributions

The Fund intends to qualify each 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 net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryovers for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

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 gains, if any, at least annually. All distributions are paid in 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 dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. For the years ended February 28, 2006 and February 28, 2005, the tax character of distributions paid was as follows: ordinary income – $687,821 and $1,687,637, respectively and long-term capital gains – $7,962,653 and $2,069,588, respectively.

As of February 28, 2006, the components of distributable earnings on a tax basis consisted of $559,185 and $196,290 of undistributed ordinary income and undistributed long-term capital gains, respectively. The temporary differences between book and tax basis distributable earnings are primarily due to capital loss carryforwards.

As of February 28, 2006, the Fund had capital loss carryforwards available to offset future capital gains, if any, to the extent permitted by the Code of $851,651 expiring in 2011. Utilization of the capital loss carryforwards above could be subject to limitations imposed by the Code related to share ownership activity.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	32,619,225			$	4,930,039			$	(938,913	)		$	3,991,126

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2006. This reclassification has no impact on net investment income, realized gain/loss or the net asset value of the Fund and is primarily attributable to redemption in-kind transactions. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income				Accumulated Net Realized Loss				Paid-in Capital
$	(9,201	)		$	(93,147	)		$	102,348

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

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Security transactions and related investment income

Expenses

Purchases and redemptions of Fund shares

As of the date of this report, the premium on cash purchases and fee on redemptions of Fund shares were each 0.50% of the amount invested or redeemed. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase occurring on the same day, it will waive the purchase premium or redemption fee in the amount approximately equal to the fee with respect to that portion. In addition, the purchase premium or redemption fee charged by the Fund may be waived in extraordinary circumstances if the Fund will not incur transaction costs. All purchase premiums and redemption fees are paid to and recorded by the Fund as paid-in capital. For the years ended February 28, 2006 and February 28, 2005, the Fund received $38,857 and $26,911 in purchase premiums and $98,799 and $59,037 in redemption fees, respectively. There is no premium for reinvested distributions or in-kind transactions.

3. Fees and other transactions with affiliates

Effective September 16, 2005, GMO has entered into a binding agreement effective until at least June 30, 2006 to reimburse the Fund to the extent that the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the Chief Compliance Officer ("CCO") and independent Trustees (including legal fees), brokerage commissions and other investment-related costs, hedging

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes), securities lending fees and expenses, interest expense and transfer taxes) exceed 0.31% of average daily net assets. Prior to September 16, 2005, the rate was 0.33% of the Predecessor Fund's average daily net assets.

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 28, 2006 was $859 and $214, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2006 aggregated $30,085,838 and $42,853,895, respectively.

5. Guarantees

6. Principal shareholders

As of February 28, 2006, 53.2% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares. One of the shareholders is another fund of the Trust. Investment activities of these shareholders may have a material effect on the Fund.

As of February 28, 2006, 71.9% of the Fund's shares were held by accounts for which the Manager has investment discretion.

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

7. Share transactions

The Declaration of Trust permits the Trustees to issue an unlimited number of shares of beneficial interest (without par value). Transactions in Fund and Predecessor Fund shares were as follows (See Note 1):

	Year Ended February 28, 2006						Year Ended February 28, 2005
Class III:	Shares			Amount			Shares			Amount
Shares sold		277,117		$	6,003,947			250,830		$	5,377,242
Shares issued to shareholders in reinvestment of distributions		413,988			8,499,314			198,823			3,751,783
Shares repurchased		(861,543	)		(18,064,112	)		(595,450	)		(11,887,288	)
Redemption in-kind		(81,480	)		(1,736,387	)		—			—
Purchase premiums and redemption fees		—			137,656			—			85,948
Net increase (decrease)		(251,918	)	$	(5,159,582	)		(145,797	)	$	(2,672,315	)

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO U.S. Small/Mid Cap Growth Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO U.S. Small/Mid Cap Growth Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

As described in Note 1 to the financial statements, the Fund is the successor to GMO Small/Mid Cap Growth Fund (formerly GMO Small Cap Growth Fund) and includes the operations of GMO Small/Mid Cap Growth Fund (formerly GMO Small Cap Growth Fund) for periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the year ended February 28, 2006.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.47	%	$	1,000.00	$	1,079.10	$	2.42
2) Hypothetical		0.47	%	$	1,000.00	$	1,022.46	$	2.36

* Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 28, 2006, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Tax Information (Unaudited) for the Tax Year Ended February 28, 2006

The Fund's distributions to shareholders include $7,962,653 from long-term capital gains.

For taxable, non-corporate shareholders, 75.59% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 86.94% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income and qualified short-term capital gains with respect to its taxable year ended February 28, 2006, $33,181 and $550,743, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement
February 28, 2006 (Unaudited)

In determining to approve the initial investment management agreement for the Fund, the Trustees, each of whom is not an "interested person" of the Trust, considered information that they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. The Trustees met on June 28, 2005 to discuss the materials provided by the Manager for purposes of considering the Manager's proposal to establish the Fund, as well as seven other funds of the Trust, as new series of the Trust and the proposed new investment management agreements between the Trust, on behalf of each such fund, and the Manager. The investment management agreement for each fund was considered separately; however, the Trustees noted the common interests of the funds. As discussed below, at meetings throughout the year, the Trustees also considered other information relevant to their approval of the Fund's investment management agreement. Matters considered by the Trustees included the following:

The Trustees considered that they had met with the Fund's investment advisory personnel over the course of the year. The Trustees also considered information provided by the Manager relating to the education, experience, and number of investment professionals and other personnel who will provide services under the Fund's investment management agreement. The Trustees also received information concerning the investment philosophy and investment process to be applied by the Manager in managing the Fund, and evaluated the level of skill required to manage the Fund. In connection with that information, the Trustees considered the Manager's in-house research capabilities as well as other resources available to the Manager's personnel. The Trustees also took into account the time and attention to be devoted by senior management to the Fund. The Trustees considered the business reputation of the Manager, its financial resources 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 performance of an existing fund of the Trust with a comparable investment program (the "Predecessor Fund").¹ The Trustees noted the generally positive performance of the Predecessor Fund over various time periods. The Trustees also considered the competence of the personnel responsible for managing the Predecessor Fund, the support those personnel received from the Manager, the investment techniques used to manage the Predecessor Fund, and the overall competence of the Manager.

The Trustees gave substantial consideration to the fees payable under the Fund's investment management agreement. The Trustees considered that the Fund's advisory fee and projected expense ratio were lower than the advisory fee and expense ratio of the Predecessor Fund. The Trustees reviewed information prepared by Lipper Inc. concerning fees paid to investment managers of funds with similar objectives, and noted that the advisory fee and projected expense ratio of the Fund compared very favorably to those of most other comparable funds included in the Lipper data. The Fund's advisory fee ranked in the first quintile in its Lipper-determined expense group. In addition, the Fund's total expense ratio for its Class III Shares ranked in the first quintile in its Lipper-determined expense group. In evaluating the Fund's advisory fee, the Trustees also took into account the sophistication of the investment techniques to be used to manage the Fund, and reviewed information provided by the Manager regarding fees paid by its separate account clients and non-proprietary mutual fund clients. Since the Fund had not yet commenced operations, the Trustees

¹ For tax, accounting and performance reporting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations.

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — Continued
February 28, 2006 (Unaudited)

were unable to review the Manager's profitability with respect to the Fund. The Trustees had, however, considered the Manager's profitability with respect to the Predecessor Fund in approving the continuance of the management contract for the Predecessor Fund, and they noted the management fee payable by the Fund would be lower than that paid by the Predecessor Fund. The Trustees did, moreover, consider both the actual dollar amount of fees to be paid by the Fund directly to the Manager and the so-called "fallout benefits" to the Manager such as the receipt of shareholder servicing fees pursuant to the Trust's servicing agreements, and reputational value to be derived from serving as investment manager to the Fund. The Trustees regarded the ability of the funds of the Trust to establish a public record of their performance also to be a fallout benefit to the Manager because of the opportunity that record creates for the Manager to increase assets under management by, for example, attracting new clients, expanding existing client relationships and becoming a subadviser under arrangements in which the funds of the Trust would be advised and distributed by an organization with strong retail sales capabilities. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the advisory fee to be charged to the Fund was reasonable.

The Trustees also considered the quality of the services to be provided by the Manager to the Fund. 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 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 and business conduct of its officers and employees), the procedures by which the Manager allocates trades among its investment advisory clients, the Manager's and the Fund's proxy voting policies and procedures, the integrity of 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 standards of the Manager with respect to the execution of portfolio transactions.

The Trustees considered the scope of the services to be provided by the Manager to the Fund under the investment management agreement and shareholder service agreement. The Trustees noted that the standard of care set forth in the investment management agreement was comparable to that found in most mutual fund investment 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 related shareholder services. The Trustees considered the Manager's management of non-advisory services to be provided by persons other than the Manager, considering, among other things, the Fund's estimated total expenses and the reputation of the Fund's other service providers.

After reviewing these and related factors, 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 agreement.

At the end of the meeting of the Trustees on June 28, 2005, the Trustees, each of whom is not an "interested person" of the Trust, based on their evaluation of all factors that they deemed to be material, including those factors described above, approved the Fund's initial investment management agreement for an initial period ending on the second anniversary of the agreement's execution.

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO Intrinsic Value Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO Intrinsic Value Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Since September 16, 2005, the GMO Intrinsic Value Fund returned +4.2% for the fiscal period ended February 28, 2006 as compared to +5.1% for the Russell 1000 Value Index for the same period. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in U.S. equity securities throughout the period.

Sector selection detracted from relative performance for the period. An overweight position in the automotive sector and an underweight in the financial sector both proved costly. The portfolio's underweight position in oil & gas contributed to relative performance for the period.

The portfolio's underperformance for the period is primarily attributed to stock selection. The portfolio was hindered by selections among financial, technology, and construction issues, while some positive performance came from health care and utility securities.

For the year, the portfolio's valuation stock selection strategies detracted from overall performance, while the momentum strategy provided a positive impact.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† See Note 1 to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.6	%
Short-Term Investment(s)		1.9
Other		(0.5	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Financial		32.3	%
Health Care		14.1
Utility		11.7
Retail Stores		9.2
Technology		7.2
Oil & Gas		6.8
Consumer Goods		6.0
Construction		5.8
Automotive		2.6
Services		2.2
Food & Beverage		1.1
Transportation		0.5
Machinery		0.4
Manufacturing		0.1
		100.0	%

GMO Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 98.6%
		Automotive — 2.6%
	4,700	Ford Motor Co.		37,459
	1,400	General Motors Corp.		28,434
	100	Goodyear Tire & Rubber Co. (The) ^*		1,433
	200	Harley-Davidson, Inc.		10,502
	700	Johnson Controls, Inc.		49,889
	1,100	Lear Corp.		22,946
				150,663
		Construction — 5.7%
	200	AMB Property Corp. REIT		10,730
	1,700	Annaly Mortgage Management, Inc. REIT		19,975
	300	Beazer Homes USA, Inc.		19,035
	100	CBL & Associates Properties, Inc. REIT		4,260
	500	Centex Corp.		33,805
	1,300	D.R. Horton, Inc.		44,343
	400	Equity Office Properties Trust REIT		12,580
	200	Equity Residential REIT		9,056
	200	Hovnanian Enterprises, Inc. ^*		9,222
	100	iStar Financial, Inc. REIT		3,810
	100	Jacobs Engineering Group, Inc. ^*		8,574
	300	KB Home		20,109
	600	Lennar Corp.-Class A		35,916
	100	Martin Marietta Materials, Inc.		9,750
	200	MDC Holdings, Inc.		12,258
	500	Pulte Homes, Inc.		19,205
	300	Ryland Group, Inc.		20,925
	300	Standard-Pacific Corp.		9,855
	800	Thornburg Mortgage, Inc. REIT		20,776
	100	USG Corp. ^*		8,448
				332,632

See accompanying notes to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Consumer Goods — 5.9%
	2,900	Altria Group, Inc.		208,510
	300	Columbia Sportswear Co. ^*		15,108
	200	Eastman Kodak Co.		5,610
	500	Liz Claiborne, Inc.		18,015
	500	Mohawk Industries, Inc. ^*		43,255
	200	Snap-On, Inc.		7,784
	500	Whirlpool Corp.		44,895
				343,177
		Financial — 31.9%
	1,800	Aflac, Inc.		83,250
	600	AMBAC Financial Group, Inc.		45,090
	200	American Financial Group, Inc.		8,280
	1,400	American International Group, Inc.		92,904
	100	AmeriCredit Corp. ^*		2,950
	400	AmerUs Group Co.		24,100
	200	AON Corp.		7,922
	6,403	Bank of America Corp.		293,578
	100	BB&T Corp.		3,953
	100	Bear Stearns Cos. (The), Inc.		13,444
	300	Capital One Financial Corp.		26,280
	200	Chubb Corp.		19,150
	2,900	Citigroup, Inc.		134,473
	300	Comerica, Inc.		17,196
	200	Commerce Group, Inc.		10,802
	400	Countrywide Financial Corp.		13,792
	2,900	Fannie Mae		158,572
	800	Fidelity National Financial, Inc.		30,208
	700	First Horizon National Corp.		27,377
	800	Freddie Mac		53,912
	400	Fremont General Corp.		9,488
	100	Goldman Sachs Group, Inc.		14,129
	200	Hartford Financial Services Group, Inc.		16,476
	100	IndyMac Bancorp, Inc.		3,882

See accompanying notes to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	500	Jefferson Pilot Corp.		30,125
	2,000	JPMorgan Chase & Co.		82,280
	300	Lehman Brothers Holdings, Inc.		43,785
	200	Loews Corp.		18,452
	1,100	Marsh & McLennan Cos., Inc.		34,001
	100	MBIA, Inc.		5,874
	300	Mellon Financial Corp.		10,827
	200	Merrill Lynch & Co., Inc.		15,442
	300	Metlife, Inc.		15,036
	400	MGIC Investment Corp.		25,500
	300	Morgan Stanley		17,898
	2,500	National City Corp.		87,000
	500	Nationwide Financial Services, Inc.-Class A		21,430
	875	Old Republic International Corp.		18,629
	600	PMI Group (The), Inc.		25,980
	200	PNC Financial Services Group, Inc.		14,070
	400	Protective Life Corp.		19,500
	200	Prudential Financial, Inc.		15,408
	400	Radian Group, Inc.		22,700
	200	Raymond James Financial, Inc.		8,596
	300	Reinsurance Group of America, Inc.		13,869
	200	State Street Corp.		12,496
	200	TD Banknorth, Inc.		6,146
	800	Torchmark Corp.		43,736
	500	Transatlantic Holdings, Inc.		30,570
	100	Trustmark Corp.		3,015
	1,300	UnumProvident Corp.		26,897
	1,640	Washington Mutual, Inc.		70,028
				1,850,498
		Food & Beverage — 1.0%
	500	Archer-Daniels-Midland Co.		15,860
	1,500	Sara Lee Corp.		26,505
	1,300	Tyson Foods, Inc.-Class A		17,589
				59,954

See accompanying notes to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Health Care — 13.9%
	400	Aetna, Inc.		20,400
	800	AmerisourceBergen Corp.		36,792
	600	Bristol-Myers Squibb Co.		13,860
	1,100	Cardinal Health, Inc.		79,860
	400	Express Scripts, Inc. ^*		34,908
	200	Health Net, Inc. ^*		9,590
	800	McKesson Corp.		43,304
	5,000	Merck & Co., Inc.		174,300
	10,200	Pfizer, Inc.		267,138
	2,200	UnitedHealth Group, Inc.		128,106
				808,258
		Machinery — 0.4%
	300	Flowserve Corp. ^*		15,420
	200	Oil States International, Inc. ^*		6,906
				22,326
		Manufacturing — 0.1%
	100	Harsco Corp.		7,978
		Oil & Gas — 6.7%
	100	Amerada Hess Corp.		13,831
	100	Anadarko Petroleum Corp.		9,916
	400	Apache Corp.		26,768
	100	Ashland, Inc.		6,527
	500	Burlington Resources, Inc.		45,090
	1,200	ConocoPhillips		73,152
	200	ENSCO International, Inc.		8,938
	1,300	Exxon Mobil Corp.		77,181
	200	Helmerich & Payne, Inc.		13,154
	400	Marathon Oil Corp.		28,240
	200	Murphy Oil Corp.		9,374
	300	Occidental Petroleum Corp.		27,462
	100	Sunoco, Inc.		7,410
	300	Tesoro Corp.		18,123
	400	Valero Energy Corp.		21,516
				386,682

See accompanying notes to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Retail Stores — 9.1%
	300	Albertson's, Inc.		7,632
	200	Bed Bath & Beyond, Inc. ^*		7,208
	3,500	Home Depot, Inc.		147,525
	2,600	Kroger Co. ^*		52,104
	1,600	Lowe's Cos., Inc.		109,088
	400	Office Depot, Inc. ^*		14,272
	1,700	Safeway, Inc.		41,327
	500	Supervalu, Inc.		15,800
	600	TJX Cos., Inc.		14,694
	2,600	Wal-Mart Stores, Inc.		117,936
				527,586
		Services — 2.1%
	900	Applebee's International, Inc.		20,826
	399	Aqua America, Inc.		11,467
	100	Brinker International, Inc.		4,165
	700	Gannett Co., Inc.		43,512
	400	Manpower, Inc.		21,456
	100	Outback Steakhouse, Inc.		4,181
	300	Wendy's International, Inc.		17,370
				122,977
		Technology — 7.1%
	200	Affiliated Computer Services, Inc.-Class A ^*		12,584
	600	Applied Materials, Inc.		11,004
	800	AVX Corp.		13,248
	4,500	Dell, Inc. ^*		130,500
	1,800	First Data Corp.		81,234
	2,800	Hewlett-Packard Co.		91,868
	1,600	Ingram Micro, Inc.-Class A ^*		31,648
	100	Lexmark International, Inc. ^*		4,709
	400	Motorola, Inc.		8,560
	700	Tech Data Corp. ^*		29,071
				414,426

See accompanying notes to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Transportation — 0.5%
	100	Burlington Northern Santa Fe Corp.		7,864
	200	Union Pacific Corp.		17,710
				25,574
		Utility — 11.6%
	1,000	American Electric Power Co., Inc.		36,500
	4,405	AT&T, Inc.		121,534
	2,400	BellSouth Corp.		75,792
	2,400	Centerpoint Energy, Inc.		31,128
	200	CMS Energy Corp. ^*		2,816
	200	Consolidated Edison, Inc.		9,174
	600	Duke Energy Corp.		17,040
	100	Duquesne Light Holdings, Inc.		1,735
	300	Edison International		13,308
	100	Exelon Corp.		5,711
	400	FirstEnergy Corp.		20,432
	400	FPL Group, Inc.		16,772
	100	Great Plains Energy, Inc.		2,840
	100	Kinder Morgan, Inc.		9,278
	100	PG&E Corp.		3,805
	200	PPL Corp.		6,360
	900	Progress Energy, Inc.		39,942
	200	Public Service Enterprise Group, Inc.		13,878
	200	Sempra Energy		9,568
	100	Southern Co. (The)		3,403
	400	TECO Energy, Inc.		6,824
	6,300	Verizon Communications, Inc.		212,310
	600	Xcel Energy, Inc.		11,136
				671,286
		TOTAL COMMON STOCKS (COST $5,542,459)		5,724,017

See accompanying notes to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENT(S) — 1.9%
	109,092	Citigroup Reserve Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $109,101 and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity date of 02/15/36 and a market value, including accrued interest, of $111,274.		109,092
		TOTAL SHORT-TERM INVESTMENT(S) (COST $109,092)		109,092
		TOTAL INVESTMENTS — 100.5% (Cost $5,651,551)		5,833,109
		Other Assets and Liabilities (net) — (0.5%)		(27,586	)
		TOTAL NET ASSETS — 100.0%	$	5,805,523

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

^* Non-income producing security.

See accompanying notes to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value (cost $5,651,551) (Note 2)	$	5,833,109
Dividends and interest receivable		8,083
Receivable for expenses reimbursed by Manager (Note 3)		15,123
Total assets		5,856,315
Liabilities:
Payable to affiliate for (Note 3):
Management fee		1,463
Shareholder service fee		665
Trustees and Chief Compliance Officer fees		32
Accrued expenses		48,632
Total liabilities		50,792
Net assets	$	5,805,523
Net assets consist of:
Net capital⁽¹⁾	$	5,623,965
Net unrealized appreciation		181,558
	$	5,805,523
Net assets attributable to:
Class III shares	$	5,805,523
Shares outstanding:
Class III		479,432
Net asset value per share:
Class III	$	12.11

⁽¹⁾ Net capital includes net investment income (loss) and net realized gain (loss) on investments.

See accompanying notes to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)

Statement of Operations — Period from September 16, 2005 through February 28, 2006

Investment Income:
Dividends	$	63,888
Interest		2,294
Total investment income		66,182
Expenses:
Management fee (Note 3)		8,347
Shareholder service fee – Class III (Note 3)		3,794
Custodian, fund accounting agent and transfer agent fees		9,618
Audit and tax fees		23,632
Legal fees		289
Trustees fees and related expenses (Note 3)		663
Registration fees		600
Miscellaneous		99
Total expenses		47,042
Fees and expenses reimbursed by Manager (Note 3)		(34,796	)
Net expenses		12,246
Net investment income (loss)		53,936
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(210	)
Net realized gain (loss)		(210	)
Change in net unrealized appreciation (depreciation) on investments		181,558
Net realized and unrealized gain (loss)		181,348
Net increase (decrease) in net assets resulting from operations	$	235,284

See accompanying notes to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Period from September 16, 2005 through February 28, 2006
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	53,936
Net realized gain (loss)		(210	)
Change in net unrealized appreciation (depreciation)		181,558
Net increase (decrease) in net assets from operations		235,284
Net share transactions (Note 7):
Class III		5,570,239
Total increase (decrease) in net assets		5,805,523
Net assets:
Beginning of period		—
End of period	$	5,805,523

See accompanying notes to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)

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

	Period from September 16, 2005 through February 28, 2006
Net asset value, beginning of period	$	11.62
Income (loss) from investment operations:
Net investment income (loss)^†		0.11
Net realized and unrealized gain (loss)		0.38
Total from investment operations		0.49
Net asset value, end of period	$	12.11
Total Return^(a)		4.22	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	5,806
Net expenses to average daily net assets		0.48	%^*
Net investment income to average daily net assets		2.13	%^*
Portfolio turnover rate		33	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		1.38	%^*

† Calculated using average shares outstanding throughout the period.

(a) The total return would have been lower had certain expenses not been reimbursed during the period shown.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO Intrinsic Value Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. 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 25, 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 a series of shares into classes.

The Fund seeks long-term capital growth through investment in equity securities. The Fund's benchmark is the Russell 1000 Value Index.

On September 16, 2005, shareholders of the Fund holding 95.3% of the Fund's then outstanding shares requested redemption of their shares. On the same day, the Fund transferred assets and liabilities (representing on a net basis 95.3% of the Fund's net assets) to GMO U.S. Intrinsic Value Fund, a newly organized fund, with investment objectives similar to the Fund's, in consideration for newly issued shares of GMO U.S. Intrinsic Value Fund. The Fund then honored the redemption requests by distributing to redeeming shareholders shares of equal value in the GMO U.S. Intrinsic Value Fund. The preceding events are hereafter referred to as (the "Redemption Transaction"). Because for tax and accounting purposes the GMO U.S. Intrinsic Value Fund is treated as a continuation of the Fund's prior operations, for accounting and tax purposes the Fund itself is deemed to have commenced operations on the date of the Redemption Transaction. On the date of the Redemption Transaction, the shareholders who opted not to redeem from the Fund were deemed to have contributed securities in-kind to the Fund with an accounting and tax basis equal to fair market value. Therefore, the Statement of Operations, Statement of Changes in Net Assets and Financial Highlights are shown for the period from September 16, 2005 through February 28, 2006.

2. Significant accounting policies

Portfolio valuation

GMO Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

of mutual funds are valued at their net asset value. 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 other persons acting at their direction.

Futures contracts

Swap agreements

GMO Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Repurchase agreements

Securities lending

Taxes

GMO Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

2005, the Fund elected to be treated as a partnership for federal income tax purposes. As a partnership, the Fund will not be subject to federal and state income tax. Instead, each shareholder is responsible for the tax liability or benefit related to his/her allocable share of taxable income or loss. Accordingly, no provision (benefit) for federal or state income taxes is reflected in the accompanying financial statements.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	5,651,551			$	321,089			$	(139,531	)		$	181,558

Security transactions and related investment income

Expenses

3. Fees and other transactions with affiliates

GMO Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

The Fund's portion of the fees paid by the Trust to the Trustees and CCO during the period ended February 28, 2006 was $113 and $28, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended February 28, 2006 aggregated $7,335,836 and $1,793,137, respectively.

5. Guarantees

6. Principal shareholder and related party

As of February 28, 2006, 89.7% of the outstanding shares of the Fund were held by one shareholder. Investment activities of this shareholder may have a material effect on the Fund.

As of February 28, 2006, 0.4% of the Fund's shares were held by GMO.

7. Share transactions

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

	Period from September 16, 2005 through February 28, 2006
Class III:	Shares		Amount
Shares issued for in-kind transaction		479,432	$	5,570,239
Net increase (decrease)		479,432	$	5,570,239

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Intrinsic Value Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Intrinsic Value Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the period from September 16, 2005 to February 28, 2006, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

As described in Note 1 to the financial statements, GMO U.S. Intrinsic Value Fund was the successor to the Fund for accounting purposes for all periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO Intrinsic Value Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the period ended February 28, 2006.

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, September 16, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

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 Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.48	%	$	1,000.00	$	1,042.20	$	2.22
2) Hypothetical		0.48	%	$	1,000.00	$	1,020.43	$	2.19

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO U.S. Core Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO U.S. Core Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Since September 16, 2005, the Class III shares of the GMO U.S. Core Fund returned +3.2% for the fiscal period ended February 28, 2006, as compared to +4.4% for the S&P 500 for the same period. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in U.S. equity securities throughout the period.

Sector selection detracted from the portfolio's relative performance for the period. Underweight positions in manufacturing, oil & gas, and food & beverage provided the bulk of positive performance. Meanwhile, an overweight position in automotive and an underweight position in financials both proved costly.

The portfolio's stock selection for the period was flat relative to the benchmark. Selection among technology issues hindered performance. This was counteracted by a positive impact from the portfolio's selection among health care stocks.

For the year, the portfolio's valuation stock selection strategies detracted from overall performance, while price momentum provided a positive impact for the period.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Performance for different classes will vary due to different fees. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† See Note 1 to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.7	%
Short-Term Investment(s)		3.3
Other		0.0
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		23.1	%
Financial		16.3
Technology		14.7
Retail Stores		13.0
Utility		9.0
Consumer Goods		6.0
Oil & Gas		5.1
Services		3.2
Construction		2.8
Food & Beverage		2.6
Automotive		1.5
Machinery		1.3
Transportation		1.0
Manufacturing		0.3
Primary Process Industry		0.1
		100.0	%

GMO U.S. Core Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 96.7%
		Automotive — 1.4%
	6,600	Ford Motor Co.		52,602
	800	General Motors Corp.		16,248
	1,800	Harley-Davidson, Inc.		94,518
	500	Johnson Controls, Inc.		35,635
	600	Lear Corp.		12,516
	200	Paccar, Inc.		13,974
				225,493
		Construction — 2.7%
	1,500	Centex Corp.		101,415
	2,700	D.R. Horton, Inc.		92,097
	100	Fluor Corp.		8,630
	1,100	KB Home		73,733
	1,200	Lennar Corp.-Class A		71,832
	2,100	Pulte Homes, Inc.		80,661
				428,368
		Consumer Goods — 5.8%
	7,400	Altria Group, Inc.		532,060
	200	Black & Decker Corp.		17,116
	600	Colgate-Palmolive Co.		32,688
	2,900	Eastman Kodak Co.		81,345
	300	Fortune Brands, Inc.		23,265
	1,300	Liz Claiborne, Inc.		46,839
	800	Mattel Co.		13,480
	900	Mohawk Industries, Inc. ^*		77,859
	1,000	Whirlpool Corp.		89,790
				914,442
		Financial — 15.8%
	3,500	Aflac, Inc.		161,875
	1,300	AMBAC Financial Group, Inc.		97,695

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	2,500	American International Group, Inc.		165,900
	1,000	AON Corp.		39,610
	2,604	Bank of America Corp.		119,393
	200	BB&T Corp.		7,906
	5,400	Charles Schwab Corp. (The)		87,534
	500	Chubb Corp.		47,875
	1,900	Citigroup, Inc.		88,103
	600	Comerica, Inc.		34,392
	400	Countrywide Financial Corp.		13,792
	500	ETrade Financial Corp. ^		12,790
	5,500	Fannie Mae		300,740
	1,500	Fidelity National Financial, Inc.		56,640
	600	Franklin Resources, Inc.		61,608
	1,000	Freddie Mac		67,390
	300	Goldman Sachs Group, Inc.		42,387
	200	Hartford Financial Services Group, Inc.		16,476
	400	Legg Mason, Inc.		52,236
	700	Lehman Brothers Holdings, Inc.		102,165
	500	Lincoln National Corp.		28,385
	400	Loews Corp.		36,904
	1,500	Marsh & McLennan Cos., Inc.		46,365
	100	MBIA, Inc.		5,874
	600	Metlife, Inc.		30,072
	1,000	MGIC Investment Corp.		63,750
	2,100	National City Corp.		73,080
	875	Old Republic International Corp.		18,629
	700	PMI Group (The), Inc.		30,310
	200	PNC Financial Services Group, Inc.		14,070
	400	Progressive Corp. (The)		42,980
	700	Prudential Financial, Inc.		53,928
	800	Radian Group, Inc.		45,400
	1,400	St. Paul Travelers Cos. (The), Inc.		60,172
	600	State Street Corp.		37,488
	1,100	TD Ameritrade Holding Corp.		23,936

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	1,000	Torchmark Corp.		54,670
	2,300	UnumProvident Corp.		47,587
	200	Wachovia Corp.		11,214
	4,360	Washington Mutual, Inc.		186,172
				2,487,493
		Food & Beverage — 2.6%
	700	Archer-Daniels-Midland Co.		22,204
	4,800	Coca-Cola Co. (The)		201,456
	700	Dean Foods Co. ^*		26,229
	500	General Mills Co.		24,625
	800	PepsiCo, Inc.		47,288
	2,800	Sara Lee Corp.		49,476
	2,600	Tyson Foods, Inc.-Class A		35,178
				406,456
		Health Care — 22.3%
	2,400	Abbott Laboratories		106,032
	2,400	Aetna, Inc.		122,400
	200	Allergan, Inc.		21,652
	2,200	AmerisourceBergen Corp.		101,178
	3,600	Bristol-Myers Squibb Co.		83,160
	2,300	Cardinal Health, Inc.		166,980
	300	Cigna Corp.		36,825
	200	Coventry Health Care, Inc. ^*		11,924
	1,400	Express Scripts, Inc. ^*		122,178
	1,700	Forest Laboratories, Inc. ^*		78,030
	1,000	Genentech, Inc. ^*		85,690
	1,100	HCA, Inc.		52,690
	100	Health Net, Inc. ^*		4,795
	500	Humana, Inc. ^*		25,835
	7,600	Johnson & Johnson		438,140
	1,100	Lincare Holdings, Inc. ^*		44,990
	3,800	McKesson Corp.		205,694

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Health Care — continued
	1,200	Medco Health Solutions, Inc. ^*		66,864
	500	Medtronic, Inc.		26,975
	10,100	Merck & Co., Inc.		352,086
	200	Omnicare, Inc.		12,170
	23,900	Pfizer, Inc.		625,941
	200	St. Jude Medical, Inc. ^*		9,120
	500	Stryker Corp.		23,110
	9,800	UnitedHealth Group, Inc.		570,654
	900	WellPoint, Inc. ^*		69,111
	1,300	Wyeth		64,740
				3,528,964
		Machinery — 1.3%
	200	Baker Hughes, Inc.		13,594
	2,300	Caterpillar, Inc.		168,084
	300	Halliburton Co.		20,400
				202,078
		Manufacturing — 0.3%
	200	ITT Industries, Inc.		10,500
	700	United Technologies Corp.		40,950
				51,450
		Oil & Gas — 4.9%
	100	Amerada Hess Corp.		13,831
	300	Anadarko Petroleum Corp.		29,748
	400	Apache Corp.		26,768
	1,100	Burlington Resources, Inc.		99,198
	3,100	ConocoPhillips		188,976
	700	Devon Energy Corp.		41,041
	100	EOG Resources, Inc.		6,740
	2,400	Exxon Mobil Corp.		142,488
	700	Marathon Oil Corp.		49,420
	1,400	Occidental Petroleum Corp.		128,156

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Oil & Gas — continued
	400	Patterson-UTI Energy, Inc.		11,020
	500	Sunoco, Inc.		37,050
				774,436
		Primary Process Industry — 0.1%
	300	Air Products & Chemicals, Inc.		19,248
		Retail Stores — 12.5%
	300	Advance Auto Parts ^*		12,405
	1,600	Albertson's, Inc.		40,704
	1,300	Autonation, Inc. ^*		27,183
	2,500	Bed Bath & Beyond, Inc. ^*		90,100
	800	Chico's FAS, Inc. ^*		37,640
	800	Costco Wholesale Corp.		41,024
	600	CVS Corp.		16,998
	1,300	Dollar General Corp.		22,646
	800	Federated Department Stores, Inc.		56,832
	14,300	Home Depot, Inc.		602,745
	4,300	Kroger Co. (The) ^*		86,172
	5,400	Lowe's Cos., Inc.		368,172
	900	Nordstrom, Inc.		34,200
	700	Office Depot, Inc. ^*		24,976
	500	Ross Stores, Inc.		14,160
	2,000	Safeway, Inc.		48,620
	800	Supervalu, Inc.		25,280
	200	Target Corp.		10,880
	300	Tiffany & Co.		11,139
	2,300	TJX Cos., Inc.		56,327
	4,300	Walgreen Co.		192,898
	3,500	Wal-Mart Stores, Inc.		158,760
				1,979,861

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Services — 3.1%
	1,300	Darden Restaurants, Inc.		54,522
	600	Gannett Co., Inc.		37,296
	1,200	Interpublic Group of Cos., Inc. ^*		12,432
	1,200	Marriott International, Inc.-Class A		82,080
	1,000	McDonald's Corp.		34,910
	900	MGM Mirage ^*		33,273
	200	Moody's Corp.		13,400
	800	Omnicom Group		63,856
	1,400	Sysco Corp.		42,126
	900	Wendy's International, Inc.		52,110
	1,200	Yum! Brands, Inc.		57,240
				483,245
		Technology — 14.2%
	1,900	Adobe Systems, Inc.		73,378
	600	Affiliated Computer Services, Inc.-Class A ^*		37,752
	600	Agilent Technologies, Inc. ^*		21,600
	500	American Power Conversion Corp.		10,215
	300	Autodesk, Inc.		11,295
	400	Boeing Co.		29,076
	300	Broadcom Corp.-Class A ^*		13,527
	2,800	Corning, Inc. ^*		68,348
	200	Danaher Corp.		12,116
	10,100	Dell, Inc. ^*		292,900
	200	DST Systems, Inc. ^*		11,246
	3,400	EMC Corp. ^*		47,668
	2,600	First Data Corp.		117,338
	200	General Dynamics Corp.		24,654
	300	Goodrich Corp.		12,552
	200	Google, Inc.-Class A ^*		72,524
	400	Harris Corp.		18,272
	12,500	Hewlett-Packard Co.		410,125
	18,500	Intel Corp.		381,100
	600	Intuit, Inc. ^*		29,148

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	300	Jabil Circuit, Inc. ^*		11,355
	700	Lexmark International, Inc. ^*		32,963
	1,100	Lockheed Martin Corp.		80,157
	3,100	Motorola, Inc.		66,340
	600	National Semiconducter Corp.		16,830
	200	Northrop Grumman Corp.		12,820
	900	Nvidia Corp. ^*		42,417
	300	Paychex, Inc.		12,015
	700	Qualcomm, Inc.		33,047
	700	Rockwell Automation, Inc.		47,719
	300	Rockwell Collins, Inc.		15,945
	5,800	Texas Instruments, Inc.		173,130
				2,239,572
		Transportation — 1.0%
	1,200	Burlington Northern Santa Fe Corp.		94,368
	400	C.H. Robinson Worldwide, Inc.		17,928
	500	Union Pacific Corp.		44,275
				156,571
		Utility — 8.7%
	600	AES Corp. (The) ^*		10,380
	300	Alltel Corp.		18,945
	700	American Electric Power Co., Inc.		25,550
	14,832	AT&T, Inc.		409,215
	3,600	BellSouth Corp.		113,688
	1,500	Centerpoint Energy, Inc.		19,455
	800	Constellation Energy Group, Inc.		46,992
	300	DTE Energy Co.		12,990
	500	Duke Energy Corp.		14,200
	700	Edison International		31,052
	300	Entergy Corp.		21,753
	1,500	Exelon Corp.		85,665
	500	FirstEnergy Corp.		25,540

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		Utility — continued
	600	FPL Group, Inc.		25,158
	700	Kinder Morgan, Inc.		64,946
	700	Nextel Partners, Inc.-Class A ^*		19,642
	200	Progress Energy, Inc.		8,876
	300	Public Service Enterprise Group, Inc.		20,817
	200	Questar Corp.		14,650
	400	TXU Corp.		20,956
	10,900	Verizon Communications, Inc.		367,330
				1,377,800
		TOTAL COMMON STOCKS (COST $14,832,981)		15,275,477
		SHORT-TERM INVESTMENT(S) — 3.3%
	520,042	Citigroup Global Markets Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $520,086 and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity date of 02/15/36 and a market value, including accrued interest, of $530,443.		520,042
		TOTAL SHORT-TERM INVESTMENT(S) (COST $520,042)		520,042
		TOTAL INVESTMENTS — 100.0% (Cost $15,353,023)		15,795,519
		Other Assets and Liabilities (net) — 0.0%		4,561
		TOTAL NET ASSETS — 100.0%	$	15,800,080

Notes to Schedule of Investments:

* Non-income producing security.

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value (cost $15,353,023) (Note 2)	$	15,795,519
Dividends and interest receivable		20,006
Receivable for expenses reimbursed by Manager (Note 3)		56,116
Total assets		15,871,641
Liabilities:
Payable to affiliate for (Note 3):
Management fee		3,984
Shareholder service fee		1,789
Administration fee – Class M		37
Trustees and Chief Compliance Officer fees		47
Payable for 12b-1 fee – Class M		23
Accrued expenses		65,681
Total liabilities		71,561
Net assets	$	15,800,080
Net assets consist of:
Net capital⁽¹⁾	$	15,357,584
Net unrealized appreciation		442,496
	$	15,800,080
Net assets attributable to:
Class II shares	$	114,656
Class III shares	$	15,443,746
Class M shares	$	241,678
Shares outstanding:
Class II		7,702
Class III		1,035,197
Class M		16,250
Net asset value per share:
Class II	$	14.89
Class III	$	14.92
Class M	$	14.87

⁽¹⁾ Net capital includes net investment income (loss) and accumulated realized gain (loss).

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)

Statement of Operations — Period from September 16, 2005 through February 28, 2006

Investment Income:
Dividends	$	143,486
Interest		7,180
Total investment income		150,666
Expenses:
Management fee (Note 3)		22,932
Shareholder service fee – Class II (Note 3)		111
Shareholder service fee – Class III (Note 3)		10,157
12b-1 fee – Class M (Note 3)		319
Administration fee – Class M (Note 3)		245
Custodian, fund accounting agent and transfer agent fees		28,651
Audit and tax fees		27,558
Legal fees		5,070
Trustees fees and related expenses (Note 3)		28,787
Registration fees		5,070
Miscellaneous		638
Total expenses		129,538
Fees and expenses reimbursed by Manager (Note 3)		(93,765	)
Net expenses		35,773
Net investment income (loss)		114,893
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(69,317	)
Change in net unrealized appreciation (depreciation) on:
Investments		442,496
Net realized and unrealized gain (loss)		373,179
Net increase (decrease) in net assets resulting from operations	$	488,072

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Period from September 16, 2005 through February 28, 2006
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	114,893
Net realized gain (loss)		(69,317	)
Change in net unrealized appreciation (depreciation)		442,496
Net increase (decrease) in net assets from operations		488,072
Net share transactions (Note 7):
Class II		111,106
Class III		14,964,600
Class M		236,302
Increase (decrease) in net assets resulting from net share transactions		15,312,008
Total increase (decrease) in net assets		15,800,080
Net assets:
Beginning of period		—
End of period	$	15,800,080

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)

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

	Period from September 16, 2005 through February 28, 2006
Net asset value, beginning of period	$	14.43
Income (loss) from investment operations:
Net investment income (loss)^†		0.10
Net realized and unrealized gain (loss)		0.36
Total from investment operations		0.46
Net asset value, end of period	$	14.89
Total Return^(a)		3.19	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	115
Net expenses to average daily net assets		0.58	%^*
Net investment income to average daily net assets		1.59	%^*
Portfolio turnover rate		36	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		1.35	%^*

(a) The total return would have been lower had certain expenses not been reimbursed during the periods shown.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)

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

	Period from September 16, 2005 through February 28, 2006
Net asset value, beginning of period	$	14.46
Income (loss) from investment operations:
Net investment income (loss)^†		0.11
Net realized and unrealized gain (loss)		0.35
Total from investment operations		0.46
Net asset value, end of period	$	14.92
Total Return^(a)		3.18	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	15,444
Net expenses to average daily net assets		0.51	%^*
Net investment income to average daily net assets		1.66	%^*
Portfolio turnover rate		36	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		1.35	%^*

(a) The total return would have been lower had certain expenses not been reimbursed during the periods shown.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)

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

	Period from September 16, 2005 through February 28, 2006
Net asset value, beginning of period	$	14.43
Income (loss) from investment operations:
Net investment income (loss)^†		0.09
Net realized and unrealized gain (loss)		0.35
Total from investment operations		0.44
Net asset value, end of period	$	14.87
Total Return^(a)		3.05	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	242
Net expenses to average daily net assets		0.81	%^*
Net investment income to average daily net assets		1.32	%^*
Portfolio turnover rate		36	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		1.35	%^*

(a) The total return would have been lower had certain expenses not been reimbursed during the periods shown.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO U.S. Core Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO U.S. Core Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. 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 a series of shares into classes.

The Fund seeks high total return through investment in U.S. equity securities. The Fund's benchmark is the S&P 500 Index.

On September 16, 2005, shareholders of the Fund holding 99.7% of the Fund's then outstanding shares requested redemption of their shares. On the same day, the Fund transferred assets and liabilities (representing on a net basis 97.7% of the Fund's net assets) to GMO U.S. Core Equity Fund, a newly organized fund, with investment objectives similar to the Fund's, in consideration for newly issued shares of GMO U.S. Core Equity Fund. The Fund then honored the redemption requests by distributing to redeeming shareholders shares of equal value in the GMO U.S Core Equity Fund. The preceding events are hereafter referred to as (the "Redemption Transaction"). Because for tax and accounting purposes the GMO U.S. Core Equity Fund is treated as a continuation of the Fund's prior operations, for accounting and tax purposes the Fund itself is deemed to have commenced operations on the date of the Redemption Transaction. On the date of the Redemption Transaction, the shareholders who opted not to redeem from the Fund were deemed to have contributed securities in-kind to the Fund with an accounting and tax basis equal to fair market value. Therefore, the Statement of Operations, Statement of Changes in Net Assets and Financial Highlights are shown for the period from September 16, 2005 through February 28, 2006.

Throughout the period from September 16, 2005 through February 28, 2006, the Fund had three classes of shares outstanding: Class II, Class III and Class M. Class M shares carry an administration fee and a 12b-1 fee, while Class II and Class III shares carry a shareholder service fee (See Note 3). The principal economic difference among the classes of shares was the type and level of fees borne by the classes.

2. Significant accounting policies

GMO U.S. Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Portfolio valuation

Futures contracts

Swap agreements

GMO U.S. Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian in accordance with the terms of the swap agreement. The Fund earns interest on cash set aside as collateral.

Repurchase agreements

Securities lending

GMO U.S. Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Taxes

Prior to the close of business on September 16, 2005, the Fund qualified as a regulated investment company. Subsequent to the Redemption Transaction, all Fund tax attributes relating to the time periods prior to September 16, 2005 transferred to GMO U.S. Core Equity Fund. After the close of business on September 16, 2005, the Fund elected to be treated as a partnership for federal income tax purposes. As a partnership, the Fund will not be subject to federal and state income tax. Instead, each shareholder is responsible for the tax liability or benefit related to his/her allocable share of taxable income or loss. Accordingly, no provision (benefit) for federal or state income taxes is reflected in the accompanying financial statements.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	15,354,392			$	904,782			$	(463,655	)		$	441,127

Security transactions and related investment income

Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, or when the Fund is informed of the ex-dividend date, if later. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Non-cash dividends, if any, are recorded at the fair market value of the securities received. 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 cost of securities is determined on the identified cost basis.

Allocation of operating activity

The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, 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 pro rata 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.

GMO U.S. Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

3. Fees and other transactions with affiliates

Class M shares of the Fund pay GMO an administration fee monthly at the annual rate of 0.20% of the average daily Class M net assets for support services provided to Class M shareholders.

Fund Distributors, Inc. (the "Distributor") serves as the Fund's distributor. Pursuant to a Rule 12b-1 distribution and service plan adopted by the Fund, Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily Class M net assets for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or the provision of certain other services incidental thereto. The Trustees currently limit payments on Class M shares to 0.25% of the Fund's average daily net asset value attributable to its Class M shares. This fee may be spent by the Distributor on personal services rendered to Class M shareholders of the Fund and/or maintenance of Class M shareholder accounts.

GMO has entered into a binding agreement effective until at least May 31, 2006 to reimburse the Fund to the extent that the Fund's total annual operating expenses (excluding shareholder service fees (Class II, Class III, Class IV and Class VI only), administration fees (Class M only), 12b-1 fees (Class M only), fees and expenses of the Chief Compliance Officer ("CCO") and independent Trustees (including legal fees), brokerage commissions and other investment-related costs, hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes), securities lending fees and expenses, interest expense and transfer taxes) exceed 0.33% of the average daily net assets.

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the period ended February 28, 2006 was $4,329 and $90, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended February 28, 2006 aggregated $20,343,733 and $5,441,434, respectively.

5. Guarantees

GMO U.S. Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

made against the Fund that have not yet occurred. Based on experience, management is of the view that the risk of loss in connection with these potential indemnification obligations is remote; however, there can be no assurance that material liabilities related to such obligations will not arise in the future that could adversely impact the Fund.

6. Principal shareholder and related party

As of February 28, 2006, 88.0% of the outstanding shares of the Fund were held by one shareholder. Investment activities of this shareholder may have a material effect on the Fund.

As of February 28, 2006, 0.1% of the Fund's shares were held by GMO.

7. Share transactions

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

	Period from September 16, 2005 through February 28, 2006
Class II:	Shares			Amount
Shares issued for in-kind transaction		7,702		$	111,106
Net increase (decrease)		7,702		$	111,106
	Period from September 16, 2005 through February 28, 2006
Class III:	Shares			Amount
Shares issued for in-kind transaction		1,035,197		$	14,964,600
Net increase (decrease)		1,035,197		$	14,964,600
	Period from September 16, 2005 through February 28, 2006
Class M:	Shares			Amount
Shares issued for in-kind transaction		27,185		$	392,258
Shares repurchased		(10,935	)		(155,956	)
Net increase (decrease)		16,250		$	236,302

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO U.S. Core Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO U.S. Core Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the period from September 16, 2005 to February 28, 2006, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

As described in Note 1 to the financial statements, GMO U.S. Core Equity Fund was the successor to the Fund for accounting purposes for all periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO U.S. Core Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the period ended February 28, 2006.

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 and/or service (12b-1) 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, September 16, 2005 through February 28, 2006.

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 $5,000,000 account value divided by $1,000 = 5,000), 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.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class II
1) Actual		0.58	%	$	1,000.00	$	1,031.90	$	2.66
2) Hypothetical		0.58	%	$	1,000.00	$	1,019.98	$	2.65
Class III
1) Actual		0.51	%	$	1,000.00	$	1,031.80	$	2.34
2) Hypothetical		0.51	%	$	1,000.00	$	1,020.30	$	2.33
Class M
1) Actual		0.81	%	$	1,000.00	$	1,030.50	$	3.72
2) Hypothetical		0.81	%	$	1,000.00	$	1,018.94	$	3.70

* Expenses are calculated using each Class's annualized net expense ratio for the period ended February 28, 2006, multiplied by the average account value over the period, multiplied by 165 days in the period, divided by 365 days in the year.

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO U.S. Core Equity Fund returned +5.6% for the fiscal year ended February 28, 2006, as compared to +8.4% for the S&P 500. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in U.S. equity securities throughout the period.

Sector selection detracted from the portfolio's relative performance for the fiscal year. Underweight positions in manufacturing, services, and food & beverage provided the bulk of positive performance. Meanwhile, an overweight position in automotive proved costly.

The portfolio's underperformance for the period is primarily attributed to stock selection, and, more specifically, picks made among technology issues. Some positive performance came from selections made in health care and retail store securities.

For the year, the portfolio's valuation stock selection strategies detracted from overall performance, while price momentum provided a positive impact for the period.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Performance for different classes will vary due to different fees. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† The Fund is the successor to the GMO U.S. Core Fund, therefore, performance for the periods prior to September 16, 2005 is that of GMO U.S. Core Fund.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.9	%
Short-Term Investment(s)		11.0
Futures		0.0
Other		(6.9	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		23.0	%
Financial		15.7
Technology		14.7
Retail Stores		13.9
Utility		8.9
Consumer Goods		5.9
Oil & Gas		5.3
Services		2.9
Construction		2.7
Food & Beverage		2.6
Automotive		1.8
Machinery		1.1
Transportation		1.1
Manufacturing		0.3
Primary Process Industry		0.1
		100.0	%

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 95.9%
		Automotive — 1.7%
	3,850,011	Ford Motor Co. ^(a)		30,684,588
	219,416	General Motors Corp. ^(a)		4,456,339
	756,500	Harley-Davidson, Inc. ^(a)		39,723,815
	331,345	Johnson Controls, Inc.		23,614,958
	212,103	Lear Corp. ^(a)		4,424,469
	53,800	Paccar, Inc.		3,759,006
				106,663,175
		Construction — 2.5%
	400,700	Centex Corp.		27,091,327
	963,037	D.R. Horton, Inc. ^(a)		32,849,192
	62,300	Fluor Corp. ^(a)		5,376,490
	407,000	KB Home ^(a)		27,281,210
	504,400	Lennar Corp.-Class A ^(a)		30,193,384
	5,700	NVR, Inc. ^{* (a)}		4,292,100
	783,500	Pulte Homes, Inc. ^(a)		30,094,235
	44,100	Ryland Group, Inc. ^(a)		3,075,975
				160,253,913
		Consumer Goods — 5.6%
	2,906,300	Altria Group, Inc.		208,962,970
	68,700	Black & Decker Corp.		5,879,346
	224,200	Colgate-Palmolive Co.		12,214,416
	1,114,849	Eastman Kodak Co. ^(a)		31,271,514
	258,600	Jones Apparel Group, Inc.		7,478,712
	471,400	Liz Claiborne, Inc. ^(a)		16,984,542
	398,400	Mattel Co.		6,713,040
	350,100	Mohawk Industries, Inc. ^*		30,287,151
	103,700	Newell Rubbermaid, Inc. ^(a)		2,579,019
	365,300	Whirlpool Corp.		32,800,287
				355,170,997

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)
February 28, 2006

Shares		Description	Value ($)
		Financial — 15.1%
	1,291,500	Aflac, Inc.		59,731,875
	87,300	Allstate Corp. (The) ^(a)		4,782,294
	428,300	AMBAC Financial Group, Inc.		32,186,745
	1,044,400	American International Group, Inc.		69,306,384
	368,300	AON Corp. ^(a)		14,588,363
	1,024,877	Bank of America Corp.		46,990,611
	88,100	BB&T Corp.		3,482,593
	2,527,500	Charles Schwab Corp. (The)		40,970,775
	185,700	Chubb Corp.		17,780,775
	862,900	Citigroup, Inc.		40,012,673
	129,500	Comerica, Inc.		7,422,940
	107,900	ETrade Financial Corp. ^		2,760,082
	148,500	Equifax, Inc.		5,441,040
	2,227,254	Fannie Mae ^(a)		121,786,249
	656,120	Fidelity National Financial, Inc.		24,775,091
	2,300	First Horizon National Corp.		89,953
	252,300	Franklin Resources, Inc.		25,906,164
	321,700	Freddie Mac		21,679,363
	98,300	Goldman Sachs Group, Inc.		13,888,807
	76,800	Hartford Financial Services Group, Inc.		6,326,784
	138,400	Legg Mason, Inc.		18,073,656
	334,900	Lehman Brothers Holdings, Inc.		48,878,655
	199,900	Lincoln National Corp. ^(a)		11,348,323
	130,900	Loews Corp.		12,076,834
	273,200	Marsh & McLennan Cos., Inc. ^(a)		8,444,612
	41,650	MBIA, Inc. ^(a)		2,446,521
	234,500	Metlife, Inc. ^(a)		11,753,140
	373,000	MGIC Investment Corp.		23,778,750
	714,600	National City Corp. ^(a)		24,868,080
	335,500	Old Republic International Corp.		7,142,795
	326,800	PMI Group (The), Inc. ^(a)		14,150,440
	63,900	PNC Financial Services Group, Inc.		4,495,365
	49,800	Principal Financial Group		2,426,256
	226,300	Progressive Corp. (The) ^(a)		24,315,935

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)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	248,800	Prudential Financial, Inc. ^(a)		19,167,552
	216,000	Radian Group, Inc.		12,258,000
	548,600	St. Paul Travelers Cos. (The), Inc. ^(a)		23,578,828
	206,700	State Street Corp. ^(a)		12,914,616
	360,400	TD Ameritrade Holding Corp.		7,842,304
	324,300	Torchmark Corp.		17,729,481
	988,000	UnumProvident Corp. ^(a)		20,441,720
	1,455,604	Washington Mutual, Inc. ^(a)		62,154,291
				950,195,715
		Food & Beverage — 2.5%
	509,200	Archer-Daniels-Midland Co.		16,151,824
	1,878,500	Coca-Cola Co. (The)		78,840,645
	218,600	Dean Foods Co. ^*		8,190,942
	160,500	General Mills Co.		7,904,625
	286,800	PepsiCo, Inc.		16,952,748
	1,040,600	Sara Lee Corp.		18,387,402
	758,100	Tyson Foods, Inc.-Class A		10,257,093
				156,685,279
		Health Care — 22.1%
	886,900	Abbott Laboratories		39,183,242
	796,444	Aetna, Inc.		40,618,644
	73,000	Allergan, Inc.		7,902,980
	832,600	AmerisourceBergen Corp.		38,291,274
	64,500	Amgen, Inc. ^*		4,869,105
	1,323,352	Bristol-Myers Squibb Co. ^(a)		30,569,431
	429,500	Cardinal Health, Inc.		31,181,700
	301,300	Cigna Corp.		36,984,575
	42,300	Coventry Health Care, Inc. ^*		2,521,926
	8,300	DENTSPLY International, Inc.		473,017
	527,800	Express Scripts, Inc. ^*		46,061,106
	624,600	Forest Laboratories, Inc. ^{* (a)}		28,669,140
	396,700	Genentech, Inc. ^*		33,993,223

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)
February 28, 2006

Shares		Description	Value ($)
		Health Care — continued
	449,700	HCA, Inc.		21,540,630
	204,100	Health Net, Inc. ^*		9,786,595
	268,500	Humana, Inc. ^*		13,873,395
	3,055,900	Johnson & Johnson		176,172,635
	153,100	King Pharmaceuticals, Inc. ^*		2,487,875
	385,166	Lincare Holdings, Inc. ^*		15,753,289
	1,486,300	McKesson Corp.		80,453,419
	294,800	Medco Health Solutions, Inc. ^*		16,426,256
	404,500	Medtronic, Inc.		21,822,775
	3,992,100	Merck & Co., Inc.		139,164,606
	9,643,580	Pfizer, Inc.		252,565,360
	664,800	Tenet Healthcare Corp. ^*		5,245,272
	3,715,102	UnitedHealth Group, Inc.		216,330,390
	384,722	WellPoint, Inc. ^{* (a)}		29,542,802
	943,100	Wyeth		46,966,380
				1,389,451,042
		Machinery — 1.0%
	101,100	Baker Hughes, Inc.		6,871,767
	745,600	Caterpillar, Inc. ^(a)		54,488,448
	72,200	Halliburton Co.		4,909,600
				66,269,815
		Manufacturing — 0.3%
	27,200	Illinois Tool Works, Inc.		2,334,848
	125,400	ITT Industries, Inc.		6,583,500
	205,900	United Technologies Corp.		12,045,150
				20,963,498
		Oil & Gas — 5.1%
	22,100	Amerada Hess Corp. ^(a)		3,056,651
	197,200	Anadarko Petroleum Corp.		19,554,352
	284,700	Apache Corp. ^(a)		19,052,124
	419,696	Burlington Resources, Inc. ^(a)		37,848,185

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)
February 28, 2006

Shares		Description	Value ($)
		Oil & Gas — continued
	1,207,600	ConocoPhillips ^(a)		73,615,296
	331,200	Devon Energy Corp.		19,418,256
	19,900	EOG Resources, Inc. ^(a)		1,341,260
	997,200	Exxon Mobil Corp.		59,203,764
	236,100	Marathon Oil Corp.		16,668,660
	530,100	Occidental Petroleum Corp.		48,525,354
	197,600	Patterson-UTI Energy, Inc.		5,443,880
	196,200	Sunoco, Inc. ^(a)		14,538,420
				318,266,202
		Primary Process Industry — 0.1%
	102,500	Air Products & Chemicals, Inc.		6,576,400
		Retail Stores — 13.3%
	70,200	Abercrombie & Fitch Co.-Class A		4,725,864
	172,900	Advance Auto Parts ^*		7,149,415
	668,821	Albertson's, Inc. ^(a)		17,014,806
	473,800	Autonation, Inc. ^{* (a)}		9,907,158
	74,000	Autozone, Inc. ^*		7,154,320
	927,100	Bed Bath & Beyond, Inc. ^*		33,412,684
	325,700	Chico's FAS, Inc. ^{* (a)}		15,324,185
	105,200	Costco Wholesale Corp.		5,394,656
	270,500	CVS Corp.		7,663,265
	466,500	Dollar General Corp.		8,126,430
	317,200	Federated Department Stores, Inc.		22,533,888
	5,353,604	Home Depot, Inc. ^(a)		225,654,409
	1,997,100	Kroger Co. ^{* (a)}		40,021,884
	2,227,800	Lowe's Cos., Inc. ^(a)		151,891,404
	381,200	Nordstrom, Inc.		14,485,600
	453,200	Office Depot, Inc. ^*		16,170,176
	290,000	Ross Stores, Inc.		8,212,800
	1,642,900	Safeway, Inc. ^(a)		39,938,899
	280,400	Supervalu, Inc.		8,860,640
	68,800	Target Corp. ^(a)		3,742,720

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)
February 28, 2006

Shares		Description	Value ($)
		Retail Stores — continued
	139,600	Tiffany & Co. ^(a)		5,183,348
	706,836	TJX Cos., Inc.		17,310,414
	1,791,600	Walgreen Co.		80,371,176
	1,858,200	Wal-Mart Stores, Inc. ^(a)		84,287,952
	32,800	Whole Foods Market, Inc. ^(a)		2,095,264
				836,633,357
		Services — 2.8%
	487,500	Darden Restaurants, Inc.		20,445,750
	208,500	Gannett Co., Inc. ^(a)		12,960,360
	382,100	Interpublic Group of Cos., Inc. ^{* (a)}		3,958,556
	451,000	Marriott International, Inc.-Class A		30,848,400
	266,300	McDonald's Corp.		9,296,533
	341,100	MGM Mirage ^{* (a)}		12,610,467
	107,900	Moody's Corp.		7,229,300
	285,500	Omnicom Group ^(a)		22,788,610
	492,900	Sysco Corp.		14,831,361
	325,500	Wendy's International, Inc.		18,846,450
	453,900	Yum! Brands, Inc.		21,651,030
				175,466,817
		Technology — 14.1%
	797,000	Adobe Systems, Inc.		30,780,140
	216,200	Affiliated Computer Services, Inc.-Class A ^{* (a)}		13,603,304
	289,300	Agilent Technologies, Inc. ^*		10,414,800
	382,200	American Power Conversion Corp.		7,808,346
	96,000	Applera Corp.-Applied Biosystems Group		2,713,920
	109,260	Autodesk, Inc.		4,113,639
	165,900	Boeing Co.		12,059,271
	132,900	Broadcom Corp.-Class A ^*		5,992,461
	77,700	Citrix Systems, Inc. ^*		2,514,372
	1,188,100	Corning, Inc. ^{* (a)}		29,001,521
	3,566,200	Dell, Inc. ^{* (a)}		103,419,800
	128,600	Diebold, Inc.		5,144,000

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)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	43,300	DST Systems, Inc. ^{* (a)}		2,434,759
	1,253,400	EMC Corp. ^*		17,572,668
	63,000	Emerson Electric Co.		5,154,030
	1,176,900	First Data Corp.		53,113,497
	94,800	General Dynamics Corp.		11,685,996
	108,900	Goodrich Corp.		4,556,376
	59,600	Google, Inc.-Class A ^*		21,612,152
	26,000	Harris Corp.		1,187,680
	5,048,100	Hewlett-Packard Co.		165,628,161
	7,205,800	Intel Corp.		148,439,480
	190,800	Intuit, Inc. ^*		9,269,064
	167,300	Jabil Circuit, Inc. ^*		6,332,305
	179,700	Lexmark International, Inc. ^*		8,462,073
	498,600	Lockheed Martin Corp.		36,332,982
	64,300	Microchip Technology, Inc.		2,263,360
	1,359,100	Motorola, Inc.		29,084,740
	145,300	National Semiconductor Corp.		4,075,665
	39,900	Northrop Grumman Corp.		2,557,590
	216,400	Nvidia Corp. ^*		10,198,932
	61,600	Paychex, Inc.		2,467,080
	271,300	Qualcomm, Inc.		12,808,073
	274,400	Rockwell Automation, Inc. ^(a)		18,705,848
	125,400	Rockwell Collins, Inc.		6,665,010
	2,288,900	Texas Instruments, Inc.		68,323,665
	128,000	W.W. Grainger, Inc.		9,477,120
				885,973,880
		Transportation — 1.1%
	508,395	Burlington Northern Santa Fe Corp.		39,980,183
	135,500	C.H. Robinson Worldwide, Inc.		6,073,110
	25,300	JB Hunt Transport Services, Inc. ^(a)		598,598
	259,100	Union Pacific Corp.		22,943,305
				69,595,196

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)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		Utility — 8.6%
	427,100	AES Corp. (The) ^*		7,388,830
	208,600	Alltel Corp.		13,173,090
	382,600	American Electric Power Co., Inc.		13,964,900
	5,320,522	AT&T, Inc.		146,793,202
	1,454,200	BellSouth Corp. ^(a)		45,923,636
	532,400	Centerpoint Energy, Inc. ^(a)		6,905,228
	261,200	Constellation Energy Group, Inc.		15,342,888
	190,700	Duke Energy Corp. ^(a)		5,415,880
	263,400	Edison International		11,684,424
	551,200	El Paso Corp.		7,209,696
	124,400	Entergy Corp.		9,020,244
	518,900	Exelon Corp. ^(a)		29,634,379
	220,200	FirstEnergy Corp.		11,247,816
	208,300	FPL Group, Inc.		8,734,019
	266,400	Kinder Morgan, Inc.		24,716,592
	273,800	Nextel Partners, Inc.-Class A ^*		7,682,828
	104,300	Public Service Enterprise Group, Inc.		7,237,377
	126,900	Questar Corp.		9,295,425
	161,000	TXU Corp.		8,434,790
	4,409,522	Verizon Communications, Inc.		148,600,891
				538,406,135
		TOTAL COMMON STOCKS (COST $5,623,344,465)		6,036,571,421
		SHORT-TERM INVESTMENT(S) — 11.0%
	15,749,520	American Beacon Money Market Select Fund ^(b)		15,749,520
	51,185,939	BGI Institutional Money Market Fund ^(b)		51,185,939
	23,624,280	Fortis Bank Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.53%, due 03/23/06 ^(b)		23,624,280
	78,747,598	Goldman Sachs Group Inc. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $78,757,666 and an effective yield of 4.60%, collateralized by various corporate debt obligations with an aggregate market value of $80,322,550. ^(b)		78,747,598

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)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENT(S) — continued
	70,872,838	Merrill Lynch & Co. Tri Party Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $70,881,801 and an effective yield of 4.55%, collateralized by various U.S. government obligations with an aggregate market value of $72,705,796. ^(b)		70,872,838
	15,749,520	Merrimac Cash Series-Premium Class ^(b)		15,749,520
	57,426,078	Morgan Stanley & Co. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $57,433,340 and an effective yield of 4.55%, collateralized by various U.S. government obligations with an aggregate market value of $58,574,944. ^(b)		57,426,078
	47,248,559	National Australia Bank Eurodollar Overnight Time Deposit, 4.56%, due 03/01/06 ^(b)		47,248,559
	31,499,039	Rabobank Nederland Eurodollar Overnight Time Deposit, 4.52%, due 03/01/06 ^(b)		31,499,039
	23,624,280	Royal Bank of Scotland Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.55%, due 03/31/06 ^(b)		23,624,280
	48,413,098	Svenska Handlesbanken Eurodollar Overnight Time Deposit, 4.57%, due 03/01/06 ^(b)		48,413,098
	19,000,000	U.S. Treasury Bill, 3.81%, due 03/23/06 ^{(c) (d)}		18,957,048
	207,176,082	Citigroup Global Markets Repurchase Agreement, dated 02/28/06, due 03/1/06, with a maturity value of $207,193,404 and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity date of 02/15/36, and a market value, including accrued interest of $211,319,604.		207,176,082
		TOTAL SHORT-TERM INVESTMENT(S) (COST $690,273,879)		690,273,879
		TOTAL INVESTMENTS — 106.9% (Cost $6,313,618,344)		6,726,845,300
		Other Assets and Liabilities (net) — (6.9%)		(434,755,413	)
		TOTAL NET ASSETS — 100.0%	$	6,292,089,887

See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2006

A summary of outstanding financial instruments at February 28, 2006 is as follows:

Futures Contracts

Number of
Contracts

Type

Expiration Date

Contract
Value

Net Unrealized
Appreciation
(Depreciation)

Buys

402

S&P 500

March 2006

128,881,200

1,306,316

As of February 28, 2006, the Fund had sufficient cash and/or securities to cover any commitments on margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) All or a portion of this security represents investment of security lending collateral (Note 2).

(d) All or a portion of this security has been segregated to cover margin requirements on open financial futures contracts (Note 2).

See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value, including securities on loan of $444,870,091 (cost $6,313,618,344) (Note 2)	$	6,726,845,300
Receivable for Fund shares sold		27,778,570
Dividends and interest receivable		8,251,691
Receivable for expenses reimbursed by Manager (Note 3)		99,540
Total assets		6,762,975,101
Liabilities:
Collateral on securities loaned (Note 2)		464,140,749
Payable for Fund shares repurchased		3,178,284
Payable to affiliate for (Note 3):
Management fee		1,486,194
Shareholder service fee		490,627
Administration fee – Class M		24,177
Trustees and Chief Compliance Officer fees		12,522
Payable for 12b-1 fee – Class M		64,024
Payable for variation margin on open futures contracts (Note 2)		1,165,799
Accrued expenses		322,838
Total liabilities		470,885,214
Net assets	$	6,292,089,887
Net assets consist of:
Paid-in capital	$	5,888,865,348
Accumulated undistributed net investment income		18,019,090
Distributions in excess of net realized gain		(29,327,823	)
Net unrealized appreciation		414,533,272
	$	6,292,089,887
Net assets attributable to:
Class III shares	$	2,841,958,615
Class IV shares	$	749,822,316
Class VI shares	$	2,543,300,359
Class M shares	$	157,008,597
Shares outstanding:
Class III		196,050,621
Class IV		51,799,458
Class VI		175,716,126
Class M		10,848,567
Net asset value per share:
Class III	$	14.50
Class IV	$	14.48
Class VI	$	14.47
Class M	$	14.47

See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Statement of Operations — Year Ended February 28, 2006

Investment Income:
Dividends	$	118,239,605
Interest (including securities lending income of $519,357)		5,881,596
Total investment income		124,121,201
Expenses:
Management fee (Note 3)		18,337,579
Shareholder service fee – Class II (Note 3)		839,966
Shareholder service fee – Class III (Note 3)		3,394,588
Shareholder service fee – Class IV (Note 3)		815,028
Shareholder service fee – Class VI (Note 3)		1,166,987
12b-1 fee – Class M (Note 3)		408,671
Administration fee – Class M (Note 3)		326,560
Custodian, fund accounting agent and transfer agent fees		699,170
Audit and tax fees		85,602
Legal fees		109,390
Trustees fees and related expenses (Note 3)		249,619
Registration fees		155,840
Miscellaneous		122,827
Total expenses		26,711,827
Fees and expenses reimbursed by Manager (Note 3)		(1,233,888	)
Net expenses		25,477,939
Net investment income (loss)		98,643,262
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		258,164,814
Closed futures contracts		1,805,456
Net realized gain (loss)		259,970,270
Change in net unrealized appreciation (depreciation) on:
Investments		(26,193,971	)
Open futures contracts		(876,404	)
Net unrealized gain (loss)		(27,070,375	)
Net realized and unrealized gain (loss)		232,899,895
Net increase (decrease) in net assets resulting from operations	$	331,543,157

See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Year Ended February 28, 2006			Year Ended February 28, 2005
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	98,643,262		$	62,961,957
Net realized gain (loss)		259,970,270			283,977,706
Change in net unrealized appreciation (depreciation)		(27,070,375	)		(18,491,670	)
Net increase (decrease) in net assets from operations		331,543,157			328,447,993
Distributions to shareholders from:
Net investment income
Class II		(6,329,602	)		(6,997,550	)
Class III		(37,696,193	)		(19,566,902	)
Class IV		(13,845,669	)		(10,706,945	)
Class V		—			(6,305,647	)
Class VI		(37,270,977	)		(12,149,661	)
Class M		(2,290,730	)		(1,629,697	)
Total distributions from net investment income		(97,433,171	)		(57,356,402	)
Net realized gains
Class III		(61,452,066	)		—
Class IV		(19,494,901	)		—
Class VI		(51,739,754	)		—
Class M		(3,533,452	)		—
Total distributions from net realized gains		(136,220,173	)		—
		(233,653,344	)		(57,356,402	)
Net share transactions (Note 7):
Class II		(696,960,624	)		102,119,316
Class III		1,061,910,529			134,256,887
Class IV		(118,000,063	)		114,384,885
Class V		—			(468,952,049	)
Class VI		750,247,751			1,129,769,693
Class M		(16,685,159	)		19,795,237
Increase (decrease) in net assets resulting from net share transactions		980,512,434			1,031,373,969
Total increase (decrease) in net assets		1,078,402,247			1,302,465,560
Net assets:
Beginning of period		5,213,687,640			3,911,222,080
End of period (including accumulated undistributed net investment income of $18,019,090 and $17,341,142, respectively)	$	6,292,089,887		$	5,213,687,640

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)

	Year Ended February 28/29,
	2006			2005			2004			2003			2002
Net asset value, beginning of period	$	14.28		$	13.54		$	9.98		$	12.90		$	13.95
Income (loss) from investment operations:
Net investment income (loss)^†		0.24			0.19			0.16			0.15			0.18
Net realized and unrealized gain (loss)		0.54			0.73			3.56			(2.92	)		(1.05	)
Total from investment operations		0.78			0.92			3.72			(2.77	)		(0.87	)
Less distributions to shareholders:
From net investment income		(0.24	)		(0.18	)		(0.16	)		(0.15	)		(0.17	)
From net realized gains		(0.32	)		—			—			—			(0.01	)
Total distributions		(0.56	)		(0.18	)		(0.16	)		(0.15	)		(0.18	)
Net asset value, end of period	$	14.50		$	14.28		$	13.54		$	9.98		$	12.90
Total Return^(a)		5.60	%		6.89	%		37.50	%		(21.59	)%		(6.23	)%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,841,959		$	1,739,392		$	1,517,458		$	1,141,725		$	1,321,634
Net expenses to average daily net assets		0.47	%		0.48	%		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.69	%		1.46	%		1.32	%		1.34	%		1.33	%
Portfolio turnover rate		65	%		65	%		57	%		74	%		69	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.03	%		0.03	%		0.02	%

† Calculated using average shares outstanding throughout the period.

(a) The total returns would have been lower had certain expenses not been reimbursed during the periods shown.

See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2006			2005			2004			2003			2002
Net asset value, beginning of period	$	14.26		$	13.52		$	9.97		$	12.89		$	13.94
Income (loss) from investment operations:
Net investment income (loss)^†		0.25			0.20			0.16			0.16			0.18
Net realized and unrealized gain (loss)		0.54			0.73			3.55			(2.92	)		(1.04	)
Total from investment operations		0.79			0.93			3.71			(2.76	)		(0.86	)
Less distributions to shareholders:
From net investment income		(0.25	)		(0.19	)		(0.16	)		(0.16	)		(0.18	)
From net realized gains		(0.32	)		—			—			—			(0.01	)
Total distributions		(0.57	)		(0.19	)		(0.16	)		(0.16	)		(0.19	)
Net asset value, end of period	$	14.48		$	14.26		$	13.52		$	9.97		$	12.89
Total Return^(a)		5.66	%		6.96	%		37.50	%		(21.55	)%		(6.20	)%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	749,822		$	866,206		$	709,525		$	463,254		$	744,813
Net expenses to average daily net assets		0.43	%		0.44	%		0.44	%		0.44	%		0.44	%
Net investment income to average daily net assets		1.76	%		1.49	%		1.36	%		1.39	%		1.36	%
Portfolio turnover rate		65	%		65	%		57	%		74	%		69	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.03	%		0.03	%		0.02	%

† Calculated using average shares outstanding throughout the period.

(a) The total returns would have been lower had certain expenses not been reimbursed during the periods shown.

See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2006			2005			2004^(a)
Net asset value, beginning of period	$	14.26		$	13.52		$	11.54
Income (loss) from investment operations:
Net investment income (loss)^†		0.25			0.21			0.10
Net realized and unrealized gain (loss)		0.54			0.72			2.01
Total from investment operations		0.79			0.93			2.11
Less distributions to shareholders:
From net investment income		(0.26	)		(0.19	)		(0.13	)
In excess of net investment income		(0.32	)		—			—
Total distributions		(0.58	)		(0.19	)		(0.13	)
Net asset value, end of period	$	14.47		$	14.26		$	13.52
Total Return^(b)		5.64	%		7.01	%		18.41	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,543,300		$	1,750,325		$	542,274
Net expenses to average daily net assets		0.38	%		0.39	%		0.39	%^*
Net investment income to average daily net assets		1.78	%		1.56	%		1.17	%^*
Portfolio turnover rate		65	%		65	%		57	%^***
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.03	%^*

(a) Period from June 30, 2003 (commencement of operations) through February 29, 2004.

(b) The total returns would have been lower had certain expenses not been reimbursed during the period shown.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

*** Calculation represents the portfolio turnover rate of the Fund for the year ended February 29, 2004.

See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2006			2005			2004			2003^(a)
Net asset value, beginning of period	$	14.26		$	13.52		$	9.96		$	12.89
Income (loss) from investment operations:
Net investment income (loss)^†		0.20			0.16			0.12			0.11
Net realized and unrealized gain (loss)		0.53			0.72			3.57			(2.94	)
Total from investment operations		0.73			0.88			3.69			(2.83	)
Less distributions to shareholders:
From net investment income		(0.20	)		(0.14	)		(0.13	)		(0.10	)
In excess of net investment income		(0.32	)		—			—			—
Total distributions		(0.52	)		(0.14	)		(0.13	)		(0.10	)
Net asset value, end of period	$	14.47		$	14.26		$	13.52		$	9.96
Total Return^(b)		5.22	%		6.61	%		37.23	%		(22.03	)%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	157,009		$	171,316		$	141,188		$	60,242
Net expenses to average daily net assets		0.77	%		0.78	%		0.78	%		0.78	%^*
Net investment income to average daily net assets		1.41	%		1.17	%		0.98	%		1.18	%^*
Portfolio turnover rate		65	%		65	%		57	%		74	%^***
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.03	%		0.03	%^*

(a) Period from April 15, 2002 (commencement of operations) through February 28, 2003.

(b) The total returns would have been lower had certain expenses not been reimbursed during the periods shown.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

*** Calculation represents portfolio turnover rate for the Fund for the year ended February 28, 2003.

See accompanying notes to the financial statements.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO U.S. Core Equity Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. 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 a series of shares into classes.

The Fund commenced operations following an in-kind purchase of shares by GMO U.S. Core Fund ("Predecessor Fund") effected as of the close of business on September 16, 2005 ("Purchase Date"). For tax purposes, this transaction met all requirements for a tax-free reorganization under the Internal Revenue Code, and consequently the Fund retained the Predecessor Fund's basis and holding period in each asset contributed in-kind. For accounting purposes, the Fund also recorded a cost for each in-kind asset contributed by the Predecessor Fund equal to such asset's historical cost. For tax and accounting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations. Therefore, the Statement of Operations is shown for the entire fiscal year ending February 28, 2006, the Statements of Changes in Net Assets are shown for the entire fiscal years ending February 28, 2006 and 2005, and the Financial Highlights are shown for each of the fiscal years ending February 28/29, 2006, 2005, 2004, 2003 and 2002.

The Fund seeks high total return through investment in U.S. equity securities. The Fund's benchmark is the S&P 500 Index.

As of February 28, 2006, the Fund had four classes of shares outstanding: Class III, Class IV, Class VI and Class M. All shareholders redeemed or exchanged out of Class II on September 16, 2005. Class M shares bear an administration fee and a 12b-1 fee, while Class III, Class IV and Class VI shares bear a shareholder service fee (See Note 3). The principal economic difference among the classes of shares is the type and level of fees borne by the classes. Eligibility for and automatic conversion among the various classes of shares, excluding Class M, is generally based on the total amount of assets invested in the Fund or with GMO, as more fully outlined in the Fund's prospectus.

2. Significant accounting policies

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Portfolio valuation

Futures contracts

The Fund may purchase and sell futures contracts. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon entering into a futures contract, the Fund is required to deposit, with the futures clearing broker, an amount of cash, U.S. government and agency obligations or other liquid assets in accordance with the initial margin requirements of the broker or exchange. In addition, the Fund maintains cash or securities in an amount that at least equals the net amount payable in the event the Fund must deliver the full amount of the contracts. Futures contracts are 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 liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Under certain 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. Losses may arise from changes in the value of the underlying instrument if the Fund is unable to liquidate a futures position due to an illiquid secondary market for the contracts or the imposition of price limits, or if counterparties do not perform under the contract terms. Futures contracts are generally valued at the settlement price established each day by the board of trade or exchange on which they are traded. See the Schedule of Investments for open futures contracts entered into by the Fund as of February 28, 2006.

Swap agreements

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Repurchase agreements

Securities lending

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

short-term securities and pays a fee to the borrower that normally represents a portion of the Fund's earnings on the collateral. As of February 28, 2006, the fund had loaned securities having a market value of $444,870,091 collateralized by cash in the amount of $464,140,749, which was invested in short-term instruments.

Taxes and distributions

Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. During the years ended February 28, 2006 and February 28, 2005, the tax character of distributions paid was as follows: ordinary income – $97,802,375 and $57,356,402, respectively and long-term capital gains – $135,850,969 and $0, respectively.

As of February 28, 2006, the components of distributable earnings on a tax basis consisted of $18,019,090 of undistributed ordinary income.

As of February 28, 2006, the Fund elected to defer to March 1, 2006 post-October capital losses of $10,053,867.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	6,331,585,984			$	617,007,905			$	(221,748,589	)		$	395,259,316

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Accumulated Undistributed Net Investment Income				Accumulated Net Realized Loss				Paid-in Capital
$	(532,143	)		$	3,775,965			$	(3,243,822	)

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

Security transactions and related investment income

Allocation of operating activity

3. Fees and other transactions with affiliates

Effective September 16, 2005, GMO earns a management fee paid monthly at the annual rate of 0.31% of the Fund's average daily net assets. Prior to September 16, 2005, GMO earned a management fee paid monthly at the annual rate of 0.33% of the Predecessor Fund's average daily net assets (See Note 1). 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 the average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.10% for Class IV shares (effective September 16, 2005), and 0.055% for Class VI shares. Prior to September 16, 2005, the shareholder service fee was 0.105% for Class IV shares. For the period March 1, 2005 through September 15, 2005, pursuant to the Shareholder Service plan, the shareholder service fee was calculated based on the average daily net assets of Class II shares at the annual rate of 0.22%.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Class M shares of the Fund pay GMO an administration fee monthly at the annual rate of 0.20% of the average daily Class M net assets for support services provided to Class M shareholders.

Effective September 16, 2005, GMO has entered into a binding agreement effective until at least June 30, 2006 to reimburse the Fund to the extent that the Fund's total annual operating expenses (excluding shareholder service fees (Class III, Class IV and Class VI only), administration fees (Class M only), 12b-1 fees (Class M only), fees and expenses of the Chief Compliance Officer ("CCO") and independent Trustees (including legal fees), brokerage commissions and other investment-related costs, hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes), securities lending fees and expenses, interest expense and transfer taxes) exceed 0.31% of average daily net assets. Prior to September 16, 2005, the rate was 0.33% of the Predecessor Fund's average daily net assets (and excluded shareholder service fees for Class II in addition to the above-mentioned expenses).

The Fund's portion of the fee paid by the Trust to the independent Trustees and CCO during the year ended February 28, 2006 was $130,633 and $36,515, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2006 aggregated $4,437,087,836 and $3,587,500,169, respectively.

5. Guarantees

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

6. Principal shareholders and related parties

As of February 28, 2006, 23.3% of the outstanding shares of the Fund were held by one shareholder. Investment activities of this shareholder may have a material effect on the Fund.

As of February 28, 2006, less than 0.1% of the Fund's shares were held by six related parties comprised of certain GMO employee accounts, and 51.9% of the Fund's shares were held by accounts for which the Manager has investment discretion.

7. Share transactions

	Year Ended February 28, 2006^*						Year Ended February 28, 2005
Class II:	Shares			Amount			Shares			Amount
Shares sold		4,192,972		$	58,208,238			14,517,114		$	196,443,065
Shares issued to shareholders in reinvestment of distributions		344,885			4,881,209			403,763			5,398,594
Shares repurchased		(52,690,350	)		(759,938,965	)		(7,644,780	)		(99,722,343	)
Redemption in Kind		(7,702	)		(111,106	)		—			—
Net increase (decrease)		(48,160,195	)	$	(696,960,624	)		7,276,097		$	102,119,316

* Effective September 16, 2005, all shareholders redeemed or exchange out of Class II.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

	Year Ended February 28, 2006						Year Ended February 28, 2005
Class III:	Shares			Amount			Shares			Amount
Shares sold		106,136,547		$	1,518,927,314			36,783,539		$	495,608,507
Shares issued to shareholders in reinvestment of distributions		6,478,842			91,687,691			1,206,667			16,146,675
Shares repurchased		(37,329,263	)		(533,739,876	)		(28,297,385	)		(377,498,295	)
Redemption in Kind		(1,035,197	)		(14,964,600	)		—			—
Net increase (decrease)		74,250,929		$	1,061,910,529			9,692,821		$	134,256,887
	Year Ended February 28, 2006						Year Ended February 28, 2005
Class IV:	Shares			Amount			Shares			Amount
Shares sold		25,446,957		$	369,642,534			18,178,855		$	246,916,299
Shares issued to shareholders in reinvestment of distributions		2,271,361			32,102,146			801,199			10,706,945
Shares repurchased		(36,653,149	)		(519,744,743	)		(10,730,981	)		(143,238,359	)
Net increase (decrease)		(8,934,831	)	$	(118,000,063	)		8,249,073		$	114,384,885
	Year Ended February 28, 2006						Year Ended February 28, 2005^**
Class V:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		—			—			472,290			6,305,647
Shares repurchased		—			—			(33,659,306	)		(475,257,696	)
Net increase (decrease)		—		$	—			(33,187,016	)	$	(468,952,049	)

** Effective February 11, 2005, all shareholders were fully redeemed.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

	Year Ended February 28, 2006						Year Ended February 28, 2005
Class VI:	Shares			Amount			Shares			Amount
Shares sold		49,679,584		$	704,266,353			82,266,483		$	1,125,139,100
Shares issued to shareholders in reinvestment of distributions		6,302,404			89,010,731			906,853			12,149,661
Shares repurchased		(3,004,479	)		(43,029,333	)		(558,401	)		(7,519,068	)
Net increase (decrease)		52,977,509		$	750,247,751			82,614,935		$	1,129,769,693
	Year Ended February 28, 2006						Year Ended February 28, 2005
Class M:	Shares			Amount			Shares			Amount
Shares sold		325,070		$	4,556,579			2,795,296		$	36,318,375
Shares issued to shareholders in reinvestment of distributions		412,026			5,824,182			121,966			1,629,697
Shares repurchased		(1,877,053	)		(26,673,662	)		(1,347,005	)		(18,152,835	)
Redemption in Kind		(27,185	)		(392,258	)		—			—
Net increase (decrease)		(1,167,142	)	$	(16,685,159	)		1,570,257		$	19,795,237

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO U.S. Core Equity Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO U.S. Core Equity Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

As described in Note 1 to the financial statements, the Fund is the successor to GMO U.S. Core Fund and includes the operations of GMO U.S. Core Fund for periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six months ended February 28, 2006.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 28, 2006 (Unaudited)

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.46	%	$	1,000.00	$	1,049.10	$	2.34
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.51	$	2.31
Class IV
1) Actual		0.41	%	$	1,000.00	$	1,049.50	$	2.08
2) Hypothetical		0.41	%	$	1,000.00	$	1,022.76	$	2.06
Class VI
1) Actual		0.37	%	$	1,000.00	$	1,049.00	$	1.88
2) Hypothetical		0.37	%	$	1,000.00	$	1,022.96	$	1.86
Class M
1) Actual		0.76	%	$	1,000.00	$	1,046.80	$	3.86
2) Hypothetical		0.76	%	$	1,000.00	$	1,021.03	$	3.81

* Expenses are calculated using each Class's annualized expense ratio for the six months ended February 28, 2006, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Tax Information (Unaudited) for the Tax Year Ended February 28, 2006

The Fund's distributions to shareholders include $135,850,969 from long-term capital gains.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2006 of $2,784,454 or if determined to be different, the qualified interest income of such year.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement
February 28, 2006 (Unaudited)

¹ For tax, accounting and performance reporting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

Trustees also took into account the sophistication of the investment techniques to be used to manage the Fund, and reviewed information provided by the Manager regarding fees paid by its separate account clients and non-proprietary mutual fund clients. 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 had, however, considered the Manager's profitability with respect to the Predecessor Fund in approving the continuance of the management contract for the Predecessor Fund, and they noted the management fee payable by the Fund would be lower than that paid by the Predecessor Fund. The Trustees did, moreover, consider both the actual dollar amount of fees to be paid by the Fund directly to the Manager and the so-called "fallout benefits" to the Manager such as the receipt of shareholder servicing fees pursuant to the Trust's servicing agreements, and reputational value to be derived from serving as investment manager to the Fund. The Trustees regarded the ability of the funds of the Trust to establish a public record of their performance also to be a fallout benefit to the Manager because of the opportunity that record creates for the Manager to increase assets under management by, for example, attracting new clients, expanding existing client relationships and becoming a subadviser under arrangements in which the funds of the Trust would be advised and distributed by an organization with strong retail sales capabilities. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the advisory fee to be charged to the Fund was reasonable.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO U.S. Intrinsic Value Fund returned +7.7% for the fiscal year ended February 28, 2006 as compared to +10.3% for the Russell 1000 Value Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in U.S. equity securities throughout the period.

Sector selection contributed to relative performance for the period. The portfolio's overweight positions in retail stores and healthcare, as well as an underweight in the services sector all contributed to relative performance for the period. An overweight position in the automotive sector proved costly.

The portfolio's underperformance for the fiscal year is primarily attributed to stock selection. The portfolio was hindered by selections among retail stores and technology issues, while some positive performance came from health care securities.

For the year, the portfolio's valuation stock selection strategies detracted from overall performance, while the momentum strategy provided a positive impact.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† The Fund is the successor to the GMO Intrinsic Value Fund, therefore, performance for the periods prior to September 16, 2005 is that of GMO Intrinsic Value Fund.

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.7	%
Short-Term Investment(s)		17.7
Rights and Warrants		0.0
Other		(16.4	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Financial		32.3	%
Health Care		14.2
Utility		11.5
Retail Stores		9.2
Technology		7.2
Oil & Gas		6.7
Consumer Goods		6.3
Construction		5.4
Automotive		3.0
Services		1.8
Food & Beverage		1.4
Transportation		0.5
Manufacturing		0.3
Machinery		0.1
Primary Process Industry		0.1
		100.0	%

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 98.7%
		Automotive — 2.9%
	1,600	American Axle & Manufacturing Holdings, Inc.		25,952
	2,600	ArvinMeritor, Inc. ^(a)		43,524
	98,454	Ford Motor Co. ^(a)		784,678
	30,382	General Motors Corp. ^(a)		617,058
	2,000	Goodyear Tire & Rubber Co. (The) ^{* (a)}		28,660
	5,100	Harley-Davidson, Inc. ^(a)		267,801
	10,400	Johnson Controls, Inc.		741,208
	14,700	Lear Corp.^(a)		306,642
				2,815,523
		Construction — 5.3%
	700	AMB Property Corp. REIT		37,555
	14,300	Annaly Mortgage Management, Inc. REIT ^(a)		168,025
	2,200	Archstone-Smith Trust REIT		104,280
	1,400	AvalonBay Communities, Inc. REIT		144,200
	4,200	Beazer Homes USA, Inc.		266,490
	500	BRE Properties, Inc.		27,185
	1,200	CBL & Associates Properties, Inc. REIT		51,120
	8,500	Centex Corp.		574,685
	20,233	D.R. Horton, Inc.		690,148
	5,900	Equity Office Properties Trust REIT		185,555
	6,600	Equity Residential REIT		298,848
	200	Essex Property Trust, Inc. REIT ^(a)		19,930
	400	Federal Realty Investment Trust		27,876
	800	Hovnanian Enterprises, Inc. ^*		36,888
	1,200	iStar Financial, Inc. REIT		45,720
	1,200	Jacobs Engineering Group, Inc. ^*		102,888
	5,700	KB Home		382,071
	8,000	Lennar Corp.-Class A ^(a)		478,880
	1,400	Martin Marietta Materials, Inc.		136,500
	3,931	MDC Holdings, Inc.		240,931
	9,200	Pulte Homes, Inc.		353,372

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)
February 28, 2006

Shares		Description	Value ($)
		Construction — continued
	600	Rayonier Inc. REIT		25,860
	5,000	Ryland Group, Inc. ^(a)		348,750
	5,900	Standard-Pacific Corp. ^(a)		193,815
	1,900	Thornburg Mortgage, Inc. REIT ^(a)		49,343
	1,300	USG Corp. ^*		109,824
				5,100,739
		Consumer Goods — 6.2%
	47,400	Altria Group, Inc.		3,408,060
	2,100	Columbia Sportswear Co. ^{* (a)}		105,756
	9,200	Eastman Kodak Co. ^(a)		258,060
	11,100	Jones Apparel Group, Inc.		321,012
	8,700	Liz Claiborne, Inc.		313,461
	5,700	Maytag Corp.		98,040
	7,500	Mohawk Industries, Inc. ^*		648,825
	500	Snap-On, Inc. ^(a)		19,460
	700	Timberland Co.-Class A ^*		24,535
	7,900	Whirlpool Corp.		709,341
				5,906,550
		Financial — 31.9%
	29,300	Aflac, Inc.		1,355,125
	9,300	AMBAC Financial Group, Inc.		698,895
	3,600	American Financial Group, Inc.		149,040
	22,600	American International Group, Inc.		1,499,736
	4,700	AmerUs Group Co.		283,175
	700	AmSouth Bancorp ^(a)		19,425
	6,700	AON Corp.		265,387
	2,000	Astoria Financial Corp.		57,340
	105,476	Bank of America Corp.		4,836,075
	5,300	BB&T Corp.		209,509
	1,680	Bear Stearns Cos. (The), Inc.		225,859
	4,500	Capital One Financial Corp.		394,200
	3,400	Chubb Corp.		325,550

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)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	48,700	Citigroup, Inc.		2,258,219
	7,400	Comerica, Inc.		424,168
	700	Commerce Group, Inc.		37,807
	5,700	Countrywide Financial Corp.		196,536
	2,800	ETrade Financial Corp. ^		71,624
	600	Erie Indemnity Co.-Class A		31,842
	44,800	Fannie Mae		2,449,664
	14,537	Fidelity National Financial, Inc.		548,917
	9,300	First American Corp.		392,088
	7,000	First Horizon National Corp.		273,770
	15,300	Freddie Mac		1,031,067
	600	Fremont General Corp. ^(a)		14,232
	700	GATX Corp.		27,790
	1,800	Goldman Sachs Group, Inc.		254,322
	900	Hanover Insurance Group (The), Inc.		43,605
	4,100	Hartford Financial Services Group, Inc.		337,758
	1,000	HCC Insurance Holdings, Inc. ^(a)		32,190
	1,400	IndyMac Bancorp, Inc.		54,348
	4,800	Jefferson Pilot Corp.		289,200
	34,480	JPMorgan Chase & Co.		1,418,507
	1,600	KeyCorp		59,632
	4,400	Lehman Brothers Holdings, Inc.		642,180
	6,800	Lincoln National Corp.		386,036
	3,500	Loews Corp.		322,910
	13,300	Marsh & McLennan Cos., Inc.		411,103
	2,000	MBIA, Inc. ^(a)		117,480
	5,200	Mellon Financial Corp.		187,668
	4,800	Merrill Lynch & Co., Inc.		370,608
	3,800	Metlife, Inc. ^(a)		190,456
	6,700	MGIC Investment Corp.		427,125
	4,400	Morgan Stanley		262,504
	37,072	National City Corp. ^(a)		1,290,106
	3,800	Nationwide Financial Services, Inc.-Class A		162,868
	400	Ohio Casualty Corp.		12,244

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)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	15,475	Old Republic International Corp.		329,463
	950	People's Bank		29,393
	6,500	PMI Group (The), Inc. ^(a)		281,450
	3,900	PNC Financial Services Group, Inc.		274,365
	2,400	Protective Life Corp.		117,000
	4,300	Prudential Financial, Inc.		331,272
	6,600	Radian Group, Inc.		374,550
	600	Raymond James Financial, Inc. ^(a)		25,788
	800	St. Paul Travelers Cos. (The), Inc.		34,384
	1,400	StanCorp Financial Group, Inc.		75,740
	3,300	State Street Corp.		206,184
	400	Student Loan Corp.		87,796
	600	Suntrust Banks, Inc.		43,422
	2,100	TD Ameritrade Holding Corp.		45,696
	800	TD Banknorth, Inc.		24,584
	11,300	Torchmark Corp.		617,771
	1,200	Trustmark Corp.		36,180
	35,100	UnumProvident Corp. ^(a)		726,219
	33,184	Washington Mutual, Inc.		1,416,957
	1,100	Webster Financial Corp.		51,865
				30,479,969
		Food & Beverage — 1.4%
	7,900	Archer-Daniels-Midland Co.		250,588
	400	Brown-Forman Corp.-Class B		28,144
	2,900	Dean Foods Co. ^*		108,663
	400	Flowers Foods, Inc.		11,000
	24,000	Sara Lee Corp.		424,080
	1,100	Smithfield Foods, Inc. ^*		29,073
	34,724	Tyson Foods, Inc.-Class A		469,816
				1,321,364
		Health Care — 14.0%
	6,200	Aetna, Inc.		316,200
	14,400	AmerisourceBergen Corp.		662,256

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)
February 28, 2006

Shares		Description	Value ($)
		Health Care — continued
	6,400	Bristol-Myers Squibb Co.		147,840
	13,700	Cardinal Health, Inc.		994,620
	100	Cigna Corp.		12,275
	4,700	Express Scripts, Inc. ^*		410,169
	900	Forest Laboratories, Inc. ^*		41,310
	2,200	Health Net, Inc. ^*		105,490
	200	King Pharmaceuticals, Inc. ^*		3,250
	700	Lincare Holdings, Inc. ^*		28,630
	19,500	McKesson Corp.		1,055,535
	1,500	Medco Health Solutions, Inc. ^*		83,580
	82,400	Merck & Co., Inc.		2,872,464
	166,800	Pfizer, Inc.		4,368,492
	39,100	UnitedHealth Group, Inc.		2,276,793
				13,378,904
		Machinery — 0.1%
	600	Flowserve Corp. ^*		30,840
	1,300	Oil States International, Inc. ^{* (a)}		44,889
				75,729
		Manufacturing — 0.3%
	300	Harsco Corp. ^(a)		23,934
	500	Reliance Steel & Aluminum Co.		41,195
	3,500	SPX Corp. ^(a)		172,375
	600	Trinity Industries, Inc.		31,800
				269,304
		Metals & Mining — 0.0%
	600	CONSOL Energy, Inc.		38,412
		Oil & Gas — 6.7%
	700	Amerada Hess Corp. ^(a)		96,817
	900	Anadarko Petroleum Corp.		89,244
	6,700	Apache Corp.		448,364

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)
February 28, 2006

Shares		Description	Value ($)
		Oil & Gas — continued
	1,100	Ashland, Inc.		71,797
	5,700	Burlington Resources, Inc.		514,026
	19,618	ConocoPhillips		1,195,913
	3,400	ENSCO International, Inc.		151,946
	25,800	Exxon Mobil Corp.		1,531,746
	3,100	Helmerich & Payne, Inc.		203,887
	600	Houston Exploration Co ^*		34,704
	6,000	Marathon Oil Corp.		423,600
	2,800	Murphy Oil Corp.		131,236
	5,700	Occidental Petroleum Corp.		521,778
	1,100	Pogo Producing Co.		54,846
	2,300	Sunoco, Inc. ^(a)		170,430
	3,100	Tesoro Corp.		187,271
	700	Unit Corp. ^*		37,219
	8,200	Valero Energy Corp.		441,078
	1,100	Western Gas Resources, Inc.		52,041
				6,357,943
		Primary Process Industry — 0.1%
	400	Air Products & Chemicals, Inc.		25,664
	800	Airgas, Inc.		29,112
	900	Worthington Industries, Inc.		17,640
				72,416
		Retail Stores — 9.1%
	12,500	Albertson's, Inc.		318,000
	1,500	Autonation, Inc. ^*		31,365
	6,300	Bed Bath & Beyond, Inc. ^*		227,052
	1,800	Dollar Tree Stores, Inc. ^*		49,356
	58,600	Home Depot, Inc.		2,469,990
	23,000	Kroger Co. ^{* (a)}		460,920
	25,400	Lowe's Cos., Inc. ^(a)		1,731,772
	6,400	Office Depot, Inc. ^*		228,352
	5,900	Rent-A-Center, Inc. ^*		137,706
	23,500	Safeway, Inc. ^(a)		571,285

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)
February 28, 2006

Shares		Description	Value ($)
		Retail Stores — continued
	10,000	Supervalu, Inc.		316,000
	7,000	TJX Cos., Inc.		171,430
	43,800	Wal-Mart Stores, Inc. ^(a)		1,986,768
				8,699,996
		Services — 1.8%
	9,250	Applebee's International, Inc. ^(a)		214,045
	600	Aqua America, Inc.		17,244
	6,400	Brinker International, Inc.		266,560
	3,200	Cendant Corp.		53,184
	10,100	Gannett Co., Inc.^(a)		627,816
	1,200	Manpower, Inc.		64,368
	700	Omnicom Group		55,874
	4,600	Outback Steakhouse, Inc.		192,326
	600	Regis Corp.		22,968
	1,500	Sabre Holdings Corp.		36,195
	3,100	Wendy's International, Inc.		179,490
				1,730,070
		Technology — 7.1%
	2,400	Affiliated Computer Services, Inc.-Class A^*		151,008
	2,400	Agilent Technologies, Inc.^*		86,400
	1,600	American Power Conversion Corp.		32,688
	7,800	Applied Materials, Inc.		143,052
	400	Arrow Electronics, Inc.^*		13,916
	600	AVX Corp.		9,936
	77,900	Dell, Inc.^*		2,259,100
	30,500	First Data Corp.		1,376,465
	600	General Dynamics Corp.		73,962
	200	Goodrich Corp.		8,368
	800	Harris Corp.		36,544
	46,187	Hewlett-Packard Co.		1,515,395
	19,200	Ingram Micro, Inc.-Class A^*		379,776
	600	KLA-Tencor Corp.		31,338

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)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	1,900	Lexmark International, Inc.^*		89,471
	7,100	Motorola, Inc.		151,940
	10,100	Tech Data Corp.^*		419,453
	300	Teleflex Inc		19,395
				6,798,207
		Transportation — 0.5%
	1,700	AMR Corp.^*		42,670
	1,900	Burlington Northern Santa Fe Corp.		149,416
	3,400	Union Pacific Corp.		301,070
				493,156
		Utility — 11.3%
	600	Alliant Energy Corp.		19,860
	16,100	American Electric Power Co., Inc.		587,650
	74,796	AT&T, Inc.		2,063,622
	38,000	BellSouth Corp.		1,200,040
	14,200	Centerpoint Energy, Inc.		184,174
	1,100	Centurytel, Inc.		39,578
	1,800	CMS Energy Corp.^*		25,344
	1,900	Consolidated Edison, Inc.		87,153
	200	Constellation Energy Group, Inc.		11,748
	2,300	DTE Energy Co.		99,590
	11,300	Duke Energy Corp.^(a)		320,920
	2,200	Duquesne Light Holdings, Inc.		38,170
	5,100	Edison International		226,236
	5,500	El Paso Corp.		71,940
	500	Entergy Corp.		36,255
	2,200	Exelon Corp.		125,642
	6,800	FirstEnergy Corp.		347,344
	5,600	FPL Group, Inc.		234,808
	2,100	Great Plains Energy, Inc.		59,640
	1,100	Kinder Morgan, Inc.		102,058
	2,400	NiSource, Inc.		49,272
	1,300	Northeast Utilities		25,506

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)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		Utility — continued
	800	Pepco Holdings, Inc.		19,016
	2,400	PG&E Corp.		91,320
	3,500	PPL Corp.^(a)		111,300
	9,800	Progress Energy, Inc.^(a)		434,924
	3,600	Public Service Enterprise Group, Inc.		249,804
	2,500	Puget Energy, Inc.		53,900
	300	Questar Corp.		21,975
	7,400	Qwest Communications International Inc.^{* (a)}		46,768
	3,400	Sempra Energy		162,656
	2,400	Southern Co. (The)		81,672
	4,000	TECO Energy, Inc.^(a)		68,240
	102,152	Verizon Communications, Inc.		3,442,522
	5,900	Xcel Energy, Inc.^(a)		109,504
				10,850,151
		TOTAL COMMON STOCKS (COST $87,388,543)		94,388,433
		RIGHTS AND WARRANTS — 0.0%
		Technology — 0.0%
	800	Seagate Technology, Inc. Rights ^(b)		8
		TOTAL RIGHTS AND WARRANTS (COST $0)		8
		SHORT-TERM INVESTMENT(S) — 17.7%
	462,248	American Beacon Money Market Select Fund ^(c)		462,248
	1,502,306	BGI Institutional Money Market Fund ^(c)		1,502,306
	3,170,532	Citigroup Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $3,170,797 and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity date of 02/15/36 and a market value, including accrued interest of $3,233,942.		3,170,532
	693,372	Fortis Bank Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.53%, due 03/23/06 ^(c)		693,372

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)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENT(S) — continued
	2,311,241	Goldman Sachs Group Inc. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $2,311,536 and an effective yield of 4.60%, collateralized by various corporate debt obligations with an aggregate market value of $2,357,466 ^(c)		2,311,241
	2,080,117	Merrill Lynch & Co. Triparty Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $2,080,380 and an effective yield of 4.55%, collateralized by various U.S. government obligations with an aggregate market value of $2,133,914. ^(c)		2,080,117
	462,248	Merrimac Cash Series-Premium Class ^(c)		462,248
	1,685,455	Morgan Stanley & Co. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $1,685,668 and an effective yield of 4.55%, collateralized by various U.S. government obligations with an aggregate market value of $1,719,174. ^(c)		1,685,455
	1,386,745	National Australia Bank Eurodollar Overnight Time Deposit, 4.56%, due 03/01/06 ^(c)		1,386,745
	924,496	Rabobank Nederland Eurodollar Overnight Time Deposit, 4.52%, due 03/01/06 ^(c)		924,496
	693,372	Royal Bank of Scotland Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.55%, due 03/31/06 ^(c)		693,372
	1,420,924	Svenska Handlesbanken Eurodollar Overnight Time Deposit, 4.57%, due 03/01/06 ^(c)		1,420,924
	150,000	U.S. Treasury Bill, 3.81%, due 03/23/06 ^(d)		149,644
		TOTAL SHORT-TERM INVESTMENT(S) (COST $16,942,700)		16,942,700
		TOTAL INVESTMENTS — 116.4% (Cost $104,331,243)		111,331,141
		Other Assets and Liabilities (net) — (16.4%)		(15,726,576	)
		TOTAL NET ASSETS — 100.0%	$	95,604,565

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)
February 28, 2006

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

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

(d) Rate shown represents yield-to-maturity.

See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value, including securities on loan of $12,952,457 (cost $104,331,243) (Note 2)	$	111,331,141
Dividends and interest receivable		134,588
Receivable for expenses reimbursed by Manager (Note 3)		12,348
Total assets		111,478,077
Liabilities:
Collateral on securities loaned (Note 2)		13,622,524
Payable for Fund shares repurchased		2,150,000
Payable to affiliate for (Note 3):
Management fee		23,154
Shareholder service fee		11,204
Trustees and Chief Compliance Officer fees		208
Payable for variation margin on open futures contracts (Note 2)		18,612
Accrued expenses		47,810
Total liabilities		15,873,512
Net assets	$	95,604,565
Net assets consist of:
Paid-in capital	$	87,629,104
Accumulated undistributed net investment income		231,979
Accumulated net realized gain		743,584
Net unrealized appreciation		6,999,898
	$	95,604,565
Net assets attributable to:
Class III shares	$	95,604,565
Shares outstanding:
Class III		8,864,850
Net asset value per share:
Class III	$	10.78

See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Statement of Operations — Year Ended February 28, 2006

Investment Income:
Dividends	$	2,629,902
Interest (including securities lending income of $20,149)		253,280
Total investment income		2,883,182
Expenses:
Management fee (Note 3)		333,507
Shareholder service fee – Class III (Note 3)		155,481
Custodian, fund accounting agent and transfer agent fees		41,721
Audit and tax fees		63,871
Legal fees		1,820
Trustees fees and related expenses (Note 3)		5,011
Registration fees		9,065
Miscellaneous		4,232
Total expenses		614,708
Fees and expenses reimbursed by Manager (Note 3)		(121,998	)
Net expenses		492,710
Net investment income (loss)		2,390,472
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		9,956,810
Closed futures contracts		(168,310	)
Net realized gain (loss)		9,788,500
Change in net unrealized appreciation (depreciation) on investments		(4,911,249	)
Net realized and unrealized gain (loss)		4,877,251
Net increase (decrease) in net assets resulting from operations	$	7,267,723

See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Year Ended February 28, 2006			Year Ended February 28, 2005
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,390,472		$	1,620,898
Net realized gain (loss)		9,788,500			8,556,173
Change in net unrealized appreciation (depreciation)		(4,911,249	)		439,044
Net increase (decrease) in net assets from operations		7,267,723			10,616,115
Distributions to shareholders from:
Net investment income
Class III		(2,443,866	)		(1,499,897	)
Net realized gains
Class III		(12,699,878	)		(4,765,958	)
		(15,143,744	)		(6,265,855	)
Net share transactions (Note 7):
Class III		(8,930,574	)		36,129,973
Total increase (decrease) in net assets		(16,806,595	)		40,480,233
Net assets:
Beginning of period		112,411,160			71,930,927
End of period (including accumulated undistributed net investment income of $231,979 and $296,698, respectively)	$	95,604,565		$	112,411,160

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)

	Year Ended February 28/29,
	2006			2005			2004			2003			2002
Net asset value, beginning of period	$	11.71		$	11.36		$	8.05		$	10.73		$	10.84
Income (loss) from investment operations:
Net investment income (loss)^†		0.26			0.20			0.17			0.15			0.18
Net realized and unrealized gain (loss)		0.58			0.86			3.31			(2.36	)		0.05
Total from investment operations		0.84			1.06			3.48			(2.21	)		0.23
Less distributions to shareholders:
From net investment income		(0.28	)		(0.19	)		(0.17	)		(0.15	)		(0.20	)
From net realized gains		(1.49	)		(0.52	)		—			(0.32	)		(0.14	)
Total distributions		(1.77	)		(0.71	)		(0.17	)		(0.47	)		(0.34	)
Net asset value, end of period	$	10.78		$	11.71		$	11.36		$	8.05		$	10.73
Total Return^(a)		7.73	%		9.59	%		43.68	%		(21.05	)%		2.16	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	95,605		$	112,411		$	71,931		$	61,923		$	97,622
Net expenses to average daily net assets		0.48	%		0.48	%		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		2.31	%		1.79	%		1.77	%		1.56	%		1.67	%
Portfolio turnover rate		62	%		60	%		65	%		114	%		61	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.12	%		0.10	%		0.14	%		0.15	%		0.09	%

(a) The total return would have been lower had certain expenses not been reimbursed during the periods shown.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO U.S. Intrinsic Value Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. 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 a series of shares into classes.

The Fund commenced operations following an in-kind purchase of shares by GMO Intrinsic Value Fund ("Predecessor Fund") effected as of the close of business on September 16, 2005 ("Purchase Date"). For tax purposes, this transaction met all requirements for a tax-free reorganization under the Internal Revenue Code, and consequently the Fund retained the Predecessor Fund's basis and holding period in each asset contributed in-kind. For accounting purposes, the Fund also recorded a cost for each in-kind asset contributed by the Predecessor Fund equal to such asset's historical cost. For tax and accounting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations. Therefore, the Statement of Operations is shown for the entire fiscal year ending February 28, 2006, the Statements of Changes in Net Assets are shown for the entire fiscal years ending February 28, 2006 and 2005, and the Financial Highlights are shown for each of the fiscal years ending February 28/29, 2006, 2005, 2004, 2003 and 2002.

The Fund seeks long-term capital growth through investment in equity securities. The Fund's benchmark is the Russell 1000 Value Index.

2. Significant accounting policies

Portfolio valuation

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Futures contracts

Swap agreements

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Repurchase agreements

Securities lending

Taxes and distributions

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. During the years ended February 28, 2006 and February 28, 2005, the tax character of distributions paid was as follows: ordinary income – $5,818,442 and 2,410,480, respectively and long-term capital gains – $9,325,302 and 3,855,375, respectively.

As of February 28, 2006, the components of distributable earnings on a tax basis consisted of $605,668 and $1,552,550 of undistributed ordinary income and undistributed long-term capital gains, respectively. The temporary differences between book and tax basis distributable earnings are primarily due to losses on wash sale transactions.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	105,513,898			$	9,038,288			$	(3,221,045	)		$	5,817,243

Accumulated Undistributed Net Investment Income				Accumulated Net Realized Gain				Paid-in Capital
$	(11,325	)		$	400,711			$	(389,386	)

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

Security transactions and related investment income

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

premiums and accretion of discounts. Non-cash dividends, if any, are recorded at the fair market value of the securities received. 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 cost of securities is determined on the identified cost basis.

Expenses

3. Fees and other transactions with affiliates

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 28, 2006 was $2,462 and $555, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2006 aggregated $61,640,036 and $77,325,746, respectively.

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

5. Guarantees

6. Principal shareholders and related party

As of February 28, 2006, 89.3% of the outstanding shares of the Fund were held by four shareholders, each holding in excess of 10% of the Fund's outstanding shares. Investment activities of these shareholders may have a material effect on the Fund.

As of February 28, 2006, less than 0.1% of the Fund's shares were held by one related party comprised of a certain GMO employee account, and 32.8% of the Fund's shares were held by accounts for which the Manager has investment discretion.

7. Share transactions

	Year Ended February 28, 2006						Year Ended February 28, 2005
Class III:	Shares			Amount			Shares			Amount
Shares sold		294,033		$	3,426,551			3,682,928		$	40,787,942
Shares issued to shareholders in reinvestment of distributions		1,357,505			14,715,477			508,422			5,788,469
Shares repurchased		(1,904,079	)		(21,502,363	)		(929,209	)		(10,446,438	)
Redemption in-kind		(479,432	)		(5,570,239	)		—			—
Net increase (decrease)		(731,973	)	$	(8,930,574	)		3,262,141		$	36,129,973

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO U.S. Intrinsic Value Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO U.S. Intrinsic Value Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

As described in Note 1 to the financial statements, the Fund is the successor to GMO Intrinsic Value Fund and includes the operations of GMO Intrinsic Value Fund for periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month ended February 28, 2006.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.47	%	$	1,000.00	$	1,053.30	$	2.39
2) Hypothetical		0.47	%	$	1,000.00	$	1,022.46	$	2.36

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Tax Information (Unaudited) for the Tax Year Ended February 28, 2006

The Fund's distributions to shareholders include $9,325,302 from long-term capital gains.

For taxable, non-corporate shareholders, 44.90% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 48.57% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income and qualified short-term capital gains with respect to its taxable year ended February 28, 2006, $307,639 and $2,600,510, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement
February 28, 2006 (Unaudited)

¹ For tax, accounting and performance reporting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations.

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO Value Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO Value Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Since September 16, 2005, the Class III shares of the GMO Value Fund returned +2.2% for the fiscal period ended February 28, 2006, as compared to +5.1% for the Russell 1000 Value Index for the same period. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in equity securities throughout the period.

Overall, stock selection detracted from performance, hurt by poor selection within technology and construction issues.

Sector selection aided returns. Underweighting the oil & gas stocks helped returns, but this was partially offset by our underweighting of transportation shares.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† See Note 1 to the financial statements.

GMO Value Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.3	%
Short-Term Investment(s)		4.6
Other		(1.9	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Financial Services		35.6	%
Consumer Discretionary		15.4
Health Care		12.1
Technology		11.0
Producer Durables		7.4
Utilities		5.9
Consumer Staples		5.4
Integrated Oils		3.7
Other		1.1
Other Energy		1.0
Materials & Processing		0.8
Auto & Transportation		0.6
		100.0	%

GMO Value Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 97.3%
		Auto & Transportation — 0.6%
	200	Harley-Davidson, Inc.		10,502
		Consumer Discretionary — 15.0%
	200	Apollo Group, Inc.-Class A ^*		9,876
	300	Applebee's International, Inc.		6,942
	400	Bed Bath & Beyond, Inc. ^*		14,416
	1,000	Cendant Corp.		16,620
	200	Dollar General Corp.		3,484
	1,400	Home Depot, Inc.		59,010
	500	Jones Apparel Group, Inc.		14,460
	200	Kimberly Clark Corp.		11,836
	500	Liz Claiborne, Inc.		18,015
	500	Lowe's Cos., Inc.		34,090
	100	Omnicom Group		7,982
	1,100	Wal-Mart Stores, Inc.		49,896
	100	Weight Watchers International, Inc. ^*		5,247
				251,874
		Consumer Staples — 5.3%
	400	Altria Group, Inc.		28,760
	500	Dean Foods Co. ^*		18,735
	800	Kroger Co. ^*		16,032
	700	Sara Lee Corp.		12,369
	400	Supervalu, Inc.		12,640
				88,536
		Financial Services — 34.7%
	200	Aflac, Inc.		9,250
	700	Allstate Corp. (The)		38,346
	200	AMBAC Financial Group, Inc.		15,030
	1,200	American International Group, Inc.		79,632
	750	Bank of America Corp.		34,388
	100	Bear Stearns Cos. (The), Inc.		13,444

See accompanying notes to the financial statements.

GMO Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Financial Services — continued
	400	Capital One Financial Corp.		35,040
	200	Chubb Corp.		19,150
	100	Cigna Corp.		12,275
	700	Citigroup, Inc.		32,459
	500	CNA Financial Corp. ^*		15,460
	200	Comerica, Inc.		11,464
	200	Fannie Mae		10,936
	500	First Data Corp.		22,565
	200	Freddie Mac		13,478
	300	Hartford Financial Services Group, Inc.		24,714
	300	Lehman Brothers Holdings, Inc.		43,785
	300	Marsh & McLennan Cos., Inc.		9,273
	300	Metlife, Inc.		15,036
	300	Morgan Stanley		17,898
	700	National City Corp.		24,360
	1,125	Old Republic International Corp.		23,951
	200	Protective Life Corp.		9,750
	300	Radian Group, Inc.		17,025
	100	TD Banknorth, Inc.		3,073
	200	Wachovia Corp.		11,214
	460	Washington Mutual, Inc.		19,642
				582,638
		Health Care — 11.7%
	100	AmerisourceBergen Corp.		4,599
	200	Cardinal Health, Inc.		14,520
	200	Forest Laboratories, Inc. ^*		9,180
	200	Health Net, Inc. ^*		9,590
	100	Johnson & Johnson		5,765
	100	Medtronic, Inc.		5,395
	1,100	Merck & Co., Inc.		38,346
	3,300	Pfizer, Inc.		86,427
	100	Pharmaceutical Product Development, Inc.		6,959
	200	UnitedHealth Group, Inc.		11,646
	100	Wyeth		4,980
				197,407

See accompanying notes to the financial statements.

GMO Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Integrated Oils — 3.6%
	700	ConocoPhillips		42,672
	300	Exxon Mobil Corp.		17,811
				60,483
		Materials & Processing — 0.8%
	200	Ashland, Inc.		13,054
		Other — 1.0%
	100	General Electric Co.		3,287
	200	Johnson Controls, Inc.		14,254
				17,541
		Other Energy — 1.0%
	300	Valero Energy Corp.		16,137
		Producer Durables — 7.2%
	300	Centex Corp.		20,282
	200	D.R. Horton, Inc.		6,822
	100	Danaher Corp.		6,058
	300	KB Home		20,109
	300	Lexmark International, Inc. ^*		14,127
	600	Pulte Homes, Inc.		23,046
	100	Ryland Group, Inc.		6,975
	200	Standard-Pacific Corp.		6,570
	300	United Technologies Corp.		17,550
				121,539
		Technology — 10.7%
	1,800	Dell, Inc. ^*		52,200
	2,100	Hewlett-Packard Co.		68,901
	600	Ingram Micro, Inc.-Class A ^*		11,868
	1,600	Microsoft Corp.		43,040
	100	QLogic Corp. ^*		4,114
				180,123

See accompanying notes to the financial statements.

GMO Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		Utilities — 5.7%
	400	American Electric Power Co., Inc.		14,600
	900	AT&T, Inc.		24,831
	700	BellSouth Corp.		22,106
	500	Sempra Energy		23,920
	300	Verizon Communications, Inc.		10,110
				95,567
		TOTAL COMMON STOCKS (COST $1,601,975)		1,635,401
		SHORT-TERM INVESTMENT(S) — 4.6%
	76,980	Citigroup Global Markets Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $76,986 and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity date of 2/15/36 and a market value, including accrued interest, of $78,519.		76,980
		TOTAL SHORT-TERM INVESTMENT(S) (COST $76,980)		76,980
		TOTAL INVESTMENTS — 101.9% (Cost $1,678,955)		1,712,381
		Other Assets and Liabilities (net) — (1.9%)		(31,492	)
		TOTAL NET ASSETS — 100.0%	$	1,680,889

Notes to Schedule of Investments:

* Non-income producing security.

See accompanying notes to the financial statements.

GMO Value Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value (cost $1,678,955) (Note 2)	$	1,712,381
Dividends and interest receivable		2,364
Receivable for expenses reimbursed by Manager (Note 3)		13,439
Total assets		1,728,184
Liabilities:
Payable to affiliate for (Note 3):
Management fee		590
Shareholder service fee		193
Accrued expenses		46,512
Total liabilities		47,295
Net assets	$	1,680,889
Net assets consist of:
Net capital⁽¹⁾	$	1,647,463
Net unrealized appreciation		33,426
	$	1,680,889
Net assets attributable to:
Class III shares	$	1,680,889
Shares outstanding:
Class III		162,809
Net asset value per share:
Class III	$	10.32

⁽¹⁾ Net capital includes net investment income (loss) and net realized gain (loss) on investments.

See accompanying notes to the financial statements.

GMO Value Fund

(A Series of GMO Trust)

Statement of Operations — Period from September 16, 2005 through February 28, 2006

Investment Income:
Dividends	$	13,007
Interest		1,231
Total investment income		14,238
Expenses:
Management fee (Note 3)		3,414
Shareholder service fee – Class III (Note 3)		1,113
Custodian, fund accounting agent and transfer agent fees		7,856
Audit and tax fees		22,822
Legal fees		265
Trustees fees and related expenses (Note 3)		320
Registration fees		684
Miscellaneous		32
Total expenses		36,506
Fees and expenses reimbursed by Manager (Note 3)		(31,955	)
Net expenses		4,551
Net investment income (loss)		9,687
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(6,884	)
Net realized gain (loss)		(6,884	)
Change in net unrealized appreciation (depreciation) on investments		33,426
Net realized and unrealized gain (loss)		26,542
Net increase (decrease) in net assets resulting from operations	$	36,229

See accompanying notes to the financial statements.

GMO Value Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Period from September 16, 2005 through February 28, 2006
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	9,687
Net realized gain (loss)		(6,884	)
Change in net unrealized appreciation (depreciation)		33,426
Net increase (decrease) in net assets from operations		36,229
Net share transactions (Note 7):
Class III		1,644,660
Total increase (decrease) in net assets		1,680,889
Net assets:
Beginning of period		—
End of period	$	1,680,889

See accompanying notes to the financial statements.

GMO Value Fund

(A Series of GMO Trust)

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

	Period from September 16, 2005 through February 28, 2006
Net asset value, beginning of period	$	10.10
Income (loss) from investment operations:
Net investment income (loss)^†		0.06
Net realized and unrealized gain (loss)		0.16
Total from investment operations		0.22
Net asset value, end of period	$	10.32
Total Return^(a)		2.18	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,681
Net expenses to average daily net assets		0.61	%^*
Net investment income to average daily net assets		1.31	%^*
Portfolio turnover rate		25	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		4.31	%^*

(a) The total returns would have been lower had certain expenses not been reimbursed during the period shown.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO Value Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO Value Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. 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 a series of shares into classes.

The Fund seeks long-term capital growth primarily through investment in equity securities. The Fund's benchmark is the Russell 1000 Value Index.

On September 16, 2005, shareholders of the Fund holding 95.3% of the Fund's then outstanding shares requested redemption of their shares. On the same day, the Fund transferred assets and liabilities (representing on a net basis 95.3% of the Fund's net assets) to GMO U.S. Value Fund, a newly organized fund, with investment objectives similar to the Fund's, in consideration for newly issued shares of GMO U.S. Value Fund. The Fund then honored the redemption requests by distributing to redeeming shareholders shares of equal value in the GMO U.S. Value Fund. The preceding events are hereafter referred to as (the "Redemption Transaction"). Because for tax and accounting purposes the GMO U.S. Value Fund is treated as a continuation of the Fund's prior operations, for accounting and tax purposes the Fund itself is deemed to have commenced operations on the date of the Redemption Transaction. On the date of the Redemption Transaction, the shareholders who opted not to redeem from the Fund were deemed to have contributed securities in-kind to the Fund with an accounting and tax basis equal to fair market value. Therefore, the Statement of Operations, Statement of Changes in Net Assets and Financial Highlights are shown for the period from September 16, 2005 through February 28, 2006.

Throughout the period from September 16, 2005 through February 28, 2006, the Fund had a single class of shares outstanding, Class III shares.

2. Significant accounting policies

GMO Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Portfolio valuation

Futures contracts

Swap agreements

GMO Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Fund will receive a payment from or make a payment to the counterparty, respectively. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian in accordance with the terms of the swap agreement. The Fund earns interest on cash set aside as collateral.

Repurchase agreements

Securities lending

GMO Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Taxes

Prior to the close of business on September 16, 2005, the Fund qualified as a regulated investment company. Subsequent to the Redemption Transaction, all Fund tax attributes relating to the time periods prior to September 16, 2005 transferred to GMO U.S. Value Fund. After the close of business on September 16, 2005, the Fund elected to be treated as a partnership for federal income tax purposes. As a partnership, the Fund will not be subject to federal and state income tax. Instead, each shareholder is responsible for the tax liability or benefit related to his/her allocable share of taxable income or loss. Accordingly, no provision (benefit) for federal or state income taxes is reflected in the accompanying financial statements.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	1,678,955			$	79,256			$	(45,830	)		$	33,426

Security transactions and related investment income

Expenses

3. Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.46% 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 the average daily net assets at the annual rate of 0.15% for Class III shares.

GMO Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

of the Chief Compliance Officer ("CCO") and independent Trustees (including legal fees), brokerage commissions and other investment-related costs, hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes), securities lending fees and expenses, interest expense and transfer taxes) exceed 0.46% of average daily net assets.

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the period ended February 28, 2006, was $27 and $0 respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended February 28, 2006 aggregated $1,999,298 and $390,438, respectively.

5. Guarantees

6. Principal shareholder and related party

As of February 28, 2006, 88.9% of the outstanding shares of the Fund were held by one shareholder. Investment activities of this shareholder may have a material effect on the Fund.

As of February 28, 2006, 1.2% of the Fund's shares were held by GMO.

7. Share transactions

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

	Period from September 16, 2005 through February 28, 2006
Class III:	Shares		Amount
Shares issued for in-kind transaction		162,809	$	1,644,660
Net increase (decrease)		162,809	$	1,644,660

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Value Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Value Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the period from September 16, 2005 to February 28, 2006, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

As described in Note 1 to the financial statements, GMO U.S. Value Fund was the successor to the Fund for accounting purposes for all periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO Value Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the period ended February 28, 2006.

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, September 16, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.61	%	$	1,000.00	$	1,021.80	$	2.79
2) Hypothetical		0.61	%	$	1,000.00	$	1,019.85	$	2.78

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO Small/Mid Cap Value Fund

(Formerly the GMO Small Cap Value Fund)

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Since September 16, 2005, the GMO Small/Mid Cap Value Fund returned +4.3% for the fiscal period ended February 28, 2006, as compared to +7.1% for the Russell 2500 Value Index for the same period. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in U.S. equity securities throughout the period.

Sector selection detracted from relative performance for the period. Detractors included an underweight position in technology and an overweight position in automotive. An underweight position in utility benefited the portfolio.

Stock selection also detracted from the portfolio's overall performance. Selections among transportation, services, and retail stores issues were robust for the period. Meanwhile, selections within construction and financial securities underperformed for the period.

For the fiscal year, the portfolio's valuation stock selection strategies detracted from relative performance, while the momentum selection strategy added value.

† See Note 1 to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.2	%
Short-Term Investment(s)		3.5
Other		(0.7	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Financial		25.4	%
Construction		17.2
Retail Stores		8.9
Technology		8.0
Health Care		7.9
Services		6.6
Utility		5.8
Consumer Goods		4.8
Automotive		3.0
Primary Process Industry		2.9
Transportation		2.2
Manufacturing		2.0
Oil & Gas		1.9
Food & Beverage		1.7
Machinery		1.2
Metals & Mining		0.5
		100.0	%

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares

Description

Value ($)

	COMMON STOCKS — 97.2%
	Automotive — 2.9%
100	Aftermarket Technology Corp. ^*	2,170
400	American Axle & Manufacturing Holdings, Inc.	6,488
500	ArvinMeritor, Inc.	8,370
100	Bandag, Inc.	4,277
100	BorgWarner, Inc.	5,577
100	Cooper Tire & Rubber Co.	1,490
1,200	Goodyear Tire & Rubber Co. (The) ^*	17,196
500	Lear Corp.	10,430
300	Navistar International Corp. ^*	8,805
200	Superior Industries International, Inc.	4,310
200	Tenneco Automotive, Inc. ^*	4,530
500	TRW Automotive Holdings Corp. ^*	12,800
800	Visteon Corp. ^*	3,728
		90,171
	Construction — 16.7%
1,200	Aames Investment Corp. REIT	6,912
200	AMB Property Corp. REIT	10,730
500	American Home Mortgage Acceptance Corp. REIT	14,250
100	American Woodmark Corp.	3,400
100	Ameron Inc	5,940
2,100	Annaly Mortgage Management, Inc. REIT	24,675
1,000	Anthracite Capital, Inc. REIT	10,720
1,300	Anworth Mortgage Asset Corp. REIT	9,763
200	Apartment Investment & Management Co.	8,862
300	Beazer Homes USA, Inc.	19,035
200	Bedford Property Investors REIT	5,364
200	Boykin Lodging Co, REIT ^*	2,556
100	BRE Properties, Inc.	5,437
500	Capstead Mortgage Corp. REIT	3,495
200	CBL & Associates Properties, Inc. REIT	8,520

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Construction — continued
	400	Cousins Properties, Inc. REIT		12,268
	200	EMCOR Group, Inc. ^*		8,718
	100	Equity Lifestyle Properties, Inc. REIT		4,769
	100	Essex Property Trust, Inc. REIT		9,965
	100	Federal Realty Investment Trust		6,969
	300	FelCor Lodging Trust, Inc. REIT		5,955
	200	Heritage Property Investment Trust REIT		7,672
	200	Highwoods Properties, Inc. REIT		6,470
	300	Hovnanian Enterprises, Inc. ^*		13,833
	100	Jacobs Engineering Group, Inc. ^*		8,574
	300	KB Home		20,109
	100	Kilroy Realty Corp. REIT		7,482
	100	Lafarge North America, Inc.		8,287
	100	Lennox International, Inc.		3,215
	100	Louisiana-Pacific Corp.		2,843
	100	M/I Schottenstein Homes, Inc.		4,212
	300	MDC Holdings, Inc.		18,387
	200	Meritage Homes Corp. ^*		11,706
	2,100	MFA Mortgage Investments, Inc. REIT		12,432
	100	Mid-America Apartment Communities, Inc. REIT		5,430
	300	Mission West Properties REIT		3,210
	500	National Health Investors, Inc. REIT		13,310
	700	New Century Financial Corp.		27,125
	100	Pan Pacific Retail Properties, Inc. REIT		6,921
	300	Quanta Services, Inc. ^*		4,107
	200	RAIT Investment Trust REIT		5,460
	200	Rayonier Inc. REIT		8,620
	100	Regency Centers Corp. REIT		6,450
	300	Ryland Group, Inc.		20,925
	500	Standard-Pacific Corp.		16,425
	100	Technical Olympic USA, Inc.		2,118
	1,300	Thornburg Mortgage, Inc. REIT		33,761
	200	Toll Brothers, Inc. ^*		6,472

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Construction — continued
	100	Universal Forest Products, Inc.		6,183
	300	USG Corp. ^*		25,344
	100	Washington Group International, Inc.		5,837
	100	WCI Communities, Inc. ^*		2,524
	100	Winnebago Industries, Inc.		3,212
				516,959
		Consumer Goods — 4.6%
	300	Blyth, Inc.		6,684
	300	Columbia Sportswear Co. ^*		15,108
	200	Ethan Allen Interiors, Inc.		8,142
	200	Fossil, Inc. ^*		3,404
	500	Furniture Brands International, Inc.		12,360
	200	Jones Apparel Group, Inc.		5,784
	200	Kellwood Co.		5,148
	200	K-Swiss, Inc.-Class A		5,836
	300	La-Z-Boy, Inc.		4,785
	700	Liz Claiborne, Inc.		25,221
	200	Matthews International Corp.-Class A		7,428
	500	Maytag Corp.		8,600
	100	Multimedia Games, Inc. ^*		1,059
	100	Russell Corp.		1,428
	100	Snap-On, Inc.		3,892
	100	Stanley Furniture Co., Inc.		2,550
	300	Timberland Co.-Class A ^*		10,515
	200	Tupperware Corp.		4,238
	200	Universal Corp.		8,134
	200	Vector Group, Ltd.		3,722
				144,038
		Financial — 24.7%
	400	21st Century Insurance Group		6,480
	500	Alfa Corp.		8,040

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	400	American Capital Strategies, Ltd.		14,280
	600	American Financial Group, Inc.		24,840
	400	AmeriCredit Corp. ^*		11,800
	300	AmerUs Group Co.		18,075
	100	Anchor Bancorp Wisconsin, Inc.		3,045
	300	Arthur J. Gallagher & Co.		8,847
	400	Associated Banc Corp.		13,788
	500	Astoria Financial Corp.		14,335
	400	Bancorpsouth, Inc.		9,608
	100	Camden National Corp.		3,338
	200	Chemical Financial Corp.		6,438
	100	Chittenden Corp.		2,879
	300	Commerce Group, Inc.		16,203
	200	Community Bank System, Inc.		4,334
	100	Community Trust Bancorp		3,172
	100	Cullen/Frost Bankers, Inc.		5,512
	200	Delphi Financial Group, Inc.-Class A		10,416
	300	Dime Community Bancshares		4,104
	300	Erie Indemnity Co.-Class A		15,921
	200	FBL Financial Group, Inc.-Class A		6,844
	100	Federal Agricultural Mortgage Corp.-Class C		2,986
	900	First American Corp.		37,944
	100	First Midwest Bancorp, Inc.		3,363
	100	First State Bancorp		2,582
	500	Flagstar Bancorp, Inc.		7,725
	100	FNB Corp., PA		1,649
	400	Fremont General Corp.		9,488
	1,700	Friedman Billings Ramsey Group, Inc.-Class A		16,932
	100	GATX Corp.		3,970
	300	Genworth Financial, Inc.-Class A		9,546
	400	Great American Financial Resources, Inc.		7,912
	300	Hanover Insurance Group (The), Inc.		14,535
	500	HCC Insurance Holdings, Inc.		16,095

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	100	Horace Mann Educators Corp.		1,865
	1,600	IMPAC Mortgage Holdings, Inc. REIT		13,296
	100	Independence Holding Co.		2,225
	400	IndyMac Bancorp, Inc.		15,528
	100	Investors Financial Services Corp.		4,511
	200	Irwin Financial Corp.		4,008
	100	ITLA Capital Corp. ^*		4,628
	100	Kansas City Life Insurance Co.		5,040
	200	Landamerica Financial Group, Inc.		13,340
	100	Leucadia National Corp.		5,425
	100	MAF Bancorp, Inc.		4,286
	100	Mercury General Corp.		5,590
	100	Nasdaq Stock Market, Inc. ^*		4,051
	400	Nationwide Financial Services, Inc.-Class A		17,144
	400	Novastar Financial, Inc. REIT		12,260
	100	Odyssey Re Holdings Corp.		2,348
	200	Ohio Casualty Corp.		6,122
	950	Old Republic International Corp.		20,225
	200	Phoenix Cos. (The), Inc.		2,870
	200	PMA Capital Corp.-Class A ^*		1,924
	600	PMI Group (The), Inc.		25,980
	100	Presidential Life Corp.		2,191
	500	Protective Life Corp.		24,375
	300	Radian Group, Inc.		17,025
	100	Raymond James Financial, Inc.		4,298
	400	Redwood Trust, Inc. REIT		16,584
	500	Reinsurance Group of America, Inc.		23,115
	300	Republic Bancorp Inc		3,639
	500	Saxon Capital, Inc. REIT		4,975
	400	StanCorp Financial Group, Inc.		21,640
	100	State Auto Financial Corp.		3,258
	200	Stewart Information Services Corp.		9,390
	300	TCF Financial Corp.		7,608

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	400	Transatlantic Holdings, Inc.		24,456
	100	Triad Guaranty, Inc. ^*		4,539
	200	Trustco Bank Corp., NY		2,514
	400	Trustmark Corp.		12,060
	100	United Fire & Casualty Co.		3,579
	200	United Rentals, Inc. ^*		6,520
	100	Unitrin, Inc.		4,835
	100	Universal American Financial Corp. ^*		1,515
	300	Washington Federal, Inc.		7,098
	200	Webster Financial Corp.		9,430
	100	Westcorp		7,185
	100	Wilmington Trust Corp.		4,281
	300	WR Berkley Corp.		17,367
				763,169
		Food & Beverage — 1.7%
	200	Chiquita Brands International, Inc.		3,444
	200	Flowers Foods, Inc.		5,500
	100	J&J Snack Foods Corp.		3,395
	100	Molson Coors Brewing Co.-Class B		6,275
	300	NBTY, Inc. ^*		6,570
	100	Sanderson Farms, Inc.		2,332
	500	Smithfield Foods, Inc. ^*		13,215
	800	Tyson Foods, Inc.-Class A		10,824
				51,555
		Health Care — 7.6%
	200	Apria Healthcare Group ^*		4,598
	200	BioScrip, Inc. ^*		1,434
	100	Community Health Systems, Inc. ^*		3,792
	100	DENTSPLY International, Inc.		5,699
	700	Health Net, Inc. ^*		33,565
	200	Henry Schein, Inc. ^*		9,330

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Health Care — continued
	200	Humana, Inc. ^*		10,334
	200	Idexx Laboratories, Inc. ^*		15,716
	100	Invitrogen Corp. ^*		7,093
	100	Kindred Healthcare, Inc. ^*		2,162
	1,400	King Pharmaceuticals, Inc. ^*		22,750
	700	Lincare Holdings, Inc. ^*		28,630
	300	Omnicare, Inc.		18,255
	300	Owens & Minor, Inc.		9,567
	300	Pharmaceutical Product Development, Inc.		20,877
	200	Regeneron Pharmaceuticals, Inc. ^*		3,274
	200	ResMed, Inc. ^*		8,118
	100	Sunrise Senior Living, Inc. ^*		3,546
	200	Techne Corp. ^*		11,894
	200	Universal Health Services, Inc.-Class B		10,046
	200	Watson Pharmaceuticals, Inc. ^*		5,996
				236,676
		Machinery — 1.2%
	100	AGCO Corp. ^*		1,955
	100	Cummins, Inc.		10,828
	200	Flowserve Corp. ^*		10,280
	100	Lincoln Electric Holdings, Inc.		4,616
	100	Oil States International, Inc. ^*		3,453
	700	Transmontaigne, Inc. ^*		5,278
				36,410
		Manufacturing — 1.9%
	100	Barnes Group, Inc.		3,838
	100	Kaman Corp.-Class A		2,271
	300	Longview Fibre Co.		5,646
	200	Mueller Industries, Inc.		6,602
	200	Myers Industries, Inc.		3,200
	100	Owens-IIlinois, Inc. ^*		1,874

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Manufacturing — continued
	100	Reliance Steel & Aluminum Co.		8,239
	300	SPX Corp.		14,775
	200	Temple-Inland, Inc.		8,534
	100	Trinity Industries, Inc.		5,300
				60,279
		Metals & Mining — 0.4%
	100	Arch Coal, Inc.		7,311
	100	CONSOL Energy, Inc.		6,402
				13,713
		Oil & Gas — 1.9%
	200	Ashland, Inc.		13,054
	100	Giant Industries, Inc. ^*		5,820
	100	Helmerich & Payne, Inc.		6,577
	200	Stone Energy Corp. ^*		8,280
	400	Tesoro Corp.		24,164
				57,895
		Primary Process Industry — 2.9%
	100	Airgas, Inc.		3,639
	300	AK Steel Holding Corp. ^*		3,330
	100	Castle (A.M.) & Co.		2,832
	400	Commercial Metals Co.		18,116
	100	FMC Corp. ^*		6,081
	100	HB Fuller Co.		4,060
	300	Hercules Inc ^*		3,555
	100	Metal Management, Inc.		2,821
	100	NewMarket Corp. ^*		3,447
	100	Olympic Steel, Inc.		2,636
	200	Ryerson Tull, Inc.		5,048
	100	Schweitzer-Mauduit International		2,570
	400	Sensient Technologies Corp.		7,168

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Primary Process Industry — continued
	100	Steel Technologies, Inc.		2,759
	200	United States Steel Corp.		10,900
	500	Worthington Industries, Inc.		9,800
				88,762
		Retail Stores — 8.7%
	100	99 Cents Only Stores ^*		1,138
	400	Asbury Automotive Group, Inc. ^*		7,660
	100	Barnes & Noble, Inc.		4,307
	400	BJ's Wholesale Club, Inc. ^*		12,664
	100	Brown Shoe Co., Inc.		4,770
	100	Building Materials Holding Corp.		6,730
	200	Casey's General Stores, Inc.		5,246
	100	Cato Corp.-Class A		2,087
	200	Chico's FAS, Inc. ^*		9,410
	100	Claire's Stores, Inc.		3,204
	100	Conn's, Inc. ^*		3,725
	700	Dollar Tree Stores, Inc. ^*		19,194
	300	Great Atlantic & Pacific Tea Co. ^*		9,678
	300	Group 1 Automotive, Inc.		11,484
	100	Ingles Markets, Inc.-Class A		1,651
	300	Insight Enterprises, Inc. ^*		6,459
	200	Lithia Motors, Inc.-Class A		6,408
	100	Longs Drug Stores Corp.		3,837
	100	OfficeMax, Inc.		2,933
	700	O'Reilly Automotive, Inc. ^*		22,904
	100	Pantry (The), Inc. ^*		5,917
	200	Pathmark Stores, Inc. ^*		2,012
	100	Payless Shoesource, Inc. ^*		2,370
	300	Pier 1 Imports, Inc.		3,159
	300	RadioShack Corp.		5,865
	600	Rent-A-Center, Inc. ^*		14,004
	100	Retail Ventures, Inc. ^*		1,326
	500	Ross Stores, Inc.		14,160

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Retail Stores — continued
	300	Smart & Final Inc. ^*		4,530
	400	Sonic Automotive, Inc.		10,596
	500	Supervalu, Inc.		15,800
	400	Systemax Inc ^*		2,780
	300	Talbots, Inc.		7,998
	100	Too, Inc. ^*		3,043
	400	United Auto Group, Inc.		17,296
	300	Williams-Sonoma, Inc. ^*		12,147
				268,492
		Services — 6.4%
	500	Applebee's International, Inc.		11,570
	266	Aqua America, Inc.		7,645
	100	Banta Corp.		4,871
	600	BearingPoint, Inc. ^*		5,346
	100	Bob Evans Farms, Inc.		2,917
	500	Brinker International, Inc.		20,825
	100	CBRL Group, Inc.		4,443
	100	CDI Corp.		2,449
	200	Darden Restaurants, Inc.		8,388
	300	Factset Research Systems, Inc.		11,745
	200	Handleman Co.		1,966
	200	ITT Educational Services, Inc. ^*		12,400
	100	Jack in the Box, Inc. ^*		4,000
	100	Kelly Services, Inc.-Class A		2,699
	300	Manpower, Inc.		16,092
	100	Nash Finch Co.		3,100
	100	O'Charley's, Inc. ^*		1,776
	400	Outback Steakhouse, Inc.		16,724
	100	Papa John's International, Inc. ^*		3,290
	300	Performance Food Group Co. ^*		8,811
	100	Rare Hospitality International, Inc. ^*		3,200
	200	Regis Corp.		7,656
	200	Ruby Tuesday, Inc.		5,710

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Services — continued
	300	Ryan's Restaurant Group, Inc. ^*		3,963
	300	Sabre Holdings Corp.		7,239
	500	Service Corp. International		3,975
	100	Sonic Corp. ^*		3,161
	200	Valassis Communications, Inc. ^*		5,510
	200	World Fuel Services Corp.		6,060
				197,531
		Technology — 7.8%
	300	Advanced Digital Information Corp. ^*		2,598
	100	Alliant Techsystems, Inc. ^*		7,642
	100	AO Smith Corp.		4,630
	100	Applera Corp.-Applied Biosystems Group		2,827
	700	Arrow Electronics, Inc. ^*		24,353
	1,000	Avnet, Inc. ^*		25,130
	500	AVX Corp.		8,280
	800	BEA Systems, Inc. ^*		9,176
	200	Bell Microproducts, Inc. ^*		1,202
	150	Brightpoint, Inc. ^*		4,244
	100	Cohu, Inc.		2,112
	700	Convergys Corp. ^*		12,159
	100	Diebold, Inc.		4,000
	200	Electronics for Imaging ^*		5,364
	100	General Cable Corp. ^*		2,700
	100	Greatbatch, Inc. ^*		2,211
	100	Harris Corp.		4,568
	1,200	Ingram Micro, Inc.-Class A ^*		23,736
	100	International Rectifier Corp. ^*		3,710
	200	Intersil Corp.-Class A		5,668
	300	JDA Software Group, Inc. ^*		4,119
	300	Lightbridge, Inc. ^*		2,943
	200	LSI Logic Corp. ^*		1,950
	100	Mantech International Corp.-Class A ^*		2,810
	100	Maximus, Inc.		3,651

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	100	MKS Instruments Inc. ^*		2,236
	200	Plexus Corp. ^*		6,712
	300	QLogic Corp. ^*		12,342
	200	StarTek, Inc.		3,940
	100	SYKES Enterprises, Inc. ^*		1,332
	200	SYNNEX Corp. ^*		3,694
	400	Tech Data Corp. ^*		16,612
	100	Teleflex, Inc.		6,465
	200	Teradyne, Inc. ^*		3,358
	400	Unisys Corp. ^*		2,672
	100	United Stationers, Inc. ^*		4,950
	100	Varian Semiconductor Equipment Associates, Inc. ^*		4,716
				240,812
		Transportation — 2.2%
	1,200	AMR Corp. ^*		30,120
	100	Arkansas Best Corp.		4,156
	500	Continental Airlines, Inc.-Class B ^*		11,650
	800	ExpressJet Holdings, Inc. ^*		6,016
	200	Mesa Air Group, Inc. ^*		2,284
	100	SCS Transportation, Inc. ^*		2,703
	100	Skywest, Inc.		2,897
	223	US Airways Group, Inc. ^*		7,379
				67,205
		Utility — 5.6%
	100	Allegheny Energy, Inc. ^*		3,576
	300	Alliant Energy Corp.		9,930
	2,400	Centerpoint Energy, Inc.		31,128
	200	Centurytel, Inc.		7,196
	700	CMS Energy Corp. ^*		9,856
	400	Duquesne Light Holdings, Inc.		6,940
	300	Energy East Corp.		7,518
	300	Great Plains Energy, Inc.		8,520

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		Utility — continued
	200	IDACORP, Inc.		6,588
	100	MDU Resources Group, Inc.		3,525
	300	Northeast Utilities		5,886
	200	NSTAR		5,872
	900	Pepco Holdings, Inc.		21,393
	200	Pinnacle West Capital Corp.		8,210
	300	Puget Energy, Inc.		6,468
	100	SCANA Corp.		4,078
	100	Sierra Pacific Resources ^*		1,424
	100	Talk America Holdings, Inc. ^*		853
	1,100	TECO Energy, Inc.		18,766
	200	Time Warner Telecom, Inc.-Class A ^*		2,526
	100	Unisource Energy Corp.		3,041
				173,294
		TOTAL COMMON STOCKS (COST $2,922,037)		3,006,961
		SHORT-TERM INVESTMENT(S) — 3.5%
	107,232	Citigroup Global Markets Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $107,241 and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity 02/15/36 and a market value, including accured interest of $109,377.		107,232
		TOTAL SHORT-TERM INVESTMENT(S) (COST $107,232)		107,232
		TOTAL INVESTMENTS — 100.7% (Cost $3,029,269)		3,114,193
		Other Assets and Liabilities (net) — (0.7%)		(21,691	)
		TOTAL NET ASSETS — 100.0%	$	3,092,502

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2006

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)
(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value (cost $3,029,269) (Note 2)	$	3,114,193
Dividends and interest receivable		3,108
Receivable for expenses reimbursed by Manager (Note 3)		26,106
Total assets		3,143,407
Liabilities:
Payable to affiliate for (Note 3):
Management fee		783
Shareholder service fee		356
Trustees and Chief Compliance Officer fees		30
Accrued expenses		49,736
Total liabilities		50,905
Net assets	$	3,092,502
Net assets consist of:
Net capital⁽¹⁾	$	3,007,578
Net unrealized appreciation		84,924
	$	3,092,502
Net assets attributable to:
Class III shares	$	3,092,502
Shares outstanding:
Class III		245,909
Net asset value per share:
Class III	$	12.58

⁽¹⁾ Net capital includes net investment income (loss) and net realized gain (loss) on investments.

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)
(A Series of GMO Trust)

Statement of Operations — Period from September 16, 2005 through February 28, 2006

Investment Income:
Dividends	$	27,929
Interest		1,639
Total investment income		29,568
Expenses:
Management fee (Note 3)		4,439
Shareholder service fee – Class III (Note 3)		2,018
Custodian, fund accounting agent and transfer agent fees		13,546
Audit and tax fees		22,164
Legal fees		11,883
Registration fees		638
Trustees fees and related expenses (Note 3)		2,649
Miscellaneous		62
Total expenses		57,399
Fees and expenses reimbursed by Manager (Note 3)		(50,873	)
Net expenses		6,526
Net investment income (loss)		23,042
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		19,192
Change in net unrealized appreciation (depreciation) on:
Investments		84,924
Net realized and unrealized gain (loss)		104,116
Net increase (decrease) in net assets resulting from operations	$	127,158

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)
(A Series of GMO Trust)

Statement of Changes in Net Assets

	Period from September 16, 2005 through February 28, 2006
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	23,042
Net realized gain (loss)		19,192
Change in net unrealized appreciation (depreciation)		84,924
Net increase (decrease) in net assets from operations		127,158
Net share transactions (Note 7): Class III		2,965,344
Total increase (decrease) in net assets		3,092,502
Net assets:
Beginning of period		—
End of period	$	3,092,502

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)
(A Series of GMO Trust)
Financial Highlights
(For a Class III share outstanding throughout the period)

	Period from September 16, 2005 through February 28, 2006
Net asset value, beginning of period	$	12.06
Income (loss) from investment operations:
Net investment income (loss)^†		0.09
Net realized and unrealized gain (loss)		0.43
Total from investment operations		0.52
Net asset value, end of period	$	12.58
Total Return^(a)		4.31	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	3,093
Net expenses to average daily net assets		0.49	%^*
Net investment income to average daily net assets		1.71	%^*
Portfolio turnover rate		31	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		3.78	%^*

(a) The total returns would have been lower had certain expenses not been reimbursed during the period shown.

Calculation excludes purchase premiums and redemption fees which are borne by the shareholders.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)
(A Series of GMO Trust)
Notes to Financial Statements
February 28, 2006

1. Organization

GMO Small/Mid Cap Value Fund (the "Fund") (formerly GMO Small Cap Value Fund) is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. 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 a series of shares into classes.

The Fund seeks long-term capital growth. The Fund's benchmark is the Russell 2500 Value Index.

On September 16, 2005, shareholders of the Fund holding 95.4% of the Fund's then outstanding shares requested redemption of their shares. On the same day, the Fund transferred assets and liabilities (representing on a net basis 95.4% of the Fund's net assets) to GMO U.S. Small/Mid Cap Value Fund, a newly organized fund, with investment objectives similar to the Fund's, in consideration for newly issued shares of GMO U.S. Small/Mid Cap Value Fund. The Fund then honored the redemption requests by distributing to redeeming shareholders shares of equal value in the GMO U.S. Small/Mid Cap Value Fund. The preceding events are hereafter referred to as (the "Redemption Transaction"). Because for tax and accounting purposes the GMO U.S. Small/Mid Cap Value Fund is treated as a continuation of the Fund's prior operations, for accounting and tax purposes the Fund itself is deemed to have commenced operations on the date of the Redemption Transaction. On the date of the Redemption Transaction, the shareholders who opted not to redeem from the Fund were deemed to have contributed securities in-kind to the Fund with an accounting and tax basis equal to fair market value. Therefore, the Statement of Operations, Statement of Changes in Net Assets and Financial Highlights are shown for the period from September 16, 2005 through February 28, 2006.

2. Significant accounting policies

Portfolio valuation

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 28, 2006

maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of mutual funds are valued at their net asset value. 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 other persons acting at their direction.

Futures contracts

Swap agreements

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 28, 2006

Repurchase agreements

Securities lending

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 28, 2006

Taxes

Prior to the close of business on September 16, 2005, the Fund qualified as a regulated investment company. Subsequent to the Redemption Transaction, all Fund tax attributes relating to the time periods prior to September 16, 2005 transferred to GMO U.S. Small/Mid Cap Value Fund. After the close of business on September 16, 2005, the Fund elected to be treated as a partnership for federal income tax purposes. As a partnership, the Fund will not be subject to federal and state income tax. Instead, each shareholder is responsible for the tax liability or benefit related to his/her allocable share of taxable income or loss. Accordingly, no provision (benefit) for federal or state income taxes is reflected in the accompanying financial statements.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	3,029,269			$	220,157			$	(135,233	)		$	84,924

Security transactions and related investment income

Expenses

Purchases and redemptions of Fund shares

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 28, 2006

and redemption fees are paid to and recorded by the Fund as paid-in capital. For the period ended February 28, 2006 the Fund received $0 and $0 in purchase premiums and redemption fees, respectively. There is no premium for reinvested distributions or in-kind transactions.

3. Fees and other transactions with affiliates

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the period ended February 28, 2006 was $2,316 and $28, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended February 28, 2006 aggregated $3,800,621 and $897,265, respectively.

5. Guarantees

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 28, 2006

6. Principal shareholder and related party

As of February 28, 2006, 89.4% of the outstanding shares of the Fund were held by one shareholder. Investment activities of this shareholder may have a material effect on the Fund.

As of February 28, 2006, 0.7% of the Fund's shares were held by GMO.

7. Share transactions

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

	Period from September 16, 2005 through February 28, 2006
Class III:	Shares		Amount
Shares issued for in-kind transaction		245,909	$	2,965,344
Net increase (decrease)		245,909	$	2,965,344

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Small/Mid Cap Value Fund (formerly GMO Small Cap Value Fund)

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Small/Mid Cap Value Fund (formerly GMO Small Cap Value Fund) (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the period from September 16, 2005 to February 28, 2006, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

As described in Note 1 to the financial statements, GMO U.S. Small/Mid Cap Value Fund was the successor to the Fund for accounting purposes for all periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO Small/Mid Cap Value Fund

(formerly GMO Small Cap Value Fund)
(A Series of GMO Trust)
Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the period ended February 28, 2006.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 16, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.49	%	$	1,000.00	$	1,043.10	$	2.26
2) Hypothetical		0.49	%	$	1,000.00	$	1,020.39	$	2.24

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO Growth Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO Growth Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Since September 16, 2005, the Class III shares of the GMO Growth Fund returned +3.3% for the fiscal period ended February 28, 2006, as compared to +4.3% for the Russell 1000 Growth Index for the same period. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in U.S. equity securities throughout the period.

Sector selection detracted from portfolio performance for the period. Overall relative returns were hindered by an overweight position in the health care sector as well as an underweight position in transportation. The largest sources of positive performance came from an overweight position in oil & gas, and underweight positions in food & beverage and manufacturing.

Stock selection was also negative for the year, although the portfolio benefited from robust selections among health care issues. Stocks that detracted from relative performance included technology and oil & gas securities.

During the period, both the momentum and valuation stock selection strategies detracted from overall relative performance.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Performance for different classes will vary due to different fees. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† See Note 1 to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.2	%
Short-Term Investment(s)		2.9
Rights and Warrants		0.0
Other		(0.1	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		28.2	%
Technology		25.1
Retail Stores		14.2
Consumer Goods		7.5
Financial		7.5
Machinery		3.5
Services		3.2
Oil & Gas		2.9
Food & Beverage		2.4
Utility		2.2
Construction		0.9
Manufacturing		0.9
Automotive		0.7
Transportation		0.7
Metals & Mining		0.1
		100.0	%

GMO Growth Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 97.2%
		Automotive — 0.7%
	1,100	Harley-Davidson, Inc.		57,761
	200	Johnson Controls, Inc.		14,254
	600	Oshkosh Truck Corp.		34,038
				106,053
		Construction — 0.8%
	400	D.R. Horton, Inc.		13,644
	400	Jacobs Engineering Group, Inc. ^*		34,296
	400	KB Home		26,812
	200	Lennar Corp.-Class A		11,972
	300	Martin Marietta Materials, Inc.		29,250
	200	Ryland Group, Inc.		13,950
				129,924
		Consumer Goods — 7.2%
	11,200	Altria Group, Inc.		805,280
	1,500	Bebe Stores, Inc.		25,755
	300	Black & Decker Corp.		25,674
	600	Coach, Inc. ^*		21,432
	600	Colgate-Palmolive Co.		32,688
	100	Columbia Sportswear Co. ^*		5,036
	200	HNI Corp.		11,658
	700	Maytag Corp.		12,040
	500	Mohawk Industries, Inc. ^*		43,255
	200	Nike, Inc.		17,356
	1,700	Procter & Gamble Co.		101,881
	300	Whirlpool Corp.		26,937
				1,128,992
		Financial — 7.3%
	3,600	Aflac, Inc.		166,500
	400	AMBAC Financial Group, Inc.		30,060

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	2,600	American International Group, Inc.		172,536
	200	CB Richard Ellis Group, Inc.-Class A ^*		13,736
	13,200	Charles Schwab Corp. (The)		213,972
	200	Chubb Corp.		19,150
	900	Eaton Vance Corp.		25,362
	400	Equifax, Inc.		14,656
	300	Fair Isaac Corp.		12,786
	2,100	Fannie Mae		114,828
	500	Franklin Resources, Inc.		51,340
	100	Goldman Sachs Group, Inc.		14,129
	700	Legg Mason, Inc.		91,413
	400	Lehman Brothers Holdings, Inc.		58,380
	1,000	Marsh & McLennan Cos., Inc.		30,910
	300	Mellon Financial Corp.		10,827
	100	Progressive Corp. (The)		10,745
	200	Radian Group, Inc.		11,350
	200	State Street Corp.		12,496
	2,600	TD Ameritrade Holding Corp.		56,576
				1,131,752
		Food & Beverage — 2.4%
	4,000	Coca-Cola Co. (The)		167,880
	300	Dean Foods Co. ^*		11,241
	3,200	PepsiCo, Inc.		189,152
				368,273
		Health Care — 27.4%
	2,600	Abbott Laboratories		114,868
	3,800	Aetna, Inc.		193,800
	900	Allergan, Inc.		97,434
	800	American Pharmaceutical Partners, Inc. ^*		24,192
	1,000	AmerisourceBergen Corp.		45,990
	1,200	Amgen, Inc. ^*		90,588
	1,000	Barr Pharmaceuticals, Inc. ^*		67,180

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Health Care — continued
	2,600	Cardinal Health, Inc.		188,760
	300	Caremark Rx, Inc. ^*		14,925
	1,200	Cerner Corp. ^*		49,956
	300	Cigna Corp.		36,825
	500	Coventry Health Care, Inc. ^*		29,810
	2,700	Express Scripts, Inc. ^*		235,629
	2,600	Forest Laboratories, Inc. ^*		119,340
	3,500	Genentech, Inc. ^*		299,915
	900	Gilead Sciences, Inc. ^*		56,043
	2,300	HCA, Inc.		110,170
	1,200	Health Net, Inc. ^*		57,540
	400	Hospira, Inc. ^*		15,880
	400	Humana, Inc. ^*		20,668
	300	Invitrogen Corp. ^*		21,279
	1,000	Johnson & Johnson		57,650
	1,700	Lincare Holdings, Inc. ^*		69,530
	3,400	McKesson Corp.		184,042
	1,200	Medco Health Solutions, Inc. ^*		66,864
	400	Medtronic, Inc.		21,580
	14,100	Merck & Co., Inc.		491,526
	600	Omnicare, Inc.		36,510
	14,300	Pfizer, Inc.		374,517
	600	Pharmaceutical Product Development, Inc.		41,754
	300	Respironics, Inc. ^*		10,908
	1,300	St. Jude Medical, Inc. ^*		59,280
	600	Stryker Corp.		27,732
	14,200	UnitedHealth Group, Inc.		826,866
	300	Universal Health Services, Inc.-Class B		15,069
	1,800	Wyeth		89,640
				4,264,260
		Machinery — 3.4%
	1,100	Baker Hughes, Inc.		74,767
	900	BJ Services Co.		28,179

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Machinery — continued
	3,700	Caterpillar, Inc.		270,396
	400	Cooper Cameron Corp. ^*		16,200
	600	Grant Prideco, Inc. ^*		24,282
	1,100	Halliburton Co.		74,800
	300	Joy Global, Inc.		15,468
	700	Smith International, Inc.		27,111
				531,203
		Manufacturing — 0.9%
	1,600	General Electric Co.		52,592
	400	ITT Industries, Inc.		21,000
	100	Mine Safety Appliances Co.		3,985
	200	Precision Castparts Corp.		10,608
	400	Timken Co.		11,472
	600	United Technologies Corp.		35,100
				134,757
		Metals & Mining — 0.1%
	200	CONSOL Energy, Inc.		12,804
		Oil & Gas — 2.8%
	1,500	Burlington Resources, Inc.		135,270
	2,100	EOG Resources, Inc.		141,540
	200	Exxon Mobil Corp.		11,874
	700	Frontier Oil Corp.		32,375
	400	Helmerich & Payne, Inc.		26,308
	1,400	Patterson-UTI Energy, Inc.		38,570
	300	Sunoco, Inc.		22,230
	200	Tesoro Corp.		12,082
	200	Unit Corp. ^*		10,634
	200	Valero Energy Corp.		10,758
				441,641

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Retail Stores — 13.8%
	1,300	Advance Auto Parts ^*		53,755
	400	Autozone, Inc. ^*		38,672
	3,000	Bed Bath & Beyond, Inc. ^*		108,120
	1,300	Chico's FAS, Inc. ^*		61,165
	2,600	Dollar General Corp.		45,292
	1,200	Dollar Tree Stores, Inc. ^*		32,904
	400	eBay, Inc. ^*		16,024
	300	Fastenal Co.		13,173
	18,100	Home Depot, Inc.		762,915
	200	JC Penney Co., Inc.		11,728
	3,300	Kroger Co. ^*		66,132
	6,300	Lowe's Cos., Inc.		429,534
	300	Men's Wearhouse, Inc. ^*		9,396
	2,300	Nordstrom, Inc.		87,400
	900	O'Reilly Automotive, Inc. ^*		29,448
	1,400	Rent-A-Center, Inc. ^*		32,676
	800	Target Corp.		43,520
	300	Tiffany & Co.		11,139
	1,500	TJX Cos., Inc.		36,735
	1,700	Walgreen Co.		76,262
	4,000	Wal-Mart Stores, Inc.		181,440
				2,147,430
		Services — 3.1%
	900	Applebee's International, Inc.		20,826
	600	Brinker International, Inc.		24,990
	1,000	Cablevision Systems Corp.-Class A ^*		26,250
	400	Copart, Inc. ^*		10,336
	1,500	Darden Restaurants, Inc.		62,910
	300	Getty Images, Inc. ^*		24,309
	600	Marriott International, Inc.-Class A		41,040
	1,000	McDonald's Corp.		34,910
	700	McGraw-Hill, Inc.		37,163
	300	Moody's Corp.		20,100

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Services — continued
	400	Outback Steakhouse, Inc.		16,724
	200	Panera Bread Co.-Class A ^*		14,172
	500	Robert Half International, Inc.		17,960
	700	Sonic Corp. ^*		22,127
	200	Starwood Hotels & Resorts Worldwide, Inc.		12,700
	500	Sysco Corp.		15,045
	1,300	Wendy's International, Inc.		75,270
	300	Yum! Brands, Inc.		14,310
				491,142
		Technology — 24.4%
	800	Adobe Systems, Inc.		30,896
	400	ADTRAN, Inc.		11,008
	500	Affiliated Computer Services, Inc.-Class A ^*		31,460
	3,000	Agilent Technologies, Inc. ^*		108,000
	600	Alliance Data Systems Corp. ^*		25,956
	1,400	American Power Conversion Corp.		28,602
	1,300	Apple Computer, Inc. ^*		89,102
	1,700	Applied Materials, Inc.		31,178
	1,100	Autodesk, Inc.		41,415
	1,800	BEA Systems, Inc. ^*		20,646
	800	Boeing Co.		58,152
	1,950	Broadcom Corp.-Class A ^*		87,925
	1,600	CNET Networks, Inc. ^*		22,144
	200	Cognizant Technologies Solutions Corp. ^*		11,522
	400	Comverse Technology, Inc. ^*		11,504
	4,100	Corning, Inc. ^*		100,081
	18,100	Dell, Inc. ^*		524,900
	600	Emulex Corp. ^*		10,680
	2,000	First Data Corp.		90,260
	900	Fiserv, Inc. ^*		37,350
	100	General Dynamics Corp.		12,327
	400	Global Payments, Inc.		20,824
	1,300	Goodrich Corp.		54,392

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	400	Google, Inc.-Class A ^*		145,048
	1,100	Harris Corp.		50,248
	300	Ingram Micro, Inc.-Class A ^*		5,934
	31,500	Intel Corp.		648,900
	2,100	International Business Machines Corp.		168,504
	500	International Rectifier Corp. ^*		18,550
	500	Intersil Corp.-Class A		14,170
	600	Lexmark International, Inc. ^*		28,254
	1,500	Lockheed Martin Corp.		109,305
	300	Microsoft Corp.		8,070
	17,100	Motorola, Inc.		365,940
	600	National Semiconductor Corp.		16,830
	1,700	Nvidia Corp. ^*		80,121
	1,200	Paychex, Inc.		48,060
	1,400	Qualcomm, Inc.		66,094
	300	Rockwell Collins, Inc.		15,945
	15,300	Texas Instruments, Inc.		456,705
	600	Total System Services, Inc.		11,760
	300	W.W. Grainger, Inc.		22,212
	1,000	Western Digital Corp. ^*		22,250
	1,300	Yahoo!, Inc. ^*		41,678
				3,804,902
		Transportation — 0.7%
	1,100	AMR Corp. ^*		27,610
	700	C.H. Robinson Worldwide, Inc.		31,374
	200	CNF, Inc.		10,036
	200	FedEx Corp.		21,448
	400	Landstar System, Inc.		18,636
				109,104
		Utility — 2.2%
	300	Alltel Corp.		18,945
	1,300	Kinder Morgan, Inc.		120,614

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		Utility — continued
	2,800	Nextel Partners, Inc.-Class A ^*		78,568
	1,200	NII Holdings, Inc.-Class B ^*		61,464
	200	Questar Corp.		14,650
	800	TXU Corp.		41,912
				336,153
		TOTAL COMMON STOCKS (COST $14,698,457)		15,138,390
		RIGHTS AND WARRANTS — 0.0%
		Utility — 0.0%
	100	Lucent Technologies, Inc. Warrants, Expires 12/10/2007 ^*		58
		TOTAL RIGHTS AND WARRANTS (COST $0)		58
		SHORT-TERM INVESTMENT(S) — 2.9%
	449,550	Citigroup Global Markets Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $449,588, and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity date of 2/15/36, and a market value, including accrued interest, of $458,541.		449,550
		TOTAL SHORT-TERM INVESTMENT(S) (COST $449,550)		449,550
		TOTAL INVESTMENTS — 100.1% (Cost $15,148,007)		15,587,998
		Other Assets and Liabilities (net) — (0.1%)		(22,701	)
		TOTAL NET ASSETS — 100.0%	$	15,565,297

Notes to Schedule of Investments:

* Non-income producing security.

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value (cost $15,148,007) (Note 2)	$	15,587,998
Dividends and interest receivable		12,292
Receivable for expenses reimbursed by Manager (Note 3)		25,176
Total assets		15,625,466
Liabilities:
Payable to affiliate for (Note 3):
Management fee		3,943
Shareholder service fee		1,776
Administration fee – Class M		23
Trustees and Chief Compliance Officer fees		47
Payable for 12b-1 fee – Class M		62
Accrued expenses		54,318
Total liabilities		60,169
Net assets	$	15,565,297
Net assets consist of:
Net capital⁽¹⁾	$	15,125,306
Net unrealized appreciation		439,991
	$	15,565,297
Net assets attributable to:
Class III shares	$	15,419,341
Class M shares	$	145,956
Shares outstanding:
Class III		824,369
Class M		7,848
Net asset value per share:
Class III	$	18.70
Class M	$	18.60

⁽¹⁾ Net capital includes net investment income (loss) and net realized gain (loss) on investments.

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)

Statement of Operations — Period from September 16, 2005 through February 28, 2006

Investment Income:
Dividends	$	78,334
Interest		6,723
Total investment income		85,057
Expenses:
Management fee (Note 3)		22,809
Shareholder service fee – Class III (Note 3)		10,263
12b-1 fee – Class M (Note 3)		178
Administration fee – Class M (Note 3)		140
Custodian, fund accounting agent and transfer agent fees		27,088
Audit and tax fees		23,058
Legal fees		1,501
Trustees fees and related expenses (Note 3)		3,613
Registration fees		1,084
Miscellaneous		290
Total expenses		90,024
Fees and expenses reimbursed by Manager (Note 3)		(56,242	)
Net expenses		33,782
Net investment income (loss)		51,275
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		10,997
Net realized gain (loss)		10,997
Change in net unrealized appreciation (depreciation) on:
Investments		439,991
Net unrealized gain (loss)		439,991
Net realized and unrealized gain (loss)		450,988
Net increase (decrease) in net assets resulting from operations	$	502,263

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Period from September 16, 2005 through February 28, 2006
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	51,275
Net realized gain (loss)		10,997
Change in net unrealized appreciation (depreciation)		439,991
Net increase (decrease) in net assets from operations		502,263
Net share transactions (Note 7):
Class III		14,920,741
Class M		142,293
Increase (decrease) in net assets resulting from net share transactions		15,063,034
Total increase (decrease) in net assets		15,565,297
Net assets:
Beginning of period		—
End of period	$	15,565,297

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)

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

	Period from September 16, 2005 through February 28, 2006
Net asset value, beginning of period	$	18.10
Income (loss) from investment operations:
Net investment income (loss)^†		0.06
Net realized and unrealized gain (loss)		0.54
Total from investment operations		0.60
Net asset value, end of period	$	18.70
Total Return^(a)		3.31	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	15,419
Net expenses to average daily net assets		0.49	%^*
Net investment income to average daily net assets		0.75	%^*
Portfolio turnover rate		37	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.81	%^*

(a) The total returns would have been lower had certain expenses not been reimbursed during the periods shown.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)

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

	Period from September 16, 2005 through February 28, 2006
Net asset value, beginning of period	$	18.02
Income (loss) from investment operations:
Net investment income (loss)^†		0.03
Net realized and unrealized gain (loss)		0.55
Total from investment operations		0.58
Net asset value, end of period	$	18.60
Total Return^(a)		3.22	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	146
Net expenses to average daily net assets		0.79	%^*
Net investment income to average daily net assets		0.41	%^*
Portfolio turnover rate		37	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.81	%^*

(a) The total return would have been lower had certain expenses not been reimbursed during the periods shown.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO Growth Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. 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 a series of shares into classes.

The Fund seeks long-term capital growth. The Fund's benchmark is the Russell 1000 Growth Index.

On September 16, 2005, shareholders of the Fund holding 97.7% of the Fund's then outstanding shares requested redemption of their shares. On the same day, the Fund transferred assets and liabilities (representing on a net basis 97.7% of the Fund's net assets) to GMO U.S. Growth Fund, a newly organized fund, with investment objectives similar to the Fund's, in consideration for newly issued shares of GMO U.S. Growth Fund. The Fund then honored the redemption requests by distributing to redeeming shareholders shares of equal value in the GMO U.S. Growth Fund. The preceding events are hereafter referred to as (the "Redemption Transaction"). Because for tax and accounting purposes the GMO U.S. Growth Fund is treated as a continuation of the Fund's prior operations, for accounting and tax purposes the Fund itself is deemed to have commenced operations on the date of the Redemption Transaction. On the date of the Redemption Transaction, the shareholders who opted not to redeem from the Fund were deemed to have contributed securities in-kind to the Fund with an accounting and tax basis equal to fair market value. Therefore, the Statement of Operations, Statement of Changes in Net Assets and Financial Highlights are shown for the period from September 16, 2005 through February 28, 2006.

For the period from September 16, 2005 through February 28, 2006, the Fund had two classes of shares outstanding: Class III and Class M. Class M shares bear an administrative fee and a 12b-1 fee, while Class III shares bear a shareholder service fee (See Note 3). The principal economic difference between the classes of shares is the type and level of fees borne by the classes.

2. Significant accounting policies

GMO Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Portfolio valuation

Futures contracts

Swap agreements

GMO Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Repurchase agreements

Securities lending

GMO Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Taxes

Prior to the close of business on September 16, 2005, the Fund qualified as a regulated investment company. Subsequent to the Redemption Transaction, all Fund tax attributes relating to the time periods prior to September 16, 2005 transferred to GMO U.S. Growth Fund. After the close of business on September 16, 2005, the Fund elected to be treated as a partnership for federal income tax purposes. As a partnership, the Fund will not be subject to federal and state income tax. Instead, each shareholder is responsible for the tax liability or benefit related to his/her allocable share of taxable income or loss. Accordingly, no provision (benefit) for federal or state income taxes is reflected in the accompanying financial statements.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	15,151,997			$	908,605			$	(472,604	)		$	436,001

Security transactions and related investment income

Allocation of operating activity

The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, 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 pro rata between 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.

GMO Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

3. Fees and other transactions with affiliates

Class M shares of the Fund pay GMO an administration fee monthly at the annual rate of 0.20% of the average daily Class M net assets for support services provided to Class M shareholders.

Fund Distributors, Inc. (the "Distributor") serves as the Fund's distributor. Pursuant to a Rule 12b-1 distribution and service plan adopted by the Fund, Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily Class M net assets for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or the provision of certain other services incidental thereto. The Trustees currently limit payments on Class M shares to 0.25% of the Funds average daily net asset value attributable to its Class M shares. This fee may be spent by the Distributor on personal services rendered to Class M shareholders of the Fund and/or maintenance of Class M shareholder accounts.

GMO has entered into a binding agreement effective until at least May 31, 2006 to reimburse the Fund to the extent that the Fund's total annual operating expenses (excluding shareholder service fees (Class III only), administration fees (Class M only), 12b-1 fees (Class M only), fees and expenses of the Chief Compliance Officer ("CCO") and independent Trustees (including legal fees), brokerage commissions and other investment-related costs, hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes), securities lending fees and expenses, interest expense and transfer taxes) exceed 0.33% of the average daily net assets.

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the period ended February 28, 2006 was $577 and $90, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended February 28, 2006 aggregated $20,202,555 and $5,515,095, respectively.

5. Guarantees

GMO Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. Based on experience, management is of the view that the risk of loss in connection with these potential indemnification obligations is remote; however, there can be no assurance that material liabilities related to such obligations will not arise in the future that could adversely impact the Fund.

6. Principal shareholder and related party

As of February 28, 2006, 89.0% of the outstanding shares of the Fund were held by one shareholder. Investment activities of this shareholder may have a material effect on the Fund.

As of February 28, 2006, 0.1% of the Fund's shares were held by GMO.

7. Share transactions

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

	Period from September 16, 2005 through February 28, 2006
Class III:	Shares			Amount
Shares issued for in-kind transaction		824,369		$	14,920,741
Net increase (decrease)		824,369		$	14,920,741
	Period from September 16, 2005 through February 28, 2006
Class M:	Shares			Amount
Shares issued for in-kind transaction		10,066		$	181,381
Shares repurchased		(2,218	)		(39,088	)
Net increase (decrease)		7,848		$	142,293

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Growth Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Growth Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the period from September 16, 2005 to February 28, 2006, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

As described in Note 1 to the financial statements, GMO U.S. Growth Fund was the successor to the Fund for accounting purposes for all periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO Growth Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the period ended February 28, 2006.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 16, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.49	%	$	1,000.00	$	1,033.10	$	2.25
2) Hypothetical		0.49	%	$	1,000.00	$	1,020.39	$	2.24
Class M
1) Actual		0.79	%	$	1,000.00	$	1,032.20	$	3.63
2) Hypothetical		0.79	%	$	1,000.00	$	1,019.03	$	3.61

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO U.S. Small/Mid Cap Value Fund returned +11.7% for the fiscal year ended February 28, 2006, as compared to +15.9% for the Russell 2500 Value Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in U.S. equity securities throughout the period.

Sector selection detracted from relative performance for the period. The portfolio benefited from overweight positions in health care, retail stores, and construction, as well as an underweight position in primary process industry. Detractors included an underweight position in technology and an overweight position in automotive.

Stock selection also detracted from the portfolio's overall performance. Selections among transportation, retail stores, oil & gas, and services issues were robust for the period. Meanwhile, selections within construction and financial securities underperformed for the period.

For the fiscal year, the portfolio's valuation stock selection strategies detracted from relative performance, while the momentum selection strategy added value.

* The Russell 2500 Value + Index is comprised of the Russell 2500 Index from 12/31/91 to 12/31/96 and the Russell 2500 Value Index from 12/31/96 to the present.

† The Fund is the successor to the GMO Small/Mid Cap Value Fund, therefore, performance for the periods prior to September 16, 2005 is that of GMO Small/Mid Cap Value Fund.

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.6	%
Short-Term Investment(s)		28.4
Futures		0.0
Other		(25.0	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Financial		23.9	%
Construction		17.9
Retail Stores		8.5
Technology		8.1
Health Care		8.0
Services		6.9
Utility		6.3
Consumer Goods		4.9
Automotive		2.9
Manufacturing		2.3
Primary Process Industry		2.2
Oil & Gas		2.1
Transportation		2.1
Food & Beverage		2.0
Machinery		1.4
Metals & Mining		0.5
		100.0	%

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 96.6%
		Automotive — 2.8%
	2,200	Aftermarket Technology Corp. ^*		47,740
	6,600	American Axle & Manufacturing Holdings, Inc.		107,052
	12,250	ArvinMeritor, Inc. ^(a)		205,065
	300	Bandag, Inc.		12,831
	2,700	BorgWarner, Inc.		150,579
	3,000	Cooper Tire & Rubber Co.		44,700
	20,900	Goodyear Tire & Rubber Co. (The) ^{* (a)}		299,497
	8,300	Lear Corp. ^(a)		173,138
	1,800	Navistar International Corp. ^*		52,830
	3,500	Superior Industries International, Inc. ^(a)		75,425
	3,600	Tenneco Automotive, Inc. ^*		81,540
	6,600	TRW Automotive Holdings Corp. ^{* (a)}		168,960
	14,100	Visteon Corp. ^{* (a)}		65,706
				1,485,063
		Construction — 17.3%
	3,900	Aames Investment Corp. REIT ^(a)		22,464
	3,900	AMB Property Corp. REIT		209,235
	10,700	American Home Mortgage Acceptance Corp. REIT ^(a)		304,950
	1,090	American Woodmark Corp.		37,060
	42,100	Annaly Mortgage Management, Inc. REIT ^(a)		494,675
	17,100	Anthracite Capital, Inc. REIT		183,312
	23,000	Anworth Mortgage Asset Corp. REIT		172,730
	3,400	Apartment Investment & Management Co. ^(a)		150,654
	5,200	Beazer Homes USA, Inc.		329,940
	2,900	BRE Properties, Inc.		157,673
	9,751	Capstead Mortgage Corp. REIT		68,159
	3,200	CBL & Associates Properties, Inc. REIT		136,320
	3,300	Cousins Properties, Inc. REIT		101,211
	4,600	EMCOR Group, Inc. ^*		200,514
	1,700	Equity Lifestyle Properties, Inc. REIT		81,073
	1,400	Essex Property Trust, Inc. REIT ^(a)		139,510

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)
February 28, 2006

Shares		Description	Value ($)
		Construction — continued
	1,700	Federal Realty Investment Trust		118,473
	6,800	FelCor Lodging Trust, Inc. REIT		134,980
	3,600	Heritage Property Investment Trust REIT		138,096
	4,900	Highwoods Properties, Inc. REIT		158,515
	4,600	Hovnanian Enterprises, Inc. ^{* (a)}		212,106
	900	Jacobs Engineering Group, Inc. ^*		77,166
	5,600	KB Home ^(a)		375,368
	3,040	Kilroy Realty Corp. REIT		227,453
	2,458	Lafarge North America, Inc. ^(a)		203,694
	1,700	Lennox International, Inc.		54,655
	1,400	Louisiana-Pacific Corp.		39,802
	1,200	LSI Industries, Inc.		18,648
	2,500	M/I Schottenstein Homes, Inc.		105,300
	1,100	Martin Marietta Materials, Inc.		107,250
	6,124	MDC Holdings, Inc.		375,340
	3,200	Meritage Homes Corp. ^{* (a)}		187,296
	36,966	MFA Mortgage Investments, Inc. REIT		218,839
	1,400	Mid-America Apartment Communities, Inc. REIT		76,020
	1,700	Monaco Coach Corp.		24,327
	2,900	National Health Investors, Inc. REIT		77,198
	12,300	New Century Financial Corp. ^(a)		476,625
	400	NVR, Inc. ^*		301,200
	1,900	Pan Pacific Retail Properties, Inc. REIT ^(a)		131,499
	800	Perini Corp. ^*		24,312
	3,800	Quanta Services, Inc. ^{* (a)}		52,022
	4,200	RAIT Investment Trust REIT		114,660
	2,600	Rayonier Inc. REIT		112,060
	1,400	Regency Centers Corp. REIT		90,300
	5,400	Ryland Group, Inc. ^(a)		376,650
	8,100	Standard-Pacific Corp. ^(a)		266,085
	2,700	Technical Olympic USA, Inc.		57,186
	27,900	Thornburg Mortgage, Inc. REIT ^(a)		724,563
	2,500	Universal Forest Products, Inc.		154,575
	6,300	USG Corp. ^{* (a)}		532,224
	1,100	Washington Group International, Inc.		64,207
	2,000	WCI Communities, Inc. ^*		50,480
				9,248,654

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)
February 28, 2006

Shares		Description	Value ($)
		Consumer Goods — 4.7%
	5,200	Blyth, Inc.		115,856
	4,600	Columbia Sportswear Co. ^{* (a)}		231,656
	4,700	Ethan Allen Interiors, Inc.		191,337
	2,500	Fossil, Inc. ^*		42,550
	8,190	Furniture Brands International, Inc. ^(a)		202,457
	4,600	Jones Apparel Group, Inc.		133,032
	3,300	Kellwood Co. ^(a)		84,942
	1,500	K-Swiss, Inc.-Class A		43,770
	6,300	La-Z-Boy, Inc. ^(a)		100,485
	11,000	Liz Claiborne, Inc.		396,330
	700	Matthews International Corp.-Class A		25,998
	8,100	Maytag Corp.		139,320
	3,100	Multimedia Games, Inc. ^{* (a)}		32,829
	2,800	Russell Corp.		39,984
	2,700	Snap-On, Inc. ^(a)		105,084
	1,700	Stanley Furniture Co., Inc.		43,350
	1,946	Steven Madden, Ltd.		62,369
	5,300	Timberland Co.-Class A ^*		185,765
	5,300	Tupperware Corp.		112,307
	4,600	Universal Corp.		187,082
	1,000	Vector Group, Ltd. ^(a)		18,610
	1,450	Wolverine World Wide, Inc.		31,987
				2,527,100
		Financial — 23.1%
	300	Amerco ^*		26,652
	5,900	American Capital Strategies, Ltd.		210,630
	11,400	American Financial Group, Inc.		471,960
	600	American Physicians Capital, Inc. ^*		29,574
	5,100	AmeriCredit Corp. ^{* (a)}		150,450
	6,300	AmerUs Group Co.		379,575
	1,000	Argonaut Group, Inc. ^*		36,520
	4,500	Arthur J. Gallagher & Co. ^(a)		132,705
	8,900	Associated Banc Corp.		306,783

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)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	8,950	Astoria Financial Corp.		256,596
	3,400	Bancorpsouth, Inc.		81,668
	1,100	Central Pacific Financial Corp.		40,700
	300	Ceres Group, Inc. ^*		1,623
	5,400	Commerce Group, Inc.		291,654
	600	Cullen/Frost Bankers, Inc.		33,072
	4,098	Delphi Financial Group, Inc.-Class A		213,424
	700	Dollar Thrifty Automotive Group, Inc. ^*		28,266
	1,000	Downey Financial Corp. ^(a)		63,550
	5,300	Erie Indemnity Co.-Class A		281,271
	15,416	First American Corp.		649,939
	600	First Citizens BancShares, Inc.-Class A		112,296
	875	First Indiana Corp.		24,141
	900	FirstFed Financial Corp. ^{* (a)}		54,009
	8,800	Flagstar Bancorp, Inc.		135,960
	1,300	FNB Corp., PA		21,437
	800	FPIC Insurance Group, Inc. ^*		28,112
	8,000	Fremont General Corp. ^(a)		189,760
	27,500	Friedman Billings Ramsey Group, Inc.-Class A ^(a)		273,900
	2,000	GATX Corp.		79,400
	6,000	Genworth Financial, Inc.-Class A		190,920
	3,900	Hanover Insurance Group (The), Inc.		188,955
	7,350	HCC Insurance Holdings, Inc. ^(a)		236,597
	1,000	Horace Mann Educators Corp.		18,650
	28,111	IMPAC Mortgage Holdings, Inc. REIT ^(a)		233,602
	4,900	IndyMac Bancorp, Inc.		190,218
	1,800	Investors Financial Services Corp.		81,198
	3,400	Irwin Financial Corp.		68,136
	700	ITLA Capital Corp. ^*		32,396
	4,073	Kansas City Life Insurance Co.		205,279
	3,400	Landamerica Financial Group, Inc.		226,780
	1,600	Leucadia National Corp. ^(a)		86,800
	2,000	MAF Bancorp, Inc.		85,720
	500	Mercury General Corp.		27,950

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)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	1,100	Nasdaq Stock Market, Inc. ^{* (a)}		44,561
	5,500	Nationwide Financial Services, Inc.-Class A		235,730
	8,457	Novastar Financial, Inc. REIT ^(a)		259,207
	900	Odyssey Re Holdings Corp. ^(a)		21,132
	2,000	Ohio Casualty Corp.		61,220
	14,875	Old Republic International Corp.		316,689
	1,500	Phoenix Cos. (The), Inc.		21,525
	3,800	PMA Capital Corp.-Class A ^*		36,556
	12,110	PMI Group (The), Inc. ^(a)		524,363
	1,600	Pre-Paid Legal Services, Inc. ^(a)		57,776
	900	ProAssurance Corp. ^*		46,161
	9,800	Protective Life Corp.		477,750
	5,700	Radian Group, Inc.		323,475
	1,400	Raymond James Financial, Inc. ^(a)		60,172
	7,800	Redwood Trust, Inc. REIT ^(a)		323,388
	8,900	Reinsurance Group of America, Inc.		411,447
	600	RLI Corp.		31,632
	500	Safety Insurance Group, Inc.		21,615
	3,900	Saxon Capital, Inc. REIT		38,805
	1,100	Selective Insurance Group, Inc.		59,642
	7,900	StanCorp Financial Group, Inc.		427,390
	3,400	Stewart Information Services Corp. ^(a)		159,630
	1,500	Student Loan Corp.		329,235
	4,700	TCF Financial Corp.		119,192
	200	Transatlantic Holdings, Inc.		12,228
	3,200	Triad Guaranty, Inc. ^*		145,248
	2,900	Trustmark Corp.		87,435
	2,300	UICI		84,387
	3,000	United Fire & Casualty Co.		107,370
	2,300	United Rentals, Inc. ^{* (a)}		74,980
	800	Unitrin, Inc.		38,680
	2,400	Universal American Financial Corp. ^*		36,360
	7,427	Washington Federal, Inc.		175,723
	3,200	Webster Financial Corp.		150,880

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)
February 28, 2006

Shares		Description	Value ($)
		Financial — continued
	1,200	Westcorp		86,220
	1,700	Wilmington Trust Corp.		72,777
	5,700	WR Berkley Corp.		329,973
	900	Zenith National Insurance Corp.		46,348
				12,335,730
		Food & Beverage — 1.9%
	4,300	Chiquita Brands International, Inc. ^(a)		74,046
	2,100	Flowers Foods, Inc.		57,750
	2,700	Molson Coors Brewing Co.-Class B		169,425
	3,300	NBTY, Inc. ^*		72,270
	1,250	Sanderson Farms, Inc.		29,150
	188	Seaboard Corp.		280,872
	6,800	Smithfield Foods, Inc. ^*		179,724
	12,100	Tyson Foods, Inc.-Class A		163,713
				1,026,950
		Health Care — 7.8%
	2,200	Albany Molecular Research Inc. ^*		22,198
	4,200	Apria Healthcare Group ^*		96,558
	4,400	BioScrip, Inc. ^*		31,548
	2,200	Community Health Systems, Inc. ^*		83,424
	1,000	DENTSPLY International, Inc.		56,990
	12,700	Health Net, Inc. ^*		608,965
	2,900	Henry Schein, Inc. ^*		135,285
	900	Hologic, Inc. ^*		43,047
	3,900	Humana, Inc. ^*		201,513
	1,200	ICU Medical, Inc. ^*		42,120
	2,100	Idexx Laboratories, Inc. ^*		165,018
	1,200	Invacare Corp.		37,572
	1,200	Invitrogen Corp. ^*		85,116
	1,300	Kindred Healthcare, Inc. ^{* (a)}		28,106
	25,000	King Pharmaceuticals, Inc. ^*		406,250
	9,400	Lincare Holdings, Inc. ^*		384,460

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)
February 28, 2006

Shares		Description	Value ($)
		Health Care — continued
	6,000	Omnicare, Inc.		365,100
	6,300	Owens & Minor, Inc.		200,907
	5,700	Pharmaceutical Product Development, Inc.		396,663
	1,400	RehabCare Group, Inc. ^*		28,252
	3,500	ResMed, Inc. ^*		142,065
	2,200	Sunrise Senior Living, Inc. ^{* (a)}		78,012
	3,300	Techne Corp. ^*		196,251
	800	Triad Hospitals, Inc. ^*		34,448
	4,180	Universal Health Services, Inc.-Class B		209,961
	1,700	Watson Pharmaceuticals, Inc. ^*		50,966
				4,130,795
		Machinery — 1.3%
	3,100	AGCO Corp. ^*		60,605
	800	Cummins, Inc. ^(a)		86,624
	3,000	Flowserve Corp. ^*		154,200
	1,200	Gulfmark Offshore, Inc. ^*		32,904
	700	Lufkin Industries, Inc.		36,232
	1,200	NACCO Industries, Inc.-Class A		166,560
	1,800	Oil States International, Inc. ^{* (a)}		62,154
	1,875	RPC, Inc.		39,731
	800	Terex Corp. ^*		63,320
				702,330
		Manufacturing — 2.2%
	600	Barnes Group, Inc.		23,028
	500	Carlisle Cos Inc.		39,300
	1,000	Greif, Inc.-Class A		57,910
	1,000	Harsco Corp. ^(a)		79,780
	2,621	Kaman Corp.-Class A		59,523
	2,900	Longview Fibre Co.		54,578
	1,000	Mobile Mini, Inc. ^*		54,480
	3,000	Mueller Industries, Inc.		99,030
	5,500	Owens-IIlinois, Inc. ^*		103,070

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)
February 28, 2006

Shares		Description	Value ($)
		Manufacturing — continued
	1,800	Pall Corp.		52,956
	600	Reliance Steel & Aluminum Co.		49,434
	4,400	Rock-Tenn Co.-Class A		57,728
	4,800	SPX Corp. ^(a)		236,400
	2,800	Temple-Inland, Inc.		119,476
	1,700	Trinity Industries, Inc.		90,100
				1,176,793
		Metals & Mining — 0.4%
	1,300	Arch Coal, Inc.		95,043
	1,400	CONSOL Energy, Inc.		89,628
	1,100	RTI International Metals, Inc. ^*		46,255
				230,926
		Oil & Gas — 2.1%
	3,500	Ashland, Inc.		228,445
	1,700	Giant Industries, Inc. ^{* (a)}		98,940
	1,600	Helmerich & Payne, Inc.		105,232
	600	Holly Corp.		35,820
	1,000	Pogo Producing Co.		49,860
	3,200	Stone Energy Corp. ^*		132,480
	7,400	Tesoro Corp.		447,034
				1,097,811
		Primary Process Industry — 2.1%
	1,500	Airgas, Inc.		54,585
	7,500	Commercial Metals Co.		339,675
	1,500	FMC Corp. ^*		91,215
	1,400	HB Fuller Co.		56,840
	2,800	Metal Management, Inc.		78,988
	1,100	Olympic Steel, Inc.		28,996
	800	Quanex Corp.		49,656
	4,200	Ryerson Tull, Inc. ^(a)		106,008
	2,500	Sensient Technologies Corp.		44,800

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)
February 28, 2006

Shares		Description	Value ($)
		Primary Process Industry — continued
	1,800	Steel Technologies, Inc.		49,662
	2,658	Stepan Co.		70,995
	1,400	United States Steel Corp. ^(a)		76,300
	4,400	Worthington Industries, Inc.		86,240
				1,133,960
		Retail Stores — 8.2%
	700	99 Cents Only Stores ^*		7,966
	1,500	Barnes & Noble, Inc.		64,605
	8,800	BJ's Wholesale Club, Inc. ^*		278,608
	1,700	Brown Shoe Co., Inc.		81,090
	1,400	Building Materials Holding Corp. ^(a)		94,220
	2,000	Casey's General Stores, Inc.		52,460
	2,150	Cato Corp.-Class A		44,871
	900	Charlotte Russe Holding, Inc. ^*		16,380
	3,200	Chico's FAS, Inc. ^{* (a)}		150,560
	1,300	Claire's Stores, Inc.		41,652
	13,300	Dollar Tree Stores, Inc. ^*		364,686
	3,000	Family Dollar Stores, Inc.		77,160
	4,900	Great Atlantic & Pacific Tea Co. ^{* (a)}		158,074
	5,000	Group 1 Automotive, Inc.		191,400
	5,100	Ingles Markets, Inc.-Class A		84,201
	6,200	Insight Enterprises, Inc. ^*		133,486
	4,500	Lithia Motors, Inc.-Class A		144,180
	1,900	Longs Drug Stores Corp.		72,903
	3,000	Movie Gallery, Inc.		9,570
	2,700	OfficeMax, Inc.		79,191
	9,200	O'Reilly Automotive, Inc. ^*		301,024
	2,200	Pantry (The), Inc. ^*		130,174
	3,100	Pathmark Stores, Inc. ^*		31,186
	2,000	Payless Shoesource, Inc. ^{* (a)}		47,400
	6,500	Pier 1 Imports, Inc. ^(a)		68,445
	5,600	RadioShack Corp. ^(a)		109,480
	10,900	Rent-A-Center, Inc. ^*		254,406

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)
February 28, 2006

Shares		Description	Value ($)
		Retail Stores — continued
	2,800	Retail Ventures, Inc. ^*		37,128
	7,300	Ross Stores, Inc.		206,736
	7,100	Sonic Automotive, Inc.		188,079
	8,500	Supervalu, Inc.		268,600
	2,500	Talbots, Inc.		66,650
	1,600	Too, Inc. ^*		48,688
	6,300	United Auto Group, Inc.		272,412
	5,100	Williams-Sonoma, Inc. ^{* (a)}		206,499
				4,384,170
		Services — 6.7%
	6,975	Applebee's International, Inc. ^(a)		161,402
	950	Applied Industrial Technologies, Inc.		40,641
	4,199	Aqua America, Inc.		120,679
	900	Banta Corp.		43,839
	8,800	BearingPoint, Inc. ^{* (a)}		78,408
	1,900	Bob Evans Farms, Inc.		55,423
	8,100	Brinker International, Inc.		337,365
	1,200	CBRL Group, Inc. ^(a)		53,316
	350	CEC Entertainment, Inc. ^*		11,396
	5,500	Darden Restaurants, Inc.		230,670
	3,150	Factset Research Systems, Inc.		123,323
	4,500	Handleman Co.		44,235
	400	Ihop Corp.		20,360
	4,100	ITT Educational Services, Inc. ^*		254,200
	3,120	Jack in the Box, Inc. ^*		124,800
	1,200	Lamar Advertising Co. ^*		61,224
	6,500	Manpower, Inc.		348,660
	2,300	Nash Finch Co. ^(a)		71,300
	1,800	O'Charley's, Inc. ^*		31,968
	7,200	Outback Steakhouse, Inc.		301,032
	3,700	Papa John's International, Inc. ^*		121,730
	6,600	Performance Food Group Co. ^{* (a)}		193,842
	4,400	Regis Corp.		168,432

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)
February 28, 2006

Shares		Description	Value ($)
		Services — continued
	2,800	Ruby Tuesday, Inc. ^(a)		79,940
	9,100	Ryan's Restaurant Group, Inc. ^*		120,211
	5,700	Sabre Holdings Corp.		137,541
	7,300	Service Corp. International		58,035
	2,600	Valassis Communications, Inc. ^{* (a)}		71,630
	3,100	World Fuel Services Corp.		93,930
				3,559,532
		Technology — 7.9%
	1,300	AAR Corp. ^*		32,903
	2,300	Advanced Digital Information Corp. ^*		19,918
	1,600	Alliant Techsystems, Inc. ^{* (a)}		122,272
	1,000	AO Smith Corp.		46,300
	2,000	Applera Corp.-Applied Biosystems Group		56,540
	10,404	Arrow Electronics, Inc. ^*		361,955
	13,200	Avnet, Inc. ^*		331,716
	4,700	AVX Corp.		77,832
	9,500	BEA Systems, Inc. ^*		108,965
	3,600	Bell Microproducts, Inc. ^*		21,636
	1,300	Black Box Corp.		62,114
	4,775	Brightpoint, Inc. ^*		135,085
	1,200	Coherent, Inc. ^*		38,952
	1,200	Cohu Inc.		25,344
	16,700	Convergys Corp. ^*		290,079
	1,700	Diebold, Inc.		68,000
	1,900	Electronics for Imaging ^*		50,958
	2,000	General Cable Corp. ^*		54,000
	1,800	Greatbatch, Inc. ^*		39,798
	1,800	Harris Corp.		82,224
	1,400	Hutchinson Technology, Inc. ^{* (a)}		38,514
	22,450	Ingram Micro, Inc.-Class A ^*		444,061
	2,800	Integrated Device Technology, Inc. ^*		41,580
	2,000	International Rectifier Corp. ^*		74,200
	3,200	Intersil Corp.-Class A ^(a)		90,688

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)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	3,400	JDA Software Group, Inc. ^*		46,682
	3,300	Kopin Corp. ^*		14,355
	4,600	LSI Logic Corp. ^{* (a)}		44,850
	3,000	Mantech International Corp.-Class A ^*		84,300
	2,500	Maximus, Inc.		91,275
	2,300	MKS Instruments Inc. ^*		51,428
	2,700	Plexus Corp. ^*		90,612
	4,600	Pomeroy IT Solutions, Inc. ^*		42,780
	5,500	QLogic Corp. ^*		226,270
	700	Sybron Dental Specialties, Inc. ^*		26,782
	4,600	SYKES Enterprises, Inc. ^*		61,272
	7,797	Tech Data Corp. ^*		323,809
	700	Teleflex Inc		45,255
	2,800	Teradyne, Inc. ^*		47,012
	8,100	Unisys Corp. ^*		54,108
	3,600	United Stationers, Inc. ^*		178,200
	900	Varian Semiconductor Equipment Associates, Inc. ^*		42,444
				4,187,068
		Transportation — 2.0%
	1,700	Alaska Air Group, Inc. ^*		54,485
	16,800	AMR Corp. ^{* (a)}		421,680
	1,100	Arkansas Best Corp.		45,716
	8,100	Continental Airlines, Inc.-Class B ^{* (a)}		188,730
	8,000	ExpressJet Holdings, Inc. ^*		60,160
	3,100	Mesa Air Group, Inc. ^*		35,402
	1,000	Overseas Shipholding Group, Inc.		50,570
	1,800	SCS Transportation, Inc. ^*		48,654
	2,600	Skywest, Inc.		75,322
	2,103	US Airways Group, Inc. ^*		69,588
	1,000	US Xpress Enterprises, Inc.-Class A ^*		17,060
				1,067,367

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)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		Utility — 6.1%
	4,500	Alliant Energy Corp.		148,950
	1,100	Black Hills Corp.		38,027
	42,200	Centerpoint Energy, Inc.		547,334
	4,400	Centurytel, Inc.		158,315
	1	ClearOne Communications, Inc. ^*		2
	12,700	CMS Energy Corp. ^*		178,816
	7,500	Duquesne Light Holdings, Inc.		130,125
	5,700	Energy East Corp.		142,842
	5,100	Great Plains Energy, Inc.		144,840
	2,200	MDU Resources Group, Inc.		77,550
	2,326	National Fuel Gas Co.		75,316
	5,800	Northeast Utilities		113,796
	5,600	NSTAR		164,416
	20,500	Pepco Holdings, Inc.		487,285
	4,300	Pinnacle West Capital Corp.		176,515
	4,900	Puget Energy, Inc.		105,644
	1,800	SCANA Corp.		73,404
	3,000	Sierra Pacific Resources ^*		42,720
	2,700	Talk America Holdings, Inc. ^*		23,031
	19,300	TECO Energy, Inc. ^(a)		329,258
	5,900	Time Warner Telecom, Inc.-Class A ^*		74,517
	900	Unisource Energy Corp.		27,369
				3,260,072
		TOTAL COMMON STOCKS (COST $45,445,434)		51,554,321
		SHORT-TERM INVESTMENT(S) — 28.4%
	453,243	American Beacon Money Market Fund ^(b)		453,243
	1,473,039	BGI Institutional Money Market Fund ^(b)		1,473,039
	1,813,519	Citrgroup Global Markets Repurchase Agreement, 02/28/06, due 03/01/06, with a maturity value of $1,813,671 and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity date of 02/15/36 and a market value, including accured interest, of $1,849,790.		1,813,519

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)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENT(S) — continued
	679,864	Fortis Bank Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.53%, due 03/23/06 ^(b)		679,864
	2,266,214	Goldman Sachs Group Inc. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $2,266,504 and an effective yield of 4.60%, collateralized by various corporate debt obligations with an aggregate market value of $2,311,538. ^(b)		2,266,214
	2,039,593	Merrill Lynch & Co. Tri Party Repurchase Agreement, dated 02/28/06, due 03/02/06, with a maturity value of $2,039,851 and an effective yield of 4.55%, collateralized by various U.S. government obligations with an aggregate market value of $2,092,342. ^(b)		2,039,593
	453,243	Merrimac Cash Series-Premium Class ^(b)		453,243
	1,652,619	Morgan Stanley & Co. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $1,652,828 and an effective yield of 4.55%, collateralized by various U.S. government obligations with an aggregate market value of $1,685,681. ^(b)		1,652,619
	1,359,728	National Australia Bank Eurodollar Overnight Time Deposit, 4.56%, due 03/01/06 ^(b)		1,359,728
	906,486	Rabobank Nederland Eurodollar Overnight Time Deposit, 4.52%, due 03/01/06 ^(b)		906,486
	679,864	Royal Bank of Scotland Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.55%, due 03/31/06 ^(b)		679,864
	1,393,242	Svenska Handlesbanken Eurodollar Overnight Time Deposit, 4.57%, due 03/01/06 ^(b)		1,393,242
		TOTAL SHORT-TERM INVESTMENT(S) (COST $15,170,654)		15,170,654
		TOTAL INVESTMENTS — 125.0% (Cost $60,616,088)		66,724,975
		Other Assets and Liabilities (net) — (25.0%)		(13,335,675	)
		TOTAL NET ASSETS — 100.0%	$	53,389,300

See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2006

A summary of outstanding financial instruments at February 28, 2006 is as follows:

Futures Contracts

Number of
Contracts

Type

Expiration Date

Contract
Value

Net Unrealized
Appreciation
(Depreciation)

Buys

Russell 2000

March 2006

732,000

15,464

As of February 28, 2006, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

* Non-income producing security.

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

(b) All or a portion of this security represents investment of security lending collateral (Note 2).

See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value, including securities on loan of $12,672,587 (cost $60,616,088) (Note 2)	$	66,724,975
Dividends and interest receivable		64,176
Receivable for collateral on open futures contracts (Note 2)		27,000
Receivable for expenses reimbursed by Manager (Note 3)		19,880
Miscellaneous receivable		45
Total assets		66,836,076
Liabilities:
Collateral on securities loaned (Note 2)		13,357,135
Payable to affiliate for (Note 3):
Management fee		12,733
Shareholder service fee		6,161
Trustees and Chief Compliance Officer fees		249
Payable for variation margin on open futures contracts (Note 2)		8,800
Accrued expenses		61,698
Total liabilities		13,446,776
Net assets	$	53,389,300
Net assets consist of:
Paid-in capital	$	43,683,421
Accumulated undistributed net investment income		327,818
Accumulated net realized gain		3,253,710
Net unrealized appreciation		6,124,351
	$	53,389,300
Net assets attributable to:
Class III shares	$	53,389,300
Shares outstanding:
Class III		5,073,222
Net asset value per share:
Class III	$	10.52

See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Statement of Operations — Year ended February 28, 2006

Investment Income:
Dividends	$	1,301,307
Interest (including securities lending income of $72,423)		122,695
Total investment income		1,424,002
Expenses:
Management fee (Note 3)		208,851
Shareholder service fee – Class III (Note 3)		97,295
Custodian, fund accounting agent and transfer agent fees		36,714
Audit and tax fees		68,400
Legal fees		13,354
Trustees fees and related expenses (Note 3)		3,394
Registration fees		1,456
Miscellaneous		5,821
Total expenses		435,285
Fees and expenses reimbursed by Manager (Note 3)		(123,579	)
Net expenses		311,706
Net investment income (loss)		1,112,296
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		13,012,558
Closed futures contracts		130,187
Net realized gain (loss)		13,142,745
Change in net unrealized appreciation (depreciation) on:
Investments		(7,264,415	)
Open futures contracts		22,566
Net unrealized gain (loss)		(7,241,849	)
Net realized and unrealized gain (loss)		5,900,896
Net increase (decrease) in net assets resulting from operations	$	7,013,192

See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Year Ended February 28, 2006			Year Ended February 28, 2005
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,112,296		$	1,383,615
Net realized gain (loss)		13,142,745			30,048,028
Change in net unrealized appreciation (depreciation)		(7,241,849	)		(25,127,123	)
Net increase (decrease) in net assets from operations		7,013,192			6,304,520
Distributions to shareholders from:
Net investment income
Class III		(1,236,378	)		(1,320,881	)
Net realized gains
Class III		(14,949,675	)		(39,426,031	)
		(16,186,053	)		(40,746,912	)
Net share transactions (Note 7):
Class III		(17,720,121	)		(65,419,740	)
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		197,785			678,238
Total increase (decrease) in net assets resulting from net share transactions and net purchase premiums and redemption fees		(17,522,336	)		(64,741,502	)
Total increase (decrease) in net assets		(26,695,197	)		(99,183,894	)
Net assets:
Beginning of period		80,084,497			179,268,391
End of period (including accumulated undistributed net investment income of $327,818 and $505,375, respectively)	$	53,389,300		$	80,084,497

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)

	Year Ended February 28/29,
	2006			2005			2004			2003			2002
Net asset value, beginning of period	$	12.38		$	15.51		$	9.81		$	14.91		$	13.86
Income (loss) from investment operations:
Net investment income (loss)		0.20	^†		0.19	^†		0.17			0.18			0.23
Net realized and unrealized gain (loss)		1.11			1.32			5.78			(2.74	)		1.58
Total from investment operations		1.31			1.51			5.95			(2.56	)		1.81
Less distributions to shareholders:
From net investment income		(0.21	)		(0.16	)		(0.15	)		(0.17	)		(0.21	)
From net realized gains		(2.96	)		(4.48	)		(0.10	)		(2.37	)		(0.55	)
Total distributions		(3.17	)		(4.64	)		(0.25	)		(2.54	)		(0.76	)
Net asset value, end of period	$	10.52		$	12.38		$	15.51		$	9.81		$	14.91
Total Return^(a)		11.67	%		14.98	%		61.14	%		(18.58	)%		13.39	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	53,389		$	80,084		$	179,268		$	146,915		$	313,596
Net expenses to average daily net assets		0.48	%		0.48	%		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.71	%		1.48	%		1.21	%		1.21	%		1.60	%
Portfolio turnover rate		48	%		66	%		86	%		69	%		59	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.19	%		0.12	%		0.08	%		0.08	%		0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts:	$	0.04		$	0.09		$	0.04		$	0.08		$	0.01

(a) The total returns would have been lower had certain expenses not been reimbursed during the periods shown. Calculation excludes purchase premiums and redemption fees which are borne by the shareholders.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO U.S. Small/Mid Cap Value Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. 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 a series of shares into classes.

The Fund commenced operations following an in-kind purchase of shares by GMO Small/Mid Cap Value Fund (formerly GMO Small Cap Value Fund) ("Predecessor Fund") effected as of the close of business on September 16, 2005 ("Purchase Date"). For tax purposes, this reorganization met all requirements for a tax-free reorganization under the Internal Revenue Code, and consequently the Fund retained the Predecessor Fund's basis and holding period in each asset contributed in-kind. For accounting purposes, the Fund also recorded a cost for each in-kind asset contributed by the Predecessor Fund equal to such asset's historical cost. For tax and accounting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations. Therefore, the Statement of Operations is shown for the entire fiscal year ending February 28, 2006, the Statements of Changes in Net Assets are shown for the entire fiscal years ending February 28, 2006 and 2005, and the Financial Highlights are shown for each of the fiscal years ending February 28/29, 2006, 2005, 2004, 2003 and 2002.

The Fund seeks long-term capital growth. The Fund's benchmark is the Russell 2500 Value Index.

2. Significant accounting policies

Portfolio valuation

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or other persons acting at their direction.

Futures contracts

The Fund may purchase and sell futures contracts. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon entering into a futures contract, the Fund is required to deposit, with the futures clearing broker, an amount of cash, U.S. government and agency obligations or other liquid assets in accordance with the initial margin requirements of the broker or exchange. In addition, the Fund maintains cash or securities in an amount that at least equals the net amount payable in the event the Fund must deliver the full amount of the contracts. Futures contracts are 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 liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Under certain 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. Losses may arise from changes in the value of the underlying instrument if the Fund is unable to liquidate a futures position due to an illiquid secondary market for the contracts or the imposition of price limits, or if counterparties do not perform under the contract terms. Futures contracts are generally valued at the settlement price established each day by the board of trade or exchange on which they are traded. See the Schedule of Investments for open futures contracts entered into by the Fund as of February 28, 2006.

Swap agreements

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Payments received or made on swap contracts are recorded as realized gain or loss in the Statement of Operations. Gains or losses are realized upon early termination of the swap agreement. These financial instruments are not actively traded on financial markets. The values assigned to these instruments are based upon the best available information and because of the uncertainty of the valuation, these values may differ significantly from the values that would have been realized had a ready market for these instruments existed, and the differences could be material. Entering into these agreements involves, to varying degrees, elements of credit, legal, market and documentation risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparties to the agreements may default on their obligations to perform or disagree as to the meaning of contractual terms in the agreements, or that there may be unfavorable changes in the price of the security or index underlying these transactions. As of February 28, 2006, the Fund did not enter into any swap agreements.

Repurchase agreements

Securities lending

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Taxes and distributions

Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. During the years ended February 28, 2006 and February 28, 2005, the tax character of distributions paid was as follows: ordinary income - $3,683,108 and $15,237,069, respectively and long-term capital gains - $12,502,945 and $25,509,843, respectively.

As of February 28, 2006, the components of distributable earnings on a tax basis consisted of $1,302,633 and $2,453,306 of undistributed ordinary income and undistributed long-term capital gains, respectively. The temporary differences between book and tax basis distributable earnings are primarily due to losses on wash sale transactions.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	60,775,035			$	9,106,689			$	(3,156,749	)		$	5,949,940

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2006. This reclassification has no impact on net investment income, realized gain/loss or the net asset value of the Fund and is primarily attributable to adjustments related to the real estate investment trust holdings and redemption in-kind transactions. Net gains resulting from in-kind transactions were $26,002. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income				Accumulated Net Realized Gain				Paid-in Capital
$	(53,475	)		$	27,474			$	26,001

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

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

Security transactions and related investment income

Expenses

Purchases and redemptions of Fund shares

As of the date of this report, the premium on cash purchases and fee on redemptions of Fund shares were each 0.50% of the amount invested or redeemed. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase occurring on the same day, it will waive the purchase premium or redemption fee in an amount approximately equal to the fee with respect to that portion. In addition, the purchase premium or redemption fee charged by the Fund may be waived in extraordinary circumstances if the Fund will not incur transaction costs. All purchase premiums and redemption fees are paid to and recorded by the Fund as paid-in capital. For the year ended February 28, 2006, the Fund received $22,512 in purchase premiums and $175,273 in redemption fees, respectively. There is no premium for reinvested distributions or in-kind transactions.

3. Fees and other transactions with affiliates

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

shareholder service fees, fees and expenses of the Chief Compliance Officer ("CCO") and independent Trustees (including legal fees), brokerage commissions and other investment-related costs, hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes), securities lending fees and expenses, interest expense and transfer taxes) exceed 0.31% of average daily net assets. Prior to September 16, 2005, the rate was 0.33% of the Predecessor Fund's average daily net assets.

The Fund's portion of the fee paid by the Trust to the independent Trustees and CCO during the year ended February 28, 2006 was $1,444 and $398, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2006 aggregated $30,255,660 and $59,075,014, respectively.

5. Guarantees

6. Principal shareholders and related parties

As of February 28, 2006, 50.2% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares. One of the shareholders is another fund of the Trust. Investment activities of these shareholders may have a material effect on the Fund.

As of February 28, 2006, 0.1% of the Fund's shares were held by eight related parties comprised of certain GMO employee accounts, and 62.7% of the Fund's shares were held by accounts for which the Manager has investment discretion.

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

7. Share transactions

	Year Ended February 28, 2006						Year Ended February 28, 2005
Class III:	Shares			Amount			Shares			Amount
Shares sold		422,099		$	4,921,114			1,651,363		$	21,168,002
Shares issued to shareholders in reinvestment of distributions		1,457,928			15,854,092			3,397,583			40,265,442
Shares repurchased		(3,031,732	)		(35,529,983	)		(10,134,287	)		(126,853,184	)
Redemption in kind		(245,909	)		(2,965,344	)		—			—
Purchase premiums and redemption fees		—			197,785			—			678,238
Net increase (decrease)		(1,397,614	)	$	(17,522,336	)		(5,085,341	)	$	(64,741,502	)

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO U.S. Small/Mid Cap Value Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO U.S. Small/Mid Cap Value Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

As described in Note 1 to the financial statements, the Fund is the successor to GMO Small/Mid Cap Value Fund (formerly GMO Small Cap Value Fund) and includes the operations of GMO Small/Mid Cap Value Fund (formerly GMO Small Cap Value Fund) for periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six months ended February 28, 2006.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.48	%	$	1,000.00	$	1,044.90	$	2.43
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.41	$	2.41

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Tax Information (Unaudited) for the Tax Year Ended February 28, 2006

The Fund's distributions to shareholders include $12,502,945 from long-term capital gains.

For taxable, non-corporate shareholders, 19.92% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 19.14% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income and qualified short-term capital gains with respect to its taxable year ended February 28, 2006, $81,953 and $1,324,679, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement
February 28, 2006 (Unaudited)

¹ For tax, accounting and performance reporting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations.

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO U.S. Growth Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO U.S. Growth Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO U.S. Growth Fund returned +5.6% for the fiscal year ended February 28, 2006, as compared to +9.5% for the Russell 1000 Growth Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in U.S. equity securities throughout the period.

Sector selection detracted from portfolio performance for the period. An overweight position in oil & gas, and underweight positions in food & beverage and manufacturing proved to be the largest sources of positive performance. Overall relative returns were hindered by overweight positions in the health care and retail stores sectors as well as an underweight position in transportation.

During the period, both the momentum and valuation stock selection strategies detracted from overall relative performance.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Performance for different classes will vary due to different fees. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† The Fund is the successor to the GMO Growth Fund, therefore, performance for the periods prior to September 16, 2005 is that of GMO Growth Fund.

GMO U.S. Growth Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.5	%
Short-Term Investment(s)		11.8
Rights and Warrants		0.0
Futures		0.0
Other		(8.3	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		27.9	%
Technology		25.0
Retail Stores		14.3
Financial		7.7
Consumer Goods		7.4
Machinery		3.5
Services		3.4
Oil & Gas		2.9
Food & Beverage		2.4
Utility		2.1
Manufacturing		1.0
Construction		0.9
Automotive		0.7
Transportation		0.7
Metals & Mining		0.1
		100.0	%

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 96.5%
		Automotive — 0.7%
	41,400	Harley-Davidson, Inc.		2,173,914
	5,600	Johnson Controls, Inc.		399,112
	26,100	Oshkosh Truck Corp.		1,480,653
				4,053,679
		Construction — 0.9%
	14,000	D.R. Horton, Inc.		477,540
	15,600	Jacobs Engineering Group, Inc. ^*		1,337,544
	13,100	KB Home		878,093
	4,300	Lennar Corp.-Class A		257,398
	14,600	Martin Marietta Materials, Inc.		1,423,500
	10,000	Ryland Group, Inc. ^(a)		697,500
	3,600	Simon Property Group, Inc. REIT ^(a)		298,692
				5,370,267
		Consumer Goods — 7.1%
	395,884	Altria Group, Inc.		28,464,060
	89,149	Bebe Stores, Inc.		1,530,688
	12,300	Black & Decker Corp.		1,052,634
	25,800	Coach, Inc. ^*		921,576
	26,800	Colgate-Palmolive Co.		1,460,064
	6,100	Columbia Sportswear Co. ^{* (a)}		307,196
	11,500	Herman Miller, Inc.		347,185
	10,800	HNI Corp.		629,532
	17,000	Maytag Corp.		292,400
	24,600	Mohawk Industries, Inc. ^*		2,128,146
	9,900	Newell Rubbermaid, Inc.		246,213
	6,600	Nike, Inc.		572,748
	56,900	Procter & Gamble Co.		3,410,017
	9,700	Whirlpool Corp.		870,963
				42,233,422

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)
February 28, 2006

Shares		Description	Value ($)
		Financial — 7.4%
	137,200	Aflac, Inc.		6,345,500
	14,100	AMBAC Financial Group, Inc.		1,059,615
	97,400	American International Group, Inc.		6,463,464
	10,900	CB Richard Ellis Group, Inc.-Class A ^*		748,612
	496,800	Charles Schwab Corp. (The)		8,053,128
	6,100	Chubb Corp.		584,075
	9,800	E^Trade Financial Corp. ^		250,684
	30,400	Eaton Vance Corp.		856,672
	15,400	Equifax, Inc.		564,256
	10,400	Fair Isaac Corp.		443,248
	85,695	Fannie Mae		4,685,803
	20,200	Franklin Resources, Inc.		2,074,136
	3,400	Goldman Sachs Group, Inc.		480,386
	25,500	Legg Mason, Inc.		3,330,045
	17,300	Lehman Brothers Holdings, Inc.		2,524,935
	24,500	Marsh & McLennan Cos., Inc.		757,295
	14,400	Mellon Financial Corp.		519,696
	3,500	MGIC Investment Corp.		223,125
	4,600	Progressive Corp. (The)		494,270
	9,600	Radian Group, Inc.		544,800
	8,000	State Street Corp.		499,840
	98,700	TD Ameritrade Holding Corp.		2,147,712
	6,700	WR Berkley Corp.		387,863
				44,039,160
		Food & Beverage — 2.3%
	151,700	Coca-Cola Co. (The)		6,366,849
	6,200	Dean Foods Co. ^*		232,314
	122,300	PepsiCo, Inc.		7,229,153
				13,828,316

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)
February 28, 2006

Shares		Description	Value ($)
		Health Care — 26.9%
	107,400	Abbott Laboratories		4,744,932
	137,600	Aetna, Inc.		7,017,600
	33,600	Allergan, Inc.		3,637,536
	30,500	American Pharmaceutical Partners, Inc. ^{* (a)}		922,320
	31,400	AmerisourceBergen Corp.		1,444,086
	43,100	Amgen, Inc. ^*		3,253,619
	31,800	Barr Pharmaceuticals, Inc. ^*		2,136,324
	98,200	Cardinal Health, Inc. ^(a)		7,129,320
	12,100	Caremark Rx, Inc. ^*		601,975
	49,000	Cerner Corp. ^{* (a)}		2,039,870
	9,700	Cigna Corp.		1,190,675
	18,100	Coventry Health Care, Inc. ^*		1,079,122
	102,300	Express Scripts, Inc. ^*		8,927,721
	97,300	Forest Laboratories, Inc. ^{* (a)}		4,466,070
	134,500	Genentech, Inc. ^*		11,525,305
	32,700	Gilead Sciences, Inc. ^*		2,036,229
	89,500	HCA, Inc.		4,287,050
	45,700	Health Net, Inc. ^*		2,191,315
	15,500	Hospira, Inc. ^*		615,350
	12,700	Humana, Inc. ^*		656,209
	6,900	Invitrogen Corp. ^*		489,417
	38,064	Johnson & Johnson		2,194,390
	5,700	Kyphon, Inc. ^{* (a)}		203,547
	65,800	Lincare Holdings, Inc. ^*		2,691,220
	119,900	McKesson Corp.		6,490,187
	39,500	Medco Health Solutions, Inc. ^*		2,200,940
	14,800	Medtronic, Inc.		798,460
	5,800	Mentor Corp.		249,632
	531,000	Merck & Co., Inc.		18,510,660
	25,400	Omnicare, Inc.		1,545,590
	532,176	Pfizer, Inc.		13,937,689
	30,700	Pharmaceutical Product Development, Inc. ^(a)		2,136,413
	8,500	Respironics, Inc. ^*		309,060
	49,500	St. Jude Medical, Inc. ^*		2,257,200

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)
February 28, 2006

Shares		Description	Value ($)
		Health Care — continued
	19,700	Stryker Corp.		910,534
	531,700	UnitedHealth Group, Inc.		30,960,891
	14,000	Universal Health Services, Inc.-Class B		703,220
	76,000	Wyeth		3,784,800
				160,276,478
		Machinery — 3.4%
	36,700	Baker Hughes, Inc.		2,494,499
	34,800	BJ Services Co.		1,089,588
	138,900	Caterpillar, Inc.		10,150,812
	21,500	Cooper Cameron Corp. ^*		870,750
	25,500	Grant Prideco, Inc. ^*		1,031,985
	42,200	Halliburton Co.		2,869,600
	14,700	Joy Global, Inc.		757,932
	21,400	Smith International, Inc. ^(a)		828,822
				20,093,988
		Manufacturing — 0.9%
	63,400	General Electric Co.		2,083,958
	15,800	ITT Industries, Inc.		829,500
	3,900	Mine Safety Appliances Co.		155,415
	8,500	Precision Castparts Corp.		450,840
	14,500	Timken Co.		415,860
	27,700	United Technologies Corp.		1,620,450
				5,556,023
		Metals & Mining — 0.1%
	8,600	CONSOL Energy, Inc.		550,572
		Oil & Gas — 2.8%
	58,400	Burlington Resources, Inc.		5,266,512
	82,700	EOG Resources, Inc. ^(a)		5,573,980
	6,800	Exxon Mobil Corp.		403,716
	20,100	Frontier Oil Corp.		929,625

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)
February 28, 2006

Shares		Description	Value ($)
		Oil & Gas — continued
	15,000	Helmerich & Payne, Inc.		986,550
	57,900	Patterson-UTI Energy, Inc.		1,595,145
	11,700	Sunoco, Inc. ^(a)		866,970
	5,500	Tesoro Corp.		332,255
	9,500	Unit Corp. ^*		505,115
	8,200	Valero Energy Corp.		441,078
				16,900,946
		Primary Process Industry — 0.0%
	3,700	Millipore Corp. ^{* (a)}		256,521
		Retail Stores — 13.8%
	57,800	Advance Auto Parts ^*		2,390,030
	15,700	Autozone, Inc. ^*		1,517,876
	107,800	Bed Bath & Beyond, Inc. ^*		3,885,112
	50,900	Chico's FAS, Inc. ^*		2,394,845
	104,200	Dollar General Corp.		1,815,164
	40,800	Dollar Tree Stores, Inc. ^*		1,118,736
	17,300	eBay, Inc. ^*		693,038
	6,900	Fastenal Co.		302,979
	691,100	Home Depot, Inc.		29,129,865
	5,700	JC Penney Co., Inc.		334,248
	125,900	Kroger Co. ^*		2,523,036
	245,034	Lowe's Cos., Inc. ^(a)		16,706,418
	12,000	Men's Wearhouse, Inc. ^*		375,840
	84,300	Nordstrom, Inc.		3,203,400
	36,000	O'Reilly Automotive, Inc. ^*		1,177,920
	47,700	Rent-A-Center, Inc. ^*		1,113,318
	7,200	Supervalu, Inc.		227,520
	38,300	Target Corp.		2,083,520
	12,100	Tiffany & Co.		449,273
	52,760	TJX Cos., Inc.		1,292,092
	62,100	Walgreen Co.		2,785,806

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)
February 28, 2006

Shares		Description	Value ($)
		Retail Stores — continued
	149,400	Wal-Mart Stores, Inc.		6,776,784
	1,300	Weis Markets, Inc.		58,058
				82,354,878
		Services — 3.3%
	35,500	Applebee's International, Inc. ^(a)		821,470
	27,300	Brinker International, Inc. ^(a)		1,137,045
	45,700	Cablevision Systems Corp.-Class A ^*		1,199,625
	15,900	Copart, Inc. ^*		410,856
	55,700	Darden Restaurants, Inc.		2,336,058
	8,700	Getty Images, Inc. ^{* (a)}		704,961
	6,100	Iron Mountain, Inc. ^*		266,570
	22,800	Marriott International, Inc.-Class A		1,559,520
	47,600	McDonald's Corp.		1,661,716
	25,100	McGraw-Hill, Inc.		1,332,559
	11,900	Moody's Corp.		797,300
	16,200	Outback Steakhouse, Inc.		677,322
	7,600	Panera Bread Co.-Class A ^*		538,536
	17,300	Robert Half International, Inc.		621,416
	29,400	Sonic Corp. ^*		929,334
	8,300	Starwood Hotels & Resorts Worldwide, Inc.		527,050
	17,600	Sysco Corp.		529,584
	49,700	Wendy's International, Inc.		2,877,630
	9,900	Yum! Brands, Inc.		472,230
				19,400,782
		Technology — 24.1%
	29,200	Adobe Systems, Inc.		1,127,704
	16,600	ADTRAN, Inc. ^(a)		456,832
	21,300	Affiliated Computer Services, Inc.-Class A ^{* (a)}		1,340,196
	114,400	Agilent Technologies, Inc. ^*		4,118,400
	9,600	Alliance Data Systems Corp. ^*		415,296
	57,400	American Power Conversion Corp.		1,172,682
	3,400	Anteon International Corp. ^*		187,986

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)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	50,000	Apple Computer, Inc. ^*		3,427,000
	66,900	Applied Materials, Inc.		1,226,946
	32,104	Autodesk, Inc.		1,208,716
	68,700	BEA Systems, Inc. ^*		787,989
	36,900	Boeing Co.		2,682,261
	72,300	Broadcom Corp.-Class A ^*		3,260,007
	66,000	CNET Networks, Inc. ^*		913,440
	11,100	Cognizant Technologies Solutions Corp. ^*		639,471
	13,300	Comverse Technology, Inc. ^*		382,508
	160,500	Corning, Inc. ^*		3,917,805
	700,400	Dell, Inc. ^*		20,311,600
	18,000	Emulex Corp. ^*		320,400
	80,700	First Data Corp.		3,641,991
	24,100	Fiserv, Inc. ^*		1,000,150
	3,900	General Dynamics Corp.		480,753
	10,400	Global Payments, Inc.		541,424
	48,600	Goodrich Corp.		2,033,424
	14,900	Google, Inc.-Class A ^*		5,403,038
	33,200	Harris Corp.		1,516,576
	20,800	Ingram Micro, Inc.-Class A ^*		411,424
	1,181,808	Intel Corp.		24,345,245
	84,600	International Business Machines Corp.		6,788,304
	22,700	International Rectifier Corp. ^*		842,170
	17,700	Intersil Corp.-Class A		501,618
	21,400	Lexmark International, Inc. ^*		1,007,726
	54,800	Lockheed Martin Corp.		3,993,276
	13,100	Microsoft Corp.		352,390
	644,800	Motorola, Inc.		13,798,720
	23,400	National Semiconductor Corp.		656,370
	57,800	Nvidia Corp. ^*		2,724,114
	44,600	Paychex, Inc.		1,786,230
	53,500	Qualcomm, Inc.		2,525,735
	18,600	Rockwell Collins, Inc.		988,590
	575,700	Texas Instruments, Inc.		17,184,645

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)
February 28, 2006

Shares		Description	Value ($)
		Technology — continued
	24,500	Total System Services, Inc.		480,200
	5,000	W.W. Grainger, Inc.		370,200
	34,100	Western Digital Corp. ^*		758,725
	48,000	Yahoo!, Inc. ^{* (a)}		1,538,880
				143,569,157
		Transportation — 0.7%
	38,200	AMR Corp. ^{* (a)}		958,820
	28,500	C.H. Robinson Worldwide, Inc.		1,277,370
	3,200	CNF, Inc.		160,576
	3,600	Expeditors International of Washington, Inc.		280,044
	8,100	FedEx Corp.		868,644
	10,000	Landstar System, Inc.		465,900
				4,011,354
		Utility — 2.1%
	11,500	Alltel Corp.		726,225
	49,200	Kinder Morgan, Inc.		4,564,776
	100,100	Nextel Partners, Inc.-Class A ^{* (a)}		2,808,806
	42,000	NII Holdings, Inc.-Class B ^*		2,151,240
	7,400	Questar Corp.		542,050
	28,800	TXU Corp.		1,508,832
				12,301,929
		TOTAL COMMON STOCKS (COST $534,012,012)		574,797,472
		RIGHTS AND WARRANTS — 0.0%
		Utility — 0.0%
	3,093	Lucent Technologies, Inc. Warrants, Expires 12/10/2007 ^*		1,778
		TOTAL RIGHTS AND WARRANTS (COST $0)		1,778

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)
February 28, 2006

Shares/ Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENT(S) — 11.8%
	1,596,515	American Beacon Money Market Fund ^(b)		1,596,515
	5,188,675	BGI Institutional Money Market Fund ^(b)		5,188,675
	22,119,515	Citigroup Global Markets Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $22,121,364 and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity date of 02/15/36, and a market value, including accrued interest, of $22,561,905.		22,119,515
	2,394,773	Fortis Bank Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.53%, due 03/23/06 ^(b)		2,394,773
	7,982,576	Goldman Sachs Group Inc. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $7,983,597 and an effective yield of 4.60%, collateralized by various corporate debt obligations with an aggregate market value of $8,142,228. ^(b)		7,982,576
	7,184,319	Merrill Lynch & Co. Tri Party Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $7,185,227 and an effective yield of 4.55%, collateralized by various U.S. government obligations with an aggregate market value of $7,370,124. ^(b)		7,184,319
	1,596,515	Merrimac Cash Series - Premium Class ^(b)		1,596,515
	5,821,232	Morgan Stanley & Co. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $5,821,968 and an effective yield of 4.55%, collateralized by various U.S. government obligations with an aggregate market value of $5,937,692. ^(b)		5,821,232
	4,789,546	National Australia Bank Eurodollar Overnight Time Deposit, 4.56%, due 03/01/06 ^(b)		4,789,546
	3,193,031	Rabobank Nederland Eurodollar Overnight Time Deposit, 4.52%, due 03/01/06 ^(b)		3,193,031
	2,394,773	Royal Bank of Scotland Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.55%, due 03/31/06 ^(b)		2,394,773

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)
February 28, 2006

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENT(S) — continued
	4,907,594	Svenska Handlesbanken Eurodollar Overnight Time Deposit, 4.57%, due 03/01/06 ^(b)		4,907,594
	1,000,000	U.S. Treasury Bill, 3.81%, due 03/23/06 ^{(c) (d)}		997,748
		TOTAL SHORT-TERM INVESTMENT(S) (COST $70,166,812)		70,166,812
		TOTAL INVESTMENTS — 108.3% (Cost $604,178,824)		644,966,062
		Other Assets and Liabilities (net) — (8.3%)		(49,430,607	)
		TOTAL NET ASSETS — 100.0%	$	595,535,455

See accompanying notes to the financial statements.

GMO U.S. Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2006

A summary of outstanding financial instruments at February 28, 2006 is as follows:

Futures Contracts

Number of
Contracts

Type

Expiration
Date

Contract
Value

Net Unrealized
Appreciation
(Depreciation)

Buys

S&P 500

March 2006

10,900,400

74,307

As of February 28, 2006, the Fund had sufficient cash and/or securities to cover any commitments on margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) All or a portion of this security represents investment of security lending collateral (Note 2).

(d) All or a portion of this security has been segregated to cover margin requirements on open financial futures contracts (Note 2).

See accompanying notes to the financial statements.

GMO U.S. Growth Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value, including securities on loan of $45,161,747 (cost $604,178,824) (Note 2)	$	644,966,062
Receivable for Fund shares sold		267,787
Dividends and interest receivable		471,799
Receivable for expenses reimbursed by Manager (Note 3)		24,612
Miscellaneous receivable		3,512
Total assets		645,733,772
Liabilities:
Collateral on securities loaned (Note 2)		47,049,549
Payable for Fund shares repurchased		2,659,190
Payable to affiliate for (Note 3):
Management fee		141,695
Shareholder service fee		39,484
Administration fee – Class M		38,770
Trustees and Chief Compliance Officer fees		1,285
Payable for 12b-1 fee – Class M		102,509
Payable for variation margin on open futures contracts (Note 2)		98,600
Accrued expenses		67,235
Total liabilities		50,198,317
Net assets	$	595,535,455
Net assets consist of:
Paid-in capital	$	575,748,310
Accumulated undistributed net investment income		343,157
Distributions in excess of net realized gain		(21,417,557	)
Net unrealized appreciation		40,861,545
	$	595,535,455
Net assets attributable to:
Class III shares	$	342,202,972
Class M shares	$	253,332,483
Shares outstanding:
Class III		18,835,138
Class M		13,999,287
Net asset value per share:
Class III	$	18.17
Class M	$	18.10

See accompanying notes to the financial statements.

GMO U.S. Growth Fund

(A Series of GMO Trust)

Statement of Operations — Year ended February 28, 2006

Investment Income:
Dividends	$	7,674,084
Interest (including securities lending income of $12,715)		418,063
Total investment income		8,092,147
Expenses:
Management fee (Note 3)		1,977,147
Shareholder service fee – Class III (Note 3)		532,492
12b-1 fee – Class M (Note 3)		650,641
Administration fee – Class M (Note 3)		520,513
Custodian, fund accounting agent and transfer agent fees		125,568
Audit and tax fees		69,274
Legal fees		11,139
Trustees fees and related expenses (Note 3)		30,502
Registration fees		41,634
Miscellaneous		21,067
Total expenses		3,979,977
Fees and expenses reimbursed by Manager (Note 3)		(276,224	)
Net expenses		3,703,753
Net investment income (loss)		4,388,394
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		29,035,055
Closed futures contracts		893,121
Net realized gain (loss)		29,928,176
Change in net unrealized appreciation (depreciation) on:
Investments		(2,609,185	)
Open futures contracts		54,861
Net unrealized gain (loss)		(2,554,324	)
Net realized and unrealized gain (loss)		27,373,852
Net increase (decrease) in net assets resulting from operations	$	31,762,246

See accompanying notes to the financial statements.

GMO U.S. Growth Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Year Ended February 28, 2006			Year Ended February 28, 2005
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,388,394		$	5,039,869
Net realized gain (loss)		29,928,176			30,516,511
Change in net unrealized appreciation (depreciation)		(2,554,324	)		(28,233,791	)
Net increase (decrease) in net assets from operations		31,762,246			7,322,589
Distributions to shareholders from:
Net investment income
Class III		(3,064,829	)		(2,825,613	)
Class M		(1,454,543	)		(1,683,303	)
Total distributions from net investment income		(4,519,372	)		(4,508,916	)
Net realized gains
Class III		(17,977,682	)		(14,537,957	)
Class M		(13,471,603	)		(11,915,590	)
Total distributions from net realized gains		(31,449,285	)		(26,453,547	)
		(35,968,657	)		(30,962,463	)
Net share transactions (Note 7):
Class III		(12,985,527	)		(65,413,408	)
Class M		(13,998,923	)		78,714,651
Increase (decrease) in net assets resulting from net share transactions		(26,984,450	)		13,301,243
Total increase (decrease) in net assets		(31,190,861	)		(10,338,631	)
Net assets:
Beginning of period		626,726,316			637,064,947
End of period (including accumulated undistributed net investment income of $343,157 and $499,503, respectively)	$	595,535,455		$	626,726,316

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)

	Year Ended February 28/29,
	2006			2005			2004			2003			2002
Net asset value, beginning of period	$	18.26		$	19.03		$	14.29		$	18.23		$	21.19
Income (loss) from investment operations:
Net investment income (loss)		0.15	^†		0.16	^†		0.10			0.10			0.10
Net realized and unrealized gain (loss)		0.86			(0.02	)^(a)		5.14			(3.94	)		(2.97	)
Total from investment operations		1.01			0.14			5.24			(3.84	)		(2.87	)
Less distributions to shareholders:
From net investment income		(0.16	)		(0.14	)		(0.14	)		(0.10	)		(0.09	)
From net realized gains		(0.94	)		(0.77	)		(0.36	)		—			—
Total distributions		(1.10	)		(0.91	)		(0.50	)		(0.10	)		(0.09	)
Net asset value, end of period	$	18.17		$	18.26		$	19.03		$	14.29		$	18.23
Total Return^(b)		5.64	%		0.94	%		36.93	%		(21.13	)%		(13.57	)%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	342,203		$	357,499		$	437,200		$	302,051		$	116,306
Net expenses to average daily net assets		0.48	%		0.48	%		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		0.84	%		0.89	%		0.62	%		0.72	%		0.54	%
Portfolio turnover rate		94	%		136	%		97	%		72	%		101	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.04	%		0.04	%		0.05	%		0.09	%		0.07	%

(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 return would have been lower had certain expenses not been reimbursed during the period.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

GMO U.S. Growth Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2006			2005			2004			2003^(a)
Net asset value, beginning of period	$	18.19		$	18.97		$	14.25		$	15.27
Income (loss) from investment operations:
Net investment income (loss)		0.10	^†		0.11	^†		0.09			0.04
Net realized and unrealized gain (loss)		0.85			(0.02	)^(b)		5.09			(1.01	)
Total from investment operations		0.95			0.09			5.18			(0.97	)
Less distributions to shareholders:
From net investment income		(0.10	)		(0.10	)		(0.10	)		(0.05	)
From net realized gains		(0.94	)		(0.77	)		(0.36	)		—
Total distributions		(1.04	)		(0.87	)		(0.46	)		(0.05	)
Net asset value, end of period	$	18.10		$	18.19		$	18.97		$	14.25
Total Return^(c)		5.33	%		0.65	%		36.58	%		(6.31	)%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	253,332		$	269,227		$	199,865		$	20,306
Net expenses to average daily net assets		0.77	%		0.78	%		0.78	%		0.78	%^*
Net investment income to average daily net assets		0.54	%		0.61	%		0.29	%		0.51	%^*
Portfolio turnover rate		94	%		136	%		97	%		72	%^***
Fees and expenses reimbursed by the Manager to average daily net assets:		0.04	%		0.04	%		0.05	%		0.09	%^*

(a) Period from September 11, 2002 (commencement of operations) through February 28, 2003.

(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.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

*** Calculation represents portfolio turnover of the Fund for the year ended February 28, 2003.

See accompanying notes to the financial statements.

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO U.S. Growth Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. 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 a series of shares into classes.

The Fund commenced operations following an in-kind purchase of shares by GMO Growth Fund ("Predecessor Fund") effected as of the close of business on September 16, 2005 ("Purchase Date"). For tax purposes, this transaction met all requirements for a tax-free reorganization under the Internal Revenue Code, and consequently the Fund retained the Predecessor Fund's basis and holding period in each asset contributed in-kind. For accounting purposes, the Fund also recorded a cost for each in-kind asset contributed by the Predecessor Fund equal to such asset's historical cost. For tax and accounting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations. Therefore, the Statement of Operations is shown for the entire fiscal year ending February 28, 2006, the Statements of Changes in Net Assets are shown for the entire fiscal years ending February 28, 2006 and 2005, and the Financial Highlights are shown for each of the fiscal years ending February 28/29, 2006, 2005, 2004, 2003 and 2002.

The Fund seeks long-term capital growth. The Fund's benchmark is the Russell 1000 Growth Index.

Throughout the year ended February 28, 2006, 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 3). The principal economic difference between the classes of shares is the type and level of fees.

2. Significant accounting policies

Portfolio valuation

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Futures contracts

The Fund may purchase and sell futures contracts. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon entering into a futures contract, the Fund is required to deposit, with the futures clearing broker, an amount of cash, U.S. government and agency obligations or other liquid assets in accordance with the initial margin requirements of the broker or exchange. In addition, the Fund maintains cash or securities in an amount that at least equals the net amount payable in the event the Fund must deliver the full amount of the contracts. Futures contracts are 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 liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Under certain 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. Losses may arise from changes in the value of the underlying instrument if the Fund is unable to liquidate a futures position due to an illiquid secondary market for the contracts or the imposition of price limits, or if counterparties do not perform under the contract terms. Futures contracts are generally valued at the settlement price established each day by the board of trade or exchange on which they are traded. See the Schedule of Investments for open futures contracts entered into by the Fund as of February 28, 2006.

Swap agreements

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Repurchase agreements

Securities lending

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Taxes and distributions

Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. During the years ended February 28, 2006 and February 28, 2005, the tax character of distributions paid was as follows: ordinary income – $15,113,259 and $24,392,679, respectively and long-term capital gains – $20,855,398 and $6,569,794, respectively.

As of February 28, 2006, the components of distributable earnings on a tax basis consisted of $4,234,847 and $6,000,021 of undistributed ordinary income and undistributed long-term capital gains, respectively. The temporary differences between book and tax basis distributable earnings are primarily due to capital loss carryforwards and losses on wash sale transactions.

As of February 28, 2006, the Fund had capital loss carryforwards available to offset future capital gains, if any, to the extent permitted by the Code of $11,596,373, $9,328,913 and $782,016 expiring in 2010, 2011 and 2012, respectively. Utilization of the capital loss carryforwards above could be subject to limitations imposed by the Code related to share ownership activity.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	613,706,480			$	49,957,073			$	(18,697,491	)		$	31,259,582

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

impact on net investment income, realized gain/loss or the net asset value of the Fund and is primarily attributable to redemption in-kind transactions. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income				Accumulated Net Realized Loss				Paid-in Capital
$	(25,368	)		$	1,273,342			$	(1,247,974	)

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

Security transactions and related investment income

Allocation of operating activity

The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, 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 pro rata between 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.

3. Fees and other transactions with affiliates

Class M shares of the Fund pay GMO an administration fee monthly at the annual rate of 0.20% of the average daily Class M net assets for support services provided to Class M shareholders.

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Fund Distributors, Inc. (the "Distributor") serves as the Fund's distributor. Pursuant to a Rule 12b-1 distribution plan adopted by the Fund, Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily Class M net assets, for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund. The Trustees currently limit payments on Class M shares to 0.25% of the Funds average daily net asset value attributable to its Class M shares. This fee may be spent by the Distributor on personal services rendered to Class M shareholders of the Fund and/or maintenance of Class M shareholder accounts.

Effective September 16, 2005, GMO has entered into a binding agreement effective until at least June 30, 2006 to reimburse the Fund to the extent that the Fund's total annual operating expenses (excluding shareholder service fees (Class III only), administration fees (Class M only), 12b-1 fees (Class M only), fees and expenses of the Chief Compliance Officer ("CCO") and independent Trustees (including legal fees), brokerage commissions and other investment-related costs, hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes), securities lending fees and expenses, interest expense and transfer taxes) exceed 0.31% of average daily net assets. Prior to September 16, 2005, the rate was 0.33% of the Predecessor Fund's average daily net assets.

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 28, 2006 was $14,434 and $3,543 respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2006 aggregated $556,577,964 and $604,250,182, respectively.

5. Guarantees

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

6. Principal shareholders and related party

As of February 28, 2006, 41.0% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. Investment activities of these shareholders may have a material effect on the Fund.

As of February 28, 2006, less than 0.1% of the Fund's shares were held by one related party comprised of a certain GMO employee account, and 5.2% of the Fund's shares were held by accounts for which the Manager has investment discretion.

7. Share transactions

	Year Ended February 28, 2006						Year Ended February 28, 2005
Class III:	Shares			Amount			Shares			Amount
Shares sold		2,712,137		$	49,338,593			6,639,226		$	115,355,190
Shares issued to shareholders in reinvestment of distributions		1,160,254			20,977,507			984,564			17,331,567
Shares repurchased		(3,792,164	)		(68,380,886	)		(11,020,441	)		(198,100,165	)
Redemption in-kind		(824,369	)		(14,920,741	)		—			—
Net increase (decrease)		(744,142	)	$	(12,985,527	)		(3,396,651	)	$	(65,413,408	)
	Year Ended February 28, 2006						Year Ended February 28, 2005
Class M:	Shares			Amount			Shares			Amount
Shares sold		4,531,049		$	81,556,256			10,764,615		$	194,255,380
Shares issued to shareholders in reinvestment of distributions		828,043			14,926,145			775,516			13,598,893
Shares repurchased		(6,152,442	)		(110,299,943	)		(7,273,865	)		(129,139,622	)
Redemption in-kind		(10,066	)		(181,381	)		—			—
Net increase (decrease)		(803,416	)	$	(13,998,923	)		4,266,266		$	78,714,651

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO U.S. Growth Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO U.S. Growth Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

As described in Note 1 to the financial statements, the Fund is the successor to GMO Growth Fund and includes the operations of GMO Growth Fund for periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO U.S. Growth Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six months ended February 28, 2006.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.47	%	$	1,000.00	$	1,047.30	$	2.39
2) Hypothetical		0.47	%	$	1,000.00	$	1,022.46	$	2.36
Class M
1) Actual		0.77	%	$	1,000.00	$	1,045.70	$	3.91
2) Hypothetical		0.77	%	$	1,000.00	$	1,020.98	$	3.86

* Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 28, 2006, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

GMO U.S. Growth Fund

(A Series of GMO Trust)

Tax Information (Unaudited) for the Tax Year Ended February 28, 2006

The Fund's distributions to shareholders include $20,855,398 from long-term capital gains.

For taxable, non-corporate shareholders, 49.38% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 71.59% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income and qualified short-term capital gains with respect to its taxable year ended February 28, 2006, $378,995 and $4,990,241, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

GMO U.S. Growth Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement
February 28, 2006 (Unaudited)

¹ For tax, accounting and performance reporting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations.

GMO U.S. Growth Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

GMO U.S. Growth Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO U.S. Value Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO U.S. Value Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the U.S. Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO U.S. Value Fund returned +5.4% for the fiscal year ended February 28, 2006, as compared to +10.3% for the Russell 1000 Value Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in equity securities throughout the period.

Stock selection adversely impacted results. In particular, poor selection within technology and health care issues hurt performance.

Sector selection aided performance. Overweights in retail stores and health care both added to relative performance and were only partially offset by the negative impact of underweighting transportation shares.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Performance for different classes will vary due to different fees. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† The Fund is the successor to the GMO Value Fund, therefore, performance for the periods prior to September 16, 2005 is that of GMO Value Fund.

GMO U.S. Value Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.3	%
Short-Term Investment(s)		13.8
Futures		0.0
Other		(10.1	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Financial Services		35.2	%
Consumer Discretionary		15.9
Health Care		13.3
Technology		10.6
Consumer Staples		6.6
Producer Durables		6.6
Utilities		5.5
Integrated Oils		3.5
Other		1.0
Materials & Processing		0.7
Other Energy		0.6
Auto & Transportation		0.5
		100.0	%

GMO U.S. Value Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 96.3%
		Auto & Transportation — 0.5%
	4,500	Harley-Davidson, Inc. ^(a)		236,295
		Consumer Discretionary — 15.3%
	4,600	Apollo Group, Inc.-Class A ^*		227,148
	8,800	Applebee's International, Inc. ^(a)		203,632
	8,100	Bed Bath & Beyond, Inc. ^*		291,924
	27,600	Cendant Corp.		458,712
	35,200	Dollar General Corp.		613,184
	38,600	Home Depot, Inc.		1,626,990
	14,800	Jones Apparel Group, Inc.		428,016
	7,200	Kimberly Clark Corp.		426,096
	13,800	Liz Claiborne, Inc.		497,214
	15,400	Lowe's Cos., Inc.		1,049,972
	3,400	Omnicom Group		271,388
	33,200	Wal-Mart Stores, Inc. ^(a)		1,505,952
	1,900	Weight Watchers International, Inc. ^*		99,693
				7,699,921
		Consumer Staples — 6.3%
	14,800	Altria Group, Inc.		1,064,120
	13,600	Dean Foods Co. ^*		509,592
	21,100	Kroger Co. ^{* (a)}		422,844
	5,000	Safeway, Inc. ^(a)		121,550
	26,700	Sara Lee Corp.		471,789
	18,900	Supervalu, Inc.		597,240
				3,187,135
		Financial Services — 33.9%
	6,000	Aflac, Inc.		277,500
	18,300	Allstate Corp. (The)		1,002,474
	6,000	AMBAC Financial Group, Inc.		450,900
	36,200	American International Group, Inc.		2,402,232

See accompanying notes to the financial statements.

GMO U.S. Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Financial Services — continued
	21,231	Bank of America Corp.		973,441
	2,300	Bear Stearns Cos. (The), Inc.		309,212
	10,800	Capital One Financial Corp.		946,080
	5,900	Chubb Corp.		564,925
	3,000	Cigna Corp.		368,250
	20,600	Citigroup, Inc.		955,222
	16,900	CNA Financial Corp. ^{* (a)}		522,548
	2,200	Comerica, Inc. ^(a)		126,104
	7,000	Fannie Mae		382,760
	15,000	First Data Corp.		676,950
	6,000	Freddie Mac		404,340
	8,700	Hartford Financial Services Group, Inc.		716,706
	3,500	IndyMac Bancorp, Inc.		135,870
	8,500	Lehman Brothers Holdings, Inc.		1,240,575
	7,900	Marsh & McLennan Cos., Inc.		244,189
	8,900	Metlife, Inc. ^(a)		446,068
	8,900	Morgan Stanley		530,974
	22,500	National City Corp. ^(a)		783,000
	8,300	New York Community Bancorp, Inc.		140,021
	34,975	Old Republic International Corp.		744,618
	2,000	Progressive Corp. (The)		214,900
	6,400	Protective Life Corp.		312,000
	6,700	Radian Group, Inc.		380,225
	500	TD Banknorth, Inc.		15,365
	300	Torchmark Corp.		16,401
	4,600	Wachovia Corp.		257,922
	11,485	Washington Mutual, Inc.		490,410
				17,032,182
		Health Care — 12.9%
	4,600	AmerisourceBergen Corp.		211,554
	3,800	Cardinal Health, Inc.		275,880
	7,800	Forest Laboratories, Inc. ^*		358,020
	9,000	Health Net, Inc. ^*		431,550

See accompanying notes to the financial statements.

GMO U.S. Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Health Care — continued
	7,900	Johnson & Johnson		455,435
	1,200	Medtronic, Inc.		64,740
	33,700	Merck & Co., Inc.		1,174,782
	102,800	Pfizer, Inc.		2,692,332
	4,300	Pharmaceutical Product Development, Inc.		299,237
	4,300	UnitedHealth Group, Inc.		250,389
	4,800	Wyeth		239,040
				6,452,959
		Integrated Oils — 3.3%
	17,200	ConocoPhillips		1,048,512
	10,400	Exxon Mobil Corp.		617,448
				1,665,960
		Materials & Processing — 0.7%
	5,100	Ashland, Inc.		332,877
		Other — 1.0%
	6,700	Johnson Controls, Inc.		477,509
		Other Energy — 0.5%
	5,100	Valero Energy Corp.		274,329
		Producer Durables — 6.4%
	7,900	Centex Corp.		534,119
	6,200	D.R. Horton, Inc.		211,482
	3,000	Danaher Corp. ^(a)		181,740
	6,600	KB Home		442,398
	7,100	Lexmark International, Inc. ^*		334,339
	16,300	Pulte Homes, Inc.		626,083
	3,300	Ryland Group, Inc. ^(a)		230,175
	7,800	Standard-Pacific Corp. ^(a)		256,230
	6,700	United Technologies Corp.		391,950
				3,208,516

See accompanying notes to the financial statements.

GMO U.S. Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		Technology — 10.2%
	47,800	Dell, Inc. ^*		1,386,200
	61,100	Hewlett-Packard Co.		2,004,691
	15,500	Ingram Micro, Inc.-Class A ^*		306,590
	52,500	Microsoft Corp.		1,412,250
				5,109,731
		Utilities — 5.3%
	12,200	American Electric Power Co., Inc.		445,300
	25,100	AT&T, Inc.		692,509
	15,100	BellSouth Corp.		476,858
	15,600	Sempra Energy		746,304
	9,400	Verizon Communications, Inc.		316,780
				2,677,751
		TOTAL COMMON STOCKS (COST $45,330,544)		48,355,165
		SHORT-TERM INVESTMENT(S) — 13.8%
	172,246	American Beacon Money Market Select Fund ^(b)		172,246
	559,798	BGI Institutional Money Market Fund ^(b)		559,798
	1,821,285	Citigroup Global Markets Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $1,821,437 and an effective yield of 3.01%, collateralized by a U.S. Treasury Bond with a rate of 4.50%, maturity date of 02/15/36 and a market value, including accrued interest, of $1,857,711.		1,821,285
	258,368	Fortis Bank Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.53%, due 03/23/06 ^(b)		258,368
	861,227	Goldman Sachs Group Inc. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $861,337 and an effective yield of 4.60%, collateralized by various corporate debt obligations with an aggregate market value of $878,452. ^(b)		861,227
	775,105	Merrill Lynch & Co. Triparty Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $775,203 and an effective yield of 4.55%, collateralized by various government obligations with an aggregate market value of $775,105. ^(b)		775,105

See accompanying notes to the financial statements.

GMO U.S. Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENT(S) — continued
	172,246	Merrimac Cash Series-Premium Class ^(b)		172,246
	628,043	Morgan Stanley & Co. Repurchase Agreement, dated 02/28/06, due 03/01/06, with a maturity value of $628,123 and an effective yield of 4.55%, collateralized by various government obligations with an aggregate market value of $640,608. ^(b)		628,043
	516,736	National Australia Bank Eurodollar Overnight Time Deposit, 4.56%, due 03/01/06 ^(b)		516,736
	344,491	Rabobank Nederland Eurodollar Overnight Time Deposit, 4.52%, due 03/01/06 ^(b)		344,491
	258,368	Royal Bank of Scotland Eurodollar Term Fixed Rate Yankee Certificate of Deposit, 4.55%, due 03/31/06 ^(b)		258,368
	529,472	Svenska Handlesbanken Eurodollar Overnight Time Deposit, 4.57%, due 03/01/06 ^(b)		529,472
		TOTAL SHORT-TERM INVESTMENT(S) (COST $6,897,385)		6,897,385
		TOTAL INVESTMENTS — 110.1% (Cost $52,227,929)		55,252,550
		Other Assets and Liabilities (net) — (10.1%)		(5,043,352	)
		TOTAL NET ASSETS — 100.0%	$	50,209,198

See accompanying notes to the financial statements.

GMO U.S. Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2006

A summary of outstanding financial instruments at February 28, 2006 is as follows:

Futures Contracts

Number of
Contracts

Type

Expiration Date

Contract
Value

Net Unrealized
Appreciation
(Depreciation)

Buys

S&P 500

March 2006

641,200

9,565

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) All or a portion of this security represents investment of security lending collateral (Note 2).

See accompanying notes to the financial statements.

GMO U.S. Value Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value, including securities on loan of $4,856,975 (cost $52,227,929) (Note 2)	$	55,252,550
Dividends and interest receivable		74,833
Receivable for collateral on open futures contracts (Note 2)		31,500
Receivable for expenses reimbursed by Manager (Note 3)		16,296
Total assets		55,375,179
Liabilities:
Collateral on securities loaned (Note 2)		5,076,100
Payable for Fund shares repurchased		6
Payable to affiliate for (Note 3):
Management fee		16,933
Shareholder service fee		3,555
Administration fee – Class M		2,957
Trustees and Chief Compliance Officer fees		209
Payable for 12b-1 fee – Class M		7,819
Payable for variation margin on open futures contracts (Note 2)		5,800
Accrued expenses		52,602
Total liabilities		5,165,981
Net assets	$	50,209,198
Net assets consist of:
Paid-in capital	$	60,658,318
Accumulated net realized loss		(13,483,306	)
Net unrealized appreciation		3,034,186
	$	50,209,198
Net assets attributable to:
Class III shares	$	30,961,300
Class M shares	$	19,247,898
Shares outstanding:
Class III		3,021,736
Class M		1,885,253
Net asset value per share:
Class III	$	10.25
Class M	$	10.21

See accompanying notes to the financial statements.

GMO U.S. Value Fund

(A Series of GMO Trust)

Statement of Operations — Year ended February 28, 2006

Investment Income:
Dividends	$	902,287
Interest (including securities lending income of $636)		35,211
Total investment income		937,498
Expenses:
Management fee (Note 3)		211,250
Shareholder service fee – Class III (Note 3)		43,076
12b-1 fee – Class M (Note 3)		45,056
Administration fee – Class M (Note 3)		36,208
Custodian, fund accounting agent and transfer agent fees		36,019
Audit and tax fees		66,215
Legal fees		1,386
Trustees fees and related expenses (Note 3)		2,278
Registration fees		39,249
Miscellaneous		4,283
Total expenses		485,020
Fees and expenses reimbursed by Manager (Note 3)		(147,446	)
Net expenses		337,574
Net investment income (loss)		599,924
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		3,796,552
Closed futures contracts		(370,192	)
Net realized gain (loss)		3,426,360
Change in net unrealized appreciation (depreciation) on:
Investments		(1,444,851	)
Open futures contracts		9,565
Net unrealized gain (loss)		(1,435,286	)
Net realized and unrealized gain (loss)		1,991,074
Net increase (decrease) in net assets resulting from operations	$	2,590,998

See accompanying notes to the financial statements.

GMO U.S. Value Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Year Ended February 28, 2006			Year Ended February 28, 2005
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	599,924		$	937,725
Net realized gain (loss)		3,426,360			6,957,401
Change in net unrealized appreciation (depreciation)		(1,435,286	)		(3,230,182	)
Net increase (decrease) in net assets from operations		2,590,998			4,664,944
Distributions to shareholders from:
Net investment income
Class III		(384,323	)		(752,804	)
Class M		(265,107	)		(218,843	)
Total distributions from net investment income		(649,430	)		(971,647	)
Net share transactions (Note 7):
Class III		(11,641,367	)		(8,289,388	)
Class M		1,823,899			4,861,078
Increase (decrease) in net assets resulting from net share transactions		(9,817,468	)		(3,428,310	)
Total increase (decrease) in net assets		(7,875,900	)		264,987
Net assets:
Beginning of period		58,085,098			57,820,111
End of period	$	50,209,198		$	58,085,098

See accompanying notes to the financial statements.

GMO U.S. Value Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2006			2005			2004			2003			2002
Net asset value, beginning of period	$	9.89		$	9.28		$	6.73		$	8.82		$	9.57
Income (loss) from investment operations:
Net investment income (loss)		0.14	^†		0.16	^†		0.13			0.14			0.18
Net realized and unrealized gain (loss)		0.38			0.62			2.59			(2.10	)		(0.51	)
Total from investment operations		0.52			0.78			2.72			(1.96	)		(0.33	)
Less distributions to shareholders:
From net investment income		(0.16	)		(0.17	)		(0.17	)		(0.13	)		(0.17	)
From net realized gains		—			—			—			—			(0.25	)
Total distributions		(0.16	)		(0.17	)		(0.17	)		(0.13	)		(0.42	)
Net asset value, end of period	$	10.25		$	9.89		$	9.28		$	6.73		$	8.82
Total Return^(a)		5.36	%		8.46	%		40.69	%		(22.29	)%		(3.64	)%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	30,961		$	41,306		$	46,904		$	163,463		$	232,289
Net expenses to average daily net assets		0.61	%		0.61	%		0.61	%		0.61	%		0.61	%
Net investment income to average daily net assets		1.43	%		1.71	%		1.74	%		1.79	%		1.89	%
Portfolio turnover rate		103	%		110	%		127	%		100	%		95	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.31	%		0.18	%		0.20	%		0.07	%		0.06	%

(a) The total returns would have been lower had certain expenses not been reimbursed during the periods shown.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

GMO U.S. Value Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2006			2005			2004			2003			2002^(a)
Net asset value, beginning of period	$	9.87		$	9.26		$	6.72		$	8.82		$	9.06
Income (loss) from investment operations:
Net investment income (loss)		0.10	^†		0.13	^†		0.11			0.12			0.01
Net realized and unrealized gain (loss)		0.38			0.62			2.57			(2.10	)		(0.25	)
Total from investment operations		0.48			0.75			2.68			(1.98	)		(0.24	)
Less distributions to shareholders:
From net investment income		(0.14	)		(0.14	)		(0.14	)		(0.12	)		—
Total distributions		(0.14	)		(0.14	)		(0.14	)		(0.12	)		—
Net asset value, end of period	$	10.21		$	9.87		$	9.26		$	6.72		$	8.82
Total Return^(b)		4.95	%		8.21	%		40.23	%		(22.56	)%		(2.65	)%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	19,248		$	16,779		$	10,916		$	6,444		$	486
Net expenses to average daily net assets		0.90	%		0.91	%		0.91	%		0.92	%		0.91	%^*
Net investment income to average daily net assets		1.04	%		1.42	%		1.42	%		1.46	%		1.52	%^*
Portfolio turnover rate		103	%		110	%		127	%		100	%		95	%^(c)
Fees and expenses reimbursed by the Manager to average daily net assets:		0.31	%		0.18	%		0.20	%		0.07	%		0.06	%^*

(a) Period from January 10, 2002 (commencement of operations) through February 28, 2002.

(b) The total returns would have been lower had certain expenses not been reimbursed during the periods shown.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not Annualized.

See accompanying notes to the financial statements.

GMO U.S. Value Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO U.S. Value Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. 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 a series of shares into classes.

The Fund commenced operations following an in-kind purchase of shares by GMO Value Fund ("Predecessor Fund") effected as of the close of business on September 16, 2005 ("Purchase Date"). For tax purposes, this transaction met all requirements for a tax-free reorganization under the Internal Revenue Code, and consequently the Fund retained the Predecessor Fund's basis and holding period in each asset contributed in-kind. For accounting purposes, the Fund also recorded a cost for each in-kind asset contributed by the Predecessor Fund equal to such asset's historical cost. For tax and accounting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations. Therefore, the Statement of Operations is shown for the entire fiscal year ending February 28, 2006, the Statements of Changes in Net Assets are shown for the entire fiscal years ending February 28, 2006 and 2005, and the Financial Highlights are shown for each of the fiscal years ending February 28/29, 2006, 2005, 2004, 2003 and 2002.

The Fund seeks long-term capital growth primarily through investment in equity securities. The Fund's benchmark is the Russell 1000 Value Index.

For the year ended February 28, 2006, 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 3). The principal economic difference between the classes of shares is the type and level of fees.

2. Significant accounting policies

Portfolio valuation

GMO U.S. Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Futures contracts

The Fund may purchase and sell futures contracts. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon entering into a futures contract, the Fund is required to deposit, with the futures clearing broker, an amount of cash, U.S. government and agency obligations or other liquid assets in accordance with the initial margin requirements of the broker or exchange. In addition, the Fund maintains cash or securities in an amount that at least equals the net amount payable in the event the Fund must deliver the full amount of the contracts. Futures contracts are 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 liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Under certain 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. Losses may arise from changes in the value of the underlying instrument if the Fund is unable to liquidate a futures position due to an illiquid secondary market for the contracts or the imposition of price limits, or if counterparties do not perform under the contract terms. Futures contracts are generally valued at the settlement price established each day by the board of trade or exchange on which they are traded. See the Schedule of Investments for open futures contracts entered into by the Fund as of February 28, 2006.

Swap agreements

GMO U.S. Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Repurchase agreements

Securities lending

GMO U.S. Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Taxes and distributions

Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. During the years ended February 28, 2006 and February 28, 2005, the tax character of distributions paid was as follows: ordinary income – $599,924 and $971,647, respectively and long-term capital gains – $49,506 and $0, respectively.

As of February 28, 2006, the components of distributable earnings on a tax basis consisted of $368,976 of undistributed long-term capital gains. The temporary differences between book and tax basis distributable earnings are primarily due to capital loss carryforwards and losses on wash sale transactions.

As of February 28, 2006, the Fund had capital loss carryforwards available to offset future capital gains, if any, to the extent permitted by the Code of $9,707,565 and $3,753,821 expiring in 2011 and 2012, respectively. Utilization of the capital loss carryforwards above could be subject to limitations imposed by the Code related to share ownership activity.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	52,609,260			$	3,472,335			$	(829,045	)		$	2,643,290

GMO U.S. Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2006. This reclassification has no impact on net investment income, realized gain/loss or the net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under U.S. federal tax rules versus U.S. GAAP. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income				Accumulated Net Realized Loss				Paid-in Capital
$	49,506			$	31,555			$	(81,061	)

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

Security transactions and related investment income

Allocation of operating activity

The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, 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 pro rata between 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.

3. Fees and other transactions with affiliates

Effective September 16, 2005, GMO earns a management fee paid monthly at the annual rate of 0.44% of the Fund's average daily net assets. Prior to September 16, 2005, GMO earned a management fee paid monthly at the annual rate of 0.46% of the Predecessor Fund's average daily net assets (See Note 1). 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 the average daily net assets at the annual rate of 0.15% for Class III shares.

GMO U.S. Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Class M shares of the Fund pay GMO an administration fee monthly at the annual rate of 0.20% of the average daily Class M net assets for support services provided to Class M shareholders.

Fund Distributors, Inc. (the "Distributor") serves as the Fund's distributor. Pursuant to a Rule 12b-1 distribution plan adopted by the Fund, Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily Class M net assets, for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund. The Trustees currently limit payments on Class M shares to 0.25% of the Fund's average daily net asset value attributable to its Class M shares. This fee may be spent by the Distributor on personal services rendered to Class M shareholders of the Fund and/or maintenance of Class M shareholder accounts.

Effective September 16, 2005, GMO has entered into a binding agreement effective until at least June 30, 2006 to reimburse the Fund to the extent that the Fund's total annual operating expenses (excluding shareholder service fees (Class III only), administration fees (Class M only), 12b-1 fees (Class M only), fees and expenses of the Chief Compliance Officer ("CCO") and independent Trustees (including legal fees), brokerage commissions and other investment-related costs, hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes), securities lending fees and expenses, interest expense and transfer taxes) exceed 0.44% of average daily net assets. Prior to September 16, 2005, the rate was 0.46% of the Predecessor Fund's average daily net assets.

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 28, 2006 was $891 and $298, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2006 aggregated $45,930,121 and $53,915,154, respectively.

5. Guarantees

GMO U.S. Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

6. Principal shareholders and related parties

As of February 28, 2006, 82.7% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. Investment activities of these shareholders may have a material effect on the Fund.

As of February 28, 2006, less than 0.1% of the Fund's shares were held by three related parties comprised of certain GMO employee accounts, and 6.8% of the Fund's shares were held by accounts for which the Manager has investment discretion.

7. Share transactions

	Year Ended February 28, 2006						Year Ended February 28, 2005
Class III:	Shares			Amount			Shares			Amount
Shares sold		2,313,185		$	22,759,724			167,908		$	1,554,782
Shares issued to shareholders in reinvestment of distributions		15,036			149,075			65,553			622,948
Shares repurchased		(3,318,698	)		(32,905,506	)		(1,110,349	)		(10,467,118	)
Redemption in-kind		(162,809	)		(1,644,660	)		—			—
Net increase (decrease)		(1,153,286	)	$	(11,641,367	)		(876,888	)	$	(8,289,388	)
	Year Ended February 28, 2006						Year Ended February 28, 2005
Class M:	Shares			Amount			Shares			Amount
Shares sold		433,456		$	4,287,346			623,115		$	5,824,749
Shares issued to shareholders in reinvestment of distributions		26,686			265,107			22,913			218,843
Shares repurchased		(275,166	)		(2,728,554	)		(123,955	)		(1,182,514	)
Net increase (decrease)		184,976		$	1,823,899			522,073		$	4,861,078

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO U.S. Value Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO U.S. Value Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

As described in Note 1 to the financial statements, the Fund is the successor to GMO Value Fund and includes the operations of GMO Value Fund for periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO U.S. Value Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six months ended February 28, 2006.

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 and/or service (12b-1) 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, September 1, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.60	%	$	1,000.00	$	1,035.40	$	3.03
2) Hypothetical		0.60	%	$	1,000.00	$	1,021.82	$	3.01
Class M
1) Actual		0.89	%	$	1,000.00	$	1,034.00	$	4.49
2) Hypothetical		0.89	%	$	1,000.00	$	1,020.38	$	4.46

GMO U.S. Value Fund

(A Series of GMO Trust)

Tax Information (Unaudited) for the Tax Year ended February 28, 2006

The Fund's distributions to shareholders include $49,506 from long-term capital gains.

For taxable, non-corporate shareholders, 86.44% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2006 of $23,239 or if determined to be different, the qualified interest income of such year.

GMO U.S. Value Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement
February 28, 2006 (Unaudited)

¹ For tax, accounting and performance reporting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations.

GMO U.S. Value Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

GMO U.S. Value Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the International Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Since September 16, 2005, the GMO International Disciplined Equity Fund returned +11.2% for the fiscal period ended February 28, 2006, as compared to +11.7% for the MSCI EAFE Index for the same period. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in international equity securities throughout the period.

Sector weightings had the largest negative impact relative to the benchmark. During the period, an overweight position in energy and an underweight in financial stocks hurt relative performance, negating our successful underweight position in telecommunications stocks.

Country allocation also had a negative impact, due largely to an overweight in Italy.

Among the portfolio holdings with the largest positive impact to relative returns during the period were Dutch banking and insurance company ING Groep, Japanese Sumitomo Metal Industries Ltd. (steel maker), and Swiss financial company Zurich Financial Services. Holdings such as Japanese drug maker Takeda Pharmaceutical and Italian oil company ENI proved less successful.

The strong U.S. dollar relative to most foreign currencies detracted from returns for U.S. investors. The MSCI EAFE Index returned 3% less in U.S. dollar terms than in local currency in this period.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† See Note 1 to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.4	%
Preferred Stocks		1.0
Forward Currency Contracts		0.0
Short-Term Investment(s)		0.6
Other		0.0
		100.0	%
Country Summary	% of Equity Investments
Japan		27.5	%
United Kingdom		22.9
Germany		9.5
France		8.9
Netherlands		7.3
Switzerland		5.0
Italy		3.3
Finland		2.9
Australia		2.7
Canada		1.7
Belgium		1.4
Sweden		1.4
Spain		1.3
Austria		1.0
Hong Kong		0.9
Norway		0.9
Singapore		0.7
Ireland		0.5
Denmark		0.2
		100.0	%

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2006 (Unaudited)

Industry Sector Summary	% of Equity Investments
Financials		25.5	%
Consumer Discretionary		14.8
Health Care		12.2
Energy		11.0
Industrials		9.3
Materials		8.2
Consumer Staples		7.2
Utilities		5.7
Information Technology		3.7
Telecommunication Services		2.4
		100.0	%

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 98.4%
		Australia — 2.7%
	2	Aristocrat Leisure Ltd		18
	2,378	Australia and New Zealand Banking Group Ltd		45,228
	1,829	Commonwealth Bank of Australia		60,716
	3,514	Foster's Group Ltd		14,145
	4,157	General Property Trust Units		12,776
	790	Macquarie Bank Ltd		37,367
	2,070	National Australia Bank Ltd		56,184
	3,401	Rinker Group Ltd		44,681
	4,909	Santos Ltd		41,261
	11,434	Telstra Corp Ltd		32,536
	2,073	Woodside Petroleum Ltd		62,228
	3,528	Woolworths Ltd		48,049
				455,189
		Austria — 1.0%
	244	Austrian Airlines. ^*		2,440
	122	Boehler Uddeholm (Bearer)		22,887
	137	Flughafen Wien AG		11,049
	98	Generali Holding Vienna AG		4,671
	67	Mayr-Melnhof Karton AG (Bearer)		9,860
	1,443	OMV AG		89,494
	286	Voestalpine AG		33,333
				173,734
		Belgium — 1.4%
	47	Bekaert NV		4,828
	205	Belgacom SA		6,162
	108	Colruyt SA		15,558
	226	Delhaize Group		15,077
	1,859	Dexia		46,170
	2,884	Fortis		102,732
	854	UCB SA		40,451
				230,978

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Canada — 1.7%
	2,000	Canadian Natural Resources		109,270
	500	EnCana Corp		20,678
	500	National Bank of Canada		28,510
	1,700	Petro - Canada		77,876
	600	Royal Bank of Canada		50,135
				286,469
		Denmark — 0.2%
	3	AP Moller - Maersk A/S Class B		27,496
		Finland — 2.8%
	2,200	Fortum Oyj		53,225
	500	Kesko Oyj Class B		15,714
	500	Neste Oil Oyj. ^*		15,275
	13,600	Nokia Oyj		253,068
	1,200	Rautaruukki Oyj		40,439
	3,400	Sampo Oyj Class A		68,145
	800	Wartsila Oyj Class B		29,153
				475,019
		France — 8.8%
	310	Alstom. ^*		26,495
	2,950	Arcelor		107,797
	1,379	Axa		48,759
	2,596	BNP Paribas		240,252
	871	Business Objects SA. ^*		32,327
	473	Cap Gemini SA. ^*		23,320
	382	Carrefour SA		18,963
	721	Cie de Saint-Gobain		48,101
	719	L'Oreal SA		63,572
	647	LVMH Moet Hennessy Louis Vuitton SA		58,772
	214	Michelin SA Class B		13,054
	6	Pernod-Ricard		1,027
	1,462	Peugeot SA		85,231

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		France — continued
	145	Pinault-Printemps-Redoute SA		16,705
	1,051	Renault SA		100,994
	889	Sanofi-Aventis		75,676
	369	Schneider Electric SA		37,705
	465	Societe Generale		65,850
	1,653	Total SA		415,727
				1,480,327
		Germany — 8.7%
	117	Adidas-Salomon AG		22,865
	641	Allianz AG (Registered)		103,525
	791	Altana AG		42,482
	2,100	Bankgesellschaft Berlin AG. ^*		12,169
	902	Bayer AG		36,382
	1,713	Bayerische Motoren Werke AG		82,352
	160	Celesio AG		14,877
	1,942	Commerzbank AG		70,957
	1,605	DaimlerChrysler AG (Registered)		89,186
	18	Degussa AG		920
	2,497	Depfa Bank Plc		41,634
	815	Deutsche Bank AG (Registered)		90,165
	718	Deutsche Boerse AG		90,199
	1,212	E. On AG		134,421
	819	Hochtief AG		43,954
	796	MAN AG		50,228
	387	Merck KGaA		38,755
	812	Muenchener Rueckversicherungs AG (Registered)		110,233
	228	RWE AG		19,605
	1,095	Schering AG		78,538
	783	Suedzucker AG		20,687
	3,449	ThyssenKrupp AG		87,366
	2,486	TUI AG		49,099
	1,755	Volkswagen AG		122,906
				1,453,505

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Hong Kong — 0.9%
	4,000	Cheung Kong Holdings Ltd		41,929
	6,000	CLP Holdings Ltd		34,304
	1,500	Esprit Holdings Ltd		11,472
	9,000	Hang Lung Group Co Ltd		19,820
	7,000	Hong Kong Electric Holdings Ltd		32,233
	3,500	Yue Yuen Industrial Holdings		10,807
				150,565
		Ireland — 0.6%
	1,533	Anglo Irish Bank Corp		25,135
	401	Bank of Ireland		7,134
	1,360	CRH Plc		44,610
	642	DCC Plc		14,623
				91,502
		Italy — 3.1%
	6,750	Banca Intesa SPA - Di RISP		37,114
	6,118	Banca Monte dei Paschi di Siena SPA		31,645
	5,563	Capitalia SPA		42,018
	11,530	ENI SPA		329,621
	3,044	Fiat SPA. ^*		32,952
	1,834	Sanpaolo IMI SPA		32,365
	6,405	Telecom Italia Di RISP		14,716
				520,431
		Japan — 27.3%
	310	Acom Co Ltd		19,001
	100	Advantest Corp		11,313
	1,300	Aeon Co Ltd		31,014
	900	Alps Electric Co Ltd		14,073
	700	Astellas Pharma Inc		27,024
	3,100	Chubu Electric Power Co Inc		82,172
	800	Chugoku Electric Power Co Inc		17,328
	2,000	Cosmo Oil Co Ltd		10,168

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Japan — continued
	4,000	Daido Steel Co Ltd		34,920
	1,900	Daiei Inc. ^*		52,417
	2,822	Daiichi Sankyo Co Ltd. ^*		58,266
	3,000	Daikyo Inc. ^*		15,791
	300	Daito Trust Construction Co Ltd		14,048
	2,000	Daiwa Securities Co Ltd		23,744
	900	Eisai Co Ltd		41,623
	700	Fanuc Ltd		59,027
	7,000	Fuji Heavy Industries Ltd		37,931
	3,000	Furukawa Electric Co Ltd. ^*		23,411
	15,000	Haseko Corp. ^*		52,266
	2,000	Hokuhoku Financial Group Inc		8,609
	4,900	Honda Motor Co Ltd		286,210
	1,200	Hoya Corp		47,609
	1,000	Ibiden Co Ltd		46,859
	6,000	Ishikawajima-Harima Heavy Industries Co Ltd. ^*		18,195
	7,000	Isuzu Motors Ltd		24,104
	10,000	Itochu Corp		83,115
	3,000	Japan Steel Works Ltd		18,561
	3	Japan Tobacco Inc		51,541
	1,800	Kansai Electric Power Co Inc		41,886
	2,000	Kao Corp		54,325
	14,000	Kawasaki Heavy Industries Ltd		47,957
	14,000	Kobe Steel Ltd		53,204
	5,000	Komatsu Ltd		88,673
	1,100	Konami Corp		27,121
	1,700	Kyushu Electric Power Co Inc		41,007
	1,200	Leopalance21 Corp		43,163
	13,000	Marubeni Corp		64,476
	2,000	Matsushita Electric Industrial Co Ltd		42,059
	6,000	Mazda Motor Corp		34,124
	6,700	Mitsubishi Corp		155,448
	2,000	Mitsubishi Estate Co Ltd		42,178
	4,000	Mitsubishi Heavy Industries		18,787

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Japan — continued
	6,000	Mitsubishi Materials Corp		31,018
	28,000	Mitsubishi Motors Corp. ^*		57,900
	6	Mitsubishi Tokyo Financial Group Inc		89,084
	6,000	Mitsui & Co		82,089
	1,000	Mitsui Fudosan Co Ltd		20,772
	2,000	Mitsui Sumitomo Insurance Co Ltd		26,377
	7,000	Mitsui Trust Holding Inc		102,632
	11	Mizuho Financial Group Inc		87,683
	100	Nidec Corp		7,932
	3,000	Nippon Mining Holdings Inc		22,403
	9,000	Nippon Steel Corp		35,868
	17	Nippon Telegraph & Telephone Corp		73,405
	5,000	Nippon Yusen Kabushiki Kaisha		32,526
	2,000	Nissan Diesel Motor Co		11,018
	16,600	Nissan Motor Co		190,564
	1,100	Nisshin Seifun Group Inc		11,165
	700	Nitto Denko Corp		60,071
	1,400	Nomura Securities Co Ltd		26,716
	7	NTT Data Corp		32,365
	14	NTT Docomo Inc		20,714
	2,000	Obayashi Corp		14,942
	500	Ono Pharmaceutical Co Ltd		22,363
	300	ORIX Corp		78,981
	11,000	Osaka Gas Co Ltd		42,115
	250	Promise Co Ltd		15,087
	33	Resona Holdings Inc. ^*		116,365
	2,000	Ricoh Company Ltd		37,031
	200	Sankyo Co Ltd Gunma		12,235
	1,000	Seven & I Holdings Co Ltd		40,905
	5,000	Shimizu Corp		35,099
	400	Shin-Etsu Chemical Co Ltd		21,297
	900	Softbank Corp.		27,521
	2,700	Sojitz Corp. ^*		14,816
	5,000	Sumitomo Corp		67,548

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Japan — continued
	24,000	Sumitomo Metal Industries Ltd		106,547
	5,000	Taiheiyo Cement Co Ltd		21,515
	3,000	Taisei Corp		14,532
	1,000	Taisho Pharmaceutical Co Ltd		21,168
	6,900	Takeda Pharmaceutical Co Ltd		384,361
	1,000	Teijin Ltd		6,748
	500	Terumo Corp		15,265
	2,300	Tohoku Electric Power Co Inc		52,043
	2,000	Tokuyama Corp		29,839
	1,400	Tokyo Electric Power Co Inc		37,792
	200	Tokyo Electron Ltd		13,320
	3,000	TonenGeneral Sekiyu KK		29,984
	4,600	Toyota Motor Corp		245,214
	6,000	Ube Industries Ltd		17,704
	500	Yamada Denki Co Ltd		53,567
				4,582,954
		Netherlands — 7.3%
	11,383	ABN Amro Holdings NV		331,709
	8,412	Aegon NV		138,718
	783	Akzo Nobel NV		39,749
	1,968	Buhrmann NV		32,974
	246	Corio NV		16,164
	1,409	DSM NV		58,599
	7,822	Hagemeyer NV. ^*		31,480
	417	Heineken Holding NV		14,507
	1,271	Heineken NV		47,859
	11,337	ING Groep NV		426,112
	3,885	Koninklijke Ahold NV. ^*		31,709
	611	TNT NV		19,875
	293	Unilever NV		20,339
	122	Wereldhave NV		13,006
				1,222,800

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Norway — 0.9%
	540	Norsk Hydro ASA		63,252
	850	Orkla ASA		37,050
	1,700	Statoil ASA		43,535
				143,837
		Singapore — 0.7%
	20,000	Capitaland Ltd		51,522
	8,000	ComfortDelgro Corp Ltd		8,105
	5,000	DBS Group Holdings Ltd		50,290
	6,000	MobileOne Ltd		8,131
	2,000	Singapore Press Holdings Ltd		5,455
				123,503
		Spain — 1.3%
	1,102	ACS Actividades de Construccion y Servicios SA		41,097
	525	Gas Natural SDG SA		15,970
	2,874	Iberdrola SA		90,646
	2,742	Repsol YPF SA		76,643
				224,356
		Sweden — 1.3%
	2,000	Atlas Copco AB Class A		49,258
	1,700	Electrolux AB		47,018
	1,150	Hennes & Mauritz AB Class B		41,903
	500	Nordea AB		5,652
	400	Svenska Cellulosa - Series B Free		16,774
	2,400	Swedish Match AB		32,138
	3,000	Tele2 AB Class B		32,379
				225,122
		Switzerland — 4.9%
	4,946	ABB Ltd. ^*		59,261
	374	Compagnie Financiere Richemont AG		16,286
	939	Credit Suisse Group		52,007

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Switzerland — continued
	390	Logitech International SA. ^*		15,711
	436	Nestle SA (Registered)		128,186
	55	Roche Holding AG (Bearer)		9,136
	1,906	Roche Holding AG (Non Voting)		281,606
	42	Serono SA		29,801
	60	Swisscom AG (Registered)		18,019
	919	Zurich Financial Services AG. ^*		217,016
				827,029
		United Kingdom — 22.8%
	6,738	Aegis Group Plc		15,612
	700	Alliance & Leicester Plc		13,122
	1,747	Anglo American Plc		65,080
	10,173	ARM Holdings Plc		24,529
	6,840	AstraZeneca Plc		315,891
	4,745	Aviva Plc		65,652
	7,509	BAE Systems Plc		55,274
	2,191	Barclays Plc		25,663
	4,061	Barratt Developments Plc		73,568
	2,756	BBA Group Plc		12,940
	981	Berkeley Group Holdings Plc. ^*		19,164
	3,974	BG Group Plc		46,547
	1,554	BHP Billiton Plc		26,116
	3,131	Boots Group Plc		38,935
	8,481	BP Plc		93,817
	4,123	British American Tobacco Plc		98,231
	41,343	BT Group Plc		149,115
	1,183	Bunzl Plc		13,257
	1,096	Burberry Group Plc		8,801
	12,596	Cable & Wireless Plc		23,531
	7,225	Cadbury Schweppes Plc		73,395
	20,642	Centrica Plc		105,148
	12,906	Cobham Group Plc		38,442

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		United Kingdom — continued
	5,052	Compass Group Plc		19,231
	708	Diageo Plc		10,866
	14,149	DSG International Plc		42,666
	986	Enterprise Inns Plc		15,493
	3,224	Gallaher Group Plc		49,957
	3,014	GKN Plc		17,956
	19,757	GlaxoSmithKline Plc		501,808
	3,091	GUS Plc		56,881
	4,847	Hanson Plc		59,171
	11,144	HBOS Plc		207,536
	2,217	IMI Plc		20,324
	3,981	Imperial Tobacco Group Plc		119,728
	26,464	Invensys Plc. ^*		9,748
	4,033	J Sainsbury Plc		22,645
	6,419	Kingfisher Plc		25,674
	10,656	Lloyds TSB Group Plc		103,515
	1,301	National Grid Plc		13,679
	1,924	Next Plc		55,649
	2,618	Rank Group Plc		11,947
	5,366	Rio Tinto Plc		252,536
	20,124	Royal & Sun Alliance Insurance Group		45,886
	4,039	Royal Bank of Scotland Group		135,100
	7,151	Royal Dutch Shell Group Class A		215,585
	1,947	Royal Dutch Shell Plc B Shares		61,215
	2,972	Scottish & Southern Energy Plc		59,859
	5,420	Scottish Power Plc		55,442
	111	Severn Trent Plc		2,244
	2,121	Smith WH Plc		15,176
	2,440	Tate & Lyle Plc		25,585
	7,227	Taylor Woodrow Plc		52,672
	1,881	Unilever Plc		19,353
	1,299	United Utilities Plc		15,554
	12,815	Vodafone Group Plc		24,554

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		United Kingdom — continued
	6,035	Wimpey (George) Plc		58,511
	393	Wolseley Plc		9,749
				3,815,325
		TOTAL COMMON STOCKS (COST $14,986,562)		16,510,141
		PREFERRED STOCKS — 1.0%
		Germany — 0.8%
	235	Fresenius Medical Care AG (Non Voting) 0.92%		37,711
	293	Henkel KGaA 1.46%		32,327
	89	RWE AG 2.70%		7,007
	1,055	Volkswagen AG 2.82%		54,364
				131,409
		Italy — 0.2%
	11,098	Compagnia Assicuratrice Unipol 5.02%		29,058
		TOTAL PREFERRED STOCKS (COST $134,321)		160,467
		SHORT-TERM INVESTMENT(S) — 0.6%
	100,000	Dresdner Bank AG Time Deposit, 4.55%, due 03/01/06		100,000
		TOTAL SHORT-TERM INVESTMENT(S) (COST $100,000)		100,000
		TOTAL INVESTMENTS — 100.0% (Cost $15,220,883)		16,770,608
		Other Assets and Liabilities (net) — 0.0%		3,127
		TOTAL NET ASSETS — 100.0%	$	16,773,735

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2006

A summary of outstanding financial instruments at February 28, 2006 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
5/26/06	JPY		81,430,200	$	711,472	$	18,657
5/26/06	NOK		2,506,500		373,471		(3,606	)
5/26/06	SEK		5,209,020		662,581		(16,818	)
						$	(1,767	)
Sales
5/26/06	AUD		402,720	$	298,498	$	2,085
5/26/06	DKK		80,920		12,992		(8	)
5/26/06	EUR		297,401		356,355		2,747
5/26/06	GBP		484,838		851,119		3,176
5/26/06	JPY		232,815		2,034		(29	)
						$	7,971

Notes to Schedule of Investments:

* Non-income producing security.

As of February 28, 2006, 97.0% of the Net Assets of the Fund was valued using fair value prices based on tools by a third party vendor (Note 2).

AUD - Australian Dollar

DKK - Danish Krone

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value (cost $15,220,883) (Note 2)	$	16,770,608
Cash		5,719
Foreign currency, at value (cost $67,700) (Note 2)		67,852
Dividends and interest receivable		28,373
Unrealized appreciation on open forward currency contracts (Note 2)		26,665
Receivable for expenses reimbursed by Manager (Note 3)		19,459
Total assets		16,918,676
Liabilities:
Payable to affiliate for (Note 3):
Management fee		5,101
Shareholder service fee		1,913
Trustees and Chief Compliance Officer fees		47
Unrealized depreciation on open forward currency contracts (Note 2)		20,461
Accrued expenses		117,419
Total liabilities		144,941
Net assets	$	16,773,735
Net assets consist of:
Net capital⁽¹⁾	$	15,217,528
Net unrealized appreciation		1,556,207
	$	16,773,735
Net assets attributable to:
Class III shares	$	16,773,735
Shares outstanding:
Class III		462,581
Net asset value per share:
Class III	$	36.26

⁽¹⁾ Net capital includes net investment income (loss) and net realized gain (loss) on investments.

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Statement of Operations — Period from September 16, 2005 through February 28, 2006

Investment Income:
Dividends (net of withholding taxes of $4,384)	$	115,938
Interest		9,690
Total investment income		125,628
Expenses:
Management fee (Note 3)		28,266
Shareholder service fee – Class III (Note 3)		10,600
Custodian and fund accounting agent fees		74,580
Transfer agent fees		13,241
Audit and tax fees		24,748
Registration fees		1,138
Trustees fees and related expenses (Note 3)		3,802
Miscellaneous		376
Total expenses		156,751
Fees and expenses reimbursed by Manager (Note 3)		(117,883	)
Net expenses		38,868
Net investment income (loss)		86,760
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		47,162
Foreign currency, forward contracts and foreign currency related transactions		4,895
Net realized gain (loss)		52,057
Change in net unrealized appreciation (depreciation) on:
Investments		1,549,725
Foreign currency, forward contracts and foreign currency related transactions		6,482
Net unrealized gain (loss)		1,556,207
Net realized and unrealized gain (loss)		1,608,264
Net increase (decrease) in net assets resulting from operations	$	1,695,024

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Period from September 16, 2005 through February 28, 2006
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	86,760
Net realized gain (loss)		52,057
Change in net unrealized appreciation (depreciation)		1,556,207
Net increase (decrease) in net assets from operations		1,695,024
Net share transactions (Note 7):
Class III		15,078,711
Increase (decrease) in net assets resulting from net share transactions		15,078,711
Total increase (decrease) in net assets		16,773,735
Net assets:
Beginning of period		—
End of period	$	16,773,735

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

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

	Period from September 16, 2005 through February 28, 2006
Net asset value, beginning of period	$	32.60
Income (loss) from investment operations:
Net investment income (loss)^†		0.19
Net realized and unrealized gain (loss)		3.47
Total from investment operations		3.66
Net asset value, end of period	$	36.26
Total Return^(a)		11.23	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	16,774
Net expenses to average daily net assets		0.55	%^*
Net investment income to average daily net assets		1.23	%^*
Portfolio turnover rate		22	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		1.67	%^*

(a) The total return would have been lower had certain expenses not been reimbursed during the period.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO International Disciplined Equity Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. 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 a series of shares into classes.

The Fund seeks high total return through investment in equity securities of non-U.S. issuers in the world's developed markets. The Fund's benchmark is the MSCI EAFE Index (Europe, Australasia and Far East).

On September 16, 2005, shareholders of the Fund holding 98.8% of the Fund's then outstanding shares requested redemption of their shares. On the same day, the Fund transferred assets and liabilities (representing on a net basis 98.8% of the Fund's net assets) to GMO International Core Equity Fund, a newly organized fund, with investment objectives similar to the Fund's, in consideration for newly issued shares of GMO International Core Equity Fund. The Fund then honored the redemption requests by distributing to redeeming shareholders shares of equal value in the GMO International Core Equity Fund. The preceding events are hereafter referred to as (the "Redemption Transaction"). Because for tax and accounting purposes the GMO International Core Equity Fund is treated as a continuation of the Fund's prior operations, for accounting and tax purposes the Fund itself is deemed to have commenced operations on the date of the Redemption Transaction. On the date of the Redemption Transaction, the shareholders who opted not to redeem from the Fund were deemed to have contributed securities in-kind to the Fund with an accounting and tax basis equal to fair market value. Therefore, the Statement of Operations, Statement of Changes in Net Assets and Financial Highlights are shown for the period from September 16, 2005 through February 28, 2006.

2. Significant accounting policies

Portfolio valuation

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of mutual funds are valued at their net asset value. For other assets, and in cases where market prices are not readily available or the Manager believes established valuation methodologies are unreliable, the Fund's investments will be valued at "fair value", as determined in good faith by the Trustees or pursuant to procedures approved by the Trustees. A security's value may be deemed unreliable if, for example, the Manager becomes aware of information or events that would materially affect its value. Because many foreign equity securities markets and exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after the close but before the close of the NYSE. As a result, foreign equity securities held by the Fund are generally valued using fair value prices based on modeling tools by a third party vendor to the extent that these fair value prices are available.

Foreign currency translation

The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings and other assets and liabilities are translated to U.S. dollars based on the current exchange rates each business day. Income and expenses denominated in foreign currencies are translated at current exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent gains and losses on disposition of currencies and forward currency contracts, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's accounting records and the U.S. dollar equivalent amounts actually received or paid.

Forward currency contracts

The Fund may enter into forward currency contracts and 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. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily using rates supplied by a quotation service and changes in value are recorded by the Fund as an unrealized gain or loss. Realized gains or losses 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 are recorded upon delivery or receipt of the currency or, if a forward currency contract is offset by entering into another forward currency contract with the same broker, upon settlement of the net gain or loss. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if there are movements in currency values that are unfavorable to the Fund. The value of the currencies the Fund has committed to buy or sell is shown in the Schedule of Investments and represents the currency exposure the Fund has acquired or hedged through forward currency contracts as of February 28, 2006.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Futures contracts

Options

The Fund may write call and put options on futures, securities or currencies. Writing options increases the Fund's exposure to the underlying instrument by, in the case of a call option, obligating the Fund to sell the underlying instrument at a set price to the option-holder and, in the case of a put option, obligating the Fund to purchase the underlying instrument at a set price from the option-holder. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amounts paid on the underlying future, security or currency transaction to determine the realized gain or loss. The Fund as a writer of an option has no control over whether the underlying future, security or currency may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the future, security or currency underlying the written option. In the event that the Fund writes uncovered call options (i.e. options for investments that the Fund does not own), it bears the risk of incurring substantial losses if the price of the underlying instrument increases during the term of the option. There is the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. As of February 28, 2006, the Fund did not enter into any written option contracts.

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

sell the underlying instrument at a set price to the writer of the option. The Fund pays a premium as a cost for a purchased option disclosed in the Schedule of Investments which is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the closing transaction to determine the realized gain or loss. The risk associated with purchasing put and call options is limited to the premium paid. As of February 28, 2006, the Fund did not enter into any purchased option contracts.

Exchange traded options are valued at the last sale price, or if no sale is reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by a primary pricing source chosen by the Manager.

Swap agreements

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Securities lending

Taxes

Prior to the close of business on September 16, 2005, the Fund qualified as a regulated investment company. Subsequent to the Redemption Transaction, all Fund tax attributes relating to the time periods prior to September 16, 2005 transferred to GMO International Core Equity Fund. After the close of business on September 16, 2005, the Fund elected to be treated as a partnership for federal income tax purposes. As a partnership, the Fund will not be subject to federal and state income tax. Instead, each shareholder is responsible for the tax liability or benefit related to his/her allocable share of taxable income or loss. Accordingly, no provision (benefit) for federal or state income taxes is reflected in the accompanying financial statements.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	15,247,939			$	1,769,391			$	(246,722	)		$	1,522,669

Security transactions and related investment income

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Expenses

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in domestic securities. These risks may involve adverse political and economic developments including the possible imposition of capital controls or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times may be more volatile than securities of comparable U.S. companies and U.S. securities markets.

3. Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.40% 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 the average daily net assets at the annual rate of 0.15% for Class III shares.

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the period ended February 28, 2006 was $657 and $90, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended February 28, 2006 aggregated $4,329,757 and $3,367,363, respectively.

5. Guarantees

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

6. Principal shareholder and related party

As of February 28, 2006, 99.9% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. Investment activities of these shareholders may have a material effect on the Fund.

As of February 28, 2006, 0.1% of the Fund's shares were held by GMO.

7. Share transactions

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

	Period from September 16, 2005 through February 28, 2006
	Shares		Amount
Class III:
Shares issued for in-kind transaction		462,581	$	15,078,711
Net increase (decrease)		462,581	$	15,078,711

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO International Disciplined Equity Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO International Disciplined Equity Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the period from September 16, 2005 to February 28, 2006, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

As described in Note 1 to the financial statements, GMO International Core Equity Fund was the successor to the Fund for accounting purposes for all periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO International Disciplined Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the period ended February 28, 2006.

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, September 16, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.55	%	$	1,000.00	$	1,112.30	$	2.63
2) Hypothetical		0.55	%	$	1,000.00	$	1,020.12	$	2.51

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W.
Glazer, Esq.
c/o GMO Trust
40 Rowes Wharf
Boston, MA
02110
DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light
c/o GMO Trust
40 Rowes Wharf
Boston, MA
02110
DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas
Thorndike
c/o GMO Trust
40 Rowes Wharf
Boston, MA
02110
DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston
c/o GMO Trust
40 Rowes Wharf
Boston, MA 02110
DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert
c/o GMO Trust
40 Rowes Wharf
Boston, MA 02110
DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson
c/o GMO Trust
40 Rowes Wharf
Boston, MA 02110
DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett
c/o GMO Trust
40 Rowes Wharf
Boston, MA 02110
DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie
c/o GMO Trust
40 Rowes Wharf
Boston, MA 02110
DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan
c/o GMO Trust
40 Rowes Wharf
Boston, MA 02110
DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan
c/o GMO Trust
40 Rowes Wharf
Boston, MA 02110
DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola
c/o GMO Trust
40 Rowes Wharf
Boston, MA 02110
DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham
c/o GMO Trust
40 Rowes Wharf
Boston, MA 02110
DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO International Growth Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO International Growth Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the International Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Since September 16, 2005, the GMO International Growth Fund returned +8.2% for the fiscal period ended February 28, 2006, as compared to +11.7% for the MSCI EAFE Index and +10.5% for the S&P/Citigroup PMI EPAC Growth Style Index for the same period. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in international equity securities throughout the period.

Sector weightings had the largest negative impact against the growth index. During the period, an overweight position in energy and an underweight position in financial stocks hurt relative performance.

Country allocation was also negative. Our overweight to Canada and underweight to Japan were primarily responsible.

Among the portfolio holdings with the largest positive impact to relative returns during the period were Dutch banking and insurance company ING Groep, Japanese trading company Mitsubushi Corp., and French steel tube maker Vallourec. Holdings such as Italian oil company ENI and Japanese drug maker Takeda Pharmaceutical proved less successful.

The strong U.S. dollar relative to most foreign currencies detracted from returns for U.S. investors. The MSCI EAFE Index returned 3% less in U.S. dollar terms than in local currency in this period.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† See Note 1 to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.6	%
Preferred Stocks		0.6
Forward Currency Contracts		0.0
Short-Term Investment(s)		0.6
Other		0.2
		100.0	%
Country Summary	% of Equity Investments
Japan		29.2	%
United Kingdom		19.3
France		9.2
Australia		5.7
Switzerland		4.1
Italy		4.1
Netherlands		4.1
Germany		3.4
Spain		3.3
Canada		3.0
Finland		2.8
Sweden		2.3
Norway		1.9
Belgium		1.7
Hong Kong		1.5
Ireland		1.1
Denmark		1.1
Singapore		1.1
Austria		1.0
Greece		0.1
		100.0	%

GMO International Growth Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2006 (Unaudited)

Industry Sector Summary	% of Equity Investments
Financials		19.6	%
Energy		19.0
Consumer Discretionary		14.6
Health Care		12.4
Industrials		10.4
Materials		7.0
Consumer Staples		6.1
Information Technology		5.2
Utilities		4.6
Telecommunication Services		1.1
		100.0	%

GMO International Growth Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 98.6%
		Australia — 5.6%
	4,689	Amcor Ltd		25,746
	4,396	Australia and New Zealand Banking Group Ltd		83,608
	2,625	BHP Billiton Ltd		47,235
	521	Cochlear Ltd		18,891
	964	Commonwealth Bank of Australia		32,001
	5,460	Foster's Group Ltd		21,979
	3,663	Insurance Australia Group Ltd		14,589
	3,012	James Hardies Industries NV		19,744
	2,475	Macquarie Bank Ltd		117,068
	3,442	National Australia Bank Ltd		93,422
	244	Perpetual Trustees Australia Ltd		12,265
	10,244	Promina Group Ltd		41,278
	2,727	QBE Insurance Group Ltd		41,714
	598	Rio Tinto Ltd		31,329
	5,334	Santos Ltd		44,833
	18,850	Telstra Corp Ltd		53,639
	1,177	Westfarmers Ltd		31,834
	2,483	Westpac Banking Corp		43,360
	2,653	Woodside Petroleum Ltd		79,639
	4,846	Woolworths Ltd		65,999
				920,173
		Austria — 1.0%
	53	Mayr-Melnhof Karton AG (Bearer)		7,800
	42	Oesterreichische Elektrizitaetswirtschafts AG Class A		19,534
	1,787	OMV AG		110,828
	1,026	Telekom Austria AG		23,468
				161,630
		Belgium — 1.7%
	803	Belgacom SA		24,138
	242	Colruyt SA		34,862

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Belgium — continued
	1,216	Fortis		43,315
	276	KBC Groep NV		28,813
	274	Solvay SA		30,315
	1,324	UCB SA		62,713
	308	Umicore		43,750
				267,906
		Canada — 2.9%
	4,000	Canadian Natural Resources		218,540
	300	Cognos Inc ^*		11,528
	1,100	EnCana Corp		45,493
	200	Methanex Corp		3,970
	1,000	Nexen Inc		52,286
	2,600	Petro-Canada		119,104
	500	Talisman Energy Inc		26,270
				477,191
		Denmark — 1.1%
	4	AP Moller-Maersk A/S Class B		36,662
	321	Danske Bank A/S		43,112
	1,500	H. Lundbeck A/S		30,888
	800	Novo-Nordisk A/S		47,026
	1,000	Vestas Wind Systems A/S ^*		20,951
				178,639
		Finland — 2.8%
	2,200	Fortum Oyj		53,225
	15,850	Nokia Oyj		294,936
	3,600	Sampo Oyj Class A		72,154
	800	Yit Yhtymae Oyj		40,590
				460,905
		France — 9.1%
	578	BNP Paribas		53,492
	300	Bouygues		15,758

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		France — continued
	634	Business Objects SA ^*		23,531
	194	Christian Dior SA		17,982
	519	Credit Agricole SA		18,957
	275	L'Oreal SA		24,315
	386	LVMH Moet Hennessy Louis Vuitton SA		35,064
	294	Neopost SA		29,429
	1,586	Peugeot SA		92,460
	1,303	Renault SA		125,209
	1,686	Sanofi-Aventis		143,521
	503	Societe Generale		71,232
	2,745	Total SA		690,364
	110	Vallourec		86,063
	679	Vinci SA		62,675
				1,490,052
		Germany — 2.7%
	114	Allianz AG (Registered)		18,412
	644	Altana AG		34,587
	407	Continental AG		41,841
	774	Deutsche Boerse AG		97,234
	2,557	Deutsche Post AG (Registered)		66,534
	116	K&S AG		8,698
	298	Merck KGaA		29,842
	850	Stada Arzneimittel AG		30,411
	1,698	Volkswagen AG		118,914
				446,473
		Greece — 0.1%
	820	Hellenic Telecommunications Organization SA ^*		17,446
		Hong Kong — 1.5%
	4,000	Cheung Kong Holdings Ltd		41,929
	15,000	CLP Holdings Ltd		85,760
	4,000	Esprit Holdings Ltd		30,592

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Hong Kong — continued
	14,000	Giordano International Ltd		7,422
	9,500	Hong Kong Electric Holdings Ltd		43,745
	18,000	Li & Fung Ltd		36,252
				245,700
		Ireland — 1.1%
	3,366	Anglo Irish Bank Corp		55,190
	1,738	CRH Plc		57,009
	936	DCC Plc		21,319
	1,468	Kingspan Group Plc		21,207
	1,364	Olivetti SPA		30,186
				184,911
		Italy — 4.1%
	3,152	Banca Monte dei Paschi di Siena SPA		16,303
	19,331	ENI SPA		552,637
	1,250	ERG SPA		29,418
	914	Finmeccanica SPA		20,000
	341	Luxottica Group SPA		9,588
	1,321	Sanpaolo IMI SPA		23,312
	32,177	Seat Pagine Gialle ^*		15,796
				667,054
		Japan — 29.0%
	380	Acom Co Ltd		23,292
	2,500	Aeon Co Ltd		59,642
	550	Aiful Corp		36,761
	600	Aisin Seiki Co Ltd		21,293
	1,900	Alps Electric Co Ltd		29,710
	600	Astellas Pharma Inc		23,163
	1,000	Bridgestone Corp		19,501
	600	Canon Inc		37,462
	2,000	Chiyoda Corp		48,221
	2,900	Chubu Electric Power Co Inc		76,870

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Japan — continued
	2,000	Daifuku		36,925
	738	Daiichi Sankyo Co Ltd ^*		15,238
	8,000	Daikyo Inc ^*		42,110
	800	Denso Corp		29,184
	1,700	Eisai Co Ltd		78,620
	400	FamilyMart Co Ltd		12,557
	600	Fanuc Ltd		50,595
	4,000	Fuji Heavy Industries Ltd		21,675
	7,100	Honda Motor Co Ltd		414,713
	2,700	Hoya Corp		107,120
	1,000	Ibiden Co Ltd		46,859
	5	Inpex Corp		47,931
	600	Ito En Ltd		18,644
	1,400	Japan Synthetic Rubber Co Ltd		41,230
	3	Japan Tobacco Inc		51,541
	700	JFE Holdings Inc		25,801
	2,000	JGC Corp		42,485
	200	Kansai Electric Power Co Inc		4,654
	11,000	Kawasaki Heavy Industries Ltd		37,680
	4,000	Kawasaki Kisen Kaisha Ltd		24,881
	18,000	Kobe Steel Ltd		68,405
	1,600	Leopalance21 Corp		57,550
	10,000	Mazda Motor Corp		56,873
	7,400	Mitsubishi Corp		171,688
	2,000	Mitsubishi Electric Corp		15,926
	17	Mitsubishi Tokyo Financial Group Inc		252,405
	3,000	Mitsui & Co		41,044
	4,000	Mitsui Chemicals Inc		32,038
	6,000	Mitsui Engineer & Shipbuilding		18,760
	4,000	Mitsui OSK Lines Ltd		29,166
	4,000	Mitsui Sumitomo Insurance Co Ltd		52,754
	11,000	Mitsui Trust Holding Inc		161,279
	300	Nidec Corp		23,796
	1,000	Nippon Electric Glass Co Ltd		24,073
	8,000	Nippon Steel Corp		31,883

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Japan — continued
	3	Nippon Telegraph & Telephone Corp		12,954
	6,000	Nippon Yusen Kabushiki Kaisha		39,031
	3,000	Nissan Chemical Industries Ltd		49,365
	14,000	Nissan Motor Co		160,716
	400	Nissin Food Products Co Ltd		12,202
	900	Nitto Denko Corp		77,234
	11	NTT Data Corp		50,859
	2,000	Olympus Optical Co Ltd		57,583
	370	ORIX Corp		97,410
	16,000	Osaka Gas Co Ltd		61,259
	52	Resona Holdings Inc ^*		183,363
	3,000	Ricoh Company Ltd		55,546
	500	Sankyo Co Ltd Gunma		30,587
	1,000	Secom Co		49,617
	1,000	Sharp Corp		17,640
	200	Shimamura Co		22,629
	1,200	Shin-Etsu Chemical Co Ltd		63,892
	1,000	Shiseido Co Ltd		17,638
	300	SMC Corp		42,379
	1,100	Softbank Corp.		33,637
	4,000	Sumitomo Chemical Co Ltd		31,192
	4,000	Sumitomo Corp		54,038
	5,000	Sumitomo Heavy Industries Ltd		44,716
	2,000	Takashimaya Co Ltd		28,973
	4,400	Takeda Pharmaceutical Co Ltd		245,100
	1,300	Terumo Corp		39,688
	1,700	Tohoku Electric Power Co Inc		38,467
	7,000	Tokyo Gas Co Ltd		31,871
	3,000	Tokyu Land Corp		26,167
	4,000	TonenGeneral Sekiyu KK		39,979
	4,700	Toyota Motor Corp		250,545
	5,000	Urban Corp		73,263
	1,000	Yamada Denki Co Ltd		107,135
	1,000	Yamato Transport Co Ltd		19,111
				4,729,784

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Netherlands — 4.1%
	4,780	ABN Amro Holdings NV		139,293
	2,875	Aegon NV		47,410
	710	DSM NV		29,528
	895	Heineken NV		33,701
	10,307	ING Groep NV		387,398
	266	Sbm Offshore NV		26,200
				663,530
		Norway — 1.9%
	4,600	DnB NOR ASA		55,812
	648	Golden Ocean Group Ltd ^*		343
	600	Norsk Hydro ASA		70,280
	650	Orkla ASA		28,332
	5,600	Statoil ASA		143,409
	1,400	Telenor ASA		15,122
				313,298
		Singapore — 1.1%
	16,000	Capitaland Ltd		41,217
	6,000	Keppel Corp Ltd		51,564
	15,000	Neptune Orient Lines Ltd		23,142
	22,000	Sembcorp Industrie		42,102
	11,000	Singapore Telecommunications		17,634
				175,659
		Spain — 3.3%
	261	Acciona SA		36,385
	1,669	ACS Actividades de Construccion y Servicios SA		62,243
	854	Ebro Puleva SA		15,553
	579	Fomento de Construcciones y Contratas SA		39,365
	326	Grupo Ferrovial SA		24,406
	4,015	Iberdrola SA		126,634
	2,238	Inditex SA		80,336
	1,013	Indra Sistemas SA		20,158
	533	Metrovacesa SA		39,681

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		Spain — continued
	985	NH Hoteles SA		15,904
	973	Repsol YPF SA		27,197
	1,076	Sacyr Vallehermoso SA		30,252
	309	Union Fenosa SA		11,596
				529,710
		Sweden — 2.3%
	800	Atlas Copco AB Class A		19,703
	900	Capio AB ^*		15,564
	2,100	Electrolux AB		58,081
	600	Foreningssparbanken AB Class A		15,994
	1,950	Hennes & Mauritz AB Class B		71,053
	6,000	Nordea AB		67,822
	300	Sandvik AB		16,150
	1,600	Securitas AB		29,395
	400	Skanska AB Class B		6,440
	2,800	SKF AB Class B		40,658
	700	Svenska Cellulosa-Series B Free		29,354
				370,214
		Switzerland — 4.1%
	300	Alcon Inc		34,548
	632	Credit Suisse Group		35,003
	315	Lonza Group AG (Registered)		20,434
	293	Nestle SA (Registered)		86,143
	111	Nobel Biocare AG		24,784
	2,618	Roche Holding AG (Non Voting)		386,801
	64	Serono SA		45,411
	477	Swiss Reinsurance Co (Registered)		33,979
				667,103
		United Kingdom — 19.1%
	3,398	Anglo American Plc		126,585
	8,677	ARM Holdings Plc		20,922
	8,873	AstraZeneca Plc		409,780

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		United Kingdom — continued
	6,913	Barclays Plc		80,972
	2,920	Barratt Developments Plc		52,898
	6,820	BHP Billiton Plc		114,615
	1,301	Boots Group Plc		16,178
	24,138	BP Plc		267,016
	1,967	British American Tobacco Plc		46,864
	4,433	British Sky Broadcasting Plc		39,293
	3,584	Cadbury Schweppes Plc		36,408
	440	Cairn Energy Plc ^*		14,881
	37,949	Centrica Plc		193,309
	9,790	Cobham Group Plc		29,161
	12,501	DSG International Plc		37,696
	1,973	Enterprise Inns Plc		31,001
	4,810	Gallaher Group Plc		74,533
	8,188	GlaxoSmithKline Plc		207,967
	3,997	HBOS Plc		74,437
	1,324	HSBC Holdings Plc		22,658
	7,508	Imperial Tobacco Group Plc		225,803
	7,640	ITV Plc		14,531
	4,054	Ladbrokes Group		26,169
	1,747	Man Group Plc		70,769
	2,431	Next Plc		70,313
	7,186	Rentokil Initial Plc		19,790
	2,538	Rio Tinto Plc		119,444
	2,208	Royal Bank of Scotland Group		73,855
	12,518	Royal Dutch Shell Group Class A		377,386
	2,934	Royal Dutch Shell Plc B Shares		92,246
	7,196	Sage Group Plc		34,974
	636	South African Breweries Plc		12,641
	5,008	Unilever Plc		51,527
	3,245	Wimpey (George) Plc		31,461
				3,118,083
		TOTAL COMMON STOCKS (COST $14,941,506)		16,085,461

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		PREFERRED STOCKS — 0.6%
		Germany — 0.6%
	171	Fresenius Medical Care AG (Non Voting) 0.92%		27,440
	1,329	Volkswagen AG 2.82%		68,483
				95,923
		TOTAL PREFERRED STOCKS (COST $79,958)		95,923
		SHORT-TERM INVESTMENT(S) — 0.6%
	100,000	Dresdner Bank AG Time Deposit, 4.55%, due 03/01/06		100,000
		TOTAL SHORT-TERM INVESTMENT(S) (COST $100,000)		100,000
		TOTAL INVESTMENTS — 99.8% (Cost $15,121,464)		16,281,384
		Other Assets and Liabilities (net) — 0.2%		34,450
		TOTAL NET ASSETS — 100.0%	$	16,315,834

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2006

A summary of outstanding financial instruments at February 28, 2006 is as follows:

Forward currency contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
5/26/06	CHF		326,542	$	251,091	$	(3,600	)
5/26/06	JPY		71,668,100		626,179		16,421
5/26/06	NOK		1,804,680		268,899		(2,597	)
5/26/06	SEK		4,133,160		525,733		(13,344	)
						$	(3,120	)
	Sales
5/26/06	AUD		684,091	$	507,052	$	3,541
5/26/06	CAD		132,432		116,800		(1,202	)
5/26/06	DKK		1,057,400		169,765		1,274
5/26/06	GBP		219,507		385,338		1,438
5/26/06	HKD		1,947,057		251,312		233
						$	5,284

Notes to Schedule of Investments:

* Non-income producing security.

As of February 28, 2006, 95.7% of the Net Assets of the Fund was valued using fair value prices based on tools by a third party vendor (Note 2).

AUD - Australian Dollar				HKD - Hong Kong Dollar

CAD - Canadian Dollar				JPY - Japanese Yen

CHF - Swiss Franc				NOK - Norwegian Krone

DKK - Danish Krone				SEK - Swedish Krona

GBP - British Pound

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value (cost $15,121,464) (Note 2)	$	16,281,384
Cash		8,696
Foreign currency, at value (cost $110,778) (Note 2)		110,321
Dividends and interest receivable		26,900
Foreign taxes receivable		2,336
Unrealized appreciation on open forward currency contracts (Note 2)		22,907
Receivable for expenses reimbursed by Manager (Note 3)		39,630
Total assets		16,492,174
Liabilities:
Payable to affiliate for (Note 3):
Management fee		6,730
Shareholder service fee		1,870
Trustees and Chief Compliance Officer fees		47
Unrealized depreciation on open forward currency contracts (Note 2)		20,743
Accrued expenses		146,950
Total liabilities		176,340
Net assets	$	16,315,834
Net assets consist of:
Net capital⁽¹⁾	$	15,154,113
Net unrealized appreciation		1,161,721
	$	16,315,834
Net assets attributable to:
Class III shares	$	16,315,834
Shares outstanding:
Class III		524,991
Net asset value per share:
Class III	$	31.08

⁽¹⁾ Net capital includes net investment income (loss) and net realized gain (loss) on investments.

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)

Statement of Operations — Period from September 16, 2005 through February 28, 2006

Investment Income:
Dividends (net of withholding taxes of $5,988)	$	112,017
Interest		6,630
Total investment income		118,647
Expenses:
Management fee (Note 3)		37,692
Shareholder service fee – Class III (Note 3)		10,470
Custodian and fund accounting agent fees		58,906
Transfer agent fees		12,656
Audit and tax fees		24,748
Trustees fees and related expenses (Note 3)		10,674
Registration fees		640
Miscellaneous		458
Total expenses		156,244
Fees and expenses reimbursed by Manager (Note 3)		(107,354	)
Net expenses		48,890
Net investment income (loss)		69,757
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		10,089
Foreign currency, forward contracts and foreign currency related transactions		(297	)
Net realized gain (loss)		9,792
Change in net unrealized appreciation (depreciation) on:
Investments		1,159,920
Foreign currency, forward contracts and foreign currency related transactions		1,801
Net unrealized gain (loss)		1,161,721
Net realized and unrealized gain (loss)		1,171,513
Net increase (decrease) in net assets resulting from operations	$	1,241,270

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Period from September 16, 2005 through February 28, 2006
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	69,757
Net realized gain (loss)		9,792
Change in net unrealized appreciation (depreciation)		1,161,721
Net increase (decrease) in net assets from operations		1,241,270
Net share transactions (Note 7):
Class III		15,074,564
Total increase (decrease) in net assets		16,315,834
Net assets:
Beginning of period		—
End of period	$	16,315,834

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)

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

	Period from September 16, 2005 through February 28, 2006
Net asset value, beginning of period	$	28.71
Income (loss) from investment operations:
Net investment income (loss)^†		0.13
Net realized and unrealized gain (loss)		2.24
Total from investment operations		2.37
Net asset value, end of period	$	31.08
Total Return^(a)		8.25	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	16,316
Net expenses to average daily net assets		0.70	%^*
Net investment income to average daily net assets		1.00	%^*
Portfolio turnover rate		33	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		1.54	%^*

(a) The total return would have been lower had certain expenses not been reimbursed during the period shown.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO International Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO International Growth Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. 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 a series of shares into classes.

The Fund seeks a high total return through investing primarily in equity securities of non-U.S. issuers. The Fund's benchmark is the S&P/Citigroup Primary Market Index ("PMI") Europe, Pacific, Asia Composite ("EPAC") Growth Style Index.

On September 16, 2005, shareholders of the Fund holding 99.4% of the Fund's then outstanding shares requested redemption of their shares. On the same day, the Fund transferred assets and liabilities (representing on a net basis 99.4% of the Fund's net assets) to GMO International Growth Equity Fund, a newly organized fund, with investment objectives similar to the Fund's, in consideration for newly issued shares of GMO International Growth Equity Fund. The Fund then honored the redemption requests by distributing to redeeming shareholders shares of equal value in the GMO International Growth Equity Fund. The preceding events are hereafter referred to as (the "Redemption Transaction"). Because for tax and accounting purposes the GMO International Growth Equity Fund is treated as a continuation of the Fund's prior operations, for accounting and tax purposes the Fund itself is deemed to have commenced operations on the date of the Redemption Transaction. On the date of the Redemption Transaction, the shareholders who opted not to redeem from the Fund were deemed to have contributed securities in-kind to the Fund with an accounting and tax basis equal to fair market value. Therefore, the Statement of Operations, Statement of Changes in Net Assets and Financial Highlights are shown for the period from September 16, 2005 through February 28, 2006.

2. Significant accounting policies

Portfolio valuation

GMO International Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of mutual funds are valued at their net asset value. For other assets, and in cases where market prices are not readily available or the Manager believes established valuation methodologies are unreliable, the Fund's investments will be valued at "fair value", as determined in good faith by the Trustees or pursuant to procedures approved by the Trustees. A security's value may be deemed unreliable if, for example, the Manager becomes aware of information or events that would materially affect its value. Because many foreign equity securities markets and exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close but before the close of the NYSE. As a result, foreign equity securities held by the Fund are generally valued using fair value prices based on modeling tools by a third party vendor to the extent that these fair value prices are available.

Foreign currency translation

Forward currency contracts

GMO International Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Futures contracts

Options

GMO International Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Swap agreements

GMO International Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Securities lending

Taxes

Prior to the close of business on September 16, 2005, the Fund qualified as a regulated investment company. Subsequent to the Redemption Transaction, all Fund tax attributes relating to the time periods prior to September 16, 2005 transferred to GMO International Growth Equity Fund. After the close of business on September 16, 2005, the Fund elected to be treated as a partnership for federal income tax purposes. As a partnership, the Fund will not be subject to federal and state income tax. Instead, each shareholder is responsible for the tax liability or benefit related to his/her allocable share of taxable income or loss. Accordingly, no provision (benefit) for federal or state income taxes is reflected in the accompanying financial statements.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	15,152,099			$	1,432,518			$	(303,233	)		$	1,129,285

Security transactions and related investment income

GMO International Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Expenses

Investment risks

3. Fees and other transactions with affiliates

GMO earns a management fee 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 the average daily net assets at the annual rate of 0.15% for Class III shares.

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the period ended February 28, 2006 was $1,816 and $90, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended February 28, 2006 aggregated $5,814,969 and $4,989,913, respectively.

5. Guarantees

GMO International Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

6. Principal shareholder and related party

As of February 28, 2006, 89.9% of the outstanding shares of the Fund were held by one shareholder. Investment activities of this shareholder may have a material effect on the Fund.

As of February 28, 2006, 0.1% of the Fund's shares were held by GMO.

7. Share transactions

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

	Period from September 16, 2005 through February 28, 2006
Class III:	Shares		Amount
Shares issued for in-kind transaction		524,991	$	15,074,564
Net increase (decrease)		524,991	$	15,074,564

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO International Growth Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO International Growth Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the period from September 16, 2005 to February 28, 2006, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

As described in Note 1 to the financial statements, GMO International Growth Equity Fund was the successor to the Fund for accounting purposes for all periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO International Growth Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the period ended February 28, 2006.

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, September 16, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.70	%	$	1,000.00	$	1,082.50	$	3.29
2) Hypothetical		0.70	%	$	1,000.00	$	1,019.44	$	3.20

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO International Core Equity Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO International Core Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the International Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO International Core Equity Fund returned +18.3% for the fiscal year ended February 28, 2006, as compared to +17.4% for the MSCI EAFE Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in international equity securities throughout the period.

Stock selection was the primary driver of outperformance. Portfolio holdings with the largest positive impact to relative returns were Canadian Natural Resources and several Japanese stocks. Mitsubishi Corp. (trading company), Sumitomo Metal Industries Ltd. (steel maker), and Komatsu (heavy equipment manufacturer), all had strong returns.

Sector weightings also had a positive impact relative to the benchmark. Our underweight position in telecommunications stocks proved highly successful.

Country allocation had a negative impact from not holding enough in Japan.

The strong U.S. dollar relative to most foreign currencies detracted from returns for U.S. investors. The MSCI EAFE Index returned 12% less in U.S. dollar terms than in local currency.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Performance for different classes will vary due to different fees. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† The Fund is the successor to the GMO International Disciplined Equity Fund, therefore, performance for the periods prior to September 16, 2005 is that of GMO International Disciplined Equity Fund.

GMO International Core Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.2	%
Preferred Stocks		0.7
Forward Currency Contracts		0.0
Short-Term Investment(s)		6.1
Other		(1.0	)
		100.0	%
Country Summary	% of Equity Investments
Japan		27.7	%
United Kingdom		23.4
France		8.7
Germany		8.5
Netherlands		6.5
Switzerland		5.7
Australia		3.3
Italy		3.2
Finland		3.1
Canada		2.6
Spain		1.4
Belgium		1.0
Sweden		1.0
Norway		0.8
Austria		0.8
Singapore		0.8
Hong Kong		0.7
Ireland		0.5
Denmark		0.2
Greece		0.1
		100.0	%

GMO International Core Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2006 (Unaudited)

Industry Sector Summary	% of Equity Investments
Financials		25.6	%
Consumer Discretionary		14.1
Energy		11.9
Health Care		10.8
Industrials		9.9
Materials		9.4
Consumer Staples		7.1
Utilities		5.3
Information Technology		3.9
Telecommunication Services		2.0
		100.0	%

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 94.2%
		Australia — 3.1%
	147	Aristocrat Leisure Ltd		1,307
	344,721	Australia and New Zealand Banking Group Ltd		6,556,322
	368,300	BHP Billiton Ltd		6,627,288
	213,599	Commonwealth Bank of Australia		7,090,677
	606,614	Foster's Group Ltd		2,441,858
	390,095	Investa Property Group		581,058
	114,360	Macquarie Bank Ltd		5,409,262
	402,478	Mirvac Group Ltd		1,255,367
	223,516	National Australia Bank Ltd		6,066,641
	198,337	Rinker Group Ltd		2,605,667
	93,091	Rio Tinto Ltd		4,877,064
	401,619	Santos Ltd		3,375,648
	1,805,403	Telstra Corp Ltd		5,137,377
	168,961	Woodside Petroleum Ltd		5,071,924
	376,700	Woolworths Ltd		5,130,365
				62,227,825
		Austria — 0.7%
	19,929	Austrian Airlines ^*		199,300
	9,951	Boehler Uddeholm (Bearer)		1,866,828
	7,858	Flughafen Wien AG		633,758
	8,031	Generali Holding Vienna AG ^(a)		382,798
	3,088	Mayr-Melnhof Karton AG (Bearer)		454,441
	1	Oesterreichische Elektrizitaetswirtschafts AG Class A		465
	118,027	OMV AG		7,319,945
	59,690	Telekom Austria AG		1,365,307
	23,439	Voestalpine AG		2,731,825
				14,954,667
		Belgium — 1.0%
	493	Bekaert NV		50,638
	8,795	Colruyt SA ^(a)		1,267,004

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)
February 28, 2006

Shares		Description	Value ($)
		Belgium — continued
	18,463	Delhaize Group		1,231,692
	152,097	Dexia		3,777,495
	278,790	Fortis		9,930,851
	69,888	UCB SA		3,310,353
				19,568,033
		Canada — 2.4%
	87,000	Canadian Imperial Bank of Commerce		6,120,507
	250,300	Canadian Natural Resources		13,675,152
	163,300	EnCana Corp		6,753,575
	19,100	Magna International Inc Class A		1,424,370
	54,900	National Bank of Canada		3,130,380
	33,900	Nexen Inc		1,772,483
	233,200	Petro - Canada		10,682,733
	64,800	Royal Bank of Canada		5,414,588
				48,973,788
		Denmark — 0.2%
	97	AP Moller - Maersk A/S Class A		873,516
	373	AP Moller - Maersk A/S Class B		3,418,721
				4,292,237
		Finland — 2.9%
	193,721	Fortum Oyj		4,686,706
	63,100	Kesko Oyj Class B		1,983,065
	107,400	Metso Oyj		3,957,583
	63,350	Neste Oil Oyj ^{* (a)}		1,935,316
	1,480,418	Nokia Oyj		27,547,567
	117,200	Outokumpu Oyj ^(a)		2,126,631
	124,752	Rautaruukki Oyj		4,204,062
	334,649	Sampo Oyj Class A		6,707,295
	1,980	Stora Enso Oyj (R Shares)		28,214
	62,700	Wartsila Oyj Class B		2,284,862
	58,600	Yit Yhtymae Oyj		2,973,228
				58,434,529

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)
February 28, 2006

Shares		Description	Value ($)
		France — 8.3%
	59,802	Alstom ^*		5,111,212
	217,123	Arcelor		7,933,961
	211,718	Axa		7,485,985
	248,206	BNP Paribas		22,970,695
	71,240	Business Objects SA ^*		2,644,078
	82,237	Carrefour SA		4,082,401
	50,963	Cie de Saint-Gobain		3,399,944
	50,956	L'Oreal SA		4,505,382
	61,425	LVMH Moet Hennessy Louis Vuitton SA		5,579,740
	38,945	Michelin SA Class B		2,375,728
	166,540	Peugeot SA		9,708,847
	130,342	Renault SA		12,524,958
	138,188	Sanofi-Aventis		11,763,286
	51,647	Schneider Electric SA		5,277,439
	50,954	Societe Generale		7,215,792
	185,217	Total SA		46,581,847
	6,450	Vallourec		5,046,436
	23,678	Vinci SA		2,185,607
				166,393,338
		Germany — 7.5%
	11,502	Adidas-Salomon AG		2,247,811
	79,575	Allianz AG (Registered)		12,851,769
	80,355	Altana AG		4,315,623
	170,987	Bankgesellschaft Berlin AG ^*		990,815
	108,215	Bayer AG		4,364,833
	132,204	Bayerische Motoren Werke AG		6,355,645
	185	Celesio AG		17,202
	322,530	Commerzbank AG		11,784,711
	248,255	DaimlerChrysler AG (Registered)		13,794,933
	237,819	Depfa Bank Plc		3,965,286
	61,558	Deutsche Bank AG (Registered)		6,810,270
	68,710	Deutsche Boerse AG		8,631,689
	52,518	Deutsche Post AG (Registered)		1,366,529

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)
February 28, 2006

Shares		Description	Value ($)
		Germany — continued
	104,434	E. On AG		11,582,589
	67,006	Hochtief AG		3,596,085
	77,256	MAN AG		4,874,872
	31,623	Merck KGaA		3,166,802
	98,217	Muenchener Rueckversicherungs AG (Registered)		13,333,429
	36,376	RWE AG		3,127,933
	51,318	Salzgitter AG		3,487,134
	62,325	Schering AG		4,470,229
	96,774	Suedzucker AG		2,556,807
	311,074	ThyssenKrupp AG		7,879,720
	144,259	TUI AG ^(a)		2,849,132
	160,389	Volkswagen AG ^(a)		11,232,315
				149,654,163
		Greece — 0.1%
	48,935	National Bank of Greece SA		2,513,854
		Hong Kong — 0.7%
	531,200	Cheung Kong Holdings Ltd		5,568,120
	502,000	CLP Holdings Ltd		2,870,095
	510,000	Hang Lung Group Co Ltd		1,123,152
	664,000	Hong Kong Electric Holdings Ltd		3,057,521
	295,000	Yue Yuen Industrial Holdings		910,854
				13,529,742
		Ireland — 0.4%
	37,343	Allied Irish Banks Plc		892,095
	77,494	Anglo Irish Bank Corp		1,270,612
	168,840	CRH Plc		5,538,240
	65,869	DCC Plc		1,500,297
				9,201,244

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)
February 28, 2006

Shares		Description	Value ($)
		Italy — 3.0%
	478,956	Banca Intesa SPA - Di RISP		2,633,455
	799,628	Banca Monte dei Paschi di Siena SPA ^(a)		4,135,998
	681,371	Capitalia SPA		5,146,494
	1,260,217	ENI SPA		36,027,219
	74,018	ERG SPA		1,741,972
	390,515	Fiat SPA ^{* (a)}		4,227,458
	177,224	Mediobanca SPA		3,706,456
	109,496	Sanpaolo IMI SPA		1,932,277
				59,551,329
		Japan — 26.3%
	25,640	Acom Co Ltd		1,571,595
	31,200	Advantest Corp		3,529,516
	217,400	Aeon Co Ltd		5,186,483
	59,200	Astellas Pharma Inc		2,285,433
	44,000	Canon Sales Co Inc		940,865
	130,000	Chiyoda Corp		3,134,340
	315,200	Chubu Electric Power Co Inc		8,355,023
	69,200	Chugoku Electric Power Co Inc		1,498,860
	193,000	Cosmo Oil Co Ltd		981,254
	397,000	Daido Steel Co Ltd		3,465,814
	83,250	Daiei Inc ^{* (a)}		2,296,702
	198,748	Daiichi Sankyo Co Ltd ^*		4,103,561
	363,000	Daikyo Inc ^{* (a)}		1,910,747
	24,400	Daito Trust Construction Co Ltd		1,142,612
	368,000	Daiwa Securities Co Ltd		4,368,953
	103,500	Eisai Co Ltd		4,786,601
	58,800	Fanuc Ltd		4,958,309
	786,000	Fuji Heavy Industries Ltd		4,259,084
	257,000	Furukawa Electric Co Ltd ^*		2,005,503
	1,318,000	Haseko Corp ^{* (a)}		4,592,465
	470,400	Honda Motor Co Ltd		27,476,200
	168,000	Hoya Corp		6,665,259
	122,500	Ibiden Co Ltd		5,740,284

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)
February 28, 2006

Shares		Description	Value ($)
		Japan — continued
	165	Inpex Corp		1,581,736
	144,000	Isetan Co Ltd		2,605,802
	887,000	Ishikawajima-Harima Heavy Industries Co Ltd ^*		2,689,782
	843,000	Isuzu Motors Ltd ^(a)		2,902,829
	1,035,000	Itochu Corp		8,602,422
	440,000	Japan Steel Works Ltd		2,722,284
	345	Japan Tobacco Inc		5,927,202
	207,200	Kansai Electric Power Co Inc		4,821,507
	134,000	Kao Corp		3,639,770
	1,120,000	Kawasaki Heavy Industries Ltd ^(a)		3,836,547
	264,000	Keisei Electric Railway Co ^(a)		1,697,915
	335	Kenedix Inc		1,558,585
	1,789,000	Kobe Steel Ltd		6,798,698
	685,000	Komatsu Ltd		12,148,187
	59,800	Konami Corp		1,474,384
	171,800	Kyushu Electric Power Co Inc		4,144,113
	101,300	Leopalance21 Corp		3,643,639
	1,502,000	Marubeni Corp		7,449,432
	144,700	Marui Co Ltd		2,741,348
	309,000	Matsushita Electric Industrial Co Ltd		6,498,090
	710,000	Mazda Motor Corp		4,037,960
	744,100	Mitsubishi Corp		17,263,970
	956,000	Mitsubishi Heavy Industries		4,490,103
	703,000	Mitsubishi Materials Corp ^(a)		3,634,269
	2,314,000	Mitsubishi Motors Corp ^{* (a)}		4,785,037
	350,000	Mitsubishi Rayon Co Ltd		2,812,385
	967	Mitsubishi Tokyo Financial Group Inc		14,357,388
	626,000	Mitsui & Co		8,564,598
	234,200	Mitsui Sumitomo Insurance Co Ltd		3,088,745
	638,000	Mitsui Trust Holding Inc		9,354,189
	1,502	Mizuho Financial Group Inc		11,972,769
	79,000	NGK Spark Plug Co Ltd		1,790,980
	75,000	Nikon Corp		1,275,475
	19,900	Nintendo Co Ltd		2,934,806

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)
February 28, 2006

Shares		Description	Value ($)
		Japan — continued
	241,000	Nippon Mining Holdings Inc		1,799,747
	186,000	Nippon Shinpan Co Ltd		1,785,259
	1,236,000	Nippon Steel Corp		4,925,856
	1,608	Nippon Telegraph & Telephone Corp		6,943,214
	407,000	Nippon Yusen Kabushiki Kaisha		2,647,624
	97,000	Nissan Chemical Industries Ltd		1,596,136
	1,617,200	Nissan Motor Co		18,565,031
	80,400	Nisshin Seifun Group Inc		816,049
	61,500	Nitto Denko Corp		5,277,653
	10,000	Nomura Research Institute		1,142,030
	219,900	Nomura Securities Co Ltd		4,196,379
	886	NTT Data Corp		4,096,441
	1,832	NTT Docomo Inc		2,710,551
	41,700	Ono Pharmaceutical Co Ltd		1,865,094
	37,600	ORIX Corp		9,898,976
	1,373,000	Osaka Gas Co Ltd		5,256,747
	22,400	Promise Co Ltd		1,351,761
	3,288	Resona Holdings Inc ^*		11,594,175
	197,000	Ricoh Company Ltd		3,647,524
	62,500	Secom Co		3,101,053
	385,000	Shimizu Corp		2,702,595
	44,100	Shin-Etsu Chemical Co Ltd		2,348,013
	27,500	Shinko Electric Industries		2,014,190
	24,900	SMC Corp		3,517,429
	148,900	Softbank Corp. ^(a)		4,553,222
	283,600	Sojitz Corp ^{* (a)}		1,556,237
	391,700	Sumitomo Corp		5,291,713
	323,000	Sumitomo Light Metal Industry		812,887
	3,569,000	Sumitomo Metal Industries Ltd		15,844,451
	433	Sumitomo Mitsui Financial Group Inc		4,728,964
	473,000	Taiheiyo Cement Co Ltd		2,035,274
	108,000	Taisho Pharmaceutical Co Ltd		2,286,117
	214,000	Takashimaya Co Ltd		3,100,089
	599,700	Takeda Pharmaceutical Co Ltd		33,405,967

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)
February 28, 2006

Shares		Description	Value ($)
		Japan — continued
	188,600	Tohoku Electric Power Co Inc		4,267,537
	187,000	Tokuyama Corp ^(a)		2,789,937
	114,100	Tokyo Electric Power Co Inc		3,080,053
	61,700	Tokyo Electron Ltd		4,109,078
	860,000	Tokyo Gas Co Ltd		3,915,592
	261,000	Tokyu Land Corp		2,276,537
	233,000	TonenGeneral Sekiyu KK ^(a)		2,328,777
	565,700	Toyota Motor Corp		30,156,024
	743,000	Ube Industries Ltd		2,192,377
	190,000	Urban Corp		2,783,982
	61,500	Yamada Denki Co Ltd		6,588,787
	46,000	Yamaha Corp Ltd		790,418
	145,000	Yaskawa Electric Corp ^{* (a)}		1,579,235
				527,375,191
		Netherlands — 6.2%
	1,056,700	ABN Amro Holdings NV		30,793,047
	863,646	Aegon NV		14,241,901
	64,092	Akzo Nobel NV		3,253,667
	161,023	Buhrmann NV		2,697,935
	20,135	Corio NV		1,323,001
	115,235	DSM NV		4,792,485
	639,954	Hagemeyer NV ^{* (a)}		2,575,514
	53,647	Heineken Holding NV		1,866,328
	161,348	Heineken NV		6,075,441
	1,114,970	ING Groep NV		41,907,217
	637,133	Koninklijke Ahold NV ^*		5,200,248
	188,438	Reed Elsevier NV		2,545,092
	70,205	Unilever NV		4,873,475
	12,380	Wereldhave NV		1,319,795
				123,465,146

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)
February 28, 2006

Shares		Description	Value ($)
		Norway — 0.8%
	50,000	Norsk Hydro ASA		5,856,651
	69,700	Orkla ASA		3,038,074
	266,300	Statoil ASA		6,819,615
				15,714,340
		Singapore — 0.7%
	1,253,000	Capitaland Ltd		3,227,836
	624,000	DBS Group Holdings Ltd		6,276,152
	345,000	Keppel Corp Ltd		2,964,959
	478,000	MobileOne Ltd		647,753
	919,000	Singapore Telecommunications		1,473,232
				14,589,932
		Spain — 1.4%
	90,098	ACS Actividades de Construccion y Servicios SA		3,360,052
	60,739	Endesa SA		2,033,861
	20,270	Fomento de Construcciones y Contratas SA		1,378,121
	372,342	Iberdrola SA		11,743,706
	325,562	Repsol YPF SA		9,099,955
				27,615,695
		Sweden — 0.9%
	153,200	Atlas Copco AB Class A		3,773,162
	212,900	Electrolux AB		5,888,280
	117,300	Hennes & Mauritz AB Class B		4,274,086
	68,100	Svenska Cellulosa - Series B Free		2,855,750
	163,850	Tele2 AB Class B ^(a)		1,768,441
				18,559,719
		Switzerland — 5.4%
	801,393	ABB Ltd ^*		9,601,995
	178,403	Credit Suisse Group		9,880,884
	31,916	Logitech International SA ^*		1,285,687
	66,259	Nestle SA (Registered)		19,480,388

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)
February 28, 2006

Shares		Description	Value ($)
		Switzerland — continued
	4,491	Roche Holding AG (Bearer)		745,970
	260,920	Roche Holding AG (Non Voting)		38,550,132
	3,420	Serono SA		2,426,674
	42,577	Swiss Reinsurance Co (Registered)		3,032,987
	95,937	Zurich Financial Services AG ^*		22,654,923
				107,659,640
		United Kingdom — 22.2%
	104,236	Alliance & Leicester Plc		1,954,033
	298,072	Anglo American Plc		11,103,986
	832,230	ARM Holdings Plc		2,006,661
	815,535	AstraZeneca Plc		37,663,708
	502,132	Aviva Plc		6,947,493
	584,709	BAE Systems Plc		4,304,090
	493,439	Barclays Plc		5,779,652
	287,697	Barratt Developments Plc		5,211,867
	401,645	BBA Group Plc		1,885,874
	98,975	Berkeley Group Holdings Plc ^*		1,933,500
	575,457	BG Group Plc		6,740,228
	442,306	BHP Billiton Plc		7,433,254
	311,465	Boots Group Plc		3,873,174
	1,604,461	BP Plc		17,748,638
	594,637	British American Tobacco Plc		14,167,264
	3,080,744	BT Group Plc		11,111,567
	96,808	Bunzl Plc		1,084,820
	1,030,489	Cable & Wireless Plc		1,925,074
	873,599	Cadbury Schweppes Plc		8,874,472
	2,254,335	Centrica Plc		11,483,371
	1,055,844	Cobham Group Plc		3,144,976
	510,124	Compass Group Plc		1,941,824
	1,726,223	DSG International Plc		5,205,379
	263,762	Gallaher Group Plc		4,087,089
	1,884,022	GlaxoSmithKline Plc		47,852,307
	287,995	GUS Plc		5,299,760

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)
February 28, 2006

Shares		Description	Value ($)
		United Kingdom — continued
	396,506	Hanson Plc		4,840,480
	1,075,871	HBOS Plc		20,036,058
	181,378	IMI Plc		1,662,774
	437,882	Imperial Chemical Industries Plc		2,582,468
	465,647	Imperial Tobacco Group Plc		14,004,297
	690,709	J Sainsbury Plc		3,878,244
	1,096,144	Kingfisher Plc		4,384,246
	519,585	Ladbrokes Group		3,353,967
	791,715	Lloyds TSB Group Plc		7,690,882
	105,401	Man Group Plc		4,269,690
	279,874	Next Plc		8,094,895
	354,428	Prudential Plc		3,749,672
	214,154	Rank Group Plc		977,285
	671,192	Rio Tinto Plc		31,587,740
	393,494	Rolls-Royce Group Plc ^*		3,024,716
	2,488,966	Royal & Sun Alliance Insurance Group		5,675,227
	530,705	Royal Bank of Scotland Group		17,751,516
	1,018,009	Royal Dutch Shell Group Class A		30,690,420
	251,375	Royal Dutch Shell Plc B Shares		7,903,353
	324,420	Scottish & Southern Energy Plc		6,534,176
	597,562	Scottish Power Plc		6,112,587
	229,855	Smith WH Plc		1,644,687
	109,898	Tate & Lyle Plc		1,152,372
	708,794	Taylor Woodrow Plc		5,165,893
	323,390	Unilever Plc		3,327,311
	139,297	United Utilities Plc		1,667,920
	2,687,423	Vodafone Group Plc		5,149,112
	491,304	Wimpey (George) Plc		4,763,321
	89,114	Wolseley Plc		2,210,699
				444,650,069
		TOTAL COMMON STOCKS (COST $1,621,188,881)		1,888,924,481

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)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		PREFERRED STOCKS — 0.7%
		Germany — 0.6%
	19,250	Fresenius Medical Care AG (Non Voting) 0.92%		3,089,036
	23,945	Henkel KGaA 1.46%		2,641,884
	7,294	RWE AG 2.70%		574,283
	97,872	Volkswagen AG 2.82%		5,043,328
				11,348,531
		Italy — 0.1%
	748,410	Compagnia Assicuratrice Unipol 5.02%		1,959,583
		TOTAL PREFERRED STOCKS (COST $10,150,843)		13,308,114
		SHORT-TERM INVESTMENT(S) — 6.1%
	62,148,045	The Boston Global Investment Trust ^(b)		62,148,045
	53,000,000	Bank of Montreal Time Deposit, 4.64%, due 03/01/06		53,000,000
	7,500,000	U.S. Treasury Bill, 4.64%, due 08/24/06 ^{(c) (d)}		7,335,090
		TOTAL SHORT-TERM INVESTMENT(S) (COST $122,482,312)		122,483,135
		TOTAL INVESTMENTS — 101.0% (Cost $1,753,822,036)		2,024,715,730
		Other Assets and Liabilities (net) — (1.0%)		(20,844,206	)
		TOTAL NET ASSETS — 100.0%	$	2,003,871,524

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)
February 28, 2006

A summary of outstanding financial instruments at February 28, 2006 is as follows:

Forward currency contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
5/26/06	CAD		5,761,533	$	5,081,473	$	63,942
5/26/06	CHF		48,366,820		37,191,204		(9,760	)
5/26/06	HKD		38,879,086		5,018,221		(4,657	)
5/26/06	JPY		10,463,161,205		91,418,779		1,980,453
5/26/06	NOK		375,319,761		55,923,070		142,283
5/26/06	SEK		658,995,428		83,823,350		(667,633	)
5/26/06	SGD		1,843,809		1,139,919		8,161
						$	1,512,789
Sales
5/26/06	AUD		59,708,677	$	44,256,370	$	(324,559	)
5/26/06	CAD		8,271,792		7,295,434		(75,059	)
5/26/06	DKK		29,416,640		4,722,827		2,133
5/26/06	EUR		31,484,697		37,725,961		(38,509	)
5/26/06	GBP		63,278,237		111,083,100		(991,027	)
5/26/06	HKD		16,533,014		2,133,958		136
						$	(1,426,885	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
	Buys
	269	DAX	March 2006	$	46,529,930	$	3,460,923
	285	MSCI	March 2006		10,353,098		167,051
	86	S&P/MIB	March 2006		19,331,797		1,226,467
	99	TOPIX	March 2006		14,180,121		269,405
						$	5,123,846

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)
February 28, 2006

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Sales
	13	FTSE 100	March 2006	$	1,310,447	$	4,049
	334	S&P Toronto 60	March 2006		40,171,874		(1,400,894	)
						$	(1,396,845	)

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) All or a portion of this security represents investment of security lending collateral (Note 2).

(d) All or a portion of this security has been segregated to cover margin requirements on open financial futures contracts (Note 2).

As of February 28, 2006, 92.1% of the Net Assets of the Fund was valued using fair value prices based on tools by a third party vendor.

AUD - Australian Dollar				HKD - Hong Kong Dollar

CAD - Canadian Dollar				JPY - Japanese Yen

CHF - Swiss Franc				NOK - Norwegian Krone

DKK - Danish Krone				SEK - Swedish Krona

EUR - Euro				SGD - Singapore Dollar

GBP - British Pound

See accompanying notes to the financial statements.

GMO International Core Equity Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value, including securities on loan of $58,080,148 (cost $1,753,822,036) (Note 2)	$	2,024,715,730
Cash		4,553,118
Foreign currency, at value (cost $2,113,573) (Note 2)		2,124,650
Receivable for Fund shares sold		32,631,245
Dividends and interest receivable		3,691,935
Foreign taxes receivable		201,646
Unrealized appreciation on open forward currency and cross currency contracts (Note 2)		2,197,108
Receivable for expenses reimbursed by Manager (Note 3)		359,072
Total assets		2,070,474,504
Liabilities:
Collateral on securities loaned (Note 2)		62,148,045
Payable for Fund shares repurchased		8,875
Payable to affiliate for (Note 3):
Management fee		571,557
Shareholder service fee		172,614
Trustees and Chief Compliance Officer fees		6,787
Unrealized depreciation on open forward currency and cross currency contracts (Note 2)		2,111,204
Payable for variation margin on open futures contracts (Note 2)		1,021,899
Accrued expenses		561,999
Total liabilities		66,602,980
Net assets	$	2,003,871,524
Net assets consist of:
Paid-in capital	$	1,686,795,897
Accumulated undistributed net investment income		2,980,541
Accumulated net realized gain		39,360,962
Net unrealized appreciation		274,734,124
	$	2,003,871,524
Net assets attributable to:
Class III shares	$	820,336,411
Class IV shares	$	1,183,535,113
Shares outstanding:
Class III		23,286,890
Class IV		33,612,894
Net asset value per share:
Class III	$	35.23
Class IV	$	35.21

See accompanying notes to the financial statements.

GMO International Core Equity Fund

(A Series of GMO Trust)

Statement of Operations — Year Ended February 28, 2006

Investment Income:
Dividends (net of withholding taxes of $2,217,323)	$	27,564,572
Interest (including securities lending income of $1,242,906)		4,192,372
Total investment income		31,756,944
Expenses:
Management fee (Note 3)		4,668,166
Shareholder service fee – Class III (Note 3)		922,877
Shareholder service fee – Class IV (Note 3)		529,965
Custodian and fund accounting agent fees		817,916
Transfer agent fees		43,704
Audit and tax fees		76,563
Legal fees		37,013
Trustees fees and related expenses (Note 3)		51,076
Registration fees		271,874
Miscellaneous		44,812
Total expenses		7,463,966
Fees and expenses reimbursed by Manager (Note 3)		(1,300,556	)
Net expenses		6,163,410
Net investment income (loss)		25,593,534
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments (net of foreign capital gains tax of $79,798) (Note 2)		58,565,436
Closed futures contracts		15,913,695
Foreign currency, forward contracts and foreign currency related transactions		(11,993,578	)
Net realized gain (loss)		62,485,553
Change in net unrealized appreciation (depreciation) on:
Investments		181,254,337
Open futures contracts		3,515,070
Foreign currency, forward contracts and foreign currency related transactions		(321,044	)
Net unrealized gain (loss)		184,448,363
Net realized and unrealized gain (loss)		246,933,916
Net increase (decrease) in net assets resulting from operations	$	272,527,450

See accompanying notes to the financial statements.

GMO International Core Equity Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Year Ended February 28, 2006			Year Ended February 28, 2005
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	25,593,534		$	8,066,871
Net realized gain (loss)		62,485,553			15,582,203
Change in net unrealized appreciation (depreciation)		184,448,363			58,761,233
Net increase (decrease) in net assets from operations		272,527,450			82,410,307
Distributions to shareholders from:
Net investment income
Class III		(3,605,459	)		(5,052,399	)
Class IV		(5,874,542	)		(4,340,736	)
Total distributions from net investment income		(9,480,001	)		(9,393,135	)
Net realized gains
Class III		(19,637,551	)		(4,618,141	)
Class IV		(23,339,375	)		(3,838,931	)
Total distributions from net realized gains		(42,976,926	)		(8,457,072	)
		(52,456,927	)		(17,850,207	)
Net share transactions (Note 7):
Class III		395,557,147			81,695,105
Class IV		811,200,322			205,320,826
Increase (decrease) in net assets resulting from net share transactions		1,206,757,469			287,015,931
Total increase (decrease) in net assets		1,426,827,992			351,576,031
Net assets:
Beginning of period		577,043,532			225,467,501
End of period (including accumulated undistributed net investment income of $2,980,541 and distributions in excess of net investment income of $1,445,215, respectively)	$	2,003,871,524		$	577,043,532

See accompanying notes to the financial statements.

GMO International Core Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2006			2005			2004			2003			2002^(a)
Net asset value, beginning of period	$	30.81		$	26.75		$	18.04		$	20.40		$	20.00
Income (loss) from investment operations:
Net investment income (loss)^†		0.72			0.55			0.40			0.37			0.02
Net realized and unrealized gain (loss)		4.79			4.54			8.81			(2.03	)		0.38
Total from investment operations		5.51			5.09			9.21			(1.66	)		0.40
Less distributions to shareholders:
From net investment income		(0.16	)		(0.54	)		(0.50	)		(0.70	)		—
From net realized gains		(0.93	)		(0.49	)		—			—			—
Total distributions		(1.09	)		(1.03	)		(0.50	)		(0.70	)		—
Net asset value, end of period	$	35.23		$	30.81		$	26.75		$	18.04		$	20.40
Total Return^(b)		18.26	%		19.20	%		51.46	%		(8.28	)%		2.00	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	820,336		$	321,463		$	201,333		$	68,047		$	47,081
Net expenses to average daily net assets		0.54	%		0.55	%		0.55	%		0.55	%		0.55	%^*
Net investment income to average daily net assets		2.26	%		1.98	%		1.77	%		1.82	%		1.56	%^*
Portfolio turnover rate		43	%		45	%		43	%		64	%		—	^(c)
Fees and expenses reimbursed by the Manager to average daily net assets:		0.10	%		0.14	%		0.27	%		0.39	%		1.89	%^*

(a) Period from January 29, 2002 (commencment of operations) through February 28, 2002.

(b) Total return would have been lower had certain expenses not been reimbursed during the periods shown.

* Annualized.

** Not annualized.

† Calculated using average shares outstanding throughout period.

See accompanying notes to the financial statements.

GMO International Core Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2006			2005			2004^(a)
Net asset value, beginning of period	$	30.80		$	26.75		$	21.08
Income (loss) from investment operations:
Net investment income (loss)^†		0.65			0.56			0.16
Net realized and unrealized gain (loss)		4.87			4.54			6.03
Total from investment operations		5.52			5.10			6.19
Less distributions to shareholders:
From net investment income		(0.18	)		(0.56	)		(0.52	)
From net realized gains		(0.93	)		(0.49	)		—
Total distributions		(1.11	)		(1.05	)		(0.52	)
Net asset value, end of period	$	35.21		$	30.80		$	26.75
Total Return^(b)		18.31	%		19.24	%		29.71	%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,183,535		$	255,580		$	24,134
Net expenses to average daily net assets		0.48	%		0.49	%		0.49	%^*
Net investment income to average daily net assets		1.98	%		2.01	%		0.99	%^*
Portfolio turnover rate		43	%		45	%		43	%^††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.11	%		0.14	%		0.26	%^*

(a) Period from June 30, 2003 (commencment of operations) through February 29, 2004.

(b) Total return would have been lower had certain expenses not been reimbursed during the periods shown.

† Calculated using average shares outstanding throughout period.

†† Calculation represents portfolio turnover of the Fund for year ended February 29, 2004.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO International Core Equity Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. 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 a series of shares into classes.

The Fund commenced operations following an in-kind purchase of shares by GMO International Disciplined Equity Fund ("Predecessor Fund") effected as of the close of business on September 16, 2005 ("Purchase Date"). For tax purposes, this transaction met all requirements for a tax-free reorganization under the Internal Revenue Code, and consequently the Fund retained the Predecessor Fund's basis and holding period in each asset contributed in-kind. For accounting purposes, the Fund also recorded a cost for each in-kind asset contributed by the Predecessor Fund equal to such asset's historical cost. For tax and accounting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations. Therefore, the Statement of Operations is shown for the entire fiscal year ending February 28, 2006, the Statements of Changes in Net Assets are shown for the entire fiscal years ending February 28, 2006 and 2005, and the Financial Highlights are shown for each of the fiscal years ending February 28/29, 2006, 2005, 2004, 2003 and 2002.

Throughout the year ended February 28, 2006, the Fund had two classes of shares outstanding: Class III and Class IV. The principal economic difference between the classes of shares is the level of shareholder service fees borne by the classes. Eligibility for and automatic conversion between the classes of shares is generally based on the total amount of assets invested in the Fund or with GMO, as more fully outlined in the Fund's prospectus.

2. Significant accounting policies

Portfolio valuation

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

or official closing price, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of mutual funds are valued at their net asset value. For other assets, and in cases where market prices are not readily available or the Manager believes established valuation methodologies are unreliable, the Fund's investments will be valued at "fair value", as determined in good faith by the Trustees or pursuant to procedures approved by the Trustees. A security's value may be deemed unreliable if, for example, the Manager becomes aware of information or events that would materially affect its value. Because many foreign equity securities markets and exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after the close but before the close of the NYSE. As a result, foreign equity securities held by the Fund are generally valued using fair value prices based on modeling tools by a third party vendor to the extent that these fair value prices are available.

Foreign currency translation

Forward currency contracts

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

represents the currency exposure the Fund has acquired or hedged through forward currency contracts as of February 28, 2006.

Futures contracts

The Fund may purchase and sell futures contracts. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon entering into a futures contract, the Fund is required to deposit, with the futures clearing broker, an amount of cash, U.S. government and agency obligations or other liquid assets in accordance with the initial margin requirements of the broker or exchange. In addition, the Fund maintains cash or securities in an amount that at least equals the net amount payable in the event the Fund must deliver the full amount of the contracts. Futures contracts are 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 liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Under certain 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. Losses may arise from changes in the value of the underlying instrument if the Fund is unable to liquidate a futures position due to an illiquid secondary market for the contracts or the imposition of price limits, or if counterparties do not perform under the contract terms. Futures contracts are generally valued at the settlement price established each day by the board of trade or exchange on which they are traded. See the Schedule of Investments for open futures contracts entered into by the Fund as of February 28, 2006.

Options

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

The Fund may also purchase put and call options. Purchasing options alters the Fund's exposure to the underlying instrument by, in the case of a call option, entitling the Fund to purchase the underlying instrument at a set price from the writer of the option and, in the case of a put option, entitling the Fund to sell the underlying instrument at a set price to the writer of the option. The Fund pays a premium as a cost for a purchased option disclosed in the Schedule of Investments which is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the closing transaction to determine the realized gain or loss. The risk associated with purchasing put and call options is limited to the premium paid. As of February 28, 2006, the Fund did not enter into any purchased option contracts.

Swap agreements

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

agreements, that the counterparties to the agreements may default on their obligations to perform or disagree as to the meaning of contractual terms in the agreements, or that there may be unfavorable changes in the price of the security or index underlying these transactions. As of February 28, 2006, the Fund did not enter into any swap agreements.

Securities lending

Taxes and distributions

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 gains, if any, at least annually. All distributions are paid in 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.

Dividends received by shareholders of the Fund which are derived from foreign source income and foreign taxes paid by the Fund may be treated, to the extent allowable under the Code, as if received and paid by the shareholders of the Fund.

The Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which it invests.

Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. During the years ended February 28, 2006 and February 28, 2005, the tax character of distributions paid was as follows: ordinary income – $28,232,806 and $9,393,135, respectively and long-term capital gains – $24,224,121 and $8,457,072, respectively.

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

As of February 28, 2006, the components of distributable earnings on a tax basis consisted of $31,890,252 and $14,711,038 of undistributed ordinary income and undistributed long-term capital gains, respectively. The temporary differences between book and tax basis distributable earnings are primarily due to passive foreign investment company transactions and losses on wash sale transactions.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	1,758,000,229			$	281,159,608			$	(14,444,107	)		$	266,715,501

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2006. This reclassification has no impact on net investment income, realized gain/loss or the net asset value of the Fund and is primarily attributable to losses on foreign currency transactions and passive foreign investment company transactions. Net gains resulting from in-kind transactions were $12,343. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income				Accumulated Net Realized Gain				Paid-in Capital
$	(11,687,777	)		$	11,675,434			$	12,343

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

Security transactions and related investment income

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Allocation of operating activity

The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, 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 pro rata between 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.

Investment risks

3. Fees and other transactions with affiliates

Effective September 16, 2005, GMO earns a management fee paid monthly at the annual rate of 0.38% of the Fund's average daily net assets. Prior to September 16, 2005, GMO earned a management fee paid monthly at the annual rate of 0.40% of the Predecessor Fund's average daily net assets (See Note 1). 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 the average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.09% for Class IV shares.

The Fund's portion of the fee paid by the Trust to the independent Trustees and CCO during the year ended February 28, 2006 was $25,354 and $11,201, respectively. No remuneration was paid to any other officer of the Trust.

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2006 aggregated $1,596,894,735 and $488,653,978, respectively.

5. Guarantees

6. Principal shareholders and related parties

As of February 28, 2006, 22.2% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. Investment activities these shareholders may have a material effect on the Fund.

As of February 28, 2006, 0.3% of the Fund's shares were held by five related parties comprised of certain GMO employee accounts, and 25.3% of the Fund's shares were held by accounts for which the Manager has investment discretion.

7. Share transactions

	Year Ended February 28, 2006						Year Ended February 28, 2005
Class III:	Shares			Amount			Shares			Amount
Shares sold		14,144,079		$	438,166,388			3,013,455		$	84,174,462
Shares issued to shareholders in reinvestment of distributions		610,012			19,747,732			263,849			7,820,960
Shares repurchased		(1,436,989	)		(47,278,262	)		(370,786	)		(10,300,317	)
Redemption in-kind		(462,581	)		(15,078,711	)		—			—
Net increase (decrease)		12,854,521		$	395,557,147			2,906,518		$	81,695,105

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

	Year Ended February 28, 2006						Year Ended February 28, 2005
Class IV:	Shares			Amount			Shares			Amount
Shares sold		24,636,218		$	788,940,573			7,360,493		$	203,977,638
Shares issued to shareholders in reinvestment of distributions		854,891			28,092,886			186,456			5,542,188
Shares repurchased		(175,618	)		(5,833,137	)		(151,872	)		(4,199,000	)
Net increase (decrease)		25,315,491		$	811,200,322			7,395,077		$	205,320,826

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO International Core Equity Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO International Core Equity Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

As described in Note 1 to the financial statements, the Fund is the successor to GMO International Disciplined Equity Fund and includes the operations of GMO International Disciplined Equity Fund for periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO International Core Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six months ended February 28, 2006.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.53	%	$	1,000.00	$	1,133.30	$	2.80
2) Hypothetical		0.53	%	$	1,000.00	$	1,022.17	$	2.66
Class IV
1) Actual		0.48	%	$	1,000.00	$	1,133.40	$	2.54
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.41	$	2.41

GMO International Core Equity Fund

(A Series of GMO Trust)

Tax Information (Unaudited) for the Tax Year Ended February 28, 2006

During the year ended February 28, 2006, the Fund paid foreign taxes of $2,217,323 and recognized foreign source income of $29,763,103.

The Fund's distributions to shareholders include $24,224,121 from long-term capital gains.

For taxable, non-corporate shareholders, 71.19% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 represents qualified dividend income subject to the 15% rate category.

The Fund hereby designates as qualified interest income and qualified short-term capital gains with respect to its taxable year ended February 28, 2006, $603,504 and $14,142,599, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

GMO International Core Equity Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement
February 28, 2006 (Unaudited)

¹ For tax, accounting and performance reporting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations.

GMO International Core Equity Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

GMO International Core Equity Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

GMO International Growth Equity Fund

(A Series of GMO Trust)

Annual Report

February 28, 2006

GMO International Growth Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the International Quantitative team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO International Growth Equity Fund returned +15.5% for the fiscal year ended February 28, 2006, as compared to +17.4% for the MSCI EAFE Index and +17.1% for the S&P/Citigroup PMI EPAC Growth Style Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in international equity securities throughout the period.

Individual securities had a positive impact net of sector or country allocations. Holdings that helped boost returns included resource oriented companies Canadian Natural Resources, Mitsubishi Corporation, Austrian oil company OMV, and Petro-Canada. Less successful holdings included Toyota Motor Corp and AstraZeneca, and the portfolio also suffered on a relative basis from underweights in Roche, Samsung, and Japanese internet giant Softbank.

Country allocation detracted from relative returns. This was largely due to an underweight position in the Japanese market. An underweight position in Switzerland also hurt returns, while the portfolio benefited from an underweight in the U.K. Countries where the portfolio was overweight included Australia and Canada. The strong U.S. dollar relative to most foreign currencies detracted from returns for U.S. investors. The MSCI EAFE Index returned 12% less in U.S. dollar terms than in local currency.

Industry sector weighting was a net negative, with energy stocks and financials accounting for much of the damage. An underweight in the weaker telecommunications sector helped boost returns.

Performance shown is net of all fees after reimbursement from the Manager. Returns and net asset values of Fund investments will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The total returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. Past performance is not indicative of future performance. Information is unaudited. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by visiting www.gmo.com.

† The Fund is the successor to the GMO International Growth Fund, therefore, performance for the periods prior to September 16, 2005 is that of
GMO International Growth Fund.

GMO International Growth Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2006 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.1	%
Preferred Stocks		0.4
Forward Currency Contracts		0.0
Short-Term Investment(s)		7.2
Other		(1.7	)
		100.0	%
Country Summary	% of Equity Investments
Japan		28.6	%
United Kingdom		19.5
France		8.6
Canada		5.9
Australia		4.5
Switzerland		4.5
Italy		4.2
Netherlands		4.2
Germany		3.2
Finland		3.1
Spain		2.8
Norway		2.0
Belgium		1.7
Sweden		1.6
Hong Kong		1.2
Denmark		1.2
Ireland		1.2
Austria		0.9
Singapore		0.9
Greece		0.2
		100.0	%

GMO International Growth Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2006 (Unaudited)

Industry Sector Summary	% of Equity Investments
Energy		20.8	%
Financials		18.2
Consumer Discretionary		14.2
Health Care		12.3
Industrials		10.8
Materials		7.7
Consumer Staples		5.8
Information Technology		5.0
Utilities		4.7
Telecommunication Services		0.5
		100.0	%

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2006

Shares		Description	Value ($)
		COMMON STOCKS — 94.1%
		Australia — 4.3%
	779,120	Amcor Ltd		4,277,982
	479,140	Australia and New Zealand Banking Group Ltd		9,112,865
	443,517	BHP Billiton Ltd		7,980,762
	907,140	Foster's Group Ltd		3,651,592
	914,082	James Hardies Industries NV		5,991,955
	418,004	Macquarie Bank Ltd		19,771,712
	429,716	National Australia Bank Ltd		11,663,294
	1,702,007	Promina Group Ltd		6,858,192
	453,052	QBE Insurance Group Ltd		6,930,195
	99,292	Rio Tinto Ltd		5,201,936
	886,206	Santos Ltd		7,448,650
	2,315,512	Telstra Corp Ltd		6,588,921
	142,821	Westfarmers Ltd		3,862,802
	382,093	Westpac Banking Corp		6,672,464
	440,810	Woodside Petroleum Ltd		13,232,371
	731,996	Woolworths Ltd		9,969,223
	858,263	Zinifex Ltd		4,877,845
				134,092,761
		Austria — 0.9%
	10,180	Oesterreichische Elektrizitaetswirtschafts AG Class A		4,734,750
	296,841	OMV AG		18,409,853
	170,473	Telekom Austria AG		3,899,280
				27,043,883
		Belgium — 1.6%
	158,932	AGFA-Gevaert NV		3,162,021
	40,143	Colruyt SA ^(a)		5,782,983
	359,333	Fortis		12,799,894
	45,480	KBC Groep NV		4,747,952
	45,445	Solvay SA		5,027,921
	219,963	UCB SA		10,418,887
	51,120	Umicore		7,261,415
				49,201,073

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)
February 28, 2006

Shares		Description	Value ($)
		Canada — 5.5%
	68,200	Canadian Imperial Bank of Commerce		4,797,915
	173,600	Canadian National Railway Co		8,126,640
	880,300	Canadian Natural Resources		48,095,233
	207,800	Canadian Pacific Railway Ltd		10,641,876
	112,000	Enbridge Inc		3,528,180
	297,700	EnCana Corp		12,311,936
	103,300	Husky Energy Inc		6,322,802
	77,000	Imperial Oil Ltd		7,425,932
	287,000	Nexen Inc		15,005,975
	634,620	Petro - Canada		29,071,510
	130,500	Royal Bank of Canada		10,904,378
	127,800	Talisman Energy Inc		6,714,715
	155,900	Teck Corp Class B		9,746,751
				172,693,843
		Denmark — 1.1%
	193	AP Moller - Maersk A/S Class A		1,738,027
	715	AP Moller - Maersk A/S Class B		6,553,313
	51,930	Danske Bank A/S		6,974,458
	244,800	H. Lundbeck A/S ^(a)		5,040,872
	107,150	Novo-Nordisk A/S		6,298,573
	371,800	Vestas Wind Systems A/S ^{* (a)}		7,789,600
				34,394,843
		Finland — 2.9%
	364,000	Fortum Oyj		8,806,279
	184,200	Metso Oyj		6,787,586
	2,971,300	Nokia Oyj		55,289,849
	591,300	Sampo Oyj Class A		11,851,294
	166,700	Yit Yhtymae Oyj		8,457,972
				91,192,980

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)
February 28, 2006

Shares		Description	Value ($)
		France — 8.1%
	89,371	BNP Paribas		8,271,009
	105,258	Business Objects SA ^*		3,906,659
	166,233	European Aero Defense		6,094,071
	78,677	LVMH Moet Hennessy Louis Vuitton SA		7,146,882
	48,893	Neopost SA		4,894,180
	263,596	Peugeot SA		15,366,958
	290,178	Renault SA		27,884,085
	309,145	Sanofi-Aventis		26,316,042
	86,531	Societe Generale		12,253,988
	504,522	Total SA		126,886,661
	18,758	Vallourec		14,676,130
				253,696,665
		Germany — 2.6%
	117,448	Altana AG		6,307,776
	67,706	Continental AG		6,960,453
	167,649	Deutsche Boerse AG		21,060,894
	448,115	Deutsche Post AG (Registered)		11,660,044
	49,499	Merck KGaA		4,956,947
	86,182	Salzgitter AG		5,856,195
	141,198	Stada Arzneimittel AG		5,051,684
	269,368	Volkswagen AG ^(a)		18,864,300
				80,718,293
		Greece — 0.2%
	268,790	Hellenic Telecommunications Organization SA ^*		5,718,521
		Hong Kong — 1.2%
	684,000	Cheung Kong Holdings Ltd		7,169,793
	1,943,000	CLP Holdings Ltd		11,108,754
	563,500	Esprit Holdings Ltd		4,309,588
	1,618,000	Hong Kong Electric Holdings Ltd		7,450,404
	2,876,000	Li & Fung Ltd		5,792,334
				35,830,873

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)
February 28, 2006

Shares		Description	Value ($)
		Ireland — 1.1%
	744,808	Anglo Irish Bank Corp		12,212,068
	406,942	CRH Plc		13,348,391
	155,571	DCC Plc		3,543,437
	226,548	Olivetti SPA		5,013,567
				34,117,463
		Italy — 4.0%
	3,920,675	ENI SPA		112,084,679
	116,302	ERG SPA		2,737,102
	268,573	Finmeccanica SPA		5,876,837
	219,569	Sanpaolo IMI SPA		3,874,737
				124,573,355
		Japan — 27.1%
	63,960	Acom Co Ltd		3,920,405
	739,100	Aeon Co Ltd		17,632,611
	88,675	Aiful Corp		5,926,815
	135,900	Aisin Seiki Co Ltd		4,822,941
	252,000	Alps Electric Co Ltd		3,940,424
	206,000	Bridgestone Corp		4,017,197
	128,000	Canon Inc		7,991,815
	393,000	Chiyoda Corp		9,475,351
	380,600	Chubu Electric Power Co Inc		10,088,585
	956,000	Daikyo Inc ^{* (a)}		5,032,159
	141,700	Denso Corp		5,169,273
	308,500	Eisai Co Ltd		14,267,308
	97,200	Fanuc Ltd		8,196,388
	657,000	Fuji Heavy Industries Ltd		3,560,074
	1,257,000	Honda Motor Co Ltd		73,421,734
	367,300	Hoya Corp		14,572,318
	208,000	Ibiden Co Ltd		9,746,768
	673	Inpex Corp		6,451,564
	941,000	Japan Steel Works Ltd ^(a)		5,821,975
	235,600	Japan Synthetic Rubber Co Ltd		6,938,374

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)
February 28, 2006

Shares		Description	Value ($)
		Japan — continued
	462	Japan Tobacco Inc		7,937,296
	126,300	JFE Holdings Inc		4,655,285
	299,000	JGC Corp		6,351,489
	157,000	Kansai Electric Power Co Inc		3,653,362
	2,670,000	Kawasaki Heavy Industries Ltd ^(a)		9,146,054
	616,000	Kawasaki Kisen Kaisha Ltd ^(a)		3,831,644
	1,354,000	Kobe Steel Ltd		5,145,577
	463,000	Komatsu Ltd		8,211,110
	74,000	Kyushu Electric Power Co Inc		1,785,008
	213,100	Leopalance21 Corp		7,664,950
	2,564,000	Mazda Motor Corp ^(a)		14,582,153
	1,324,200	Mitsubishi Corp		30,722,953
	428,000	Mitsubishi Estate Co Ltd		9,026,006
	3,198	Mitsubishi Tokyo Financial Group Inc		47,481,827
	626,000	Mitsui & Co		8,564,598
	1,177,000	Mitsui Chemicals Inc		9,427,050
	705,000	Mitsui OSK Lines Ltd		5,140,478
	656,000	Mitsui Sumitomo Insurance Co Ltd		8,651,652
	1,944,000	Mitsui Trust Holding Inc		28,502,421
	232,000	NGK Spark Plug Co Ltd		5,259,586
	57,800	Nidec Corp		4,584,686
	56,100	Nintendo Co Ltd		8,273,498
	175,000	Nippon Electric Glass Co Ltd		4,212,746
	1,340,000	Nippon Steel Corp		5,340,330
	1,037,000	Nippon Yusen Kabushiki Kaisha		6,745,912
	451,000	Nissan Chemical Industries Ltd		7,421,212
	2,999,800	Nissan Motor Co		34,436,916
	155,900	Nitto Denko Corp		13,378,636
	1,796	NTT Data Corp		8,303,847
	339,000	Olympus Optical Co Ltd		9,760,343
	77,400	Ono Pharmaceutical Co Ltd		3,461,828
	42,600	ORIX Corp		11,215,329
	2,871,000	Osaka Gas Co Ltd		10,992,077
	8,051	Resona Holdings Inc ^*		28,389,509

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)
February 28, 2006

Shares		Description	Value ($)
		Japan — continued
	358,000	Ricoh Company Ltd		6,628,495
	85,600	Sankyo Co Ltd Gunma		5,236,524
	200,000	Secom Co		9,923,371
	232,000	Sharp Corp		4,092,582
	36,400	Shimamura Co		4,118,446
	206,700	Shin-Etsu Chemical Co Ltd		11,005,314
	65,700	SMC Corp		9,280,926
	683,000	Sumitomo Chemical Co Ltd		5,325,971
	846,000	Sumitomo Corp		11,429,128
	906,000	Sumitomo Heavy Industries Ltd		8,102,538
	428,000	Takashimaya Co Ltd		6,200,178
	818,200	Takeda Pharmaceutical Co Ltd		45,577,392
	223,500	Terumo Corp		6,823,365
	432,100	Tohoku Electric Power Co Inc		9,777,322
	1,166,000	Tokyo Gas Co Ltd		5,308,814
	722,000	Tokyu Land Corp		6,297,547
	855,000	TonenGeneral Sekiyu KK ^(a)		8,545,513
	975,400	Toyota Motor Corp		51,996,086
	635,000	Urban Corp		9,304,360
	155,900	Yamada Denki Co Ltd		16,702,308
				844,927,627
		Netherlands — 4.0%
	794,267	ABN Amro Holdings NV		23,145,548
	477,655	Aegon NV		7,876,740
	118,018	DSM NV		4,908,226
	176,934	Heineken NV		6,662,320
	1,790,883	ING Groep NV		67,312,056
	726,728	Koninklijke Ahold NV ^*		5,931,518
	44,131	Sbm Offshore NV		4,346,814
	52,814	Unilever NV		3,666,230
				123,849,452

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)
February 28, 2006

Shares		Description	Value ($)
		Norway — 1.9%
	556,565	Det Norske Oljeselska ASA		3,706,109
	753,260	DnB NOR ASA		9,139,418
	85,850	Frontline Ltd ^(a)		3,303,342
	101,900	Norsk Hydro ASA		11,935,854
	114,450	Orkla ASA		4,988,631
	923,800	Statoil ASA		23,657,382
	198,400	Yara International ASA		3,012,042
				59,742,778
		Singapore — 0.8%
	2,651,000	Capitaland Ltd		6,829,205
	942,000	Keppel Corp Ltd		8,095,626
	2,531,000	Neptune Orient Lines Ltd		3,904,838
	3,812,000	Sembcorp Industrie		7,295,075
	23,000	Singapore Press Holdings Ltd		62,729
				26,187,473
		Spain — 2.6%
	43,439	Acciona SA		6,055,609
	246,150	ACS Actividades de Construccion y Servicios SA		9,179,745
	96,179	Fomento de Construcciones y Contratas SA		6,539,038
	54,123	Grupo Ferrovial SA		4,051,851
	780,934	Iberdrola SA		24,630,740
	371,813	Inditex SA		13,346,747
	168,376	Indra Sistemas SA		3,350,636
	78,436	Metrovacesa SA		5,839,409
	157,047	Repsol YPF SA		4,389,703
	177,178	Sacyr Vallehermoso SA		4,981,480
				82,364,958
		Sweden — 1.5%
	245,400	Electrolux AB		6,787,148
	352,950	Hennes & Mauritz AB Class B ^(a)		12,860,516
	1,033,500	Nordea AB		11,682,263

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)
February 28, 2006

Shares		Description	Value ($)
		Sweden — continued
	280,800	Securitas AB		5,158,835
	350,000	SKF AB Class B		5,082,273
	142,400	Svenska Cellulosa - Series B Free		5,971,494
				47,542,529
		Switzerland — 4.3%
	51,764	Alcon Inc		5,961,142
	94,336	Credit Suisse Group		5,224,817
	52,397	Lonza Group AG (Registered)		3,398,902
	72,202	Nestle SA (Registered)		21,227,652
	20,936	Nobel Biocare AG		4,674,526
	520,291	Roche Holding AG (Non Voting)		76,871,404
	8,633	Serono SA		6,125,578
	6,355	Societe Generale de Surveillance Holding SA (Registered)		5,865,596
	65,917	Swiss Reinsurance Co (Registered)		4,695,620
				134,045,237
		United Kingdom — 18.4%
	787,534	Anglo American Plc		29,337,767
	2,698,953	ARM Holdings Plc		6,507,677
	1,787,919	AstraZeneca Plc		82,571,145
	1,144,430	Barclays Plc		13,404,712
	485,139	Barratt Developments Plc		8,788,690
	1,132,427	BHP Billiton Plc		19,031,207
	4,151,726	BP Plc		45,926,627
	326,767	British American Tobacco Plc		7,785,244
	736,602	British Sky Broadcasting Plc		6,528,977
	595,501	Cadbury Schweppes Plc		6,049,408
	173,421	Cairn Energy Plc ^*		5,865,298
	7,892,536	Centrica Plc		40,203,840
	1,626,540	Cobham Group Plc		4,844,873
	2,077,064	DSG International Plc		6,263,331

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)
February 28, 2006

Shares		Description	Value ($)
		United Kingdom — continued
	327,893	Enterprise Inns Plc		5,152,085
	799,146	Gallaher Group Plc		12,383,062
	1,451,199	GlaxoSmithKline Plc		36,859,028
	759,111	HBOS Plc		14,137,003
	784,200	ICAP Plc		6,109,848
	1,238,579	Imperial Tobacco Group Plc		37,250,166
	909,900	Ladbrokes Group		5,873,485
	213,259	Man Group Plc		8,638,911
	403,872	Next Plc		11,681,333
	455,390	Provident Financial Plc		4,803,661
	1,193,972	Rentokil Initial Plc		3,288,124
	474,814	Rio Tinto Plc		22,345,769
	315,112	Royal Bank of Scotland Group		10,540,160
	2,313,259	Royal Dutch Shell Group Class A		69,738,961
	505,499	Royal Dutch Shell Plc B Shares		15,893,135
	1,195,627	Sage Group Plc		5,811,058
	1,521,714	Unilever Plc		15,656,686
	539,121	Wimpey (George) Plc		5,226,919
				574,498,190
		TOTAL COMMON STOCKS (COST $2,491,101,886)		2,936,432,797
		PREFERRED STOCKS — 0.4%
		Germany — 0.4%
	28,429	Fresenius Medical Care AG (Non Voting) 0.92%		4,561,985
	165,280	Volkswagen AG 2.82%		8,516,851
				13,078,836
		TOTAL PREFERRED STOCKS (COST $7,591,215)		13,078,836

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)
February 28, 2006

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENT(S) — 7.2%
	137,700,000	ING Bank Time Deposit, 4.57%, due 03/01/06		137,700,000
	70,859,603	The Boston Global Investment Trust ^(b)		70,859,603
	15,700,000	U.S. Treasury Bill, 4.64%, due 08/24/06 ^{(c) (d)}		15,354,788
		TOTAL SHORT-TERM INVESTMENT(S) (COST $223,912,668)		223,914,391
		TOTAL INVESTMENTS — 101.7% (Cost $2,722,605,769)		3,173,426,024
		Other Assets and Liabilities (net) — (1.7%)		(53,506,973	)
		TOTAL NET ASSETS — 100.0%	$	3,119,919,051

See accompanying notes to the financial statements.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2006

A summary of outstanding financial instruments at February 28, 2006 is as follows:

Forward currency contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
	5/26/06	CHF	78,127,358	$	60,075,285	$	(267,847	)
	5/26/06	EUR	15,001,987		17,975,856		18,349
	5/26/06	GBP	6,151,844		10,799,383		(40,296	)
	5/26/06	HKD	56,371,572		7,276,020		(6,752	)
	5/26/06	JPY	17,045,204,407		148,927,437		3,226,293
	5/26/06	NOK	380,545,227		56,701,670		144,264
	5/26/06	SEK	934,996,005		118,930,260		(886,572	)
	5/26/06	SGD	11,853,090		7,328,069		47,630
						$	2,235,069
Sales
	5/26/06	AUD	74,463,009	$	55,192,355	$	(404,760	)
	5/26/06	CAD	107,136,354		94,490,557		(1,349,226	)
5/26/06	DKK		170,217,222		27,328,291		(36,077	)
	5/26/06	GBP	48,964,322		85,955,439		(766,850	)
	5/26/06	HKD	314,744,042		40,624,802		311
						$	(2,556,602	)

See accompanying notes to the financial statements.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2006

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
	Buys
	429	SPI 200	Mar-06	$	39,211,351	$	2,495,839
	16	DAX	Mar-06		2,767,579		40,483
	204	IBEX 35	Mar-06		28,622,059		787,691
	55	CAC40 10	Mar-06		3,280,570		26,735
	88	FTSE 100	Mar-06		8,898,128		48,317
	7	HANG SENG	Mar-06		714,581		10,954
	6	S&P/MIB	Mar-06		1,348,730		27,039
	519	TOPIX	Mar-06		74,338,214		420,968
	7,088	OMXS 30	Mar-06		89,039,487		(219,862	)
						$	3,638,164
	Sales
	1,250	S&P Toronto 60	Mar-06		145,100,972	$	(5,042,037	)

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) All or a portion of this security represents investment of security lending collateral (Note 2).

(d) All or a portion of this security has been segregated to cover margin requirements on open financial futures contracts (Note 2).

As of February 28, 2006, 88.6% of the Net Assets of the Fund was valued using fair value prices based on tools by a third party vendor (Note 2).

AUD - Australian Dollar				GBP - British Pound

CAD - Canadian Dollar				HKD - Hong Kong Dollar

CHF - Swiss Franc				JPY - Japanese Yen

DKK - Danish Krone				NOK - Norwegian Krone

EUR - Euro				SEK - Swedish Krona

				SGD - Singapore Dollar

See accompanying notes to the financial statements.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2006

Assets:
Investments, at value, including securities on loan of $66,435,513 (cost $2,722,605,769) (Note 2)	$	3,173,426,024
Cash		1,806,256
Foreign currency, at value (cost $2,630,200) (Note 2)		2,636,954
Receivable for Fund shares sold		22,788,777
Dividends and interest receivable		4,671,266
Foreign taxes receivable		697,767
Unrealized appreciation on open forward currency contracts (Note 2)		3,436,847
Receivable for expenses reimbursed by Manager (Note 3)		270,340
Total assets		3,209,734,231
Liabilities:
Collateral on securities loaned (Note 2)		70,859,603
Payable for Fund shares repurchased		11,243,122
Payable to affiliate for (Note 3):
Management fee		1,222,990
Shareholder service fee		352,786
Trustees and Chief Compliance Officer fees		6,967
Unrealized depreciation on open forward currency contracts (Note 2)		3,758,380
Payable for variation margin on open futures contracts (Note 2)		1,660,973
Accrued expenses		710,359
Total liabilities		89,815,180
Net assets	$	3,119,919,051
Net assets consist of:
Paid-in capital	$	2,586,060,227
Distributions in excess of net investment income		(5,978,467	)
Accumulated net realized gain		90,728,619
Net unrealized appreciation		449,108,672
	$	3,119,919,051
Net assets attributable to:
Class III shares	$	3,119,919,051
Shares outstanding:
Class III		104,352,703
Net asset value per share:
Class III	$	29.90

See accompanying notes to the financial statements.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Statement of Operations — Year Ended February 28, 2006

Investment Income:
Dividends (net of withholding taxes of $4,953,503)	$	54,645,046
Interest (including securities lending income of $1,391,983)		6,775,677
Total investment income		61,420,723
Expenses:
Management fee (Note 3)		12,633,301
Shareholder service fee – Class III (Note 3)		3,579,243
Custodian and fund accounting agent fees		1,217,510
Transfer agent fees		28,461
Audit and tax fees		75,626
Legal fees		43,633
Trustees fees and related expenses (Note 3)		108,815
Registration fees		382,343
Miscellaneous		61,952
Total expenses		18,130,884
Fees and expenses reimbursed by Manager (Note 3)		(1,834,227	)
Net expenses		16,296,657
Net investment income (loss)		45,124,066
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		169,143,592
Closed futures contracts		11,994,426
Foreign currency, forward contracts and foreign currency related transactions		(43,867,355	)
Net realized gain (loss)		137,270,663
Change in net unrealized appreciation (depreciation) on:
Investments		217,741,437
Open futures contracts		(2,748,530	)
Foreign currency, forward contracts and foreign currency related transactions		(2,971,679	)
Net unrealized gain (loss)		212,021,228
Net realized and unrealized gain (loss)		349,291,891
Net increase (decrease) in net assets resulting from operations	$	394,415,957

See accompanying notes to the financial statements.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Statement of Changes in Net Assets

	Year Ended			Year Ended
	February 28, 2006			February 28, 2005
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	45,124,066		$	16,252,310
Net realized gain (loss)		137,270,663			49,659,516
Change in net unrealized appreciation (depreciation)		212,021,228			167,523,666
Net increase (decrease) in net assets from operations		394,415,957			233,435,492
Distributions to shareholders from:
Net investment income
Class III		(8,503,002	)		(16,244,197	)
Net realized gains
Class III		(120,000,273	)		(21,060,601	)
		(128,503,275	)		(37,304,798	)
Net share transactions (Note 7):
Class III		1,200,953,519			891,818,019
Total increase (decrease) in net assets		1,466,866,201			1,087,948,713
Net assets:
Beginning of period		1,653,052,850			565,104,137
End of period (including distributions in excess of net investment income of $5,978,467 and $1,181,397, respectively)	$	3,119,919,051		$	1,653,052,850

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)

	Year Ended February 28/29,
	2006			2005			2004			2003			2002^(a)
Net asset value, beginning of period	$	27.22		$	23.67		$	16.83		$	19.65		$	20.00
Income (loss) from investment operations:
Net investment income (loss)^†		0.53			0.40			0.29			0.25			0.01
Net realized and unrealized gain (loss)		3.57			3.94			6.81			(2.46	)		(0.36	)
Total from investment operations		4.10			4.34			7.10			(2.21	)		(0.35	)
Less distributions to shareholders:
From net investment income		(0.10	)		(0.33	)		(0.26	)		(0.61	)		—
From net realized gains		(1.32	)		(0.46	)		—			—			—
Total distributions		(1.42	)		(0.79	)		(0.26	)		(0.61	)		—
Net asset value, end of period	$	29.90		$	27.22		$	23.67		$	16.83		$	19.65
Total Return^(b)		15.54	%		18.66	%		42.33	%		(11.40	)%		(1.75	)%^**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	3,119,919		$	1,653,053		$	565,104		$	178,804		$	84,884
Net expenses to average daily net assets		0.68	%		0.69	%		0.69	%		0.69	%		0.69	%^*
Net investment income to average daily net assets		1.89	%		1.64	%		1.38	%		1.32	%		0.36	%^*
Portfolio turnover rate		57	%		52	%		63	%		78	%		15	%^**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.08	%		0.09	%		0.16	%		0.22	%		0.65	%^*

(a) Period from November 30, 2001 (commencement of operations) through February 28, 2002.

(b) The total returns would have been lower had certain expenses not been reimbursed during the period shown.

† Calculated using average shares outstanding throughout the period.

* Annualized.

** Not annualized.

See accompanying notes to the financial statements.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2006

1. Organization

GMO International Growth Equity Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. 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 a series of shares into classes.

The Fund commenced operations following an in-kind purchase of shares by GMO International Growth Fund ("Predecessor Fund") effected as of the close of business on September 16, 2005 ("Purchase Date"). For tax purposes, this transaction met all requirements for a tax-free reorganization under the Internal Revenue Code, and consequently the Fund retained the Predecessor Fund's basis and holding period in each asset contributed in-kind. For accounting purposes, the Fund also recorded a cost for each in-kind asset contributed by the Predecessor Fund equal to such asset's historical cost. For tax and accounting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations. Therefore, the Statement of Operations is shown for the entire fiscal year ending February 28, 2006, the Statements of Changes in Net Assets are shown for the entire fiscal years ending February 28, 2006 and 2005, and the Financial Highlights are shown for each of the fiscal years ending February 28/29, 2006, 2005, 2004, 2003 and 2002.

2. Significant accounting policies

Portfolio valuation

Portfolio securities listed on a securities exchange for which market quotations are readily available are valued at the last sale price or official closing price on each business day, or if there is no such reported sale or official closing price, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of mutual funds are valued at their net asset value. For other assets, and in cases where market prices are not

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

readily available or the Manager believes established valuation methodologies are unreliable, the Fund's investments will be valued at "fair value", as determined in good faith by the Trustees or pursuant to procedures approved by the Trustees. A security's value may be deemed unreliable if, for example, the Manager becomes aware of information or events that would materially affect its value. Because many foreign equity securities markets and exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close but before the close of the NYSE. As a result, foreign equity securities held by the Fund are generally valued using fair value prices based on modeling tools by a third party vendor to the extent that these fair value prices are available.

Foreign currency translation

Forward currency contracts

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Futures contracts

The Fund may purchase and sell futures contracts. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon entering into a futures contract, the Fund is required to deposit, with the futures clearing broker, an amount of cash, U.S. government and agency obligations or other liquid assets in accordance with the initial margin requirements of the broker or exchange. In addition, the Fund maintains cash or securities in an amount that at least equals the net amount payable in the event the Fund must deliver the full amount of the contracts. Futures contracts are 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 liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Under certain 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. Losses may arise from changes in the value of the underlying instrument if the Fund is unable to liquidate a futures position due to an illiquid secondary market for the contracts or the imposition of price limits, or if counterparties do not perform under the contract terms. Futures contracts are generally valued at the settlement price established each day by the board of trade or exchange on which they are traded. See the Schedule of Investments for open futures contracts entered into by the Fund as of February 28, 2006.

Options

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Swap agreements

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Securities lending

Taxes and distributions

The Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which it invests.

Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. During the years ended February 28, 2006 and

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

February 28, 2005, the tax character of distributions paid was as follows: ordinary income – $76,508,315 and $18,045,788, respectively and long-term capital gains – $51,994,960 and $19,259,010, respectively.

As of February 28, 2006, the components of distributable earnings on a tax basis consisted of $28,628,682 and $62,264,011 of undistributed ordinary income and undistributed long-term capital gains, respectively. The temporary differences between book and tax basis distributable earnings are primarily due to passive foreign investment company transactions.

As of February 28, 2006, the approximate cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost				Gross Unrealized Appreciation				Gross Unrealized (Depreciation)				Net Unrealized Appreciation (Depreciation)
$	2,729,074,897			$	465,693,961			$	(21,342,834	)		$	444,351,127

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2006. This reclassification has no impact on net investment income, realized gain/loss or the net asset value of the Fund and is primarily attributable to foreign currency transactions and redemption in-kind transactions. Net gains resulting from in-kind transactions were $3,446,298. The financial highlights exclude these adjustments.

Distributions in Investment Income				Accumulated Excess of Net Realized Gain				Net Paid-in Capital
$	(41,418,134	)		$	37,985,190			$	3,432,944

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

Security transactions and related investment income

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

Expenses

Investment risks

3. Fees and other transactions with affiliates

Effective September 16, 2005, GMO earns a management fee paid monthly at the annual rate of 0.52% of the Fund's average daily net assets. Prior to September 16, 2005, GMO earned a management fee paid monthly at the annual rate of 0.54% of the Predecessor Fund's average daily net assets (See Note 1). 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 the average daily net assets at the annual rate of 0.15% for Class III shares.

The Fund's portion of the fee paid by the Trust to the independent Trustees and CCO during the year ended February 28, 2006 was $56,468 and $17,069, respectively. No remuneration was paid to any other officer of the Trust.

4. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2006 aggregated $2,252,258,471 and $1,261,821,426, respectively.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2006

5. Guarantees

6. Principal shareholders and related parties

As of February 28, 2006, 47.2% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares. One of the shareholders is another fund of the Trust. Investment activities of these shareholders may have a material effect on the Fund.

As of February 28, 2006, less than 0.1% of the Fund's shares were held by four related parties comprised of certain GMO employee accounts, and 97.3% of the Fund's shares were held by accounts for which the Manager has investment discretion.

7. Share transactions

	Year Ended February 28, 2006						Year Ended February 28, 2005
Class III:	Shares			Amount			Shares			Amount
Shares sold		55,020,086		$	1,524,390,777			39,139,271		$	945,516,996
Shares issued to shareholders in reinvestment of distributions		4,627,472			127,858,155			1,411,800			36,147,331
Shares repurchased		(15,502,785	)		(436,220,849	)		(3,692,772	)		(89,846,308	)
Redemption in-kind		(524,991	)		(15,074,564	)		—			—
Net increase (decrease)		43,619,782		$	1,200,953,519			36,858,299		$	891,818,019

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO International Growth Equity Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO International Growth Equity Fund (the "Fund") (a series of GMO Trust) at February 28, 2006, and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

As described in Note 1 to the financial statements, the Fund is the successor to GMO International Growth Fund and includes the operations of GMO International Growth Fund for periods prior to September 16, 2005.

PricewaterhouseCoopers LLP
Boston, Massachusetts
May 5, 2006

GMO International Growth Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2006 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six months ended February 28, 2006.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2005 through February 28, 2006.

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred^*
Class III
1) Actual		0.67	%	$	1,000.00	$	1,098.40	$	3.49
2) Hypothetical		0.67	%	$	1,000.00	$	1,021.47	$	3.36

GMO International Growth Equity Fund

(A Series of GMO Trust)

Tax Information (Unaudited) for the Tax Year Ended February 28, 2006

During the year ended February 28, 2006, the Fund paid foreign taxes of $4,953,503 and recognized foreign source income of $59,583,388.

The Fund's distributions to shareholders include $51,994,960 from long-term capital gains.

For taxable, non-corporate shareholders, 55.64% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2006 represents qualified dividend income subject to the 15% rate category.

The Fund hereby designates as qualified interest income and qualified short-term capital gains with respect to its taxable year ended February 28, 2006, $1,046,951 and $35,103,946, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement
February 28, 2006 (Unaudited)

¹ For tax, accounting and performance reporting purposes, the Fund is treated as a continuation of the Predecessor Fund's operations.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

Fund, and reviewed information provided by the Manager regarding fees paid by its separate account clients and non-proprietary mutual fund clients. 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 had, however, considered the Manager's profitability with respect to the Predecessor Fund in approving the continuance of the management contract for the Predecessor Fund, and they noted the management fee payable by the Fund would be lower than that paid by the Predecessor Fund. The Trustees did, moreover, consider both the actual dollar amount of fees to be paid by the Fund directly to the Manager and the so-called "fallout benefits" to the Manager such as the receipt of shareholder servicing fees pursuant to the Trust's servicing agreements, and reputational value to be derived from serving as investment manager to the Fund. The Trustees regarded the ability of the funds of the Trust to establish a public record of their performance also to be a fallout benefit to the Manager because of the opportunity that record creates for the Manager to increase assets under management by, for example, attracting new clients, expanding existing client relationships and becoming a subadviser under arrangements in which the funds of the Trust would be advised and distributed by an organization with strong retail sales capabilities. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the agreement, that the advisory fee to be charged to the Fund was reasonable.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Board Review of Investment Management Agreement — (Continued)
February 28, 2006 (Unaudited)

Trustees and Officers (Unaudited)

Independent Trustees:

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Donald W. Glazer, Esq. c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944

Chairman of the Board of Trustees

Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.

Consultant – Business and Law², Vice Chair (since 2002) and Secretary, Provant, Inc.; Author of Legal Treatises.

None

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Independent Trustees — (Continued)

Name, Address,
and DOB

Position(s)
Held with Trust

Term of Office¹and Length of
Time Served

Principal
Occupation(s)
During Past
Five Years

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

Other
Directorships
Held by
Trustee

Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/13/1941

Trustee

Since May 1996

Acting Dean (since 2005), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.

Director of Harvard Management, Company, Inc. and Verde, Inc.; Director of Partners HealthCare Systems, Inc.; and Chair of its Investment Committee.³

W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 03/28/1933

Trustee

Since March 2005

Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare Systems, Inc.

¹ Each Trustee is elected to serve until the next meeting held for the purpose of electing Trustees and until his successor is elected and qualified.

Principal Officers:

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

Scott Eston c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956

President and Chief Executive Officer

President and Chief Executive Officer since October 2002; Vice President from August 1998 – October 2002.

Chief Financial Officer, Chief Operating Officer (2000 – present) and Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Susan Randall Harbert c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/25/1957

Chief Financial Officer and Treasurer

Chief Financial Officer since February 2000; Treasurer since February 1998.

Member, Grantham, Mayo, Van Otterloo & Co. LLC.

Brent C. Arvidson c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/26/1969

Assistant Treasurer

Since August 1998.

Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.

Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968

Assistant Treasurer

Since September 2004.

Michael E. Gillespie c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 02/18/1958

Chief Compliance Officer

Since March 2005.

Principal Officers — (Continued)

Name, Address, and
DOB

Position(s) Held
with Trust

Term of Office⁴and Length of
Time Served

Principal Occupation(s)
During Past Five Years

David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964

Vice President and Clerk

Since March 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC. (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).

Scott D. Hogan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/06/1970

Vice President and Secretary

Since June 2005; Acting Chief Compliance Officer, October 2004 – February 2005.

Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (2000 – present).

Julie L Perniola c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/07/1970

Vice President

Vice President, February 2003 – present; Anti-Money Laundering Compliance Officer, February 2003 – December 2004.

Chief Compliance Officer (April 1995 – present), Grantham, Mayo, Van Otterloo & Co. LLC and Anti-Money Laundering Reporting Officer (February 2003 – December 2004).

Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958

Vice President and Anti-Money Laundering Officer

Since December 2004.

Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC (February 1999 – present).

Item 2. Code of Ethics.

As of February 28, 2006, the registrant has adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002. During the year ended February 28, 2006, there were no amendments to a provision of the Code of Ethics nor were there any waivers granted from a provision of the Code of Ethics. A copy of the registrant’s Code of Ethics is filed with this Form N-CSR under item 12 (a).

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant does not have an “audit committee financial expert” (as such term has been defined in Form N-CSR) serving on its audit committee. The registrant’s Board believes that, although none of its members individually meets all required elements of the definition of an “audit committee financial expert”, the members of the registrant’s audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee’s functions, duties and powers.

Item 4. Principal Accountant Fees and Services. *

(a) AUDIT FEES: The aggregate fees billed to the registrant for professional services rendered by its independent auditors, PricewaterhouseCoopers LLP for the audit of the registrant’s annual financial statements for 2006 and 2005 were $1,864,500 and $1,410,202, respectively.

(b) AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2006 and 2005 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $48,100 and $0, respectively. The aggregate fees billed in 2006 and 2005 to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provides ongoing services to the Funds (each, a “Service Affiliate”) for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $312,262 and $287,000, respectively.

(c) TAX FEES: The aggregate fees billed to the registrant in 2006 and 2005 for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning, including the preparation of Form 1120 RIC, Form 8613 and review of excise tax distribution calculations were $715,213 and $598,775, respectively. The aggregate fees billed in 2006 and 2005 to the registrant’s Service Affiliates for engagements for tax services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $8,250 and $26,863, respectively.

(d) ALL OTHER FEES: No such fees were billed by PricewaterhouseCoopers LLP to the registrant or to the registrant’s Service Affiliates that related directly to the operations and financial reporting of the Funds in 2006 or 2005.

(e) (1) The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC’s rules on, auditor independence; and (4) those permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with the SEC’s rules on, auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the

schedule, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee’s next regularly scheduled meeting) if they are to be provided by the independent auditor.

(e) (2) None.

(f) Not applicable.

(g) NON-AUDIT FEES: The aggregate fees billed by PricewaterhouseCoopers LLP in 2006 and 2005 for non-audit services rendered to the registrant, the registrant’s Service Affiliates were $1,105,825 and $984,938, respectively. For the fiscal year ended February 28, 2006, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $22,000 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds. For the fiscal year ended February 28, 2005, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $72,300 in fees billed to the Funds’ Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

(h) The Trust’s Audit Committee has considered whether the provision of non-audit services by registrant’s independent registered public accounting firm to the registrant’s Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm as the registrant’s auditors.

*Includes information regarding all series of GMO Trust.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this filing.

Item 6. Schedule of Investments.

The complete schedule of investments for each Covered Series of the registrant is included as part of the annual reports to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant with respect to the Covered Series on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) 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 registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of Ethics described in Item 2 is attached.

(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 (17 CFR 270.30a-2(a)) are attached hereto as EX—99.CERT.

(a)(3) Not applicable to this registrant

(b) Certifications by the Chief 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 (17 CFR 270.30a-2(b)) are attached hereto as EX-99.906 CERT.

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:	/s/ Scott Eston
Name: Scott Eston
Title: Chief Executive Officer
Date:		May 17, 2006

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Scott Eston
Name: Scott Eston
Title: Chief Executive Officer
Date:		May 17, 2006

By:	/s/ Susan Randall Harbert
Name: Susan Randall Harbert
Title: Principal Financial Officer
Date:		May 17, 2006